EMERGING CTA PORTFOLIO LP - FORM 10-Q

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EX-32.2 - EX-32.2 - EMERGING CTA PORTFOLIO LP	d436200dex322.htm
EX-32.1 - EX-32.1 - EMERGING CTA PORTFOLIO LP	d436200dex321.htm
EX-31.2 - EX-31.2 - EMERGING CTA PORTFOLIO LP	d436200dex312.htm
EX-31.1 - EX-31.1 - EMERGING CTA PORTFOLIO LP	d436200dex311.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 0-53211

EMERGING CTA PORTFOLIO L.P.

(Exact name of registrant as specified in its charter)

New York

04-3768983

(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, 38,394.8000 Limited Partnership Class A Redeemable Units were outstanding and 0.0000 Limited Partnership Class Z Redeemable Units were outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Emerging CTA Portfolio L.P.

Statements of Financial Condition


	September 30,		December 31,
	2017		2016
	(Unaudited)

Assets:
Investment in the Funds⁽¹⁾, at fair value	$	11,590,902	$	37,830,104

Equity in trading account:
Unrestricted cash		35,477,315		26,587,134
Restricted cash		3,331,543		3,093,030
Net unrealized appreciation on open futures contracts		-		22,275
Net unrealized appreciation on open forward contracts		8,235		-
Options purchased, at fair value (cost $85,853 and $0 at September 30, 2017 and December 31, 2016, respectively)		39,741		-

Total equity in trading account		38,856,834		29,702,439

Cash at bank		631		217
Interest receivable		29,976		9,112

Total assets	$	50,478,343	$	67,541,872

Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	164,133	$	-
Accrued expenses:
Ongoing selling agent fees		82,781		112,570
Management fees		54,761		82,039
General Partner fees		41,801		56,176
Incentive fees		24,101		120,842
Professional fees		152,783		130,926
Redemptions payable to General Partner		-		100,000
Redemptions payable to Limited Partners		1,270,608		3,048,601

Total liabilities		1,790,968		3,651,154

Partners’ Capital:
General Partner, Class A, 0.0000 and 572.7556 Redeemable Units outstanding at September 30, 2017 and December 31, 2016, respectively		-		718,402
General Partner, Class Z, 656.2520 and 0.0000 Redeemable Units outstanding at September 30, 2017 and December 31, 2016, respectively		642,201		-
Limited Partners, Class A, 40,070.6260 and 50,365.0120 Redeemable Units outstanding at September 30, 2017 and December 31, 2016, respectively		48,045,174		63,172,316

Total partners’ capital (net asset value)		48,687,375		63,890,718

Total liabilities and partners’ capital	$	50,478,343	$	67,541,872

Net asset value per Redeemable Unit:
Class A	$	1,199.01	$	1,254.29

Class Z	$	978.59	$	-

⁽¹⁾ Defined in Note 1.

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Condensed Schedule of Investments

September 30, 2017

(Unaudited)


	Notional($)/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		106	$	(98,154	)		(0.20)	%
Energy		221		(32,578	)		(0.07)
Grains		63		19,735			0.04
Indices		181		37,528			0.08
Interest Rates U.S.		2		(1,172	)		(0.00)	*
Interest Rates Non-U.S.		39		(1,550	)		(0.00)	*
Livestock		78		29,316			0.06
Metals		50		(73,346	)		(0.15)
Softs		64		(3,539	)		(0.01)

Total futures contracts purchased				(123,760	)		(0.25)


Futures Contracts Sold
Currencies		1		(138	)		(0.00)	*
Energy		68		(6,134	)		(0.01)
Grains		131		(15,632	)		(0.03)
Indices		128		(25,774	)		(0.05)
Interest Rates U.S.		24		1,906			0.00	*
Interest Rates Non-U.S.		68		19,857			0.04
Livestock		72		(11,796	)		(0.03)
Metals		2		1,415			0.00	*
Softs		15		(4,077	)		(0.01)

Total futures contracts sold				(40,373	)		(0.09)

Net unrealized depreciation on open futures contracts			$	(164,133	)		(0.34)	%


Unrealized Appreciation on Open Forward Contracts
Currencies	$	41,698,689	$	52,983			0.11	%

Total unrealized appreciation on open forward contracts				52,983			0.11


Unrealized Depreciation on Open Forward Contracts
Currencies	$	39,202,988		(44,748	)		(0.09)

Total unrealized depreciation on open forward contracts				(44,748	)		(0.09)

Net unrealized appreciation on open forward contracts			$	8,235			0.02	%


Options Purchased
Calls
Energy		183	$	26,901			0.06	%

Puts
Energy		107		12,840			0.02

Total options purchased (cost $85,853)			$	39,741			0.08	%


Investment in the Funds
SECOR Master Fund L.P.			$	8,136,648			16.71	%
Cambridge Master Fund L.P.				3,454,254			7.10

Total Investment in the Funds			$	11,590,902			23.81	%

*	Due to rounding.

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Condensed Schedule of Investments

December 31, 2016


	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Energy		16	$	9,070			0.01	%
Grains		61		(43,507	)		(0.07)
Indices		28		25,542			0.04
Interest Rates Non-U.S.		268		78,021			0.12
Livestock		39		26,780			0.04
Metals		24		(20,805	)		(0.02)
Softs		118		18,921			0.03

Total futures contracts purchased				94,022			0.15


Futures Contracts Sold
Currencies		139		(29,973	)		(0.05)
Energy		6		(7,210	)		(0.01)
Grains		420		(11,395	)		(0.02)
Indices		565		7,727			0.01
Interest Rates U.S.		86		(9,600	)		(0.02)
Interest Rates Non-U.S.		62		(25,156	)		(0.04)
Metals		9		3,860			0.01

Total futures contracts sold				(71,747	)		(0.12)

Net unrealized appreciation on open futures contracts			$	22,275			0.03	%


Investment in the Funds
SECOR Master Fund L.P.			$	18,932,359			29.63	%
Cambridge Master Fund L.P.				14,960,410			23.42
CMF Willowbridge Master Fund L.P.				3,937,335			6.16

Total investment in the Funds			$	37,830,104			59.21	%

See accompanying notes to financial statements.

Emerging CTA Portfolio 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	$	86,273		$	15,062		$	196,377		$	45,914
Interest income allocated from the Funds		34,845			28,129			110,260			85,231

Total investment income		121,118			43,191			306,637			131,145

Expenses:
Expenses allocated from the Funds		56,000			93,809			179,636			328,791
Clearing fees related to direct investments		46,563			49,577			159,637			191,061
Ongoing selling agent fees		256,614			383,426			869,315			1,280,398
Management fees		180,760			280,933			612,038			950,260
General Partner fees		129,453			191,411			434,890			639,200
Incentive fees		24,101			110,217			118,265			290,666
Professional fees		89,930			107,399			277,834			328,032

Total expenses		783,421			1,216,772			2,651,615			4,008,408

Net investment loss		(662,303	)		(1,173,581	)		(2,344,978	)		(3,877,263	)

Trading Results:
Net gains (losses) on trading of commodity interests and investment in the Funds:
Net realized gains (losses) on closed contracts		502,882			2,123,836			(519,242	)		1,293,168
Net realized gains (losses) on closed contracts allocated from the Funds		(1,307,447	)		1,222,110			588,297			45,092
Net change in unrealized gains (losses) on open contracts		(120,234	)		(1,509,556	)		(226,654	)		(504,134	)
Net change in unrealized gains (losses) on open contracts allocated from the Funds		219,847			(1,815,328	)		134,413			257,904

Total trading results		(704,952	)		21,062			(23,186	)		1,092,030

Net income (loss)	$	(1,367,255	)	$	(1,152,519	)	$	(2,368,164	)	$	(2,785,233	)

Net income (loss) allocation by Class:
Class A	$	(1,353,204	)	$	(1,152,519	)	$	(2,354,113	)	$	(2,785,233	)

Class Z	$	(14,051	)	$	-		$	(14,051	)	$	-

Net asset value per Redeemable Unit:
Class A (40,070.6260 and 56,890.8278 Redeemable Units outstanding at September 30, 2017 and 2016, respectively)	$	1,199.01		$	1,283.37		$	1,199.01		$	1,283.37

Class Z (656.2520 and 0.0000 Redeemable Units outstanding at September 30, 2017 and 2016, respectively)	$	978.59		$	-		$	978.59		$	-

Net income (loss) per Redeemable Unit*:
Class A	$	(32.42	)	$	(19.23	)	$	(55.28	)	$	(44.79	)

Class Z	$	(21.41	)	$	-		$	(21.41	)	$	-

Weighted average Redeemable Units outstanding:
Class A		41,972.5350			59,230.3588			46,281.6278			64,634.9709

Class Z		656.2520			-			656.2520			-

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

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Statements of Changes in Partners’ Capital

For the Nine Months Ended September 30, 2017 and 2016

(Unaudited)


	Class A						Class Z					Total
	Amount			Redeemable Units			Amount			Redeemable Units		Amount			Redeemable Units
Partners’ Capital, December 31, 2016	$	63,890,718			50,937.7676		$	-			-	$	63,890,718			50,937.7676
Subscriptions - General Partner		-			-			656,252			656.2520		656,252			656.2520
Subscriptions - Limited Partners		157,041			124.9570			-			-		157,041			124.9570
Redemptions - General Partner		(706,349	)		(572.7556	)		-			-		(706,349	)		(572.7556	)
Redemptions - Limited Partners		(12,942,123	)		(10,419.3430	)		-			-		(12,942,123	)		(10,419.3430	)
Net income (loss)		(2,354,113	)		-			(14,051	)		-		(2,368,164	)		-

Partners’ Capital, September 30, 2017	$	48,045,174			40,070.6260		$	642,201			656.2520	$	48,687,375			40,726.8780


Partners’ Capital, December 31, 2015	$	94,328,641			71,022.0498		$	-			-	$	94,328,641			71,022.0498
Subscriptions - Limited Partners		35,000			26.8380			-			-		35,000			26.8380
Redemptions - General Partner		(211,129	)		(162.0830	)		-			-		(211,129	)		(162.0830	)
Redemptions - Limited Partners		(18,355,305	)		(13,995.9770	)		-			-		(18,355,305	)		(13,995.9770	)
Net income (loss)		(2,785,233	)		-			-			-		(2,785,233	)		-

Partners’ Capital, September 30, 2016	$	73,011,974			56,890.8278		$	-			-	$	73,011,974			56,890.8278

See accompanying notes to financial statements.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

1.	Organization:

Emerging CTA Portfolio L.P. (the “Partnership”) is a limited partnership that was organized on July 7, 2003 under the partnership laws of the State of New York. The objective of the Partnership is to achieve capital appreciation through the allocation of assets to early-stage commodity trading advisors or established advisors employing early-stage strategies, which engage, directly and indirectly through investment in the Funds (as defined below), in speculative trading of a diversified portfolio of commodity interests, including futures, options on futures, forward, options on forward, spot and swap contracts, cash commodities and any other rights or interests pertaining thereto. The Partnership may also enter into swap and other derivative transactions directly and through its investment in the Funds with the approval of the General Partner (as defined below). The sectors traded include currencies, livestock, energy, grains, metals, indices, softs and U.S. and non-U.S. interest rates. The commodity interests that are traded by the Partnership directly or indirectly through its investment in the Funds are volatile and involve a high degree of market risk. The General Partner may also determine to invest up to all of the Partnership’s assets (directly or indirectly through its investment in the Funds) 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.

Between December 1, 2003 (commencement of the offering period) and August 5, 2004, 20,872 units of limited partnership interest (“Redeemable Units”) were sold at $1,000 per Redeemable Unit. The proceeds of the initial offering were held in an escrow account until August 6, 2004, at which time they were remitted to the Partnership for trading. The Partnership privately and continuously offers 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.

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

As of September 1, 2011, the Partnership began offering three classes of limited partnership interests: Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units; each of which will be referred to as a “Class” and collectively referred to as the “Classes.” All Redeemable Units issued prior to September 1, 2011 were deemed “Class A Redeemable Units.” The rights, liabilities, risks, and fees associated with investment in the Class A Redeemable Units were not changed. Class A Redeemable Units and Class D Redeemable Units are available to taxable U.S. individuals and institutions, as well as U.S. tax exempt individuals and institutions. Class Z Redeemable Units are offered to certain employees of Morgan Stanley and its subsidiaries (and their family members). The Class of Redeemable Units that a limited partner of the Partnership receives upon 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 a particular Class of Redeemable Units to investors at its discretion. Class Z Redeemable Units were first issued on July 1, 2017. As of September 30, 2017, there were no Redeemable Units outstanding in Class D.

All trading decisions are made for the Partnership by its trading advisors (the “Advisors”) either directly, through individually managed accounts, or indirectly, through investments in other collective investment vehicles. As of September 30, 2017, AE Capital PTY Limited (“AE Capital”), The Cambridge Strategy (Asset Management) Limited (“Cambridge”), Harbour Square Capital Management LLC (“Harbour Square”), Independent View BV (“Independent View”), Launchpad Capital Management, LLC (“Launchpad”) and SECOR Capital Advisors, LP (“SECOR”) served as the Partnership’s major commodity trading advisors. Effective February 28, 2017, Willowbridge Associates Inc. (“Willowbridge”) ceased to act as a commodity trading advisor to the Partnership. Effective September 30, 2016, Centurion Investment Management, LLC (“Centurion”) ceased to act as a commodity trading advisor to the Partnership. Effective July 31, 2016, Perella Weinberg Partners Capital Management LP (“Perella”) ceased to act as a commodity trading advisor to the Partnership. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors either directly, through individually managed accounts, or indirectly, through its investment in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional non-major trading advisors (i.e. commodity trading advisors allocated less than 10% of the Partnership’s assets). Information about advisors allocated less than 10% of the Partnership’s assets may not be disclosed. The General Partner may also allocate less than 10% of the Partnership’s assets to a new trading advisor or another trading program of a current Advisor.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

The Advisors are not affiliated with one another, are not affiliated with the General Partner or MS&Co. and are not responsible for the organization or operation of the Partnership. References herein to the “Advisors” may also include, as relevant, references to Willowbridge, Perella and Centurion.

From May 12, 2014 until its termination effective September 30, 2016, the assets allocated to Centurion for trading had been traded directly pursuant to Centurion’s Short Term Systemic Strategy Program. Prior to its termination effective July 31, 2016, the assets allocated to Perella had been traded directly pursuant to a variation of the program traded by PWP Global Macro Master Fund L.P. On August 1, 2016, the Partnership allocated a portion of its assets to Harbour Square, which trades the assets directly pursuant to Harbour Square’s Discretionary Energy Program through a managed account in the Partnership’s name. On October 1, 2016, the Partnership allocated a portion of its assets to Independent View, which trades the assets directly pursuant to Independent View’s IV Quantitative Futures Fund Program through a managed account in the Partnership’s name. On February 1, 2017, the Partnership allocated a portion of its assets to AE Capital. AE Capital began trading the assets directly pursuant to AE Capital’s AE Systematic FX Fund Program through a managed account in the Partnership’s name on March 1, 2017. On September 1, 2017, the Partnership allocated a portion of its assets to Launchpad which trades the assets directly pursuant to Launchpad MJP Commodity Strategy through a managed account in the Partnership’s name.

Cambridge Master Fund L.P (“Cambridge Master”), SECOR Master Fund L.P (“SECOR Master”), the Partnership and, prior to its termination, CMF Willowbridge Master Fund L.P. (“Willowbridge Master”) have entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. Cambridge Master and SECOR Master are collectively referred to as the “Funds.” References herein to “Funds” may also include as relevant, references to Willowbridge Master. The Partnership, directly and through its investment in the Funds, 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”).

Effective July 12, 2017, Cambridge Master and SECOR Master each entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of the referenced Funds 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. In addition to Cambridge Master and SECOR Master, Cambridge and SECOR are both parties to the FX Agreements for the Funds to which each acts as advisor. Under each FX Agreement, JPMorgan charges a fee on the aggregate foreign currency transactions entered into on behalf of the respective Fund during a month.

The Partnership has entered into a selling agreement with Morgan Stanley Smith Barney LLC, doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”) (the “Selling Agreement”). Under the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee equal to (i) 2.0% per year of adjusted month-end net assets for Class A Redeemable Units and (ii) 0.75% per year of adjusted month-end net assets for Class D Redeemable Units. Morgan Stanley Wealth Management pays a portion of its ongoing selling agent fees to properly registered or exempted financial advisors who have sold Class A and Class D Redeemable Units. Class Z Redeemable Units are not subject to an ongoing selling agent fee.

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 changes in partners’ capital for the nine months ended September 30, 2017 and 2016. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2016. The December 31, 2016 information has been derived from the audited financial statements as of and for the year ended December 31, 2016.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

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 contribution and profits, if any, net of distributions or redemptions and losses, if any.

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

Partnership’s Investment in the Funds. The Partnership carries its investment in the Funds based on the Partnership’s (1) net contribution to the Funds and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of the Funds. The Partnership carried its investment in Willowbridge Master based on Willowbridge Master’s net asset value per Redeemable Unit as calculated by Willowbridge Master.

Partnership’s/Funds’ Derivative Investments. All commodity interests of the Partnership/Funds, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Partnership’s/Funds’ Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership’s/Funds’ Statements of Income and Expenses.

The Partnership and the Funds do not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership’s/Funds’ Statements of Income and Expenses.

Partnership’s Cash. The Partnership’s cash includes cash denominated in foreign currencies of $8,642 (cost of $8,661) and $(265,409) (proceeds of $267,759) as of September 30, 2017 and December 31, 2016, respectively.

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.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

Net Income (Loss) Per Redeemable Unit. Net income (loss) per Redeemable Unit 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.

3.	Financial Highlights:

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


Class A
	Three Months Ended								Nine Months Ended
	September 30,								September 30,
	2017				2016				2017				2016
Per Redeemable Unit Performance (for a unit outstanding throughout the period):^*
Net realized and unrealized gains (losses)	$	(16.76	)		$	0.58			$	(4.72	)		$	15.20
Net investment loss		(15.66	)			(19.81	)			(50.56	)			(59.99	)

Increase (decrease) for the period		(32.42	)			(19.23	)			(55.28	)			(44.79	)
Net asset value per Redeemable Unit, beginning of period		1,231.43				1,302.60				1,254.29				1,328.16

Net asset value per Redeemable Unit, end of period	$	1,199.01			$	1,283.37			$	1,199.01			$	1,283.37


	Three Months Ended								Nine Months Ended
	September 30,								September 30,
	2017				2016				2017				2016
Ratios to Average Limited Partners’ Capital:**
Net investment loss ^***		(5.1	)	%		(5.7	)	%		(5.4	)	%		(6.1	)	%


Operating expenses		5.9		%		5.8		%		6.0		%		5.9		%
Incentive fees		0.1		%		0.1		%		0.2		%		0.4		%


Total expenses		6.0		%		5.9		%		6.2		%		6.3		%


Total return:
Total return before incentive fees		(2.5	)	%		(1.4	)	%		(4.2	)	%		(3.0	)	%
Incentive fees		(0.1	)	%		(0.1	)	%		(0.2	)	%		(0.4	)	%


Total return after incentive fees		(2.6	)	%		(1.5	)	%		(4.4	)	%		(3.4	)	%

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 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 of the Partnership and include the income and expenses allocated from the Funds.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

4.	Trading Activities:

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

The futures brokerage account agreements with MS&Co. give the Partnership and the Funds the legal right to net unrealized gains and losses on open futures, forward and option contracts in the Statements of Financial Condition. The Partnership and the Funds net, 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.

All of the commodity interests owned by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended September 30, 2017 and 2016 were 1,209 and 1,007, respectively. The monthly average number of futures contracts traded directly by the Partnership during the nine months ended September 30, 2017 and 2016 were 2,014 and 2,442 respectively. The monthly average number of option contracts traded directly by the Partnership during the three months ended September 30, 2017 and 2016 were 97 and 0, respectively. The monthly average number of option contracts traded directly by the Partnership during the nine months ended September 30, 2017 and 2016 were 59 and 0, respectively. The monthly average notional value of currency forward contracts traded directly by the Partnership during the three months ended September 30, 2017 and 2016 were $89,134,286 and $10,650,973, respectively. The monthly average notional value of currency forward contracts traded directly by the Partnership during the nine months ended September 30, 2017 and 2016 were $62,032,845 and $20,069,124, respectively.

Trading and transaction fees are based on the number of trades executed by the Advisors and the Partnership’s percentage ownership of each respective Fund.

All clearing fees paid to MS&Co. are borne directly by the Partnership for its direct trading. In addition, clearing fees are borne by the Funds and are allocated to the Funds’ limited partners, including the Partnership.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Partnership’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			Amounts			Gross Amounts Not Offset in the
				Offset in the			Presented in the			Statements of Financial Condition
				Statements of			Statements of					Cash Collateral
	Gross Amounts			Financial			Financial			Financial		Received/
September 30, 2017	Recognized			Condition			Condition			Instruments		Pledged*		Net Amount

Assets
Futures	$	354,618		$	(354,618	)	$	-		$	-	$	-	$	-
Forwards		52,983			(44,748	)		8,235			-		-		8,235

Total assets	$	407,601		$	(399,366	)	$	8,235		$	-	$	-	$	8,235


Liabilities
Futures	$	(518,751	)	$	354,618		$	(164,133	)	$	-	$	-	$	(164,133)
Forwards		(44,748	)		44,748			-			-		-		-

Total liabilities	$	(563,499	)	$	399,366		$	(164,133	)	$	-	$	-	$	(164,133)

Net Fair Value														$	(155,898)	*


				Gross Amounts			Amounts			Gross Amounts Not Offset in the
				Offset in the			Presented in the			Statements of Financial Condition
				Statements of			Statements of					Cash Collateral
	Gross Amounts			Financial			Financial			Financial		Received/
December 31, 2016	Recognized			Condition			Condition			Instruments		Pledged*		Net Amount

Assets
Futures	$	365,927		$	(343,652	)	$	22,275		$	-	$	-	$	22,275

Total assets	$	365,927		$	(343,652	)	$	22,275		$	-	$	-	$	22,275


Liabilities
Futures	$	(343,652	)	$	343,652		$	-		$	-	$	-	$	-

Total liabilities	$	(343,652	)	$	343,652		$	-		$	-	$	-	$	-

Net Fair Value														$	22,275	*

In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’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.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

The following tables indicate the gross fair values of derivative instruments of futures, forward and option contracts, as applicable, held directly by the Partnership as separate assets and liabilities as of September 30, 2017 and December 31, 2016, respectively.


	September 30, 2017
Assets
Futures Contracts
Currencies	$	1,494
Energy		92,986
Grains		24,781
Indices		150,154
Interest Rates U.S.		1,937
Interest Rates Non-U.S.		21,712
Livestock		44,752
Metals		6,077
Softs		10,725

Total unrealized appreciation on open futures contracts		354,618


Liabilities
Futures Contracts
Currencies		(99,786	)
Energy		(131,698	)
Grains		(20,678	)
Indices		(138,400	)
Interest Rates U.S.		(1,203	)
Interest Rates Non-U.S.		(3,405	)
Livestock		(27,232	)
Metals		(78,008	)
Softs		(18,341	)

Total unrealized depreciation on open futures contracts		(518,751	)


Net unrealized depreciation on open futures contracts	$	(164,133)		*


Assets
Forward Contracts
Currencies	$	52,983

Total unrealized appreciation on open forward contracts		52,983


Liabilities
Forward Contracts
Currencies		(44,748	)

Total unrealized depreciation on open forward contracts		(44,748	)

Net unrealized appreciation on open forward contracts	$	8,235		**


Assets
Options Purchased
Energy	$	39,741

Total options purchased	$	39,741		***

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

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

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

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)


	December 31, 2016
Assets
Futures Contracts
Currencies	$	20,075
Energy		10,875
Grains		33,090
Indices		126,605
Interest Rates U.S.		19,212
Interest Rates Non-U.S.		78,347
Livestock		29,680
Metals		16,503
Softs		31,540

Total unrealized appreciation on open futures contracts		365,927


Liabilities
Futures Contracts
Currencies		(50,048	)
Energy		(9,015	)
Grains		(87,992	)
Indices		(93,336	)
Interest Rates U.S.		(28,812	)
Interest Rates Non-U.S.		(25,482	)
Livestock		(2,900	)
Metals		(33,448	)
Softs		(12,619	)

Total unrealized depreciation on open futures contracts		(343,652	)

Net unrealized appreciation on open futures contracts	$	22,275		*

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

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and nine months ended September 30, 2017 and 2016, respectively.


	Three Months Ended								Nine Months Ended
	September 30,								September 30,
Sector	2017				2016				2017				2016
Currencies	$	363,952			$	(238,131	)		$	493,307			$	265,224
Energy		(173,126	)			756,538				(357,316	)			813,101
Grains		10,579				127,735				(788,473	)			82,116
Indices		288,760				143,193				623,670				225,290
Interest Rates U.S.		(20,734	)			51,632				(273,953	)			(1,260,625	)
Interest Rates Non-U.S.		(21,170	)			(200,649	)			97,678				1,172,216
Livestock		(108,608	)			(457	)			(17,688	)			(42	)
Metals		144,355				(25,213	)			(90,857	)			(502,891	)
Softs		(101,360	)			(368	)			(432,264	)			(5,355	)

Total	$	382,648		****	$	614,280		****	$	(745,896	)	****	$	789,034		*	***

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

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

5.	Fair Value Measurements:

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

The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs 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 Partnership and the Funds consider prices for exchange-traded commodity futures, forward, swap and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain option contracts for which market quotations are not readily available are priced by pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of September 30, 2017 and December 31, 2016 and for the periods ended September 30, 2017 and 2016, the Partnership and the Funds 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	$	354,618	$	354,618	$	-	$	-
Forwards		52,983		-		52,983		-
Options		39,741		39,741		-		-

Total assets	$	447,342	$	394,359	$	52,983	$	-


Liabilities
Futures	$	518,751	$	518,751	$	-	$	-
Forwards		44,748		-		44,748		-

Total liabilities	$	563,499	$	518,751	$	44,748	$	-


December 31, 2016	Total		Level 1		Level 2		Level 3
Assets
Futures	$	365,927	$	365,927	$	-	$	-

Total assets	$	365,927	$	365,927	$	-	$	-


Liabilities
Futures	$	343,652	$	343,652	$	-	$	-

Total liabilities	$	343,652	$	343,652	$	-	$	-

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

6.	Investment in the Funds:

On September 1, 2012, the assets allocated to Cambridge for trading were invested in Cambridge Master, a limited partnership organized under the partnership laws of the State of Delaware. Cambridge Master permits accounts managed by Cambridge using the Asian Markets Alpha Programme and the Emerging Markets Alpha Programme, each a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Cambridge Master. Individual and pooled accounts currently managed by Cambridge, including the Partnership, are permitted to be limited partners of Cambridge Master. The General Partner and Cambridge believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. The General Partner and Cambridge agreed that Cambridge will trade the Partnership’s assets allocated to Cambridge at a level that is up to 1.5 times the amount of assets allocated. The amount of leverage may be increased or decreased in the future. However, in no event will the amount of leverage be greater than 2 times the amount of assets allocated.

On August 1, 2013, the assets allocated to SECOR for trading were invested in SECOR Master, a limited partnership organized under the partnership laws of the State of Delaware. SECOR Master permits accounts managed by SECOR using a variation of the program traded by SECOR Alpha Master Fund L.P., a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of SECOR Master. Individual and pooled accounts currently managed by SECOR are permitted to be limited partners of SECOR Master. The General Partner and SECOR believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. The General Partner and SECOR agreed that SECOR will trade the Partnership’s assets allocated to SECOR at a level that is up to 1.5 times the amount of assets allocated. The amount of leverage may be increased or decreased in the future. However, in no event will the amount of leverage be greater than 2 times the amount of assets allocated.

Effective January 1, 2013, the assets traded directly by Willowbridge using its wPraxis Futures Trading Approach were invested in Willowbridge Master, a limited partnership organized under the partnership laws of the State of New York. Effective February 28, 2017, the Partnership fully redeemed its investment in Willowbridge Master.

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

The Funds’ and the Partnership’s trading of futures, forward and option contracts, as applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with MS&Co.

Generally, a limited partner in the Funds withdraws all or part of its capital contribution and undistributed profits, if any, from the Funds 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 elects to redeem and informs the Funds. However, a limited partner may request a withdrawal as of the end of any day if such request is received by the General Partner at least three days in advance of the proposed withdrawal day.

Management fees, ongoing selling agent fees, the General Partner fees and incentive fees are charged at the Partnership level. Professional fees are borne by the Funds and allocated to the Partnership, and also charged directly at the Partnership level. Clearing fees are borne by the Funds and allocated to the Funds’ limited partners, including the Partnership. Clearing fees are also borne by the Partnership directly.

At September 30, 2017, the Partnership owned approximately 32.3% of SECOR Master and 9.2% of Cambridge Master. At December 31, 2016, the Partnership owned approximately 49.1% of SECOR Master, 26.2% of Cambridge Master and 1.0% of Willowbridge Master. It is the Partnership’s intention to continue to invest in the Funds (except Willowbridge Master). The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of investment in the Funds are approximately the same as they would be if the Partnership traded directly and the redemption rights are not affected.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

Summarized information reflecting the total assets, liabilities and partners’ capital of the Funds is shown in the following tables:


	September 30, 2017
	Total Assets		Total Liabilities		Total Partners’ Capital
	Total Assets		Total Liabilities		Total Partners’ Capital
SECOR Master	$	25,872,338	$	729,532	$	25,142,806
Cambridge Master		37,588,153		37,728		37,550,425

	December 31, 2016
	Total Assets		Total Liabilities		Total Partners’ Capital
SECOR Master	$	39,231,542	$	679,104	$	38,552,438
Cambridge Master		58,282,466		1,125,600		57,156,866
Willowbridge Master		396,846,845		5,348,232		391,498,613

Summarized information reflecting the net investment income (loss), total trading results and net income (loss) of the Funds is shown in the following tables:


	For the three months ended September 30, 2017
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
SECOR Master	$	8,727		$	(2,449,650	)	$	(2,440,923	)
Cambridge Master		42,206			(1,947,071	)		(1,904,865	)

	For the nine months ended September 30, 2017
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
SECOR Master	$	(5,327	)	$	(1,070,201	)	$	(1,075,528	)
Cambridge Master		105,724			3,712,345			3,818,069
Willowbridge Master ^(a)		155,028			(5,302,674	)		(5,147,646	)

	For the three months ended September 30, 2016
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
SECOR Master	$	(50,084	)	$	2,380,570		$	2,330,486
Cambridge Master		(3,827	)		(5,491,999	)		(5,495,826	)
Willowbridge Master		(38,070	)		(8,182,932	)		(8,221,002	)

	For the nine months ended September 30, 2016
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
SECOR Master	$	(195,808	)	$	2,774,132		$	2,578,324
Cambridge Master		3,746			(2,913,416	)		(2,909,670	)
Willowbridge Master		(222,525	)		(18,740,739	)		(18,963,264	)

(a) From January 1, 2017 through February 28, 2017, the date the Partnership fully redeemed its interest in Willowbridge Master.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

Summarized information reflecting the Partnership’s investments in and the Partnership’s pro-rata share of the results of operations of the Funds is shown in the following tables:


	September 30, 2017					For the three months ended September 30, 2017
	% of								Expenses				Net
	Partners’			Fair		Income			Clearing		Professional		Income			Investment		Redemptions
Funds	Capital			Value		(Loss)			Fees		Fees		(Loss)			Objective		Permitted
SECOR Master		16.71	%	$	8,136,648	$	(812,825	)	$	44,788	$	5,773	$	(863,386	)		Commodity Portfolio	Monthly
Cambridge Master		7.10	%		3,454,254		(239,930	)		3,572		1,867		(245,369	)		Commodity Portfolio	Monthly

Total				$	11,590,902	$	(1,052,755	)	$	48,360	$	7,640	$	(1,108,755	)


	September 30, 2017					For the nine months ended September 30, 2017
	% of								Expenses				Net
	Partners’			Fair		Income			Clearing		Professional		Income			Investment		Redemptions
Funds	Capital			Value		(Loss)			Fees		Fees		(Loss)			Objective		Permitted
SECOR Master		16.71	%	$	8,136,648	$	(124,335	)	$	137,951	$	19,682	$	(281,968	)		Commodity Portfolio	Monthly
Cambridge Master		7.10	%		3,454,254		968,844			13,517		7,812		947,515			Commodity Portfolio	Monthly
Willowbridge Master^(a)		0.00	%		-		(11,539	)		612		62		(12,213	)		Commodity Portfolio	Monthly

Total				$	11,590,902	$	832,970		$	152,080	$	27,556	$	653,334


	December 31, 2016					For the three months ended September 30, 2016
	% of								Expenses				Net
	Partners’			Fair		Income			Clearing		Professional		Income			Investment		Redemptions
Funds	Capital			Value		(Loss)			Fees		Fees		(Loss)			Objective		Permitted
SECOR Master		29.63	%	$	18,932,359	$	1,106,480		$	63,915	$	9,162	$	1,033,403			Commodity Portfolio	Monthly
Cambridge Master		23.42	%		14,960,410		(1,497,401	)		9,041		5,442		(1,511,884	)		Commodity Portfolio	Monthly
Willowbridge Master		6.16	%		3,937,335		(174,168	)		5,808		441		(180,417	)		Commodity Portfolio	Monthly

Total				$	37,830,104	$	(565,089	)	$	78,764	$	15,045	$	(658,898	)


	December 31, 2016					For the nine months ended September 30, 2016
	% of								Expenses				Net
	Partners’			Fair		Income			Clearing		Professional		Income			Investment		Redemptions
Funds	Capital			Value		(Loss)			Fees		Fees		(Loss)			Objective		Permitted
SECOR Master		29.63	%	$	18,932,359	$	1,348,719		$	238,343	$	26,215	$	1,084,161			Commodity Portfolio	Monthly
Cambridge Master		23.42	%		14,960,410		(537,484	)		21,722		19,078		(578,284	)		Commodity Portfolio	Monthly
Willowbridge Master		6.16	%		3,937,335		(423,008	)		21,782		1,651		(446,441	)		Commodity Portfolio	Monthly

Total				$	37,830,104	$	388,227		$	281,847	$	46,944	$	59,436

(a) From January 1, 2017 through February 28, 2017, the date the Partnership fully redeemed its interest in Willowbridge Master.

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

7.	Financial Instrument Risks:

In the normal course of business, the Partnership and the Funds are parties 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, swap and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. 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 related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 35.2% to 55.1% of the Partnership’s/Funds’ contracts are traded OTC.

Futures Contracts. The Partnership and the Funds trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds 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 Partnership and the Funds. When the contract is closed, the Partnership and the Funds record 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 Partnership’s/Funds’ Statements of Income and Expenses.

Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Partnership and the Funds agree 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 Partnership’s and Funds’ 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 Partnership’s/Funds’ 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 Partnership’s/Funds’ Statements of Income and Expenses.

London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Partnership and the Funds are cash settled based on prompt dates published by the LME. Variation margin may be made or received by the Partnership and the Funds 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 Partnership and the Funds. 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 Partnership and the Funds record 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 Partnership’s/Funds’ Statements of Income and Expenses.

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

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

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

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership and the Funds are exposed to a 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/Funds’ risk of loss in the event of 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/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk, as MS&Co., an MS&Co. affiliate or JPMorgan are counterparties or brokers with respect to the Partnership’s/Funds’ 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/Funds’ counterparty is an exchange or clearing organization.

The General Partner monitors and attempts to mitigate the Partnership’s/Funds’ 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/Funds 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, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

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

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. The limited liability is a result of the organization of the Partnership as a limited partnership under New York law.

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

8.	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. Its assets are its (i) investment in the Funds, (ii) equity in trading account, consisting of unrestricted cash, restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, options purchased at fair value and investment in U.S. Treasury bills at fair value, if applicable, (iii) cash at bank and (iv) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its direct investments and investment in the Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2017.

The Partnership’s/Funds’ 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 Partnership and/or the Funds from promptly liquidating their 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 Partnership and/or the Funds from trading in potentially profitable markets or prevent the Partnership and/or the Funds from promptly liquidating unfavorable positions in such markets, subjecting them 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 Funds’ assets.

Other than the risks inherent in commodity futures, forward, options, swaps and other derivatives trading and U.S. Treasury bills and money market mutual fund securities, the Partnership and the Funds 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 Funds’ liquidity increasing or decreasing in any material way.

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by net realized and/or unrealized gains or losses on trading and by 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 23.8% from $63,890,718 to $48,687,375. This decrease was attributable to redemptions of 10,419.3430 Class A limited partner Redeemable Units totaling $12,942,123, redemptions of 572.7556 Class A General Partner Redeemable Units totaling $706,349 and a net loss of $2,368,164, which was partially offset by subscriptions for 124.9570 Class A limited partner Redeemable Units totaling $157,041 and subscriptions for 656.2520 Class Z General Partner Redeemable Units totaling $656,252. Future redemptions can impact the amount of funds available for investment 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 Funds’ capital resource arrangements at the present time.

Off-Balance Sheet Arrangements and Contractual Obligations

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

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. The General Partner believes that the estimates 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 and the Funds record all investments at fair value in their financial statements, with changes in fair value reported as a component of net realized gains (losses) and net change in unrealized gains (losses) in the Statements of Income and Expenses.

Results of Operations

During the Partnership’s third quarter of 2017, the net asset value per Class A Redeemable Unit decreased 2.6% from $1,231.43 to $1,199.01, as compared to a decrease of 1.5% in the third quarter of 2016. During the Partnership’s third quarter of 2017, the net asset value per Class Z Redeemable Unit decreased 2.1% from $1,000.00 to $978.59. The Partnership experienced a net trading loss before fees and expenses in the third quarter of 2017 of $704,952. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains, U.S. interest rates, livestock and softs and were partially offset by gains in indices, metals and non-U.S. interest rates. The Partnership experienced a net trading gain before fees and expenses in the third quarter of 2016 of $21,062. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains, livestock, softs and indices, and were partially offset by losses in currencies, U.S. and non-U.S. interest rates and metals.

The most significant losses were incurred within the agricultural sector primarily during July from short positions in soybean futures as drought conditions in portions of the Midwest threatened crops, pushing prices higher. Further losses were experienced in this sector during July from short futures positions in coffee, sugar, and cocoa. Within the energy complex, losses were recorded during the second half of the September from long futures positions in natural gas as prices decreased amid mild weather and speculation of an increase in stockpiles. Within the currency sector, losses were recorded during the first half of August from long positions in the Canadian dollar versus the U.S. dollar as the relative value of the U.S. dollar increased amid positive U.S. jobs data, which led to speculation that the U.S. Federal Reserve would increase interest rates. The Partnership’s losses for the quarter were partially offset by gains achieved within the metals complex during August from long positions in industrials metals futures as prices climbed higher amid a recovery in Chinese demand and mining labor disputes. Within the global stock index markets, gains were recorded during July and August from long positions in U.S., Asian, and European equity index futures as prices were buoyed by growing confidence in the strength of the global economy.

During the Partnership’s nine months ended September 30, 2017, the net asset value per Class A Redeemable Unit decreased 4.4% from $1,254.29 to $1,199.01, as compared to a decrease of 3.4% in the nine months ended September 30, 2016. For the period from July 1, 2017 (date of first issuance) to September 30, 2017, the net asset value per Class Z Redeemable Unit decreased 2.1% from $1,000.00 to $978.59. The Partnership experienced a net trading loss before fees and expenses in the nine months ended September 30, 2017 of $23,186. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains, U.S. and non-U.S. interest rates, livestock, metals and softs and were partially offset by gains in currencies and indices. The Partnership experienced a net trading gain before fees and expenses in the nine months ended September 30, 2016 of $1,092,030. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains, non-U.S. interest rates, livestock, softs and indices, and were partially offset by losses in currencies, U.S. interest rates and metals.

The most significant losses were incurred within the agricultural markets primarily during the first half of February from short positions in corn and wheat futures as prices rose following an improved outlook for U.S. exports. Smaller losses in this sector were recorded from the soft commodity markets throughout the first quarter. During late June, additional losses within the agricultural markets were experienced from short wheat and soybeans futures positions as prices rose sharply after the U.S. Department of Agriculture added to supply concerns by reporting soybean and spring wheat acres were below expectations. During July, losses were recorded from short positions in soybean futures as drought conditions in portions of the Midwest threatened crops, pushing prices higher. Further losses in this sector were experienced during July from short futures positions in coffee, sugar, and cocoa. Within the energy complex, losses were experienced primarily during January from long positions in natural gas futures as prices decreased due to milder-than-normal temperatures in North America. Additional losses were experienced during January and March from long futures positions in oil distillates. Further losses in the energies were recorded during April from both long and short natural gas futures positions as prices whipsawed as investors speculated on U.S. storage levels and natural gas demand. During September, losses in this sector were from long futures positions in natural gas. Losses within the metals sector were incurred primarily during March from long positions in gold and silver futures as prices retreated during the first half of the month as rising interest rates diminished precious metal demand. Losses were also incurred in the metals complex during March through June from long and short industrial metals futures positions as prices whipsawed as investors digested information relating to the value of the U.S. dollar and Chinese demand. Additional losses were experienced in this complex during July from futures positions in copper. Within the global interest rate sector, losses were recorded during February and March from long and short fixed income futures positions as prices whipsawed amid rising populist sentiment in the Eurozone and speculation of the U.S. Federal Reserve’s monetary policy. Additional losses in the sector were recorded primarily during the last week of June from long European fixed income futures positions as prices reversed lower following comments by Mario Draghi, President of the European Central Bank, expressing optimism on Eurozone inflation. A portion of the Partnership’s losses for the first nine months of the year was offset by trading gains achieved within the global stock index sector from long positions in U.S., European, and Asian equity index futures as prices rallied January, March, May, July, and August amid positive economic data within all three regions and a renewed bullishness relating to potential global economic growth. Additional gains were experienced in this sector during June from short European equity index futures positions as prices declined as the European Central Bank’s monetary policy grew more hawkish. Within the currency sector, gains were primarily recorded during the first half of the February from short positions in the Swedish krona versus the U.S. dollar as the relative value of the dollar strengthened following comments released by President Trump that renewed expectations of faster U.S. economic growth. Additional gains within the currency markets were experienced during April from short positions in the Canadian and Australian dollars (“commodity currencies”) versus the U.S. dollar as the value of these commodity currencies declined as commodity prices broadly decreased and weak economic data surfaced in each country, respectively. During July, further gains were experienced in the currency sector from long positions in the Canadian dollar and Norwegian krone.

Commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Partnership/Funds depends on the existence of major price trends and the ability of the Advisors 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 Advisors are able to identify them, the Partnership expects to increase capital through operations.

Interest income on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) MS&Co. 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 each Fund’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 Funds, as applicable. Interest income for the three and nine months ended September 30, 2017 increased by $77,927 and $175,492, respectively, as compared to the corresponding periods in 2016. The increase in interest income is primarily due to higher 4-week U.S. Treasury bill discount rates during the three and 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 is dependent upon (1) the average daily equity maintained in cash in the Partnership’s and/or the applicable Fund’s accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Funds and (3) interest rates over which none of the Partnership, the Funds or MS&Co. has control.

Certain clearing fees are based on the number of trades executed by the Advisors for the Partnership/Funds. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees related to direct investments for the three and nine months ended September 30, 2017 decreased by $3,014 and $31,424, respectively, as compared to the corresponding periods in 2016. The decrease in these clearing fees is primarily due to a decrease in the number of direct trades made by the Partnership during the three and nine months ended September 30, 2017 as compared to the corresponding periods in 2016.

Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value of Class A Redeemable Units as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in monthly net asset values. Ongoing selling agent fees for the three and nine months ended September 30, 2017 decreased by $126,812 and $411,083, 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 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 assets per Class as of the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in monthly net asset values. Management fees for the three and nine months ended September 30, 2017 decreased by $100,173 and $338,222, 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 advisors, (ii) allocating and reallocating the Partnership’s assets among the commodity trading advisors and (iii) monitoring the activities of the commodity trading advisors. These fees are calculated as a percentage of the Partnership’s adjusted net assets per Class as of the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in monthly net asset values. General Partner fees for the three and nine months ended September 30, 2017 decreased by $61,958 and $204,310, 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 to the Advisors are based on the new trading profits generated by each Advisor at the end of the quarter, as defined in the respective management agreements among the Partnership, the General Partner and each Advisor. Trading performance for the three and nine months ended September 30, 2017 resulted in incentive fees of $24,101 and $118,265, respectively. Trading performance for the three and nine months ended September 30, 2016 resulted in incentive fees of $110,217 and $290,666, respectively. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid incentive fees until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

The General Partner is also paid an incentive fee payable annually equal to 5% of the Partnership’s overall New Trading Profits, as defined in the Partnership’s limited partnership agreement, earned in each calendar year. Trading performance for the three and nine months ended September 30, 2017 and 2016 did not result in any General Partner incentive fees.

In allocating the assets of the Partnership among the Advisors, the General Partner considers, among other factors, the background of the Advisors’ principals, as well as the Advisors’ trading styles, strategies and markets traded, expected volatility, trading results (to the extent available) and fee requirements. The General Partner may modify or terminate the allocation of assets among the Advisors and may allocate assets to additional advisors at any time.

As of September 30, 2017 and June 30, 2017, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:


			September 30, 2017					June 30, 2017
			(percentage of					(percentage of
Advisor	September 30, 2017		Partners’ Capital)			June 30, 2017		Partners’ Capital)
AE Capital	$	9,798,082		20	%	$	10,928,754		21	%
Cambridge		2,803,390		6	%		6,184,960		12	%
Harbour Square		11,407,240		23	%		14,591,071		27	%
Independent View		7,508,092		15	%		9,843,279		18	%
Launchpad		9,706,471		20	%		-		-	%
SECOR		7,464,100		16	%		11,905,696		22	%

Item 3. Quantitative and Qualitative Disclosures about Market Risk.

The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by the Partnership and the Funds are acquired for speculative trading purposes, and all or substantially all of the Partnership’s/Funds’ 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 Partnership’s/Funds’ 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 Partnership’s/Funds’ open positions and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.

The Partnership/Funds rapidly acquire and liquidate 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 Partnership’s/Funds’ past performance is not necessarily indicative of their future results.

Quantifying the Partnership’s and the Funds’ Trading Value at Risk

The following quantitative disclosures regarding the Partnership’s and the Funds’ 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 Partnership and the Funds account for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s and each Fund’s open positions is directly reflected in the Partnership’s and each Fund’s earnings and cash flow.

The Partnership’s and the Funds’ risk exposure in the market sectors traded by the Advisors 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 Advisors in their daily risk management activities.

“Value at Risk” is a measure of the maximum amount which the Partnership/Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Funds’ speculative trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s/Funds’ 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 Partnership’s/Funds’ losses in any market sector will be limited to Values at Risk or by the Partnership’s/Funds’ attempts to manage their market risk.

Exchange margin requirements have been used by the Partnership/Funds as the measure of their 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 risk sensitive instruments. Cambridge and SECOR currently trade the Partnership’s assets indirectly in master fund managed accounts established in the name of the master fund over which they have been granted limited authority to make trading decisions. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investments in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed accounts in the Partnership’s name traded by certain Advisors) and indirectly by each Fund separately. 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.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of September 30, 2017 and December 31, 2016, as applicable. As of September 30, 2017, the Partnership’s total capitalization was $48,687,375.


September 30, 2017
			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	3,265,365		6.71	%
Energy		473,531		0.97
Grains		172,308		0.35
Indices		2,822,880		5.80
Interest Rates U.S.		95,953		0.20
Interest Rates Non-U.S.		217,313		0.45
Livestock		125,905		0.26
Metals		484,803		0.99
Softs		299,898		0.62

Total	$	7,957,956		16.35	%


As of December 31, 2016, the Partnership’s total capitalization was $63,890,718.

December 31, 2016
			% of Total
Market Sector	Value at Risk		Capitalization
Currencies	$	9,340,618		14.62	%
Energy		240,032		0.38
Grains		534,238		0.84
Indices		4,628,954		7.25
Interest Rates U.S.		259,578		0.41
Interest Rates Non-U.S.		696,930		1.09
Livestock		67,341		0.11
Metals		1,077,578		1.69
Softs		329,266		0.52

Total	$	17,174,535		26.91	%

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds 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 the twelve months ended December 31, 2016. All open contracts trading risk exposures have been included in calculating the figures set forth below.

As of September 30, 2017 and December 31, 2016, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:


September 30, 2017
						Three Months Ended September 30, 2017
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	1,318,985		2.71	%	$	2,107,052	$	688,087	$	1,592,619
Energy		356,174		0.73			535,832		33,059		287,869
Grains		119,197		0.24			136,912		38,763		114,290
Indices		1,106,161		2.27			1,685,308		807,536		1,250,993
Interest Rates U.S.		21,973		0.05			73,019		4,335		19,069
Interest Rates Non-U.S.		52,006		0.11			94,596		19,402		57,651
Livestock		97,020		0.20			114,125		1,925		44,935
Metals		120,271		0.25			159,205		45,155		107,355
Softs		115,577		0.24			160,864		24,420		88,106

Total	$	3,307,364		6.80	%


* Average of month-end Values at Risk.
December 31, 2016
						Twelve Months Ended December 31, 2016
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	354,277		0.55	%	$	3,413,780	$	-	$	774,131
Energy		38,688		0.06			766,833		-		252,181
Grains		349,906		0.55			465,671		-		112,407
Indices		1,717,640		2.69			4,143,445		-		1,529,817
Interest Rates U.S.		118,379		0.19			804,067		-		263,503
Interest Rates Non-U.S.		189,887		0.30			1,313,118		-		432,795
Livestock		56,100		0.09			124,740		-		14,905
Metals		96,993		0.15			293,755		-		80,380
Softs		171,160		0.27			206,393		-		28,995

Total	$	3,093,030		4.85	%

*	Annual average of month-end Values at Risk.

As of September 30, 2017, Cambridge Master’s total capital was $37,550,425. The Partnership owned approximately 9.2% of Cambridge Master. As of September 30, 2017, Cambridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Cambridge for trading) was as follows:


September 30, 2017

						Three Months Ended September 30, 2017
			% of Total			High		Low		Average
Market Sector	Value at Risk		Capitalization			Value at Risk		Value at Risk		Value at Risk*
Currencies	$	14,819,624		39.47	%	$	24,251,969	$	6,966,911	$	10,742,790

Total	$	14,819,624		39.47	%

*	Average of month-end Values at Risk.

As of December 31, 2016, Cambridge Master’s total capitalization was $57,156,866. The Partnership owned approximately 26.2% of Cambridge Master. As of December 31, 2016, Cambridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Cambridge for trading) 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	$	20,142,391		35.24	%	$	44,182,579	$	15,170,546	$	28,591,831

Total	$	20,142,391		35.24	%

*	Annual average of month-end Values at Risk.

As of September 30, 2017, SECOR Master’s total capitalization was $25,142,806. The Partnership owned approximately 32.3% of SECOR Master. As of September 30, 2017, SECOR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SECOR for trading) 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	$	1,804,995		7.18	%	$	7,173,560	$	1,484,712	$	2,695,052
Energy		362,894		1.44			635,149		266,864		396,292
Grains		164,230		0.65			248,335		124,449		175,874
Indices		5,308,468		21.11			6,746,039		4,473,552		5,682,429
Interest Rates U.S.		228,763		0.91			480,563		2,513		152,027
Interest Rates Non-U.S.		511,166		2.03			669,581		410,172		541,210
Livestock		89,320		0.36			238,480		85,690		167,173
Metals		1,127,212		4.48			3,169,014		621,458		1,366,596
Softs		569,962		2.27			691,081		410,287		574,543

Total	$	10,167,010		40.43	%

*	Average of month-end Values at Risk.

As of December 31, 2016, SECOR Master’s total capitalization was $38,552,438. The Partnership owned approximately 49.1% of SECOR Master. As of December 31, 2016, SECOR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SECOR for trading) was as follows:


December 31, 2016

						Twelve Months Ended December 31, 2016
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	7,412,490		19.23	%	$	9,297,022	$	3,479,321	$	6,171,444
Energy		313,743		0.81			738,344		85,827		418,421
Grains		375,442		0.97			798,088		313,775		478,189
Indices		5,764,380		14.95			9,278,310		3,472,804		7,151,247
Interest Rates U.S.		263,619		0.68			1,126,807		55,598		502,372
Interest Rates Non-U.S.		987,769		2.56			2,015,495		604,335		1,225,344
Livestock		22,896		0.06			327,195		20,421		173,646
Metals		1,990,671		5.16			4,453,106		1,293,843		2,480,887
Softs		322,025		0.84			696,841		135,485		328,255

Total	$	17,453,035		45.26	%

*	Annual average of month-end Values at Risk.

As of February 28, 2017, the Partnership fully redeemed its investment in Willowbridge Master. As of December 31, 2016, Willowbridge Master’s total capitalization was $391,498,613. The Partnership owned approximately 1.0% of Willowbridge Master. As of December 31, 2016, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:


December 31, 2016

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

Total	$	23,937,610		6.11	%

*	Annual average of month-end Values at Risk.

Item 4. Controls and Procedures.

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

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

The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of 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 lA. 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 no additional subscriptions of Class A Redeemable Units. Redeemable Units are 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. Redeemable Units are purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relies on the fact that Redeemable Units are purchased by accredited investors in a private offering.

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

The following chart sets forth the purchases of limited partner Redeemable Units by the Partnership.


Period	Class A (a) Total Number of Redeemable Units Purchased*		Class A (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		962.3810	$	1,218.48		N/A		N/A
August 1, 2017 - August 31, 2017		782.1020	$	1,222.07		N/A		N/A
September 1, 2017 - September 30, 2017		1,059.7140	$	1,199.01		N/A		N/A
		2,804.1970	$	1,212.12

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 last day of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.

Item 3. Defaults Upon Senior Securities. — None.

Item 4. Mine Safety Disclosures. — Not Applicable.

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.


EMERGING CTA PORTFOLIO 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

EMERGING CTA PORTFOLIO LP Reports

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