Ceres Tactical Macro L.P. - FORM 10-Q

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EX-32.2 - EX-32.2 - Ceres Tactical Macro L.P.	d425229dex322.htm
EX-32.1 - EX-32.1 - Ceres Tactical Macro L.P.	d425229dex321.htm
EX-31.2 - EX-31.2 - Ceres Tactical Macro L.P.	d425229dex312.htm
EX-31.1 - EX-31.1 - Ceres Tactical Macro L.P.	d425229dex311.htm
EX-10.03 - EX-10.03 - Ceres Tactical Macro L.P.	d425229dex1003.htm
EX-10.02 - EX-10.02 - Ceres Tactical Macro L.P.	d425229dex1002.htm
EX-10.01 - EX-10.01 - Ceres Tactical Macro L.P.	d425229dex1001.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2017

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 000-54284

CERES TACTICAL MACRO L.P.

(Exact name of registrant as specified in its charter)


Delaware		27-3371689
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes X No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes X No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.


Large accelerated filer	Accelerated filer	Non-accelerated filer X
Smaller reporting company	Emerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes No X

As of July 31, 2017, 75,691.236 Limited Partnership Units Class A were outstanding, 15.414 Limited Partnership Units Class D were outstanding and 551.176 Limited Partnership Units Class Z were outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Ceres Tactical Macro L.P.

Statements of Financial Condition


	June 30, 2017 (Unaudited)		December 31, 2016
Assets:
Investment in the Master ⁽¹⁾, at fair value	$	39,366,818	$	49,833,558
Expense reimbursement		652		763
Cash at bank		994		994

Total assets	$	39,368,464	$	49,835,315

Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Management fees	$	48,620	$	62,377
Redemptions payable to General Partner		90,000		-
Redemptions payable to Limited Partners		1,013,773		1,392,700

Total liabilities		1,152,393		1,455,077

Partners’ Capital:
General Partner, Class Z, 752.208 and 1,010.185 Units outstanding at June 30, 2017 and December 31, 2016, respectively		410,037		562,712
Limited Partners, Class A, 77,417.174 and 94,781.707 Units outstanding at June 30, 2017 and December 31, 2016, respectively		37,498,045		47,386,996
Limited Partners, Class D, 15.414 Units outstanding at June 30, 2017 and December 31, 2016		7,537		7,731
Limited Partners, Class Z, 551.176 and 759.012 Units outstanding at June 30, 2017 and December 31, 2016, respectively		300,452		422,799

Total partners’ capital (net asset value)		38,216,071		48,380,238

Total liabilities and partners’ capital	$	39,368,464	$	49,835,315

Net asset value per Unit:
Class A	$	484.36	$	499.96

Class D	$	488.96	$	501.54

Class Z	$	545.11	$	557.04

⁽¹⁾	Defined in Note 1.

See accompanying notes to financial statements.

Ceres Tactical Macro L.P.

Statements of Income and Expenses

(Unaudited)


	Three Months Ended June 30,				Six Months Ended June 30,
	2017		2016		2017		2016
Investment Income:
Interest income allocated from the Master	$	58,048	$	21,255	$	102,903	$	44,139

Expenses:
Expenses allocated from the Master		30,359		35,025		61,785		222,940
Management fees		151,521		202,166		324,557		340,173
Ongoing placement agent fees		197,820		264,934		423,919		557,093
General Partner fees		101,014		134,777		216,370		283,717
Professional fees		48,889		65,446		99,785		132,822

Total expenses		529,603		702,348		1,126,416		1,536,745
Expenses borne by the General Partner		(25,457)		(34,543)		(49,571)		(66,572)

Net expenses		504,146		667,805		1,076,845		1,470,173

Net investment loss		(446,098)		(646,550)		(973,942)		(1,426,034)

Trading Results:
Net gains (losses) on investment in the Master:
Net realized gains (losses) on closed contracts allocated from the Master		(628,263)		(915,736)		(998,149)		(7,348,546)
Net change in unrealized gains (losses) on open contracts allocated from the Master		958,725		(239,832)		531,965		52,618

Total trading results		330,462		(1,155,568)		(466,184)		(7,295,928)

Net income (loss)	$	(115,636)	$	(1,802,118)	$	(1,440,126)	$	(8,721,962)

Net income (loss) allocation by Class:
Class A	$	(117,052)	$	(1,775,647)	$	(1,420,011)	$	(8,563,467)

Class D	$	4	$	(232)	$	(194)	$	(1,092)

Class Z	$	1,412	$	(26,239)	$	(19,921)	$	(157,403)

Net asset value per Unit:
Class A	$	484.36	$	486.01	$	484.36	$	486.01

Class D	$	488.96	$	484.53	$	488.96	$	484.53

Class Z	$	545.11	$	536.14	$	545.11	$	536.14

Net income (loss) per Unit: *
Class A	$	(1.25)	$	(16.68)	$	(15.60)	$	(74.59)

Class D	$	0.27	$	(15.05)	$	(12.58)	$	(70.80)

Class Z	$	1.32	$	(15.60)	$	(11.93)	$	(75.99)

Weighted average Units outstanding:
Class A		81,894.503		106,481.674		86,516.182		108,484.909

Class D		15.414		15.414		15.414		15.414

Class Z		1,544.534		1,681.094		1,601.718		1,823.662

*	Represents the change in net asset value per Unit during the period.

See accompanying notes to financial statements.

Ceres Tactical Macro L.P.

Statements of Changes in Partners’ Capital

For the Six Months Ended June 30, 2017 and 2016

(Unaudited)


	Class A				Class D				Class Z				Total
	Amount		Units		Amount		Units		Amount		Units		Amount		Units
Partners’ Capital, December 31, 2016	$	47,386,996		94,781.707	$	7,731		15.414	$	985,511		1,769.197	$	48,380,238		96,566.318
Subscriptions - Limited Partners		1,155,418		2,407.451		-		-		-		-		1,155,418		2,407.451
Net income (loss)		(1,420,011)		-		(194)		-		(19,921)		-		(1,440,126)		-
Redemptions - Limited Partners		(9,624,358)		(19,771.984)		-		-		(115,101)		(207.836)		(9,739,459)		(19,979.820)
Redemptions - General Partner		-		-		-		-		(140,000)		(257.977)		(140,000)		(257.977)

Partners’ Capital, June 30, 2017	$	37,498,045		77,417.174	$	7,537		15.414	$	710,489		1,303.384	$	38,216,071		78,735.972


Partners’ Capital, December 31, 2015	$	66,343,350		118,342.550	$	8,560		15.414	$	1,395,762		2,280.177	$	67,747,672		120,638.141
Subscriptions - Limited Partners		7,879,408		15,767.232		-		-		179,256		328.833		8,058,664		16,096.065
Net income (loss)		(8,563,467)		-		(1,092)		-		(157,403)		-		(8,721,962)		-
Redemptions - Limited Partners		(13,204,781)		(26,181.265)		-		-		(86,068)		(154.153)		(13,290,849)		(26,335.418)
Redemptions - General Partner		-		-		-		-		(355,064)		(633.533)		(355,064)		(633.533)

Partners’ Capital, June 30, 2016	$	52,454,510		107,928.517	$	7,468		15.414	$	976,483		1,821.324	$	53,438,461		109,765.255

See accompanying notes to financial statements.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

1. Organization:

Ceres Tactical Macro L.P. (formerly, Managed Futures Premier Macro L.P. and prior to January 31, 2016, Managed Futures Premier BHM L.P.) (the “Partnership”) is a limited partnership organized under the partnership laws of the State of Delaware on August 23, 2010, to engage in the speculative trading of a diversified portfolio of commodity interests, including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, metals and softs. The Partnership commenced trading on November 1, 2010. The commodity interests that are indirectly traded by the Partnership, through its investment in the Master (as defined below), are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership is authorized to sell an unlimited number of units of limited partnership interest (“Units”) on a continuous basis.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (“Ceres” or the “General Partner”) and commodity pool operator of the Partnership. As of January 1, 2017, the General Partner became a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD 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 January 1, 2017, the General Partner was a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC. All trading decisions for the Partnership are made by Willowbridge Associates Inc. (“Willowbridge” or the “Advisor”).

Effective February 27, 2017, the Partnership changed its name from Managed Futures Premier Macro L.P. to Ceres Tactical Macro L.P.

During the reporting periods ended June 30, 2017 and 2016, the Partnership’s and the Master’s commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. The Partnership and the Master also deposit a portion of their cash in non-trading accounts at JPMorgan Chase Bank, N.A. (“JPMorgan Chase”).

On November 1, 2010, the Partnership allocated substantially all of its capital to Morgan Stanley Smith Barney BHM I, LLC (“BHM Master”), a limited liability company organized under the limited liability company law of the State of Delaware. On February 1, 2016, the Partnership re-allocated substantially all of its capital to CMF Willowbridge Master Fund L.P. (“Willowbridge Master” or the “Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased an interest in Willowbridge Master with cash equal to $56,358,832. References herein to the “Master” may include, as relevant, BHM Master. The General Partner is also the general partner of the Master.

Prior to January 31, 2016, all trading decisions for the Partnership were made by Blenheim Capital Management L.L.C. (“Blenheim”) using Blenheim’s Global Markets Strategy-Futures/FX program, a proprietary, discretionary trading program. Effective February 1, 2016, all trading decisions for the Partnership are made by Willowbridge using Willowbridge’s wPraxis Futures Trading Approach, a proprietary discretionary trading program. Blenheim was terminated as the trading advisor to the Partnership as of January 31, 2016, and the Partnership redeemed its entire investment in BHM Master for cash equal to $62,206,339. References herein to the “Advisor” may include, as relevant, Blenheim.

Generally, a limited partner in the Master may withdraw all or part of its capital contribution and undistributed profits, if any, from the Master as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner in the Master elects to redeem and informs the Master. However, a limited partner in the Master may request a withdrawal as of the end of any day if such request is received by the General Partner at least three days in advance of the proposed withdrawal day.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended June 30, 2017.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

On February 1, 2011, the Units offered pursuant to the Partnership’s limited partnership agreement, as amended from time to time (the “Limited Partnership Agreement”), were deemed “Class A Units.” The rights, liabilities, risks, and fees associated with investment in the Class A Units were not changed. In addition, beginning on February 1, 2011, Class D Units were offered. Beginning August 1, 2011, Class Z Units were offered to certain employees of Morgan Stanley Smith Barney LLC and its affiliates (and their family members). Class A, Class D and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Units that a limited partner of the Partnership (each, a “Limited Partner” or collectively, the “Limited Partners”) receives upon a subscription will generally depend upon the amount invested in the Partnership, although the General Partner may determine to offer Units to investors at its discretion.

At June 30, 2017 and December 31, 2016, the Partnership owned approximately 10.3% and 12.7%, respectively, of Willowbridge Master. The Partnership intends to continue to invest substantially all of its assets in Willowbridge Master. The performance of the Partnership is directly affected by the performance of Willowbridge Master and prior to January 31, 2016, was directly affected by the performance of BHM Master.

Willowbridge Master’s trading of futures, forward and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. Willowbridge Master engages in such trading through a commodity brokerage account maintained with MS&Co. Willowbridge Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.

The Master has entered into a futures brokerage account agreement and a foreign exchange brokerage account agreement with MS&Co. The Partnership has also entered into a futures brokerage account agreement with MS&Co. The Partnership, through its investment in the Master, pays MS&Co. (or will reimburse MS&Co., if previously paid) its allocable share of all trading fees for the clearing and, where applicable, the execution of transactions as well as exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”).

The Partnership has entered into a selling agent agreement with Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) (the “Selling Agreement”). Under the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly placement agent fee. This monthly placement agent fee is equal to (i) 2.0% per year of the net assets of Class A of the Partnership as of the first day of each month and (ii) 0.75% per year of the net assets of Class D of the Partnership as of the first day of each month. Class Z is currently not subject to ongoing placement agent fees. Morgan Stanley Wealth Management currently serves as the placement agent to the Partnership (the “Placement Agent”). The Placement Agent will pay a portion of the ongoing placement agent fees it receives from the Partnership to the Morgan Stanley Financial Advisor or Private Wealth Advisor responsible for selling the Units to the limited partner.

In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

2. Basis of Presentation and Summary of Significant Accounting Policies:

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at June 30, 2017, the results of its operations for the three and six months ended June 30, 2017 and 2016 and changes in partners’ capital for the six months ended June 30, 2017 and 2016. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2016. The December 31, 2016 information has been derived from the audited financial statements as of and for the year ended December 31, 2016.

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

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”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates, and those differences could be material.

Profit Allocation. The General Partner and each Limited Partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no Limited Partner is liable for obligations of the Partnership in excess of its capital contributions and profits, if any, net of distributions, redemptions and losses, if any.

Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.” The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended June 30, 2017 and 2016, the Partnership carried no debt and substantially all the Partnership’s investments were carried at fair value and classified as Level 1 and Level 2 measurements.

Partnership’s Investment. The Partnership carries its investment in Willowbridge Master based on Willowbridge Master’s net asset value per unit as calculated by Willowbridge Master. The Partnership carried its investment in BHM Master based on the Partnership’s (1) net contribution to BHM Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of BHM Master. The valuation of the Master’s investments including the classification within the fair value hierarchy of the investments held by the Master are described in Note 5, “Fair Value Measurements.”

Master’s Investments. All commodity interests of the Master, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Master’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. The Master does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

Master’s Cash. The Master’s cash includes cash denominated in foreign currencies of $768,699 (cost of $768,939) and ($526,470) (proceeds of $526,464) at June 30, 2017 and December 31, 2016, respectively.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

Income Taxes. Income taxes have not been listed as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740, “Income Taxes,” which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the more-likely-than-not threshold would be recorded as a tax benefit or liability in the Partnership’s Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Statements of Income and Expenses in the period in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2013 through 2016 tax years remain subject to examination by U.S. federal and most state tax authorities.

Investment Company Status. Effective January 1, 2014, the Partnership adopted Accounting Standards Update 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses.

Net Income (Loss) per Unit. Net income (loss) per Unit for each Class is calculated in accordance with ASC 946, “Financial Services – Investment Companies.” See Note 3, “Financial Highlights.”

There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2016.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2017 and December 31, 2016 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2017 and 2016, are presented below:

CMF Willowbridge Master L.P.

Statements of Financial Condition


	June 30, 2017 (Unaudited)		December 31, 2016
Assets:
Equity in trading account:
Investment in U.S. Treasury bills, at fair value (amortized cost of $0 and $223,796,458 at June 30, 2017 and December 31, 2016, respectively)	$	-	$	223,888,618
Unrestricted cash		282,425,348		144,543,700
Restricted cash		94,301,924		22,178,252
Net unrealized appreciation on open futures contracts		10,611,084		807,317
Net unrealized appreciation on open forward contracts		-		1,884,575
Options purchased, at fair value (cost $2,603,523 and $3,892,637 at June 30, 2017 and December 31, 2016, respectively)		2,918,240		3,544,166

Total equity in trading account		390,256,596		396,846,628
Cash at bank		825		217

Total assets	$	390,257,421	$	396,846,845

Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts	$	3,561,979	$	-
Options written, at fair value (premiums received $3,675,823 and $5,282,576 at June 30, 2017 and December 31, 2016, respectively)		2,851,310		5,320,026
Accrued expenses:
Professional fees		37,711		28,206

Total liabilities		6,451,000		5,348,232

Partners’ Capital:
General Partner, 0.0000 Redeemable Units outstanding at June 30, 2017 and December 31, 2016		-		-
Limited Partners, 130,713.3136 and 131,992.0046 Redeemable Units outstanding at June 30, 2017 and December 31, 2016, respectively		383,806,421		391,498,613

Total partners’ capital (net asset value)		383,806,421		391,498,613

Total liabilities and partners’ capital	$	390,257,421	$	396,846,845

Net asset value per Redeemable Unit	$	2,936.25	$	2,966.08

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

CMF Willowbridge Master L.P.

Condensed Schedule of Investments

June 30, 2017

(Unaudited)


	Notional ($)/Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Sold
Energy		338	$	(937,002)		(0.24)	%
Interest Rates U.S.		9,988		2,298,081		0.60
Interest Rates Non-U.S.		8,293		9,250,005		2.40

Total futures contracts sold				10,611,084		2.76

Net unrealized appreciation on open futures contracts			$	10,611,084		2.76	%

Unrealized Appreciation on Open Forward Contracts
Currencies	$	445,464,466	$	2,304,246		0.60	%
Metals		441		3,035,181		0.79

Total unrealized appreciation on open forward contracts				5,339,427		1.39

Unrealized Depreciation on Open Forward Contracts
Currencies	$	150,364,668		(5,212,459)		(1.36)
Metals		441		(3,688,947)		(0.96)

Total unrealized depreciation on open forward contracts				(8,901,406)		(2.32)

Net unrealized depreciation on open forward contracts			$	(3,561,979)		(0.93)	%

Options Purchased
Puts
Indices		1,586	$	2,918,240		0.76	%

Total options purchased (cost $2,603,523)			$	2,918,240		0.76	%

Options Written
Calls
Energy		338	$	(554,320)		(0.14)	%
Interest Rates U.S.		1,085		(406,875)		(0.11)
Puts
Energy		338		(202,800)		(0.05)
Indices		1,903		(1,687,315)		(0.44)

Total options written (premiums received $3,675,823)			$	(2,851,310)		(0.74)	%

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

CMF Willowbridge Master L.P.

Condensed Schedule of Investments

December 31, 2016


	Notional ($)/Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Purchased
Interest Rates U.S.		543	$	342,719		0.09	%
Interest Rates Non-U.S.		1,659		(1,782,488)		(0.46)

Total futures contracts purchased				(1,439,769)		(0.37)

Futures Contracts Sold
Indices		443		136,780		0.03
Interest Rates Non-U.S.		1,552		2,110,306		0.55

Total futures contracts sold				2,247,086		0.58

Net unrealized appreciation on open futures contracts			$	807,317		0.21	%

Unrealized Appreciation on Open Forward Contracts
Currencies	$	212,149,063	$	1,771,201		0.45	%
Metals		613		3,825,033		0.98

Total unrealized appreciation on open forward contracts				5,596,234		1.43

Unrealized Depreciation on Open Forward Contracts
Currencies	$	282,478,026		(2,202,643)		(0.56)
Metals		613		(1,509,016)		(0.39)

Total unrealized depreciation on open forward contracts				(3,711,659)		(0.95)

Net unrealized appreciation on open forward contracts			$	1,884,575		0.48	%

Options Purchased
Calls
Metals		380	$	1,413		0.01	%
Puts
Metals		1,107		3,542,400		0.90
Indices		294		353		0.00	**

Total options purchased (cost $3,892,637)			$	3,544,166		0.91	%

Options Written
Calls
Energy		860	$	(1,057,620)		(0.27)	%
Puts
Indices		2,214		(4,261,950)		(1.09)
Metals		380		(456)		(0.00)	**

Total options written (premiums received $5,282,576)			$	(5,320,026)		(1.36)	%

U.S. Government Securities


Face Amount	Maturity Date	Description	Fair Value		% of Partners’ Capital
$ 175,000,000	2/09/2017	U.S. Treasury bills, 0.43% * (Amortized cost of $174,841,139)	$	174,914,797		44.68	%
$ 30,000,000	1/19/2017	U.S. Treasury bills, 0.365% * (Amortized cost of $29,980,533)		29,993,375		7.66
$ 19,000,000	3/16/2017	U.S. Treasury bills, 0.525% * (Amortized cost of $18,974,786)		18,980,446		4.85

Total U.S. Government Securities			$	223,888,618		57.19	%

*	Liquid non-cash held as collateral.

**	Due to rounding.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

CMF Willowbridge Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)


	Three Months Ended June 30,				Six Months Ended June 30,
	2017		2016		2017		2016
Investment Income:
Interest income	$	664,323	$	182,498	$	1,126,921	$	391,014

Expenses:
Clearing fees		271,480		236,866		519,969		534,425
Professional fees		17,198		20,521		34,395		41,044

Total expenses		288,678		257,387		554,364		575,469

Net investment income (loss)		375,645		(74,889)		572,557		(184,455)

Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(6,111,209)		(6,646,932)		(9,252,322)		(9,317,294)
Net change in unrealized gains (losses) on open contracts		9,378,930		(1,817,365)		5,882,130		(1,240,513)

Total trading results		3,267,721		(8,464,297)		(3,370,192)		(10,557,807)

Net income (loss)		3,643,366		(8,539,186)		(2,797,635)		(10,742,262)
Subscriptions - Limited Partners		17,617,705		22,976,698		25,868,766		94,813,497
Redemptions - Limited Partners		(11,147,277)		(34,124,441)		(29,747,785)		(43,638,167)
Distribution of interest income to feeder funds		(664,323)		(34,252)		(1,015,538)		(68,580)

Net increase (decrease) in Partners’ Capital		9,449,471		(19,721,181)		(7,692,192)		40,364,488
Partners’ Capital, beginning of period		374,356,950		408,785,618		391,498,613		348,699,949

Partners’ Capital, end of period	$	383,806,421	$	389,064,437	$	383,806,421	$	389,064,437

Net asset value per Redeemable Unit (130,713.3136 and 138,152.8913 Redeemable Units outstanding at June 30, 2017 and 2016, respectively)	$	2,936.25	$	2,816.19	$	2,936.25	$	2,816.19

Net income (loss) per Redeemable Unit *	$	27.99	$	(62.04)	$	(22.05)	$	(76.46)

Weighted average Redeemable Units outstanding		130,827.1614		138,175.1631		130,493.8078		136,410.3885

*	Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder fund.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

3. Financial Highlights:

Financial highlights for the Limited Partner Classes as a whole for the three and six months ended June 30, 2017 and 2016 were as follows:


	Three Months Ended June 30, 2017						Three Months Ended June 30, 2016
	Class A		Class D		Class Z		Class A		Class D		Class Z
Per Unit Performance (for a unit outstanding throughout the period): *
Net realized and unrealized gains (losses)	$	4.13	$	4.23	$	4.65	$	(10.67)	$	(10.63)	$	(11.73)
Net investment loss		(5.38)		(3.96)		(3.33)		(6.01)		(4.42)		(3.87)

Increase (decrease) for the period		(1.25)		0.27		1.32		(16.68)		(15.05)		(15.60)
Net asset value per Unit, beginning of period		485.61		488.69		543.79		502.69		499.58		551.74

Net asset value per Unit, end of period	$	484.36	$	488.96	$	545.11	$	486.01	$	484.53	$	536.14


	Six Months Ended June 30, 2017						Six Months Ended June 30, 2016
	Class A		Class D		Class Z		Class A		Class D		Class Z
Per Unit Performance (for a unit outstanding throughout the period): *
Net realized and unrealized gains (losses)	$	(4.47)	$	(4.41)	$	(4.97)	$	(61.61)	$	(61.07)	$	(67.26)
Net investment loss		(11.13)		(8.17)		(6.96)		(12.98)		(9.73)		(8.73)

Increase (decrease) for the period		(15.60)		(12.58)		(11.93)		(74.59)		(70.80)		(75.99)
Net asset value per Unit, beginning of period		499.96		501.54		557.04		560.60		555.33		612.13

Net asset value per Unit, end of period	$	484.36	$	488.96	$	545.11	$	486.01	$	484.53	$	536.14

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)


	Three Months Ended									Three Months Ended
	June 30, 2017									June 30, 2016
	Class A			Class D			Class Z			Class A			Class D			Class Z
Ratios to Average Limited Partners’ Capital: **
Net investment loss ***		(4.6)	%		(3.3)	%		(2.6)	%		(5.0)	%		(3.6)	%		(3.0)	%

Operating expenses before expenses borne by the General Partner and incentive fees		5.4	%		4.1	%		3.5	%		5.5	%		4.0	%		3.5	%
Expenses borne by the General Partner		(0.3)	%		(0.3)	%		(0.3)	%		(0.1)	%		(0.1)	%		(0.0)	%****
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%

Operating expenses after expenses borne by the General Partner and incentive fees		5.1	%		3.8	%		3.2	%		5.4	%		3.9	%		3.5	%

Total return:
Total return before incentive fees		(0.3)	%		0.1	%		0.2	%		(3.3)	%		(3.0)	%		(2.8)	%
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%

Total return after incentive fees		(0.3)	%		0.1	%		0.2	%		(3.3)	%		(3.0)	%		(2.8)	%


	Six Months Ended									Six Months Ended
	June 30, 2017									June 30, 2016
	Class A			Class D			Class Z			Class A			Class D			Class Z
Ratios to Average Limited Partners’ Capital: **
Net investment loss ***		(4.7)	%		(3.4)	%		(2.6)	%		(5.2)	%		(3.9)	%		(3.4)	%

Operating expenses before expenses borne by the General Partner and incentive fees		5.4	%		4.1	%		3.3	%		5.6	%		4.3	%		3.8	%
Expenses borne by the General Partner		(0.2)	%		(0.2)	%		(0.2)	%		(0.1)	%		(0.1)	%		(0.1)	%
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%

Operating expenses after expenses borne by the General Partner and incentive fees		5.2	%		3.9	%		3.1	%		5.5	%		4.2	%		3.7	%

Total return:
Total return before incentive fees		(3.1)	%		(2.5)	%		(2.1)	%		(13.3)	%		(12.7)	%		(12.4)	%
Incentive fees		-	%		-	%		-	%		-	%		-	%		-	%

Total return after incentive fees		(3.1)	%		(2.5)	%		(2.1)	%		(13.3)	%		(12.7)	%		(12.4)	%

Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information.

**	Annualized (except for incentive fees).

***	Interest income allocated from the Master less total expenses.

****	Due to rounding.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner Classes using the Limited Partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Master.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

Financial Highlights of Willowbridge Master:

Financial highlights for the Limited Partner class as a whole for the three and six months ended June 30, 2017 and 2016 were as follows:


	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Per Redeemable Unit Performance (for a unit outstanding throughtout the period): *
Net realized and unrealized gains (losses)	$	25.12		$	(61.50)		$	(26.44)		$	(75.11)
Net investment income (loss)		2.87			(0.54)			4.39			(1.35)

Increase (decrease) for the period		27.99			(62.04)			(22.05)			(76.46)
Distribution of interest income to feeder funds		(5.08)			(0.25)			(7.78)			(0.50)
Net asset value per Redeemable Unit, beginning of period		2,913.34			2,878.48			2,966.08			2,893.15

Net asset value per Redeemable Unit, end of period	$	2,936.25		$	2,816.19		$	2,936.25		$	2,816.19


	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Ratios to Average Limited Partners’ Capital: **
Net investment income (loss) ***		0.4	%		(0.1)	%		0.3	%		(0.1)	%

Operating expenses		0.3	%		0.3	%		0.3	%		0.3	%

Total return		1.0	%		(2.2)	%		(0.7)	%		(2.7)	%

Net investment income (loss) per Redeemable Unit is calculated by dividing the interest income less total expenses by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.

**	Annualized.

***	Interest income less total expenses.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the Limited Partner class using the Limited Partners’ share of income, expenses and average partners’ capital.

4.	Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro-rata share of the results of the Master’s trading activities is shown in the Partnership’s Statements of Income and Expenses.

The futures brokerage account agreements with MS&Co. give the Partnership and the Master the legal right to net unrealized gains and losses on open futures and forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts in its Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet” have been met.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

Trading and transactions fees are based on the number of trades executed by the Advisor for the Master and the Partnership’s percentage ownership of the Master. All clearing fees paid to MS&Co. are borne by the Master and allocated to the Master’s limited partners, including the Partnership.

All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded by the Master during the three months ended June 30, 2017 and 2016 were 7,996 and 8,476, respectively. The monthly average number of futures contracts traded by the Master during the six months ended June 30, 2017 and 2016 were 4,680 and 6,057, respectively. The monthly average number of metals forward contracts traded by the Master during the three months ended June 30, 2017 and 2016 were 943 and 732, respectively. The monthly average number of metals forward contracts trade by the Master during the six months ended June 30, 2017 and 2016 were 947 and 366, respectively. The monthly average number of option contracts traded by the Master during the three months ended June 30, 2017 and 2016 were 5,402 and 1,096, respectively. The monthly average number of option contracts traded by the Master during the six months ended June 30, 2017 and 2016 were 5,927 and 2,468, respectively. The monthly average notional value of currency forward contracts traded by the Master during the three months ended June 30, 2017 and 2016 were $469,473,643 and $591,421,430, respectively. The monthly average notional value of currency forward contracts traded by the Master during the six months ended June 30, 2017 and 2016 were $667,846,325 and $708,493,598, respectively.

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Master’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of June 30, 2017 and December 31, 2016, respectively.


	Gross Amounts Recognized		Gross Amounts Offset in the Statements of Financial Condition		Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
June 30, 2017	Gross Amounts Recognized				Amounts Presented in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets
Futures	$	11,548,087	$	(937,003)	$	10,611,084	$	-	$	-	$	10,611,084
Forwards		5,339,427		(5,339,427)		-		-		-		-

Total assets	$	16,887,514	$	(6,276,430)	$	10,611,084	$	-	$	-	$	10,611,084

Liabilities
Futures	$	(937,003)	$	937,003	$	-	$	-	$	-	$	-
Forwards		(8,901,406)		5,339,427		(3,561,979)		-		-		(3,561,979)

Total liabilities	$	(9,838,409)	$	6,276,430	$	(3,561,979)	$	-	$	-	$	(3,561,979)

Net fair value											$	7,049,105	*

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)


			Gross Amounts Offset in the Statements of Financial Condition		Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
December 31, 2016	Gross Amounts Recognized				Amounts Presented in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets
Futures	$	2,794,930	$	(1,987,613)	$	807,317	$	-	$	-	$	807,317
Forwards		5,596,234		(3,711,659)		1,884,575		-		-		1,884,575

Total assets	$	8,391,164	$	(5,699,272)	$	2,691,892	$	-	$	-	$	2,691,892

Liabilities
Futures	$	(1,987,613)	$	1,987,613	$	-	$	-	$	-	$	-
Forwards		(3,711,659)		3,711,659		-		-		-		-

Total liabilities	$	(5,699,272)	$	5,699,272	$	-	$	-	$	-	$	-

Net fair value											$	2,691,892	*

In the event of default by the Master, MS&Co., the Master’s commodity futures broker and the sole counterparty to the Master’s non-exchange-traded contracts, as applicable, has the right to offset the Master’s obligation with the Master’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. There is no collateral posted by MS&Co. and as such, in the event of default by MS&Co., the Master is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Master’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

The following tables indicate the Master’s gross fair values of derivative instruments of futures, forward and option contracts as separate assets and liabilities as of June 30, 2017 and December 31, 2016, respectively.


	June 30, 2017
Assets
Futures Contracts
Interest Rates U.S.	$	2,298,082
Interest Rates Non-U.S.		9,250,005

Total unrealized appreciation on open futures contracts		11,548,087

Liabilities
Futures Contracts
Energy		(937,002)
Interest Rates U.S.		(1)

Total unrealized depreciation on open futures contracts		(937,003)

Net unrealized appreciation on open futures contracts	$	10,611,084	*


Assets
Forward Contracts
Currencies	$	2,304,246
Metals		3,035,181

Total unrealized appreciation on open forward contracts		5,339,427

Liabilities
Forward Contracts
Currencies		(5,212,459)
Metals		(3,688,947)

Total unrealized depreciation on open forward contracts		(8,901,406)

Net unrealized depreciation on open forward contracts	$	(3,561,979)	**


Assets
Options Purchased
Indices	$	2,918,240

Total options purchased	$	2,918,240	***


Liabilities
Options Written
Energy	$	(757,120)
Indices		(1,687,315)
Interest Rates U.S.		(406,875)

Total options written	$	(2,851,310)	****

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

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

***	This amount is in “Options purchased, at fair value” in the Master’s Statements of Financial Condition.

****	This amount is in “Options written, at fair value” in the Master’s Statements of Financial Condition.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)


	December 31, 2016
Assets
Futures Contracts
Indices	$	136,780
Interest Rates U.S.		342,719
Interest Rates Non-U.S.		2,315,431

Total unrealized appreciation on open futures contracts		2,794,930

Liabilities
Futures Contracts
Interest Rates Non-U.S.		(1,987,613)

Total unrealized depreciation on open futures contracts		(1,987,613)

Net unrealized appreciation on open futures contracts	$	807,317	*


Assets
Forward Contracts
Currencies	$	1,771,201
Metals		3,825,033

Total unrealized appreciation on open forward contracts		5,596,234

Liabilities
Forward Contracts
Currencies		(2,202,643)
Metals		(1,509,016)

Total unrealized depreciation on open forward contracts		(3,711,659)

Net unrealized appreciation on open forward contracts	$	1,884,575	**


Assets
Options Purchased
Indices	$	3,542,400
Metals		1,766

Total options purchased	$	3,544,166	***

Liabilities
Options Written
Energy	$	(1,057,620)
Indices		(4,261,950)
Metals		(456)

Total options written	$	(5,320,026)	****

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

**	This amount is in “Net unrealized appreciation on open forward contracts” in the Master’s Statements of Financial Condition.

***	This amount is in “Options purchased, at fair value” in the Master’s Statements of Financial Condition.

****	This amount is in “Options written, at fair value” in the Master’s Statements of Financial Condition.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

The following table indicates the Master’s total trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2017 and 2016.


	Three Months Ended June 30,						Six Months Ended June 30,
Sector	2017			2016			2017			2016
Currencies	$	459,045		$	(3,162,101)		$	(2,346,473)		$	(5,414,334)
Energy		644,242			(4,169,036)			1,733,405			(8,038,136)
Indices		(4,487,393)			(205,224)			(7,913,470)			(124,543)
Interest Rates U.S.		623,058			(470,438)			407,503			3,100,787
Interest Rates Non-U.S.		6,381,087			(2,287,341)			6,408,942			(2,150,291)
Metals		(352,318)			1,829,843			(1,660,099)			2,068,710

Total	$	3,267,721	*	$	(8,464,297)	*	$	(3,370,192)	*	$	(10,557,807)	*

*	This amount is in “Total trading results” in the Master’s Statements of Income and Expenses and Changes in Partner’s Capital.

5. Fair Value Measurements:

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

The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

The Master considers prices for exchange-traded commodity futures, option and forward contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain option contracts for which market quotations are not readily available are priced by pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of June 30, 2017 and December 31, 2016 and for the periods ended June 30, 2017 and 2016, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the reporting periods, there were no transfers of assets or liabilities between Level 1 and Level 2.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)


June 30, 2017	Total		Level 1		Level 2		Level 3
Assets
Futures	$	11,548,087	$	11,548,087	$	-	$	-
Forwards		5,339,427		3,035,181		2,304,246		-
Options purchased		2,918,240		2,918,240		-		-

Total assets	$	19,805,754	$	17,501,508	$	2,304,246	$	-

Liabilities
Futures	$	937,003	$	937,003	$	-	$	-
Forwards		8,901,406		3,688,947		5,212,459		-
Options written		2,851,310		2,851,310		-		-

Total liabilities	$	12,689,719	$	7,477,260	$	5,212,459	$	-


December 31, 2016	Total		Level 1		Level 2		Level 3
Assets
Futures	$	2,794,930	$	2,794,930	$	-	$	-
Forwards		5,596,234		3,825,033		1,771,201		-
Options purchased		3,544,166		3,544,166		-		-
U.S. Treasury bills		223,888,618		-		223,888,618		-

Total assets	$	235,823,948	$	10,164,129	$	225,659,819	$	-

Liabilities
Futures	$	1,987,613	$	1,987,613	$	-	$	-
Forwards		3,711,659		1,509,016		2,202,643		-
Options written		5,320,026		5,320,026		-		-

Total liabilities	$	11,019,298	$	8,816,655	$	2,202,643	$	-

6. Financial Instrument Risks:

In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance-sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those 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. The General Partner estimates at any given time approximately 18.4% to 89.4% of the Master’s contracts are traded OTC.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

Futures Contracts. The Master trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the 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 dates of entry into the contracts and the forward foreign exchange rates at the reporting date, is included in the Master’s Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Master’s Statements of Income and Expenses.

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

Options. The Master may purchase and write (sell) both exchange-listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Master writes an option, the premium received is recorded as a liability in the Master’s Statements of Financial Condition and marked-to-market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Master’ Statements of Financial Condition and marked-to-market daily. Net realized gains (losses) and net change in unrealized gains (losses) on option contracts are included in the Master’s Statements of Income and Expenses and Changes in Partners’ Capital.

As both a buyer and seller of options, the Master pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Master to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Master does not consider these contracts to be guarantees.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

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 fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Master are exposed to market risk equal to the value of futures and forward contracts held and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Master’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master have credit risk and concentration risk as MS&Co. or an MS&Co. affiliate is the sole counterparty or broker with respect to the Partnership’s/Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s/Master’s counterparty is an exchange or clearing organization.

The General Partner monitors and attempts to mitigate the Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Master may be subject. These monitoring systems generally allow the General Partner to analyze statistically actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

The risk to the Limited Partners that have purchased Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under Delaware law.

The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity.

In the ordinary course of business, the Master enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Master’s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Master. The Master considers the risk of any future obligation relating to these indemnifications to be remote.

7. Subsequent Events:

The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that, other than the events listed below, there were no subsequent events requiring adjustment to or disclosure in the financial statements.

On July 12, 2017, the Master and J.P. Morgan Securities LLC, JPMorgan Chase, J.P. Morgan Securities plc, J.P. Morgan Securities (Asia Pacific) Limited, J.P. Morgan Securities Asia Private Limited, J.P. Morgan Securities Australia Limited, JPMorgan Securities Japan Co., Ltd., J.P. Morgan Prime Nominees Limited, J.P. Morgan Markets Limited and J.P. Morgan Prime Inc. (collectively, “J.P. Morgan”) entered into an institutional account agreement, dated as of July 12, 2017 (the “IAA”), pursuant to which J.P. Morgan will open and maintain one or more brokerage accounts for the Master (and, indirectly, the Partnership).

Pursuant to the IAA, the Master (through the Partnership) shall pay J.P. Morgan commissions and other fees for clearing, custody and any other services furnished.

The IAA may be terminated by either party at any time upon thirty days’ prior written notice to the other party.

Ceres Tactical Macro L.P.

Notes to Financial Statements

(Unaudited)

On July 12, 2017, the Master, Willowbridge and JPMorgan Chase entered into a foreign exchange and bullion authorization agreement, dated as of July 12, 2017 (the “FXBAA”), pursuant to which Willowbridge, the trading advisor to the Master (and, indirectly, the Partnership), is authorized to enter into certain transactions on behalf of the Master with JPMorgan Chase, or, upon authorization by JPMorgan Chase, with a dealer or other entity subject to the terms of the FXBAA, and any other applicable agreement, on behalf of JPMorgan Chase.

Pursuant to the FXBAA, the Master (through which the Partnership) will pay JPMorgan Chase fees based on the transactions entered into by the Master during each calculation period.

The FXBAA may be terminated by either party at any time upon thirty business days’ written notice to the other party, or immediately in such circumstances as set forth in the FXBAA.

In connection with the FXBAA, on July 12, 2017, the Master and JPMorgan Chase also entered into an International Swap Dealers Association, Inc. Master Agreement (the “Master Agreement”), a Schedule to the 2002 ISDA Master Agreement, dated as of July 12, 2017 (the “ISDA Schedule”), and a 2016 Credit Support Annex for Variation Margin to the ISDA Schedule.

The Master Agreement will terminate upon either party’s failure to pay, breach of the Master Agreement, certain defaults, bankruptcy, merger without assumption, or upon such other events as described in the Master Agreement.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Liquidity and Capital Resources

The Partnership does not have, nor does it expect to have, any capital assets. The Partnership does not engage in sales of goods or services. The Partnership’s only assets are its investment in the Master, expense reimbursement and cash. The Master does not engage in sales of goods or services. The Master’s only assets are its cash at bank and equity in trading account, consisting of unrestricted cash, restricted cash, cash at bank, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, options purchased at fair value and U.S. Treasury bills at fair value, if applicable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the second quarter of 2017.

The Master’s investment in futures, forwards and options may, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or option contract has increased or decreased by an amount equal to the daily limit, positions in that futures or option contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Master from promptly liquidating its futures or option contracts and result in restrictions on redemptions.

There is no limitation on daily price movements in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Master from trading in potentially profitable markets or prevent the Master from promptly liquidating unfavorable positions in such markets, subjecting it to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership’s assets.

Other than the risks inherent in commodity futures, forward, options, swaps and other derivatives trading and U.S. treasury bills and money market mutual fund securities, the Partnership knows of no trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Partnership’s liquidity increasing or decreasing in any material way.

The Partnership’s capital consists of the capital contributions, as increased or decreased by income or (losses) from its investment in the Master, expenses, interest income, subscriptions and redemptions of Units and distributions of profits, if any.

For the six months ended June 30, 2017, the Partnership’s capital decreased 21.0% from $48,380,238 to $38,216,071. This decrease was attributable to the redemptions of 19,771.984 Class A Limited Partner Units totaling $9,624,358, redemptions of 257.977 Class Z General Partner Units totaling $140,000 and redemptions of 207.836 Class Z Limited Partner Units totaling $115,101, coupled with a net loss of $1,440,126, which was partially offset by subscriptions of 2,407.451 Class A Limited Partner Units totaling $1,155,418. Future redemptions could impact the amount of funds available for investment in the Master in subsequent periods.

The Master’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on commodity futures trading, expenses, interest income, subscriptions, redemptions and distributions of profits, if any.

For the six months ended June 30, 2017, the Master’s capital decreased 2.0% from $391,498,613 to $383,806,421. This decrease was attributable to redemptions totaling $29,747,785 and distributions of interest income to feeder funds totaling $1,015,538, coupled with a net loss of $2,797,635, which was partially offset by subscriptions of $25,868,766. Future redemptions can impact the amount of funds available for investment in commodity positions in subsequent periods.

Other than as discussed above, there are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnership’s capital resource arrangements at the present time.

Off-Balance Sheet Arrangements and Contractual Obligations

The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments, that would affect its liquidity or capital resources.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting periods. As a result, actual results could differ from these estimates. The Partnership’s significant accounting policies are described in detail in Note 2, “Basis of Presentation and Summary of Significant Accounting Policies,” of the Financial Statements.

The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and net change in unrealized gains (losses) in the Statements of Income and Expenses.

Results of Operations

During the Partnership’s second quarter of 2017, the net asset value per Unit for Class A decreased 0.3% from $485.61 to $484.36 as compared to a decrease of 3.3% in the second quarter of 2016. During the Partnership’s second quarter of 2017, the net asset value per Unit for Class D increased 0.1% from $488.69 to $488.96 as compared to a decrease of 3.0% in the second quarter of 2016. During the Partnership’s second quarter of 2017, the net asset value per Unit for Class Z increased 0.2% from $543.79 to $545.11 as compared to a decrease of 2.8% in the second quarter of 2016. The Partnership, through its investment in the Master, experienced a net trading gain in the second quarter of 2017 of $330,462. Gains were primarily attributable to the Master’s trading of commodity futures in currencies, energy and U.S. and non-U.S. interest rates and were partially offset by losses in indices and metals. The Partnership, through its investment in the Master, experienced a net trading loss in the second quarter of 2016 of $1,155,568. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, energy, indices, and U.S. and non-U.S. interest rates, and were partially offset by gains in metals.

The most significant losses were experienced within the global stock index sector during April and May from short positions in U.S. equity index futures as prices rallied amid positive economic data and growing investor sentiment for the global economy. Losses within the metals markets were primarily experienced during May from long positions in copper futures as prices declined as weak retail and industrial economic reports in China limited investor demand for industrial metals. The Partnership’s losses for the second quarter were offset by gains achieved within the global interest rate markets during June from short positions in European fixed income futures as prices retreated as hawkish comments from the European Central Bank’s President, Mario Draghi, sparked a global sell-off in government bonds. Additional gains in the global interest rate markets were experienced during April from long positions in U.S. fixed income futures as prices moved higher as increasing political turbulence in the U.S. spurred demand for the relative safety of government bonds. Within the currency sector, gains were achieved primarily during April from long positions in the British pound versus the U.S. dollar as the relative value of the pound rallied in response to U.K. Prime Minister Theresa May calling for a snap general election in June. Additional gains were recorded within the energy markets during May from short positions in crude oil futures as prices finished the month lower as U.S. oil production continued to climb higher.

During the Partnership’s six months ended June 30, 2017, the net asset value per Unit for Class A decreased 3.1% from $499.96 to $484.36 as compared to a decrease of 13.3% during the six months ended June 30, 2016. During the Partnership’s six months ended June 30, 2017, the net asset value per Unit for Class D decreased 2.5% from $501.54 to $488.96 as compared to a decrease of 12.7% during the six months ended June 30, 2016. During the Partnership’s six months ended June 30, 2017, the net asset value per Unit for Class Z decreased 2.1% from $557.04 to $545.11 as compared to a decrease of 12.4% during the six months ended June 30, 2016. The Partnership, through its investment in the Master, experienced a net trading loss in the six months ended June 30, 2017 of $466,184. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, indices and metals and were partially offset by gains in energy and U.S. and non-U.S. interest rates. The Partnership, through its investment in the Master, experienced a net trading loss in the six months ended June 30, 2016 of $7,295,928. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, energy, grains, metals, softs, and non-U.S. interest rates, and were partially offset by gains in indices.

The most significant losses were incurred within the global stock index sector during April and May from short positions in U.S. equity index futures as prices rallied amid positive economic data and growing investor sentiment for the global economy. Further losses within the global stock index markets were recorded during January and February from short positions in U.S. equity index futures as prices moved higher as rallying commodity prices and expectations of fiscal stimulus from the new U.S. Presidential Administration buoyed prices. Within the currency markets, losses were recorded during February from long positions in the British pound and Swiss franc versus the U.S. dollar as the relative value of the dollar advanced as increasingly hawkish comments from U.S. Federal Reserve Bank officials regarding potential interest rate increases moved the dollar higher. Losses within the metals markets were primarily experienced during February from long positions in copper futures as prices moved lower as growing global stockpiles offset the risk of potential mining disruptions in South America. A portion of the Partnership’s losses for the first six months of the year was offset by gains achieved within the global interest rate sector during June from short positions in European fixed income futures as prices retreated as hawkish comments from the European Central Bank’s President, Mario Draghi, sparked a global sell-off in government bonds. Additional gains in the global interest rate markets were experienced during April from long positions in U.S. fixed income futures as prices moved higher as increasing political turbulence in the U.S. spurred demand for the relative safety of government bonds. Within the energy markets, gains were recorded during January from short positions in crude oil futures as prices declined sharply during the first half of the month as crude oil inventories vastly outpaced analysts’ predictions in December. Further gains in this sector were experienced during May from short positions in crude oil futures as prices finished the month lower as U.S. oil production continued to climb higher.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership (and the Master) depends on the Advisor’s ability to forecast price changes in energy and energy-related commodities. Such price changes are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, and changes in interest rates. To the extent that the Advisor correctly makes such forecasts, the Partnership and the Master expect to increase capital through operations.

Interest income on 80% of the Partnership’s average daily equity maintained in cash allocated to it by Willowbridge Master was earned at a rate equal to the monthly average of the 4-week U.S. Treasury bill rate less 0.15% during such month. Any interest earned on the Partnership’s and/or the Master’s account in excess of the amount described above, if any, will be retained by MS&Co. and/or shared with the General Partner. All interest income earned on U.S. Treasury bills and money market mutual fund securities will be retained by the Partnership and/or the Master, as applicable. Interest income allocated from the Master for the three and six months ended June 30, 2017 increased by $36,793 and $58,764, respectively, as compared to the corresponding periods in 2016. The increase in interest income is primarily due to higher 4-week U.S. Treasury bill discount rates during the three and six months ended June 30, 2017 as compared to the corresponding periods in 2016. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on (1) the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Master’s) account, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Master and (3) interest rates over which none of the Partnership, the Master or MS&Co. has control.

Ongoing placement agent fees are calculated on a monthly basis as a percentage of the net assets of the Partnership as of the beginning of each month. The ongoing placement agent fees for the three and six months ended June 30, 2017 decreased by $67,114 and $133,174, respectively, as compared to the corresponding periods in 2016. The decrease in ongoing placement agent fees is primarily due to lower average net assets during the three and six months ended June 30, 2017 as compared to the corresponding periods in 2016.

Management fees were borne by Blenheim Master, prior to its termination effective January 31, 2016. Effective February 1, 2016, management fees began to be charged on the Partnership level based on the net assets of the Partnership as of the first day of each month. Accordingly, they must be analyzed in relation to the fluctuations in monthly beginning net asset values. Management fees for the three and six months ended June 30, 2017 decreased by $50,645 and $15,616, respectively, as compared to the corresponding periods in 2016. The decrease in management fees is due to lower average net assets during the three and six months ended June 30, 2017 as compared to the corresponding periods in 2016.

General Partner fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisor and (ii) monitoring the activities of the commodity trading advisor. General Partner fees are calculated on a monthly basis as a percentage of the net assets (as defined in the Limited Partnership Agreement) of the Partnership as of the beginning of each month. General Partner fees for the three and six months ended June 30, 2017 decreased by $33,763 and $67,347, respectively, as compared to the corresponding periods in 2016. The decrease in General Partner fees is due to lower average net assets during the three and six months ended June 30, 2017 as compared to the corresponding periods in 2016.

Incentive fees were borne by BHM Master, prior to its termination effective January 31, 2016. Effective February 1, 2016, incentive fees began to be charged on the Partnership level. Incentive fees are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreement among the Partnership, the General Partner and the Advisor. There were no incentive fees paid for the three and six months ended June 30, 2017 and 2016. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.

The Partnership pays the ongoing administrative, operating, offering and organizational expenses of the Partnership and the Master as such expenses are incurred, not to exceed 0.25% annually of the net assets of the Partnership.

In allocating substantially all of the assets of the Partnership to the Master, the General Partner considers, among other factors, the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisor at any time and allocate assets to additional advisors at any time.

Item 3. Quantitative and Qualitative Disclosures about Market Risk.

All or substantially all of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. The Partnership and the Master are speculative commodity pools. The market sensitive instruments held by the Master are acquired for speculative trading purposes, and all or substantially all of the Partnership’s capital is subject to the risk of trading loss, through its investment in the Master. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Master’s and the Partnership’s main line of business.

The Limited Partners will not be liable for losses exceeding the current net asset value of their investment.

Market movements result in frequent changes in the fair value of the Master’s open contracts and, consequently, in its earnings and cash balances. The Master’s and 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 value of financial instruments and contracts, the diversification results among the Master’s open positions and the liquidity of the markets in which it trades.

The Master rapidly acquires and liquidates both long and short positions in a range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Master’s past performance is not necessarily indicative of its future results.

Quantifying the Master’s Trading Value at Risk

The following quantitative disclosures regarding the Master’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Master accounts for open positions on the basis of fair value accounting principles. Any loss in the market value of the Master’s open positions are directly reflected in the Master’s earnings and cash flow.

The Master’s risk exposure in the market sectors traded by the Advisor is estimated below in terms of Value at Risk. Please note that the Value at Risk model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by either Ceres or the Advisor in their daily risk management activities.

“Value at Risk” is a measure of the maximum amount which the Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Master’s speculative trading and the recurrence in the markets traded by the Master of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Master’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Master’s losses in any market sector will be limited to Value at Risk or by the Master’s attempts to manage its market risk.

Exchange margin requirements have been used by the Partnership and the Master as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of June 30, 2017 and December 31, 2016, and the highest, lowest and average value during the three months ended June 30, 2017 and during the twelve months ended December 31, 2016. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2016.

As of June 30, 2017, Willowbridge Master’s total capitalization was $383,806,421 and the Partnership owned approximately 10.3% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of June 30, 2017 was as follows:

June 30, 2017


						Three Months Ended June 30, 2017
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk *
Currencies	$	70,550,728		18.38	%	$	73,637,789	$	4,056,924	$	48,977,398
Energy		3,214,110		0.84			5,785,464		-		3,112,216
Interest Rates U.S.		10,835,329		2.82			14,440,460		-		9,608,314
Interest Rates Non-U.S.		10,430,810		2.72			10,430,810		-		4,934,727

Total	$	95,030,977		24.76	%

*	Average of month-end Values at Risk.

As of December 31, 2016, Willowbridge Master’s total capitalization was $391,498,613, and the Partnership owned approximately 12.7% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of December 31, 2016 was as follows:

December 31, 2016


						Twelve Months Ended December 31, 2016
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk *
Currencies	$	7,479,249		1.91	%	$	79,559,952	$	147,470	$	26,078,802
Energy		4,703,756		1.20			12,259,443		-		2,270,260
Indices		8,069,535		2.06			11,808,296		-		2,983,129
Interest Rates U.S.		1,170,235		0.30			22,748,409		-		4,116,353
Interest Rates Non-U.S.		2,194,981		0.56			4,206,401		-		1,168,020
Metals		319,854		0.08			4,745,455		-		841,842

Total	$	23,937,610		6.11	%

*	Annual average of month-end Values at Risk.

Item 4. Controls and Procedures.

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the President and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2017 and, based on that evaluation, the General Partner’s President and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

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pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

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provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

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provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended June 30, 2017, that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which MS&Co. or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

On June 1, 2011, Morgan Stanley & Co. Incorporated converted from a Delaware corporation to a Delaware limited liability company. As a result of that conversion, Morgan Stanley & Co. Incorporated is now named Morgan Stanley & Co. LLC (“MS&Co.”).

MS&Co. is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Securities Exchange Act of 1934, as amended (the “Exchange Act”), which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including MS&Co. As a consolidated subsidiary of Morgan Stanley, MS&Co. does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, we refer you to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2016, 2015, 2014, 2013, and 2012. In addition, MS&Co. annually prepares an Audited Consolidated Statements of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at www.morganstanley.com. We refer you to the “Commitments, Guarantees and Contingencies—Contingencies—Legal” section in MS&Co.’s 2016 Audited Financial Statement.

In addition to the matters described in those filings, in the normal course of business, each of Morgan Stanley and MS&Co. has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions, and other litigation, arising in connection with its activities as a global diversified financial services institution. Certain of the legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages. Each of Morgan Stanley and MS&Co. is also involved, from time to time, in investigations and proceedings by governmental and/or regulatory agencies or self-regulatory organizations, certain of which may result in adverse judgments, fines or penalties. The number of these investigations and proceedings has increased in recent years with regard to many financial services institutions, including Morgan Stanley and MS&Co.

MS&Co. is a Delaware limited liability company with its main business office located at 1585 Broadway, New York, New York 10036. Among other registrations and memberships, MS&Co. is registered as a futures commission merchant and is a member of the National Futures Association.

Regulatory and Governmental Matters

MS&Co. has received subpoenas and requests for information from certain federal and state regulatory and governmental entities, including among others various members of the RMBS Working Group of the Financial Fraud Enforcement Task Force, such as the United States Department of Justice, Civil Division and several state Attorney General’s Offices, concerning the origination, financing, purchase, securitization and servicing of subprime and non-subprime residential mortgages and related matters such as residential mortgage backed securities (“RMBS”), collateralized debt obligations (“CDOs”), structured investment vehicles (“SIVs”) and credit default swaps backed by or referencing mortgage pass-through certificates. These matters, some of which are in advanced stages, include, but are not limited to, investigations related to MS&Co.’s due diligence on the loans that it purchased for securitization, MS&Co.’s communications with ratings agencies, MS&Co.’s disclosures to investors, and MS&Co.’s handling of servicing and foreclosure related issues.

On February 25, 2015, MS&Co. reached an agreement in principle with the United States Department of Justice, Civil Division and the United States Attorney’s Office for the Northern District of California, Civil Division (collectively, the “Civil Division”) to pay $2.6 billion to resolve certain claims that the Civil Division indicated it intended to bring against MS&Co. That settlement was finalized on February 10, 2016.

In October 2014, the Illinois Attorney General’s Office (“ILAG”) sent a letter to MS&Co. alleging that MS&Co. knowingly made misrepresentations related to RMBS purchased by certain pension funds affiliated with the State of Illinois and demanding that MS&Co. pay ILAG approximately $88 million. MS&Co. and ILAG reached an agreement to resolve the matter on February 10, 2016.

On January 13, 2015, the New York Attorney General’s Office (“NYAG”), which is also a member of the RMBS Working Group, indicated that it intended to file a lawsuit related to approximately 30 subprime securitizations sponsored by MS&Co. NYAG indicated that the lawsuit would allege that MS&Co. misrepresented or omitted material information related to the due diligence, underwriting and valuation of the loans in the securitizations and the properties securing them and indicated that its lawsuit would be brought under the Martin Act. MS&Co. and NYAG reached an agreement to resolve the matter on February 10, 2016.

On June 5, 2012, MS&Co. consented to and became the subject of an Order Instituting Proceedings Pursuant to Sections 6(c) and 6(d) of the Commodity Exchange Act, as amended, Making Findings and Imposing Remedial Sanctions by The Commodity Futures Trading Commission (CFTC) to resolve allegations related to the failure of a salesperson to comply with exchange rules that prohibit off-exchange futures transactions unless there is an Exchange for Related Position (“EFRP”). Specifically, the CFTC found that from April 2008 through October 2009, MS&Co. violated Section 4c(a) of the Commodity Exchange Act, as amended (the “CEA”) and CFTC Regulation 1.38 by executing, processing and reporting numerous off-exchange futures trades to the Chicago Mercantile Exchange (“CME”) and Chicago Board of Trade (“CBOT”) as EFRPs in violation of CME and CBOT rules because those trades lacked the corresponding and related cash, OTC swap, OTC option, or other OTC derivative position. In addition, the CFTC found that MS&Co. violated CFTC Regulation 166.3 by failing to supervise the handling of the trades at issue and failing to have adequate policies and procedures designed to detect and deter the violations of the CEA and CFTC Regulations. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. accepted and consented to entry of findings and the imposition of a cease and desist order, a fine of $5,000,000, and undertakings related to public statements, cooperation and payment of the fine. MS&Co. entered into corresponding and related settlements with the CME and CBOT in which the CME found that MS&Co. violated CME Rules 432.Q and 538 and fined MS&Co. $750,000 and CBOT found that MS&Co. violated CBOT Rules 432.Q and 538 and fined MS&Co. $1,000,000.

On July 23, 2014, the SEC approved a settlement by MS&Co. and certain affiliates to resolve an investigation related to certain subprime RMBS transactions sponsored and underwritten by those entities in 2007. Pursuant to the settlement, MS&Co. and certain affiliates were charged with violating Sections 17(a)(2) and 17(a)(3) of the Securities Act of 1933, as amended (the “Securities Act”), agreed to pay disgorgement and penalties in an amount of $275 million and neither admitted nor denied the SEC’s findings.

On April 21, 2015, the Chicago Board Options Exchange, Incorporated (“CBOE”) and the CBOE Futures Exchange, LLC (“CFE”) filed statements of charges against MS&Co. in connection with trading by one of MS&Co.’s former traders of EEM options contracts that allegedly disrupted the final settlement price of the November 2012 VXEM futures. CBOE alleged that MS&Co. violated CBOE Rules 4.1, 4.2 and 4.7, Sections 9(a) and 10(b) of the Exchange Act, and Rule 10b-5 thereunder. CFE alleged that MS&Co. violated CFE Rules 608, 609 and 620. The matters were resolved on June 28, 2016 without any findings of fraud.

On June 18, 2015, MS&Co. entered into a settlement with the SEC and paid a fine of $500,000 as part of the MCDC Initiative to resolve allegations that MS&Co. failed to form a reasonable basis through adequate due diligence for believing the truthfulness of the assertions by issuers and/or obligors regarding their compliance with previous continuing disclosure undertakings pursuant to Rule 15c2-12 in connection with offerings in which MS&Co. acted as senior or sole underwriter.

On August 6, 2015, MS&Co. consented to and became the subject of an order by the CFTC to resolve allegations that MS&Co. violated CFTC Regulation 22.9(a) by failing to hold sufficient US Dollars in cleared swap segregated accounts in the United States to meet all US Dollar obligations to cleared swaps customers. Specifically, the CFTC found that while MS&Co. at all times held sufficient funds in segregation to cover its obligations to its customers, on certain days during 2013 and 2014, it held currencies, such as euros, instead of US dollars, to meet its US dollar obligations. In addition, the CFTC found that MS&Co. violated CFTC Regulation 166.3 by failing to have in place adequate procedures to ensure that it complied with CFTC Regulation 22.9(a). Without admitting or denying the findings or conclusions and without adjudication of any issue of law or fact, MS&Co. accepted and consented to the entry of findings, the imposition of a cease and desist order, a civil monetary penalty of $300,000, and undertakings related to public statements, cooperation, and payment of the monetary penalty.

On December 20, 2016, MS&Co. consented to and became the subject of an order by the SEC in connection with allegations that MS&Co. willfully violated Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3(e), 17a-5(a), and 17a-5(d) thereunder, by inaccurately calculating its Reserve Account requirement under Rule 15c3-3 by including margin loans to an affiliate in its calculations, which resulted in making inaccurate records and submitting inaccurate reports to the SEC. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. consented to a cease and desist order, a censure, and a civil monetary penalty of $7,500,000.

Civil Litigation

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against MS&Co., styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., which is pending in the Supreme Court of the State of New York, New York County (“Supreme Court of NY”). The complaint relates to a $275 million credit default swap referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that MS&Co. misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that MS&Co. knew that the assets backing the CDO were of poor quality when it entered into the credit default swap with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost under the credit default swap, rescission of CDIB’s obligation to pay an additional $12 million, punitive damages, equitable relief, fees and costs. On February 28, 2011, the court denied MS&Co.’s motion to dismiss the complaint. Based on currently available information, MS&Co. believes it could incur a loss of up to approximately $240 million plus pre- and post-judgment interest, fees and costs.

On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against MS&Co. and other defendants in the Circuit Court of the State of Illinois, styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al. A corrected amended complaint was filed on April 8, 2011, which alleges that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by MS&Co. at issue in the action was approximately $203 million. The complaint seeks, among other things, to rescind the plaintiff’s purchase of such certificates. The defendants filed a motion to dismiss the corrected amended complaint on May 27, 2011, which was denied on September 19, 2012. On December 13, 2013, the court entered an order dismissing all claims related to one of the securitizations at issue. After that dismissal, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $78 million. At June 25, 2017, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $45 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $45 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On April 20, 2011, the Federal Home Loan Bank of Boston filed a complaint against MS&Co. and other defendants in the Superior Court of the Commonwealth of Massachusetts styled Federal Home Loan Bank of Boston v. Ally Financial, Inc. F/K/A GMAC LLC et al. An amended complaint was filed on June 29, 2012 and alleges that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $385 million. The amended complaint raises claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On May 26, 2011, defendants removed the case to the United States District Court for the District of Massachusetts. The defendants’ motions to dismiss the amended complaint were granted in part and denied in part on September 30, 2013. On November 25, 2013, July 16, 2014, and May 19, 2015, respectively, the plaintiff voluntarily dismissed its claims against MS&Co. with respect to three of the securitizations at issue. After these voluntary dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $332 million. At June 25, 2017, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $48 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $48 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On May 3, 2013, plaintiffs in Deutsche Zentral-Genossenschaftsbank AG et al. v. Morgan Stanley et al. filed a complaint against MS&Co., certain affiliates, and other defendants in the Supreme Court of NY. The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $644 million. The complaint alleges causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, negligent misrepresentation, and rescission and seeks, among other things, compensatory and punitive damages. On June 10, 2014, the court granted in part and denied in part MS&Co.’s motion to dismiss the complaint. On June 20, 2017 the Appellate Division, First Department, affirmed the lower court’s June 10, 2014 order. At March 25, 2017, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $237 million, and the certificates had incurred actual losses of approximately $87 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $237 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses.

On May 17, 2013, plaintiff in IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al. filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY. The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $132 million. The complaint alleges causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, among other things, compensatory and punitive damages. On October 29, 2014, the court granted in part and denied in part MS&Co.’s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $116 million. On August 26, 2015, MS&Co. perfected its appeal from the court’s October 29, 2014 decision. On August 11, 2016, the Appellate Division, First Department affirmed the trial court’s decision denying in part MS&Co.’s motion to dismiss the complaint. At June 25, 2017, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $25 million, and the certificates had incurred actual losses of $58 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $25 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On April 1, 2016, the California Attorney General’s Office filed an action against MS&Co. in California state court styled California v. Morgan Stanley, et al., on behalf of California investors, including the California Public Employees’ Retirement System and the California Teachers’ Retirement System. The complaint alleges that MS&Co. made misrepresentations and omissions regarding residential mortgage-backed securities and notes issued by the Cheyne SIV, and asserts violations of the California False Claims Act and other state laws and seeks treble damages, civil penalties, disgorgement, and injunctive relief. On September 30, 2016, the court granted MS&Co.’s demurrer, with leave to replead. On October 21, 2016, the California Attorney General filed an amended complaint. On January 25, 2017, the court denied MS&Co.’s demurrer with respect to the amended complaint.

Settled Civil Litigation

On August 25, 2008, MS&Co. and two ratings agencies were named as defendants in a purported class action related to securities issued by a structured investment vehicle called Cheyne Finance PLC and Cheyne Finance LLC (together, the “Cheyne SIV”). The case was styled Abu Dhabi Commercial Bank, et al. v. Morgan Stanley & Co. Inc., et al. The complaint alleged, among other things, that the ratings assigned to the securities issued by the Cheyne SIV were false and misleading, including because the ratings did not accurately reflect the risks associated with the subprime RMBS held by the Cheyne SIV. The plaintiffs asserted allegations of aiding and abetting fraud and negligent misrepresentation relating to approximately $852 million of securities issued by the Cheyne SIV. On April 24, 2013, the parties reached an agreement to settle the case, and on April 26, 2013, the court dismissed the action with prejudice.

On December 23, 2009, the Federal Home Loan Bank of Seattle filed a complaint against MS&Co. and another defendant in the Superior Court of the State of Washington, styled Federal Home Loan Bank of Seattle v. Morgan Stanley & Co. Inc., et al. The amended complaint, filed on September 28, 2010, alleges that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $233 million. The complaint raises claims under the Washington State Securities Act and seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On January 23, 2017, the parties reached an agreement to settle the litigation.

On March 15, 2010, the Federal Home Loan Bank of San Francisco filed a complaint against MS&Co. and other defendants in the Superior Court of the State of California styled Federal Home Loan Bank of San Francisco v. Credit Suisse Securities (USA) LLC, et al. An amended complaint filed on June 10, 2010 alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $704 million. The complaint raised claims under both the federal securities laws and California law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On January 26, 2015, as a result of a settlement with certain other defendants, the plaintiff requested and the court subsequently entered a dismissal with prejudice of certain of the plaintiff’s claims, including all remaining claims against MS&Co.

On March 15, 2010, the Federal Home Loan Bank of San Francisco filed a complaint against MS&Co. and other defendants in the Superior Court of the State of California styled Federal Home Loan Bank of San Francisco v. Deutsche Bank Securities Inc. et al. An amended complaint, filed on June 10, 2010, alleges that defendants made untrue statements and material omissions in connection with the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $276 million. The complaint raises claims under both the federal securities laws and California law and seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On December 21, 2016, the parties reached an agreement to settle the litigation.

On July 9, 2010 and February 11, 2011, Cambridge Place Investment Management Inc. filed two separate complaints against MS&Co. and/or its affiliates and other defendants in the Superior Court of the Commonwealth of Massachusetts, both styled Cambridge Place Investment Management Inc. v. Morgan Stanley & Co., Inc., et al. The complaints asserted claims on behalf of certain clients of plaintiff’s affiliates and allege that defendants made untrue statements and material omissions in the sale of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by MS&Co. and/or its affiliates or sold to plaintiff’s affiliates’ clients by MS&Co. and/or its affiliates in the two matters was approximately $263 million. On February 11, 2014, the parties entered into an agreement to settle the litigation. On February 20, 2014, the court dismissed the action.

On October 25, 2010, MS&Co., certain affiliates and Pinnacle Performance Limited, a special purpose vehicle (“SPV”), were named as defendants in a purported class action in the United States District Court for the Southern District of New York (“SDNY”), styled Ge Dandong, et al. v. Pinnacle Performance Ltd., et al. On January 31, 2014, the plaintiffs in the action, which related to securities issued by the SPV in Singapore, filed a second amended complaint, which asserted common law claims of fraud, aiding and abetting fraud, fraudulent inducement, aiding and abetting fraudulent inducement, and breach of the implied covenant of good faith and fair dealing. On July 17, 2014, the parties reached an agreement to settle the litigation, which received final court approval on July 2, 2015.

On July 5, 2011, Allstate Insurance Company and certain of its affiliated entities filed a complaint against MS&Co. in the Supreme Court of NY, styled Allstate Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on September 9, 2011, and alleges that the defendants made untrue statements and material omissions in the sale to the plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued and/or sold to the plaintiffs by MS&Co. was approximately $104 million. The complaint raised common law claims of fraud, fraudulent inducement, aiding and abetting fraud, and negligent misrepresentation and seeks, among other things, compensatory and/or recessionary damages associated with the plaintiffs’ purchases of such certificates. On January 16, 2015, the parties reached an agreement to settle the litigation.

On July 18, 2011, the Western and Southern Life Insurance Company and certain affiliated companies filed a complaint against MS&Co. and other defendants in the Court of Common Pleas in Ohio, styled Western and Southern Life Insurance Company, et al. v. Morgan Stanley Mortgage Capital Inc., et al. An amended complaint was filed on April 2, 2012 and alleges that defendants made untrue statements and material omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of the certificates allegedly sold to plaintiffs by MS&Co. was approximately $153 million. On June 8, 2015, the parties reached an agreement to settle the litigation.

On September 2, 2011, the Federal Housing Finance Agency (“FHFA”), as conservator for Fannie Mae and Freddie Mac, filed 17 complaints against numerous financial services companies, including MS&Co. and certain affiliates. A complaint against MS&Co. and certain affiliates and other defendants was filed in the Supreme Court of NY, styled Federal Housing Finance Agency, as Conservator v. Morgan Stanley et al. The complaint alleges that defendants made untrue statements and material omissions in connection with the sale to Fannie Mae and Freddie Mac of residential mortgage pass-through certificates with an original unpaid balance of approximately $11 billion. The complaint raised claims under federal and state securities laws and common law and seeks, among other things, rescission and compensatory and punitive damages. On February 7, 2014, the parties entered into an agreement to settle the litigation. On February 20, 2014, the court dismissed the action.

On April 25, 2012, Metropolitan Life Insurance Company and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY, styled Metropolitan Life Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on June 29, 2012, and alleges that the defendants made untrue statements and material omissions in the sale to the plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten, and/or sold by MS&Co. was approximately $758 million. The amended complaint raised common law claims of fraud, fraudulent inducement, and aiding and abetting fraud and seeks, among other things, rescission, compensatory, and/or rescissionary damages, as well as punitive damages, associated with the plaintiffs’ purchases of such certificates. On April 11, 2014, the parties entered into a settlement agreement.

On April 25, 2012, The Prudential Insurance Company of America and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Superior Court of the State of New Jersey, styled The Prudential Insurance Company of America, et al. v. Morgan Stanley, et al. On October 16, 2012, plaintiffs filed an amended complaint. The amended complaint alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. was approximately $1.073 billion. The amended complaint raises claims under the New Jersey Uniform Securities Law, as well as common law claims of negligent misrepresentation, fraud, fraudulent inducement, equitable fraud, aiding and abetting fraud, and violations of the New Jersey RICO statute, and includes a claim for treble damages. On January 8, 2016, the parties reached an agreement to settle the litigation.

In re Morgan Stanley Mortgage Pass-Through Certificates Litigation, which had been pending in the SDNY, was a putative class action involving allegations that, among other things, the registration statements and offering documents related to the offerings of certain mortgage pass-through certificates in 2006 and 2007 contained false and misleading information concerning the pools of residential loans that backed these securitizations. On December 18, 2014, the parties’ agreement to settle the litigation received final court approval, and on December 19, 2014, the court entered an order dismissing the action.

On November 4, 2011, the Federal Deposit Insurance Corporation (“FDIC”), as receiver for Franklin Bank S.S.B, filed two complaints against MS&Co. in the District Court of the State of Texas. Each was styled Federal Deposit Insurance Corporation as Receiver for Franklin Bank, S.S.B v. Morgan Stanley & Company LLC F/K/A Morgan Stanley & Co. Inc. and alleged that MS&Co. made untrue statements and material omissions in connection with the sale to plaintiff of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly underwritten and sold to plaintiff by MS&Co. in these cases was approximately $67 million and $35 million, respectively. On July 2, 2015, the parties reached an agreement to settle the litigation.

On February 14, 2013, Bank Hapoalim B.M. filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY, styled Bank Hapoalim B.M. v. Morgan Stanley et al. The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $141 million. On July 28, 2015, the parties reached an agreement to settle the litigation, and on August 12, 2015, the plaintiff filed a stipulation of discontinuance with prejudice.

On September 23, 2013, the plaintiff in National Credit Union Administration Board v. Morgan Stanley & Co. Inc., et al. filed a complaint against MS&Co. and certain affiliates in the SDNY. The complaint alleged that defendants made untrue statements of material fact or omitted to state material facts in the sale to the plaintiff of certain mortgage pass-through certificates issued by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiffs in the matter was approximately $417 million. The complaint alleged violations of federal and various state securities laws and sought, among other things, rescissionary and compensatory damages. On November 23, 2015, the parties reached an agreement to settle the matter.

On September 16, 2014, the Virginia Attorney General’s Office filed a civil lawsuit, styled Commonwealth of Virginia ex rel. Integra REC LLC v. Barclays Capital Inc., et al., against MS&Co. and several other defendants in the Circuit Court of the City of Richmond related to RMBS. The lawsuit alleged that MS&Co. and the other defendants knowingly made misrepresentations and omissions related to the loans backing RMBS purchased by the Virginia Retirement System. The complaint asserts claims under the Virginia Fraud Against Taxpayers Act, as well as common law claims of actual and constructive fraud, and seeks, among other things, treble damages and civil penalties. On January 6, 2016, the parties reached an agreement to settle the litigation. An order dismissing the action with prejudice was entered on January 28, 2016.

Additional lawsuits containing claims similar to those described above may be filed in the future. In the course of its business, MS&Co., as a major futures commission merchant, is party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of MS&Co. MS&Co. may establish reserves from time to time in connection with such actions.

Item 1A. Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors.” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016 and under Part II, Item 1A. “Risk Factors.” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2017.

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

For the three months ended June 30, 2017, there were subscriptions of 2,278.200 Units of Class A totaling $1,091,645.

The Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act and Section 506 of Regulation D promulgated thereunder. The Units were purchased by accredited investors as described in Regulation D.

Proceeds from the sale of Units are used in the trading of commodity interests including futures, swap, option and forward contracts, and any other interests pertaining thereto, including interests in commodity pools.

The following chart sets forth the purchases of Units for each Class by the Partnership.


Period	Class A (a) Total Number of Units Purchased *		Class A (b) Average Price Paid per Unit **		Class Z (a) Total Number of Units Purchased *		Class Z (b) Average Price Paid per Unit **		(c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Units that May Yet Be Purchased Under the Plans or Programs
April 1, 2017 - April 30, 2017		2,790.882	$	484.26		42.393	$	543.18		N/A		N/A
May 1, 2017 - May 31, 2017		4,459.228	$	479.17		N/A		N/A		N/A		N/A
June 1, 2017 - June 30, 2017		2,093.016	$	484.36		N/A		N/A		N/A		N/A
		9,343.126	$	481.85		42.393	$	543.18

Generally, Limited Partners are permitted to redeem their Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner may compel redemption but to date the General Partner has not exercised this right. Purchases of Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.

**	Redemptions of Units are effected as of the last day of each month at the net asset value per Unit as of that day. No fee will be charged for redemptions.

Item 3. Defaults Upon Senior Securities. — None.

Item 4. Mine Safety Disclosures. — Not Applicable.

Item 5. Other Information. — None.

Item 6. Exhibits.


10.01		Institutional Account Agreement, dated as of July 12, 2017, by and between CMF Willowbridge Master Fund L.P. and J.P. Morgan Securities LLC, JPMorgan Chase Bank, N.A., J.P. Morgan Securities plc, J.P. Morgan Securities (Asia Pacific) Limited, J.P. Morgan Securities Asia Private Limited, J.P. Morgan Securities Australia Limited, JPMorgan Securities Japan Co., Ltd., J.P. Morgan Prime Nominees Limited, J.P. Morgan Markets Limited and J.P. Morgan Prime Inc.

10.02		Foreign Exchange and Bullion Authorization Agreement, dated as of July 12, 2017, by and among CMF Willowbridge Master Fund L.P., Willowbridge Associates Inc. and JPMorgan Chase Bank, N.A.

10.03		International Swap Dealers Association, Inc. Master Agreement, Schedule to the ISDA Master Agreement, and 2016 Credit Support Annex for Variation Margin to the Schedule to the 2002 ISDA Master Agreement, each dated as of July 12, 2017, by and between CMF Willowbridge Master Fund L.P. and JPMorgan Chase Bank, N.A.

31.1		Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) (filed herewith).

31.2		Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director) (filed herewith).

32.1		Section 1350 Certification (Certification of President and Director) (filed herewith).

32.2		Section 1350 Certification (Certification of Chief Financial Officer and Director) (filed herewith).



101.INS*		XBRL Instance Document.

101.SCH*		XBRL Taxonomy Extension Schema Document.

101.CAL*		XBRL Taxonomy Extension Calculation Linkbase Document.

101.DEF*		XBRL Taxonomy Extension Definition Linkbase Document.

101.LAB*		XBRL Taxonomy Extension Label Linkbase Document.

101.PRE*		XBRL Taxonomy Extension Presentation Linkbase Document.

Notes to Exhibits List

* Submitted electronically herewith.

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.


CERES TACTICAL MACRO L.P.

By:		Ceres Managed Futures LLC
		(General Partner)

By:		/s/ Patrick T. Egan
		Patrick T. Egan
		President and Director

Date:		August 10, 2017

By:		/s/ Steven Ross
		Steven Ross
		Chief Financial Officer and Director
		(Principal Accounting Officer)

Date: August 10, 2017

The General Partner which signed the above is the only party authorized to act for the registrant. The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.

Ceres Tactical Macro L.P. - FORM 10-Q - August 10, 2017

Attached files

Ceres Tactical Macro L.P. Reports