CERES ABINGDON L.P. - FORM 10-Q

Attached files

file	filename
EX-32.2 - EX-32.2 - CERES ABINGDON L.P.	d455071dex322.htm
EX-32.1 - EX-32.1 - CERES ABINGDON L.P.	d455071dex321.htm
EX-31.2 - EX-31.2 - CERES ABINGDON L.P.	d455071dex312.htm
EX-31.1 - EX-31.1 - CERES ABINGDON L.P.	d455071dex311.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 September 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 0-53210

CERES ABINGDON L.P.

(Exact name of registrant as specified in its charter)

New York

20-3845005

(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 October 31, 2017, there were 136,920.5597 Limited Partnership Class A Redeemable Units outstanding, 17,973.2276 Limited Partnership Class D Redeemable Units outstanding and 413.4782 Limited Partnership Class Z Redeemable Units outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Statements of Financial Condition


	September 30,		December 31,
	2017		2016
	(Unaudited)

Assets:
Investment in the Master⁽¹⁾, at fair value	$	204,953,901	$	226,279,019
Cash at MS&Co.		305,395		290,145
Cash at bank		631		217

Total assets	$	205,259,927	$	226,569,381

Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Ongoing selling agent fees	$	314,711	$	354,362
Management fees		255,887		282,485
General Partner fees		170,591		188,323
Professional fees		235,561		227,107
Redemptions payable to Limited Partners		4,215,967		7,952,753

Total liabilities		5,192,717		9,005,030

Partners’ Capital:
General Partner, Class Z, 1,833.4370 and 1,909.7640 Redeemable Units outstanding at September 30, 2017 and December 31, 2016, respectively		2,269,388		2,435,827
Limited Partners, Class A, 140,269.3737 and 150,497.4117 Redeemable Units outstanding at September 30, 2017 and December 31, 2016, respectively		175,656,007		197,142,459
Limited Partners, Class D, 17,973.2276 and 13,940.1566 Redeemable Units outstanding at September 30, 2017 and December 31, 2016, respectively		21,630,021		17,384,759
Limited Partners, Class Z, 413.4782 and 471.4422 Redeemable Units outstanding at September 30, 2017 and December 31, 2016, respectively		511,794		601,306

Total partners’ capital (net asset value)		200,067,210		217,564,351

Total liabilities and partners’ capital	$	205,259,927	$	226,569,381

Class A, net asset value per Redeemable Unit	$	1,252.28	$	1,309.94

Class D, net asset value per Redeemable Unit	$	1,203.46	$	1,247.10

Class Z, net asset value per Redeemable Unit	$	1,237.78	$	1,275.46

⁽¹⁾ Defined in Note 1.

See accompanying notes to financial statements.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Statements of Income and Expenses

(Unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income:
Interest income allocated from the Master	$	392,787		$	158,555		$	974,785		$	426,107
Expenses:
Expenses allocated from the Master		86,631			77,087			253,702			229,998
Ongoing selling agent fees		978,252			1,144,505			3,146,579			3,389,973
Management fees		793,649			912,187			2,534,041			2,702,990
General Partner fees		529,099			608,126			1,689,360			1,801,994
Professional fees		131,524			152,326			410,018			450,973

Total expenses		2,519,155			2,894,231			8,033,700			8,575,928

Net investment loss		(2,126,368	)		(2,735,676	)		(7,058,915	)		(8,149,821	)

Trading results:
Net gains (losses) on investment in the Master:
Net realized gains (losses) on closed contracts allocated from the Master		(1,108,399	)		12,563,321			3,876,163			12,338,395
Net change in unrealized gains (losses) on open contracts allocated from the Master		3,360,003			(16,886,403	)		(6,566,847	)		(627,016	)

Total trading results		2,251,604			(4,323,082	)		(2,690,684	)		11,711,379

Net income (loss)	$	125,236		$	(7,058,758	)	$	(9,749,599	)	$	3,561,558

Net income (loss) allocation by Class:
Class A	$	56,749		$	(6,489,217	)	$	(8,847,837	)	$	3,032,193

Class D	$	55,789		$	(491,290	)	$	(754,738	)	$	436,807

Class Z	$	12,698		$	(78,251	)	$	(147,024	)	$	92,558

Net asset value per Redeemable Unit:
Class A (140,269.3737 and 156,196.7512 Redeemable Units outstanding at September 30, 2017 and 2016, respectively)	$	1,252.28		$	1,370.80		$	1,252.28		$	1,370.80

Class D (17,973.2276 and 14,037.6456 Redeemable Units outstanding at September 30, 2017 and 2016, respectively)	$	1,203.46		$	1,300.96		$	1,203.46		$	1,300.96

Class Z (2,246.9152 and 2,381.2062 Redeemable Units outstanding at September 30, 2017 and 2016, respectively)	$	1,237.78		$	1,328.05		$	1,237.78		$	1,328.05

Net income (loss) per Redeemable Unit:*
Class A	$	(0.68	)	$	(40.98	)	$	(57.66	)	$	19.77

Class D	$	3.11		$	(34.70	)	$	(43.64	)	$	30.75

Class Z	$	5.51		$	(32.87	)	$	(37.68	)	$	38.68

Weighted average Redeemable Units outstanding:
Class A		147,699.4760			158,515.3729			156,777.1445			156,674.3264

Class D		17,973.2276			14,154.4719			16,180.7516			14,170.9164

Class Z		2,304.8792			2,381.2062			2,864.8019			2,360.8735

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

See accompanying notes to financial statements.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Statements of Changes in Partners’ Capital

For the Nine Months Ended September 30, 2017 and 2016

(Unaudited)


	Class A						Class D						Class Z						Total
	Amount			Redeemable Units			Amount			Redeemable Units			Amount			Redeemable Units			Amount			Redeemable Units
Partners’ Capital, December 31, 2016	$	197,142,459			150,497.4117		$	17,384,759			13,940.1566		$	3,037,133			2,381.2062		$	217,564,351			166,818.7745
Subscriptions - General Partner		-			-			-			-			275,265			215.8170			275,265			215.8170
Subscriptions - Limited Partners		26,387,421			20,174.1750			5,000,000			4,033.0710			1,060,000			821.6100			32,447,421			25,028.8560
Redemptions - General Partner		-			-			-			-			(360,000	)		(292.1440	)		(360,000	)		(292.1440	)
Redemptions - Limited Partners		(39,026,036	)		(30,402.2130	)		-			-			(1,084,192	)		(879.5740	)		(40,110,228	)		(31,281.7870	)
Net income (loss)		(8,847,837	)		-			(754,738	)		-			(147,024	)		-			(9,749,599	)		-

Partners’ Capital, September 30, 2017	$	175,656,007			140,269.3737		$	21,630,021			17,973.2276		$	2,781,182			2,246.9152		$	200,067,210			160,489.5165


Partners’ Capital, December 31, 2015	$	204,669,817			151,491.9322		$	18,010,427			14,179.1386		$	3,018,907			2,341.3742		$	225,699,151			168,012.4450
Subscriptions - Limited Partners		21,766,764			15,736.0000			-			-			50,906			39.8320			21,817,670			15,775.8320
Redemptions - Limited Partners		(15,353,547	)		(11,031.1810	)		(184,763	)		(141.4930	)		-			-			(15,538,310	)		(11,172.6740	)
Net income (loss)		3,032,193			-			436,807			-			92,558			-			3,561,558			-

Partners’ Capital, September 30, 2016	$	214,115,227			156,196.7512		$	18,262,471			14,037.6456		$	3,162,371			2,381.2062		$	235,540,069			172,615.6030

See accompanying notes to financial statements.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

1.	Organization:

Ceres Abingdon L.P. (formerly, Managed Futures Premier Abingdon L.P.) (the “Partnership”) is a limited partnership organized on November 8, 2005, under the partnership laws of the State of New York, to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs. The Partnership commenced trading on February 1, 2007. The commodity interests that are indirectly traded by the Partnership through its investment in CMF Winton Master L.P. (the “Master”) 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 (directly or indirectly through its investment in the Master) 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 privately and continuously offers redeemable units of limited partnership interest in the Partnership (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. 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 Winton Capital Management Limited (the “Advisor”).

Effective September 21, 2017, the Partnership changed its name from Managed Futures Premier Abingdon L.P. to Ceres Abingdon L.P.

During the reporting periods ended September 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”).

On February 1, 2007, the Partnership allocated substantially all of its capital to the Master, a limited partnership organized under the partnership laws of the State of New York, having the same investment objective as the Partnership. The Master permits accounts managed by the Advisor using the Winton Futures Program (formerly, the Winton Diversified Program, as applied without equities), the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same as if the Partnership traded directly, and redemption rights are not affected. The General Partner and the Advisor agreed that the Advisor will trade the Partnership’s assets allocated to the Advisor at a level that is up to 1.5 times the amount of assets allocated.

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.

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

On April 1, 2011, the Partnership began offering “Class A” Redeemable Units, “Class D” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to April 1, 2011 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in the Class A Redeemable Units did not change. “Class D” Redeemable Units and “Class Z” Redeemable Units were first issued on April 1, 2011 and August 1, 2011, respectively. 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 Redeemable Units that a limited partner receives upon a subscription will generally depend upon the amount invested in the Partnership or the status of the limited partner, although the General Partner may determine to offer any Class of Redeemable Units to investors at its discretion. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) and certain employees of Morgan Stanley and its subsidiaries (and their family members). Class A Redeemable Units, Class D Redeemable Units, and Class Z Redeemable Units are identical, except that Class D Redeemable Units are subject to a monthly ongoing selling agent fee equal to 1/12th of 0.75% (a 0.75% annual rate) of the net assets of Class D as of the end of each month, which differs from the Class A monthly ongoing selling agent fee of 1/12th of 2.00% (a 2.00% annual rate) of the net assets of Class A as of the end of each month. Class Z Redeemable Units are not subject to a monthly ongoing selling agent fee.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

At September 30, 2017 and December 31, 2016, the Partnership owned approximately 52.7% and 45.8%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and non-U.S. commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with MS&Co. The 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 foreign exchange brokerage account agreement and a futures 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, execution of transactions as well as exchange, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”).

The Partnership has also entered into a selling agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management is paid a monthly ongoing selling agent fee at the rates described above. The ongoing selling agent fee received by Morgan Stanley Wealth Management is shared with the properly registered/exempted financial advisors of Morgan Stanley Wealth Management who sell Class A and/or Class D Redeemable Units.

On July 12, 2017, the Master entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of the Master and, indirectly, the Partnership. These agreements include a foreign exchange and bullion authorization agreement (“FX Agreement”), an International Swap Dealers Association, Inc. master agreement (“Master Agreement”), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. Under the FX Agreement, JPMorgan charges a fee on the aggregate foreign currency transactions entered into on behalf of the Master during a month.

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.

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 September 30, 2017, the results of its operations for the three and nine months ended September 30, 2017 and 2016 and the changes in partners’ capital for the nine months ended September 30, 2017 and 2016. These financial statements present the results for 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 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 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.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

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 September 30, 2017 and 2016, the Partnership carried no debt and substantially all the Partnership’s and the Master’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 the Master at fair value based on the Master’s net asset value per Redeemable Unit, as a practical expedient, as calculated by the 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 the 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 due to 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 $14,872,390 (cost of $14,861,840) and $8,098,626 (cost of $8,082,720) as of September 30, 2017 and December 31, 2016, respectively. The Master’s margin requirement of $76,293,352 as of December 31, 2016 was met from a combination of 1) U.S. Treasury bills held at MS&Co. with a fair value of $416,864,386 and 2) restricted cash held at MS&Co. of $68,379,250 as of December 31, 2016.

Income Taxes. Income taxes have not been recorded 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 Redeemable Unit. Net income (loss) per Redeemable 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 Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

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

CMF Winton Master L.P.

Statements of Financial Condition


	September 30,		December 31,
	2017		2016
	(Unaudited)
Assets:
Equity in trading accounts:
Investment in U.S. Treasury bills, at fair value (amortized cost $0 and $416,693,176 at September 30, 2017 and December 31, 2016, respectively)	$	-	$	416,864,386
Unrestricted cash		326,377,066		-
Restricted cash		65,754,146		68,379,250
Net unrealized appreciation on open futures contracts		-		10,740,072

Total equity in trading accounts		392,131,212		495,983,708
Cash at bank		631		217

Total assets	$	392,131,843	$	495,983,925


Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	943,082	$	-
Net unrealized depreciation on open forward contracts		2,799,620		1,650,934
Accrued expenses:
Professional fees		44,846		40,013

Total liabilities		3,787,548		1,690,947

Partners’ Capital:
General Partner, 0.0000 Redeemable Units outstanding at September 30, 2017 and December 31, 2016		-		-
Limited Partners, 104,003.0212 and 130,613.6627 Redeemable Units outstanding at September 30, 2017 and December 31, 2016, respectively		388,344,295		494,292,978

Total partners’ capital (net asset value)		388,344,295		494,292,978

Total liabilities and partners’ capital	$	392,131,843	$	495,983,925

Net asset value per Redeemable Unit	$	3,733.97	$	3,784.39

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Condensed Schedule of Investments

September 30, 2017

(Unaudited)


	Notional ($)/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		2,174	$	(2,571,718	)		(0.66	)	%
Energy		486		532,212			0.14
Grains		144		(210,859	)		(0.05	)
Indices		5,382		7,503,044			1.93
Interest Rates U.S.		920		(2,068,625	)		(0.53	)
Interest Rates Non-U.S.		9,278		(3,548,642	)		(0.92	)
Livestock		386		(115,965	)		(0.03	)
Metals		225		(895,766	)		(0.23	)
Softs		75		(61,207	)		(0.02	)

Total futures contracts purchased				(1,437,526	)		(0.37	)


Futures Contracts Sold
Currencies		1,508		2,971,388			0.76
Energy		495		(208,360	)		(0.05	)
Grains		1,533		213,583			0.05
Indices		1,031		(3,934,153	)		(1.01	)
Interest Rates U.S.		551		270,375			0.07
Interest Rates Non-U.S.		10		899			0.00		*
Metals		38		63,933			0.02
Softs		1,014		1,116,779			0.29

Total futures contracts sold				494,444			0.13

Net unrealized depreciation on open futures contracts			$	(943,082	)		(0.24	)	%


Unrealized Appreciation on Open Forward Contracts
Currencies	$	101,322,192	$	733,003			0.19		%
Metals		373		329,151			0.08

Total unrealized appreciation on open forward contracts				1,062,154			0.27


Unrealized Depreciation on Open Forward Contracts
Currencies	$	235,970,770		(3,065,078	)		(0.79	)
Metals		294		(796,696	)		(0.20	)

Total unrealized depreciation on open forward contracts				(3,861,774	)		(0.99	)

Net unrealized depreciation on open forward contracts			$	(2,799,620	)		(0.72	)	%

*	Due to rounding.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Condensed Schedule of Investments

December 31, 2016


	Notional ($)/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Energy		436	$	488,528			0.10		%
Grains		611		(669,759	)		(0.14	)
Indices		6,388		2,488,495			0.51
Interest Rates U.S.		607		54,008			0.01
Interest Rates Non-U.S.		2,544		687,914			0.14
Livestock		214		215,568			0.04
Metals		5		(28,210	)		(0.01	)
Softs		249		(197,243	)		(0.04	)

Total futures contracts purchased				3,039,301			0.61


Futures Contracts Sold
Currencies		3,392		3,433,399			0.69
Energy		169		(335,387	)		(0.06	)
Grains		1,592		415,561			0.08
Indices		227		(37,389	)		(0.01	)
Interest Rates U.S.		860		(239,781	)		(0.05	)
Interest Rates Non-U.S.		5,375		978,244			0.20
Livestock		20		(68,990	)		(0.01	)
Metals		678		1,388,583			0.28
Softs		448		2,166,531			0.44

Total futures contracts sold				7,700,771			1.56

Net unrealized appreciation on open futures contracts			$	10,740,072			2.17		%


Unrealized Appreciation on Open Forward Contracts
Currencies	$	205,499,621	$	3,683,915			0.74		%
Metals		665		1,925,249			0.39

Total unrealized appreciation on open forward contracts				5,609,164			1.13


Unrealized Depreciation on Open Forward Contracts
Currencies	$	218,825,586		(2,741,186	)		(0.55	)
Metals		907		(4,518,912	)		(0.91	)

Total unrealized depreciation on open forward contracts				(7,260,098	)		(1.46	)

Net unrealized depreciation on open forward contracts			$	(1,650,934	)		(0.33	)	%


U.S. Government Securities


Face Amount		Maturity Date		Description	Fair Value		% of Partners’ Capital
				U.S. Treasury bills, 0.365% *
$	350,000,000		1/19/2017	(Amortized cost of $349,772,889)	$	349,922,708		70.79	%
				U.S. Treasury bills, 0.41% *
$	17,000,000		2/2/2017	(Amortized cost of $16,986,641)		16,993,136		3.44
				U.S. Treasury bills, 0.525% *
$	50,000,000		3/16/2017	(Amortized cost of $49,933,646)		49,948,542		10.11

	Total U.S. Government Securities				$	416,864,386		84.34	%

*	Liquid non-cash held as collateral.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

CMF Winton Master L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income:
Interest income	$	822,329		$	363,578		$	2,079,884		$	1,024,763

Expenses:
Clearing fees		147,428			154,178			442,247			482,842
Professional fees		15,944			20,103			47,837			61,146

Total expenses		163,372			174,281			490,084			543,988

Net investment income (loss)		658,957			189,297			1,589,800			480,775

Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(2,056,687	)		28,406,673			7,885,293			29,185,484
Net change in unrealized gains (losses) on open contracts		6,210,154			(38,196,559	)		(12,837,196	)		579,803

Total trading results		4,153,467			(9,789,886	)		(4,951,903	)		29,765,287

Net income (loss)		4,812,424			(9,600,589	)		(3,362,103	)		30,246,062
Subscriptions - Limited Partners		1,914,387			4,547,334			35,212,991			25,278,283
Redemptions - Limited Partners		(32,646,043	)		(31,343,053	)		(135,888,409	)		(117,748,172	)
Distribution of interest income to feeder funds		(789,221	)		(42,335	)		(1,911,162	)		(167,010	)

Net increase (decrease) in Partners’ Capital		(26,708,453	)		(36,438,643	)		(105,948,683	)		(62,390,837	)
Partners’ Capital, beginning of period		415,052,748			577,089,176			494,292,978			603,041,370

Partners’ Capital, end of period	$	388,344,295		$	540,650,533		$	388,344,295		$	540,650,533

Net asset value per Redeemable Unit (104,003.0212 and 138,139.6590 Redeemable Units outstanding at September 30, 2017 and 2016, respectively)	$	3,733.97		$	3,913.80		$	3,733.97		$	3,913.80

Net income (loss) per Redeemable Unit*	$	42.99		$	(69.34	)	$	(33.92	)	$	191.93

Weighted average Redeemable Units outstanding		106,400.3456			138,911.3579			115,802.6256			145,626.0236

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

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

3.	Financial Highlights:

Financial highlights for the limited partner classes as a whole for the three and nine months ended September 30, 2017 and 2016 were as follows:


	Three Months Ended September 30,
	2017									2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*		Class A			Class D			Class Z			Class A			Class D			Class Z
Net realized and unrealized gains (losses)	$	12.53		$	11.98		$	12.29		$	(24.85	)	$	(23.56	)	$	(24.04	)
Net investment loss		(13.21	)		(8.87	)		(6.78	)		(16.13	)		(11.14	)		(8.83	)

Increase (decrease) for the period		(0.68	)		3.11			5.51			(40.98	)		(34.70	)		(32.87	)
Net asset value per Redeemable Unit, beginning of period		1,252.96			1,200.35			1,232.27			1,411.78			1,335.66			1,360.92

Net asset value per Redeemable Unit, end of period	$	1,252.28		$	1,203.46		$	1,237.78		$	1,370.80		$	1,300.96		$	1,328.05


	Nine Months Ended September 30,
	2017									2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*		Class A			Class D			Class Z			Class A			Class D			Class Z
Net realized and unrealized gains (losses)	$	(15.94	)	$	(15.51	)	$	(15.69	)	$	68.37		$	64.29		$	65.26
Net investment loss		(41.72	)		(28.13	)		(21.99	)		(48.60	)		(33.54	)		(26.58	)

Increase (decrease) for the period		(57.66	)		(43.64	)		(37.68	)		19.77			30.75			38.68
Net asset value per Redeemable Unit, beginning of period		1,309.94			1,247.10			1,275.46			1,351.03			1,270.21			1,289.37

Net asset value per Redeemable Unit, end of period	$	1,252.28		$	1,203.46		$	1,237.78		$	1,370.80		$	1,300.96		$	1,328.05

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)


	Three Months Ended September 30,
	2017												2016
	Class A				Class D				Class Z				Class A				Class D				Class Z
Ratios to Average Limited Partners’ Capital:**
Net investment loss***		(4.2	)	%		(2.9	)	%		(2.2	)	%		(4.6	)	%		(3.4	)	%		(2.6	)	%

Operating expenses		5.0		%		3.7		%		3.0		%		4.9		%		3.6		%		2.9		%
Incentive fees		-		%		-		%		-		%		-		%		-		%		-		%

Total expenses		5.0		%		3.7		%		3.0		%		4.9		%		3.6		%		2.9		%

Total return:
Total return before incentive fees		(0.1	)	%		0.3		%		0.4		%		(2.9	)	%		(2.6	)	%		(2.4	)	%
Incentive fees		-		%		-		%		-		%		-		%		-		%		-		%

Total return after incentive fees		(0.1	)	%		0.3		%		0.4		%		(2.9	)	%		(2.6	)	%		(2.4	)	%


	Nine Months Ended September 30,
	2017												2016
	Class A				Class D				Class Z				Class A				Class D				Class Z
Ratios to Average Limited Partners’ Capital:**
Net investment loss***		(4.4	)	%		(3.1	)	%		(2.7	)	%		(4.7	)	%		(3.4	)	%		(2.7	)	%

Operating expenses		5.0		%		3.7		%		3.4		%		5.0		%		3.7		%		2.9		%
Incentive fees		-		%		-		%		-		%		-		%		-		%		-		%

Total expenses		5.0		%		3.7		%		3.4		%		5.0		%		3.7		%		2.9		%

Total return:
Total return before incentive fees		(4.4	)	%		(3.5	)	%		(3.0	)	%		1.5		%		2.4		%		3.0		%
Incentive fees		-		%		-		%		-		%		-		%		-		%		-		%

Total return after incentive fees		(4.4	)	%		(3.5	)	%		(3.0	)	%		1.5		%		2.4		%		3.0		%

Net investment 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 (except for incentive fees).

***	Interest income allocated from the Master 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 for the 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 Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

Financial Highlights of the Master:


	Three Months Ended September 30,								Nine Months Ended September 30,
	2017				2016				2017				2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	36.80			$	(70.71	)		$	(47.65	)		$	188.63
Net investment income (loss)		6.19				1.37				13.73				3.30

Increase (decrease) for the period		42.99				(69.34	)			(33.92	)			191.93
Distribution of interest income to feeder funds		(7.42	)			(0.30	)			(16.50	)			(1.14	)
Net asset value per Redeemable Unit, beginning of period		3,698.40				3,983.44				3,784.39				3,723.01

Net asset value per Redeemable Unit, end of period	$	3,733.97			$	3,913.80			$	3,733.97			$	3,913.80


	Three Months Ended September 30,								Nine Months Ended September 30,
	2017				2016				2017				2016
Ratios to Average Limited Partners’ Capital:**
Net investment income (loss)***		0.6		%		0.1		%		0.5		%		0.1		%

Operating expenses		0.2		%		0.1		%		0.1		%		0.1		%

Total return		1.2		%		(1.7	)	%		(0.9	)	%		5.1		%

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.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

4.	Trading Activities:

The Partnership was formed for the purpose of trading commodity interests, including derivative financial instruments and derivative commodity instruments. 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 are 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 the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” have been met.

Trading and transaction 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 September 30, 2017 and 2016 was 23,929 and 35,788, respectively. The monthly average number of futures contracts traded by the Master during the nine months ended September 30, 2017 and 2016 was 23,000 and 35,813, respectively. The monthly average number of metals forward contracts traded by the Master during the three months ended September 30, 2017 and 2016 was 674 and 805, respectively. The monthly average number of metals forward contracts traded by the Master during the nine months ended September 30, 2017 and 2016 was 957 and 814, respectively. The monthly average notional value of currency forward contracts traded by the Master during the three months ended September 30, 2017 and 2016 was $561,123,451 and $546,944,145, respectively. The monthly average notional value of currency forward contracts traded by the Master during the nine months ended September 30, 2017 and 2016 was $474,699,701 and $584,321,971, respectively.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

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 agreements or similar arrangements as of September 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				Net Amount
September 30, 2017	Gross Amounts Recognized									Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount

Assets
MS&Co.
Futures	$	14,809,056		$	(14,809,056	)	$	-		$	-	$	-	$	-
Forwards		381,363			(381,363	)		-			-		-		-

		15,190,419			(15,190,419	)		-			-		-		-
JPMorgan
Forwards		680,791			(680,791	)		-			-		-		-

Total assets	$	15,871,210		$	(15,871,210	)	$	-		$	-	$	-	$	-


Liabilities
MS&Co.
Futures	$	(15,752,138	)	$	14,809,056		$	(943,082	)	$	-	$	-	$	(943,082)
Forwards		(842,926	)		381,363			(461,563	)		-		-		(461,563)

		(16,595,064	)		15,190,419			(1,404,645	)		-		-		(1,404,645)
JPMorgan
Forwards		(3,018,848	)		680,791			(2,338,057	)		-		-		(2,338,057)

Total liabilities	$	(19,613,912	)	$	15,871,210		$	(3,742,702	)	$	-	$	-	$	(3,742,702)

Net fair value														$	(3,742,702)	*


	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
										Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount

December 31, 2016

Assets
MS&Co.
Futures	$	16,580,686		$	(5,840,614	)	$	10,740,072		$	-	$	-	$	10,740,072
Forwards		5,609,164			(5,609,164	)		-			-		-		-

Total assets	$	22,189,850		$	(11,449,778	)	$	10,740,072		$	-	$	-	$	10,740,072


Liabilities
MS&Co.
Futures	$	(5,840,614	)	$	5,840,614		$	-		$	-	$	-	$	-
Forwards		(7,260,098	)		5,609,164			(1,650,934	)		-		-		(1,650,934)

Total liabilities	$	(13,100,712	)	$	11,449,778		$	(1,650,934	)	$	-	$	-	$	(1,650,934)

Net fair value														$	9,089,138	*

In the event of default by the Master, MS&Co., the Master’s commodity futures brokers and a counterparty to certain of the Master’s non-exchange-traded contracts, as applicable, and JPMorgan, as a counterparty to certain of the Master’s non-exchange-traded contracts, has the right to offset the Master’s obligation with the Master’s cash and/or U.S. Treasury bills held by MS&Co. or JPMorgan, as applicable, thereby minimizing MS&Co.’s and JP Morgan’s risk of loss. In certain instances, a counterparty may not post collateral and as such, in the event of default by such counterparty, the Master is exposed to the amount shown in the Master’s 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 Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

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


	September 30, 2017
Assets
Futures Contracts
Currencies	$	3,031,560
Energy		930,533
Grains		649,600
Indices		8,264,500
Interest Rates U.S.		270,375
Interest Rates Non-U.S.		182,098
Livestock		161,053
Metals		77,412
Softs		1,241,925

Total unrealized appreciation on open futures contracts		14,809,056


Liabilities
Futures Contracts
Currencies		(2,631,890	)
Energy		(606,681	)
Grains		(646,876	)
Indices		(4,695,609	)
Interest Rates U.S.		(2,068,625	)
Interest Rates Non-U.S.		(3,729,841	)
Livestock		(277,018	)
Metals		(909,245	)
Softs		(186,353	)

Total unrealized depreciation on open futures contracts		(15,752,138	)


Net unrealized depreciation on open futures contracts	$	(943,082	)	*


Assets
Forward Contracts
Currencies	$	733,003
Metals		329,151

Total unrealized appreciation on open forward contracts		1,062,154


Liabilities
Forward Contracts
Currencies		(3,065,078	)
Metals		(796,696	)

Total unrealized depreciation on open forward contracts		(3,861,774	)

Net unrealized depreciation on open forward contracts	$	(2,799,620	)	**

*	This amount is in “Net unrealized depreciation 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.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)


	December 31, 2016
Assets
Futures Contracts
Currencies	$	3,749,363
Energy		551,720
Grains		617,396
Indices		5,061,697
Interest Rates U.S.		367,071
Interest Rates Non-U.S.		2,095,184
Livestock		230,256
Metals		1,590,193
Softs		2,317,806

Total unrealized appreciation on open futures contracts		16,580,686


Liabilities
Futures Contracts
Currencies		(315,964	)
Energy		(398,579	)
Grains		(871,594	)
Indices		(2,610,591	)
Interest Rates U.S.		(552,844	)
Interest Rates Non-U.S.		(429,026	)
Livestock		(83,678	)
Metals		(229,820	)
Softs		(348,518	)

Total unrealized depreciation on open futures contracts		(5,840,614	)

Net unrealized appreciation on open futures contracts	$	10,740,072		*


Assets
Forward Contracts

Currencies	$	3,683,915
Metals		1,925,249

Total unrealized appreciation on open forward contracts		5,609,164


Liabilities
Forward Contracts
Currencies		(2,741,186	)
Metals		(4,518,912	)

Total unrealized depreciation on open forward contracts		(7,260,098	)

Net unrealized depreciation on open forward contracts	$	(1,650,934	)	**

*	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.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon 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 nine months ended September 30, 2017 and 2016, respectively.


	Three Months Ended September 30,								Nine Months Ended September 30,
Sector	2017				2016				2017				2016
Currencies	$	212,470			$	1,632,302			$	(15,486,493	)		$	8,958,698
Energy		(2,004,559	)			(5,845,090	)			(12,984,885	)			(7,660,580	)
Grains		341,607				(3,472,890	)			(2,020,148	)			(5,412,025	)
Indices		12,892,639				5,844,999				49,364,899				(8,952,986	)
Interest Rates U.S.		(736,602	)			(3,240,765	)			(4,986,540	)			11,923,569
Interest Rates Non-U.S.		(1,803,642	)			(1,852,034	)			(11,246,965	)			48,599,109
Livestock		(960,905	)			(119,105	)			720,520				1,067,685
Metals		(3,371,512	)			(3,410,426	)			(10,985,946	)			(18,811,634	)
Softs		(416,029	)			673,123				2,673,655				53,451

Total	$	4,153,467		***	$	(9,789,886	)	***	$	(4,951,903	)	***	$	29,765,287		***

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

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

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 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 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 and non-exchange-traded forward 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 September 30, 2017 and December 31, 2016 and for the periods ended September 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.


September 30, 2017	Total		Level 1		Level 2		Level 3

Assets
Futures	$	14,809,056	$	14,809,056	$	-	$	-
Forwards		1,062,154		329,151		733,003		-

Total assets	$	15,871,210	$	15,138,207	$	733,003	$	-


Liabilities
Futures	$	15,752,138	$	15,752,138	$	-	$	-
Forwards		3,861,774		796,696		3,065,078		-

Total liabilities	$	19,613,912	$	16,548,834	$	3,065,078	$	-


December 31, 2016	Total		Level 1		Level 2		Level 3

Assets
U.S. Treasury bills	$	416,864,386	$	-	$	416,864,386	$	-
Futures		16,580,686		16,580,686		-		-
Forwards		5,609,164		1,925,249		3,683,915		-

Total assets	$	439,054,236	$	18,505,935	$	420,548,301	$	-


Liabilities
Futures	$	5,840,614	$	5,840,614	$	-	$	-
Forwards		7,260,098		4,518,912		2,741,186		-

Total liabilities	$	13,100,712	$	10,359,526	$	2,741,186	$	-

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon L.P.)

Notes to Financial Statements

(Unaudited)

6.	Financial Instrument Risks:

In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards, 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, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Each of these instruments is subject to various risks similar to those relating to the underlying financial instrument, 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 that, at any given time, approximately 0.00% to 41.8% of the Master’s contracts are traded OTC.

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-upon 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 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 forward 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 and Changes in Partners’ Capital.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. 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. 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.

Ceres Abingdon L.P.

(formerly, Managed Futures Premier Abingdon 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 Master is 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 has credit risk and concentration risk, as MS&Co., an MS&Co. affiliate or JPMorgan are counterparties or brokers 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 Partnership’s/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 Partnership/Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and forward contracts by sector, margin requirements, gain and loss transactions and collateral positions.

The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under New York 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 there were no subsequent events requiring adjustment to or disclosure in the financial statements.

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 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 accounts, consisting of unrestricted cash, restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts and investment in U.S. Treasury bills at fair value, if applicable. Because of the low margin deposits normally required in commodity 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 third 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 or the Master’s assets.

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

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

For the nine months ended September 30, 2017, Partnership capital decreased 8.0% from $217,564,351 to $200,067,210. This decrease was attributable to redemptions of 30,402.2130 Redeemable Units of Class A totaling $39,026,036, redemptions of 879.5740 Redeemable Units of Class Z totaling $1,084,192, redemptions of 292.1440 General Partner Redeemable Units of Class Z totaling $360,000 and a net loss of $9,749,599. This decrease was partially offset by subscriptions for 20,174.1750 Redeemable Units of Class A totaling $26,387,421, subscriptions for 4,033.0710 Redeemable Units of Class D totaling $5,000,000, subscriptions for 821.6100 Redeemable Units of Class Z totaling $1,060,000 and subscriptions for 215.8170 General Partner Redeemable Units of Class Z totaling $275,265.

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

For the nine months ended September 30, 2017, the Master’s capital decreased 21.4% from $494,292,978 to $388,344,295. This decrease was attributable to redemptions of 35,900.5182 units totaling $135,888,409, distributions of interest income to feeder funds totaling $1,911,162 and a net loss of $3,362,103. This decrease was partially offset by subscriptions of 9,289.8767 units totaling $35,212,991. Future redemptions can impact the amount of funds available for investment in commodity contract 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 or the Master’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 expenses during the reporting period. The General Partner believes that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The 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) on closed contracts and net change in unrealized gains (losses) on open contracts in the Statements of Income and Expenses.

Results of Operations

During the Partnership’s third quarter of 2017, the net asset value per Redeemable Unit for Class A decreased 0.1% from $1,252.96 to $1,252.28, as compared to a decrease of 2.9% in the third quarter of 2016. During the Partnership’s third quarter of 2017, the net asset value per Redeemable Unit for Class D increased 0.3% from $1,200.35 to $1,203.46, as compared to a decrease of 2.6% in the third quarter of 2016. During the Partnership’s third quarter of 2017, the net asset value per Redeemable Unit for Class Z increased 0.4% from $1,232.27 to $1,237.78, as compared to a decrease of 2.4% in the third quarter of 2016. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the third quarter of 2017 of $2,251,604. Gains were primarily attributable to the Master’s trading of commodity futures in currencies, grains and indices and were partially offset by losses in energy, U.S. and non-U.S. interest rates, livestock, metals and softs. The Partnership, through its investment in the Master, experienced a net trading loss before fees and expenses in the third quarter of 2016 of $4,323,082. Losses were primarily attributable to the Master’s trading of commodity futures in energy, grains, U.S. and non-U.S. interest rates, livestock and metals, and were partially offset by gains in currencies, indices and softs.

The most significant gains were achieved within the global stock index sector during July and August from long positions in U.S. and Asian equity index futures as prices were buoyed by strong U.S. jobs data and improving investor sentiment. During August, positive economic sentiment also fueled gains from long positions in European equity index futures. A majority of the Partnership’s gains for the quarter was offset by losses incurred within the metals markets during July and September from long positions in gold futures as a strengthening U.S. dollar limited demand for precious metals. Additional losses within the metals complex were recorded during July and September from long positions in copper futures. Within the global interest rate sector, losses were experienced primarily during September from long positions in European and U.S. fixed income futures as the global bond market experienced a sell-off after hawkish comments from the European Central Bank and confirmation the U.S. Federal Reserve remained committed to unwinding its quantitative easing program. Losses incurred within the energy markets were recorded during July from short positions in crude oil and its related products after pledges from Saudi Arabia and other members of the Organization of Petroleum Exporting Countries to reduce crude shipments helped to elevate prices. Further losses in the energy sector were experienced during September due to positions in crude oil futures. Within the agricultural markets, losses were incurred during July from short positions in wheat and soybean futures as drought conditions in portions of the Midwest threatened crops, pushing prices higher. Further losses were experienced from short futures positions in coffee, sugar, and cocoa as prices for all three commodities rallied amid reports of poor crop qualities in Brazil and West Africa.

During the Partnership’s nine months ended September 30, 2017, the net asset value per Redeemable Unit for Class A decreased 4.4% from $1,309.94 to $1,252.28, as compared to an increase of 1.5% in the nine months ended September 30, 2016. During the Partnership’s nine months ended September 30, 2017, the net asset value per Redeemable Unit for Class D decreased 3.5% from $1,247.10 to $1,203.46, as compared to an increase of 2.4% in the nine months ended September 30, 2016. During the Partnership’s nine months ended September 30, 2017, the net asset value per Redeemable Unit for Class Z decreased 3.0% from $1,275.46 to $1,237.78, as compared to an increase of 3.0% in the nine months ended September 30, 2016. The Partnership, through its investment in the Master, experienced a net trading loss before fees and expenses in the nine months ended September 30, 2017 of $2,690,684. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, energy, grains, U.S and non-U.S. interest rates and metals and were partially offset by gains in indices, livestock and softs. The Partnership, through its investment in the Master, experienced a net trading gain before fees and expenses in the nine months ended September 30, 2016 of $11,711,379. Gains were primarily attributable to the Master’s trading of commodity futures in currencies, U.S. and non-U.S. interest rates, livestock and softs, and were partially offset by losses in energy, grains, indices and metals.

The most significant losses were incurred within the currency sector during April from short positions in the euro versus the U.S. dollar as the relative value of the euro advanced on easing political tensions in the Eurozone and amid turmoil surrounding the Trump administration. Losses within the currency sector were also recorded during January, March, and May from short positions in the euro and Japanese yen versus the U.S. dollar as the relative value of the dollar moved lower amid increased uncertainty of future U.S. fiscal policy. Within the global interest rate sector, losses were experienced during September from long positions in European and U.S. fixed income futures as the global bond market experienced a sell-off after hawkish comments from the European Central Bank and confirmation the U.S. Federal Reserve remained to unwinding its quantitative easing program. Further losses within the global interest rate sector were experienced during January, March, April, and June from positions in U.S. and European fixed income futures. Losses within the energy markets were recorded during May from long positions in natural gas futures as prices fell as mild weather throughout much of the U.S. muted cooling demand from homes and businesses. Additional losses within the energy sector were experienced throughout most of the first half of the year due to futures positions in crude oil and its related products. Within the metals markets, losses were recorded during January, February, and May from short positions in silver and gold futures as prices rallied as a weakening U.S. dollar spurred demand for precious metals. Additional losses within the metals complex were incurred during July and September from positions in copper and gold futures. A portion of the Partnership’s losses for the first nine months of the year was offset by gains achieved within the global stock index sector during a majority of the first three quarters of the year from long positions as prices were buoyed by positive growth sentiment in economies across the world.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership (and the Master) depends on the existence of major price trends and the ability of the Advisor to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership (and the Master) expects to increase capital through operations.

During the applicable reporting period, interest income on 80% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Master’s) brokerage account during each month is earned at the monthly average of the 4-week U.S. Treasury bill discount rate. Any interest earned on the Partnership’s and/or the Master’s account in excess of the amounts described above, if any, will be retained by MS&Co. and/or shared with the General Partner. All other interest income will be retained by the Partnership and/or the Master, as applicable. Interest income allocated from the Master for the three and nine months ended September 30, 2017 increased by $234,232 and $548,678, respectively, as compared to the corresponding periods in 2016. The increase in interest income is primarily due to higher U.S. Treasury bill rates during the three and nine months ended September 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 upon (1) the average daily equity maintained in cash in the Partnership’s and/or 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 selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value of Class A Redeemable Units and Class D Redeemable Units as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Ongoing selling agent fees for the three and nine months ended September 30, 2017 decreased by $166,253 and $243,394, respectively, as compared to the corresponding periods in 2016. The decrease in ongoing selling agent fees is due to lower average net assets attributable to Class A Redeemable Units and Class D Redeemable Units during the three and nine months ended September 30, 2017 as compared to the corresponding periods in 2016.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value per Class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Management fees for the three and nine months ended September 30, 2017 decreased by $118,538 and $168,949, respectively, as compared to the corresponding periods in 2016. The decrease in management fees is due to lower average net assets per Class during the three and nine months ended September 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. These fees are calculated as a percentage of the Partnership’s adjusted net asset value per Class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. General Partner fees for the three and nine months ended September 30, 2017 decreased by $79,027 and $112,634, respectively, as compared to the corresponding periods in 2016. The decrease in General Partner fees is due to lower average net assets per Class during the three and nine months ended September 30, 2017 as compared to the corresponding periods in 2016.

Incentive fees paid by the Partnership are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreement among the Partnership, the General Partner and the Advisor. There were no incentive fees earned for the three and nine months ended September 30, 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.

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 and may 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 Master’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the 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 positions and, consequently, in its earnings and cash balances. The Master’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master’s open contracts and the liquidity of the markets in which it trades.

The Master rapidly acquires and liquidates both long and short positions in a wide range of different 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 the General Partner 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 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 September 30, 2017 and December 31, 2016, and the highest, lowest and average values during the three months ended September 30, 2017 and for 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 September 30, 2017, the Master’s total capitalization was $388,344,295 and the Partnership owned approximately 52.7% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of September 30, 2017 was as follows:


September 30, 2017
						Three Months Ended September 30, 2017
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	31,542,292		8.12	%	$	32,873,322	$	6,859,203	$	31,244,954
Energy		1,931,059		0.50			2,442,432		786,012		1,391,103
Grains		1,542,678		0.40			2,120,193		1,542,678		1,811,449
Indices		19,560,277		5.04			21,151,209		17,643,595		20,048,786
Interest Rates U.S.		2,053,756		0.53			2,485,815		783,256		1,761,557
Interest Rates Non-U.S.		4,200,499		1.08			5,374,331		1,520,731		4,189,031
Livestock		604,560		0.16			781,165		600,050		663,309
Metals		1,989,481		0.51			2,950,004		1,783,583		2,161,488
Softs		1,868,682		0.48			2,141,015		1,826,220		1,926,262

Total	$	65,293,284		16.82	%

*	Average of month-end Values at Risk.

As of December 31, 2016, the Master’s total capitalization was $494,292,978 and the Partnership owned approximately 45.8% 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	$	31,827,200		6.44	%	$	43,438,054	$	22,212,213	$	31,924,793
Energy		1,239,902		0.25			9,165,346		969,748		3,733,831
Grains		2,177,986		0.44			4,040,676		1,857,610		2,619,765
Indices		25,363,561		5.13			25,363,561		10,596,963		18,378,554
Interest Rates U.S.		4,286,586		0.87			9,700,222		271,474		6,398,481
Interest Rates Non-U.S.		2,683,933		0.54			11,539,823		1,385,562		8,303,443
Livestock		359,920		0.07			944,955		144,359		548,391
Metals		7,071,481		1.43			8,903,178		1,446,984		5,461,010
Softs		1,282,783		0.26			1,726,286		1,074,232		1,422,312

Total	$	76,293,352		15.43	%

*	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 September 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:

•

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

•

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

•

provide reasonable assurance regarding prevention or timely detection 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 process during the fiscal quarter ended September 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 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, please refer 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 Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at www.morganstanley.com. Please refer to the Commitments, Guarantees and Contingencies – Legal section of MS&Co.’s 2016 Audited Financial Statement and MS&Co’s Mid-Year Financials as of June 30, 2017.

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 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 Commodity Exchange Act 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, 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 Municipalities Continuing Disclosure Cooperation 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 under the Exchange Act 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 U.S. dollars in cleared swap segregated accounts in the United States to meet all U.S. 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 U.S. dollars, to meet its U.S. 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.

On September 28, 2017, the CFTC issued an order filing and simultaneously settling charges against MS&Co. regarding violations of CFTC Rule 166.3 by failing to diligently supervise the reconciliation of exchange and clearing fees with the amounts it ultimately charged customers for certain transactions on multiple exchanges. The order and settlement required MS&Co. to pay a $500,000 penalty and cease and desist from violating Rule 166.3.

On November 2, 2017, the CFTC issued an order filing and simultaneously settling charges against MS&Co. for non-compliance with applicable rules governing Part 17 Large Trader reports to the CFTC. The order requires MS&Co. to pay a $350,000 penalty and cease and desist from further violations of the Commodity Exchange Act.

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 September 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. On February 6, 2017, the action was remanded to the Superior Court of the Commonwealth of Massachusetts. At September 25, 2017, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $47 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 $47 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. On July 28, 2017, MS&Co. filed a motion for leave to appeal that decision to the New York Court of Appeals. On October 3, 2017, the Appellate Division, First Department denied MS&Co.’s motion for leave to appeal. At September 25, 2017, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $232 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 $232 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 September 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 (defined below), 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 residential mortgage backed securities 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 alleged 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 alleged 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 alleged 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, 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 alleged 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 sought, 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 alleged 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 sought, 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 raised 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 Racketeer Influenced and Corrupt Organizations Act, and included 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, 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 alleged 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 asserted claims under the Virginia Fraud Against Taxpayers Act, as well as common law claims of actual and constructive fraud, and sought, 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 connections 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 Reports on Form 10-Q for the quarters ended March 31, 2017 and June 30, 2017.

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

For the three months ended September 30, 2017, there were subscriptions for 141.0720 Redeemable Units of Class A totaling $176,757. The Redeemable 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 Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

Proceeds from the sale of Redeemable Units are used for the trading of commodity interests, including futures and forward contracts.

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


Period	Class A (a) Total Number of Redeemable Units Purchased*		Class A (b) Average Price Paid per Redeemable Unit**		Class Z (a) Total Number of Redeemable Units Purchased*		Class Z (b) Average Price Paid per Redeemable Unit**		(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
July 1, 2017 - July 31, 2017		2,932.8410	$	1,246.59		N/A		N/A		N/A		N/A
August 1, 2017 - August 31, 2017		4,714.7230	$	1,289.93		N/A		N/A		N/A		N/A
September 1, 2017 - September 30, 2017		3,309.3400	$	1,252.28		57.9640	$	1,237.78		N/A		N/A
		10,956.9040	$	1,266.96		57.9640	$	1,237.78

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

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

Item 3. Defaults Upon Senior Securities. – None.

Item 4. Mine Safety Disclosures. – Not applicable.

Item 5. Other Information. – None.

Item 6. Exhibits.



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.LAB XBRL Taxonomy Extension Label Linkbase Document.

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF XBRL Taxonomy Extension Definition Linkbase Document.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

CERES ABINGDON L.P. (formerly, MANAGED FUTURES PREMIER ABINGDON L.P.)



By:		Ceres Managed Futures LLC (General Partner)

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

Date:		November 13, 2017

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

Date:		November 13, 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.

Attached files

CERES ABINGDON L.P. Reports

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