CERES ORION L.P. - FORM 10-Q

Attached files

file	filename
EX-32.2 - EX-32.2 - CERES ORION L.P.	d144215dex322.htm
EX-32.1 - EX-32.1 - CERES ORION L.P.	d144215dex321.htm
EX-31.2 - EX-31.2 - CERES ORION L.P.	d144215dex312.htm
EX-31.1 - EX-31.1 - CERES ORION L.P.	d144215dex311.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 March 31, 2021

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 0-50271

CERES ORION L.P.

(Exact name of registrant as specified in its charter)

New York

22-3644546

(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)

Securities registered pursuant to Section 12(b) of the Act: None.


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
N/A	N/A	N/A

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 every Interactive Data File required to be submitted 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 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 April 30, 2021, 115,095.8978 Limited Partnership Class A Redeemable Units were outstanding and 3,510.3432 Limited Partnership Class Z Redeemable Units were outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Ceres Orion L.P.

Statements of Financial Condition


	March 31, 2021 (Unaudited)		December 31, 2020
Assets:
Investment in the Funds⁽¹⁾, at fair value	$	127,390,127	$	136,268,790
Redemptions receivable from the Funds		3,400,881		2,439,045

Equity in trading account:
Unrestricted cash		189,301,254		206,600,821
Restricted cash		27,164,011		23,403,438
Net unrealized appreciation on open futures contracts		11,838,616		6,233,600
Options purchased, at fair value (premiums paid $2,547,120 and $2,680,600 at March 31, 2021 and December 31, 2020, respectively)		2,176,789		2,470,392

Total equity in trading account		230,480,670		238,708,251

Interest receivable		3,194		13,252

Total assets	$	361,274,872	$	377,429,338

Liabilities and Partners’ Capital:
Liabilities:
Options written, at fair value (premiums received $2,328,170 and $3,631,000 at March 31, 2021 and December 31, 2020, respectively)	$	1,970,422	$	2,311,171
Accrued expenses:
Ongoing selling agent fees		219,292		304,105
Management fees		251,102		268,910
General Partner fees		224,254		234,070
Incentive fees		2,568,766		1,837,005
Professional fees		279,016		302,374
Redemptions payable to General Partner		-		1,400,000
Redemptions payable to Limited Partners		6,303,366		11,516,958

Total liabilities		11,816,218		18,174,593

Partners’ Capital:
General Partner, Class Z, 3,334.2623 and 3,824.2873 Redeemable Units outstanding at March 31, 2021 and December 31, 2020, respectively		3,987,549		4,337,368
Limited Partners, Class A, 117,051.7878 and 126,595.8958 Redeemable Units outstanding at March 31, 2021 and December 31, 2020, respectively		341,209,822		350,633,583
Limited Partners, Class Z, 3,563.1492 and 3,777.0492 Redeemable Units outstanding at March 31, 2021 and December 31, 2020, respectively		4,261,283		4,283,794

Total partners’ capital (net asset value)		349,458,654		359,254,745

Total liabilities and partners’ capital	$	361,274,872	$	377,429,338

Net asset value per Redeemable Unit:
Class A	$	2,915.03	$	2,769.71

Class Z	$	1,195.93	$	1,134.16

⁽¹⁾ Defined in Note 1.

See accompanying notes to financial statements.

Ceres Orion L.P.

Condensed Schedule of Investments

March 31, 2021

(Unaudited)


	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		1,681	$	(481,534	)		(0.14	)%
Energy		13,826		2,484,695			0.71
Grains		3,130		2,213,302			0.63
Indices		813		2,506,651			0.72
Interest Rates U.S.		739		(62,172	)		(0.02	)
Interest Rates Non-U.S.		4,439		(463,024	)		(0.13	)
Livestock		353		439,500			0.13
Metals		861		1,522,956			0.44
Softs		1,950		(1,913,233	)		(0.55	)

Total futures contracts purchased				6,247,141			1.79


Futures Contracts Sold
Currencies		800		731,056			0.22
Energy		11,050		846,415			0.24
Grains		2,192		(1,878,062	)		(0.54	)
Indices		518		(795,654	)		(0.23	)
Interest Rates U.S.		1,109		2,327,932			0.67
Interest Rates Non-U.S.		1,502		830,023			0.24
Livestock		180		(122,790	)		(0.04	)
Metals		680		2,043,875			0.58
Softs		1,745		1,608,680			0.46

Total futures contracts sold				5,591,475			1.60

Net unrealized appreciation on open futures contracts			$	11,838,616			3.39	%


Options Purchased
Calls
Energy		1,176	$	1,976,674			0.57	%
Puts
Energy		1,199		200,115			0.06

Total options purchased (premiums paid $2,547,120)			$	2,176,789			0.63	%


Options Written
Calls
Energy		1,176	$	(707,876	)		(0.20	)%
Puts
Energy		1,437		(1,262,546	)		(0.36	)

Total options written (premiums received $2,328,170)			$	(1,970,422	)		(0.56	)%


Investment in the Funds
CMF TT II, LLC			$	67,066,960			19.19	%
CMF FORT Contrarian Master Fund LLC				46,549,268			13.32
CMF NL Master Fund LLC				13,773,899			3.94

Total investment in the Funds			$	127,390,127			36.45	%

See accompanying notes to financial statements.

Ceres Orion L.P.

Condensed Schedule of Investments

December 31, 2020


	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		1,645	$	947,605			0.26	%
Energy		14,777		3,242,381			0.90
Grains		2,971		6,008,789			1.67
Indices		1,030		1,256,496			0.35
Interest Rates U.S.		733		29,578			0.01
Interest Rates Non-U.S.		5,422		487,480			0.14
Livestock		208		123,572			0.03
Metals		585		2,898,137			0.81
Softs		1,881		1,746,166			0.49

Total futures contracts purchased				16,740,204			4.66


Futures Contracts Sold
Currencies		8		(3,856	)		(0.00	)*
Energy		8,877		324,465			0.09
Grains		2,462		(6,855,706	)		(1.91	)
Indices		354		50,799			0.01
Interest Rates U.S.		501		(70,696	)		(0.02	)
Interest Rates Non-U.S.		760		(101,298	)		(0.03	)
Livestock		191		(225,435	)		(0.06	)
Metals		324		(1,636,565	)		(0.46	)
Softs		1,747		(1,988,312	)		(0.54	)

Total futures contracts sold				(10,506,604	)		(2.92	)

Net unrealized appreciation on open futures contracts			$	6,233,600			1.74	%


Options Purchased
Calls
Energy		1,358	$	2,221,530			0.62	%
Puts
Energy		1,214		248,862			0.07

Total options purchased (premiums paid $2,680,600)			$	2,470,392			0.69	%


Options Written
Calls
Energy		1,878	$	(873,797	)		(0.24	)%
Puts
Energy		1,347		(1,437,374	)		(0.40	)

Total options written (premiums received $3,631,000)			$	(2,311,171	)		(0.64	)%


Investment in the Funds
CMF TT II, LLC			$	66,632,519			18.55	%
CMF FORT Contrarian Master Fund LLC				57,968,789			16.14
CMF NL Master Fund LLC				11,667,482			3.24

Total investment in the Funds			$	136,268,790			37.93	%

* Due to rounding.

See accompanying notes to financial statements.

Ceres Orion L.P.

Statements of Income and Expenses

(Unaudited)


	Three Months Ended March 31,
	2021			2020
Investment Income:
Interest income	$	21,675		$	392,973
Interest income allocated from the Funds		7,105			797,467

Total investment income		28,780			1,190,440

Expenses:
Expenses allocated from the Funds		1,733,093			747,109
Clearing fees related to direct investments		586,686			1,630,457
Ongoing selling agent fees		658,207			1,209,972
Management fees		756,934			1,240,559
General Partner fees		673,537			901,242
Incentive fees		2,568,765			3,310,643
Professional fees		238,437			262,730

Total expenses		7,215,659			9,302,712

Net investment loss		(7,186,879	)		(8,112,272	)

Trading Results:
Net gains (losses) on trading of commodity interests and investment in the Funds:
Net realized gains (losses) on closed contracts		10,432,023			17,484,357
Net realized gains (losses) on closed contracts allocated from the Funds		14,835,965			(26,990,408	)
Net change in unrealized gains (losses) on open contracts		4,571,635			309,911
Net change in unrealized gains (losses) on open contracts allocated from the Funds		(4,727,995	)		10,447,865

Total trading results		25,111,628			1,251,725

Net income (loss)	$	17,924,749		$	(6,860,547	)

Net income (loss) per Redeemable Unit*:
Class A	$	145.32		$	(40.76	)

Class Z	$	61.77		$	(13.80	)

Weighted average Redeemable Units outstanding:
Class A		122,441.2871			170,668.7368

Class Z		7,409.1508			9,765.2385

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

See accompanying notes to financial statements.

Ceres Orion L.P.

Statements of Changes in Partners’ Capital

For the Three Months Ended March 31, 2021 and 2020

(Unaudited)


	Class A						Class Z						Total
	Amount			Redeemable Units			Amount			Redeemable Units			Amount			Redeemable Units
Partners’ Capital, December 31, 2019	$	472,470,787			173,135.1328		$	10,800,464			9,765.2385		$	483,271,251			182,900.3713
Subscriptions - Limited Partners		1,164,297			425.2450			-			-			1,164,297			425.2450
Redemptions - Limited Partners		(31,128,679	)		(11,448.3980	)		(151,965	)		(139.1350	)		(31,280,644	)		(11,587.5330	)
Net income (loss)		(6,725,820	)		-			(134,727	)		-			(6,860,547	)		-

Partners’ Capital, March 31, 2020	$	435,780,585			162,111.9798		$	10,513,772			9,626.1035		$	446,294,357			171,738.0833


	Class A						Class Z						Total
	Amount			Redeemable Units			Amount			Redeemable Units			Amount			Redeemable Units
Partners’ Capital, December 31, 2020	$	350,633,583			126,595.8958		$	8,621,162			7,601.3365		$	359,254,745			134,197.2323
Subscriptions - Limited Partners		2,519,943			890.9890			19,685			17.3570			2,539,628			908.3460
Redemptions - General Partner		-			-			(575,000	)		(490.0250	)		(575,000	)		(490.0250	)
Redemptions - Limited Partners		(29,412,023	)		(10,435.0970	)		(273,445	)		(231.2570	)		(29,685,468	)		(10,666.3540	)
Net income (loss)		17,468,319			-			456,430			-			17,924,749			-

Partners’ Capital, March 31, 2021	$	341,209,822			117,051.7878		$	8,248,832			6,897.4115		$	349,458,654			123,949.1993

See accompanying notes to financial statements.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

1.	Organization:

Ceres Orion L.P. (the “Partnership”) is a limited partnership organized on March 22, 1999, under the partnership laws of the State of New York, to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, livestock, indices, United States (“U.S.”) and non-U.S. interest rates, softs and metals. The commodity interests that are traded by the Partnership, directly and indirectly through its investment in the Funds (as defined below), are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets (directly or indirectly through its investment in the Funds) in U.S. Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership and is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below), FORT Contrarian Master (as defined below) and NL Master (as defined below). The General Partner is 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.

As of March 31, 2021, all trading decisions were made for the Partnership by Transtrend B.V. (“Transtrend”), FORT L.P. (“FORT”), John Street Capital Limited (“JSCL”), Northlander Commodity Advisors LLP (“Northlander”), Pan Capital Management L.P. (“Pan”), Greenwave Capital Management LLC (“Greenwave”) and Quantica Capital AG (“Quantica”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. On September 30, 2020, the Partnership fully redeemed its investment in CMF Winton Master L.P. (“Winton Master”). Also effective September 30, 2020, Winton Capital Management Limited (“Winton”) ceased to act as a commodity trading advisor to the Partnership. References herein to the “Advisors” may include, as relevant, Winton. 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 a managed account in the Partnership’s name, 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 intended to be 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.

Effective October 1, 2020, Greenwave directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Greenwave’s Flagship Plus 2X Program. The General Partner and Greenwave have agreed that Greenwave will trade the Partnership’s assets allocated to Greenwave at a level that is up to 2 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future.

Effective October 1, 2020, Quantica directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Quantica Managed Futures Program. The General Partner and Quantica have agreed that Quantica will trade the Partnership’s assets allocated to Quantica at a level that is up to 1.75 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future.

Effective February 1, 2020, Pan directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Pan’s Energy Trading Program.

JSCL directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Systematic Strategy Program. The General Partner and JSCL have agreed that JSCL will trade the Partnership’s assets allocated to it at a level that is up to 2 times the amount of assets allocated to it; provided that if the assets allocated to JSCL are $80 million or less, JSCL will trade the Partnership’s assets allocated to it at the level that is up to 1.5 times the amount of assets allocated to it. The amount of leverage may be increased or decreased in the future.

On June 1, 2011, the Partnership began offering “Class A” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to June 1, 2011 were deemed Class A Redeemable Units. The rights, powers, duties and obligations associated with investment in Class A Redeemable Units were not changed. Class A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions and non-U.S. investors. Class Z Redeemable Units were first issued on August 1, 2011. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) and certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class A Redeemable Units and Class Z Redeemable Units will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a limited partner receives upon a subscription will generally depend upon the status of the limited

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

partner, although the General Partner may determine to offer a particular Class of Redeemable Units to investors at its discretion.

During the reporting periods ended March 31, 2021 and 2020, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward contract counterparty for certain Funds.

The Partnership and CMF TT II, LLC (“Transtrend Master”) have, and prior to the Partnership’s full redemption, Winton Master had, entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”) and CMF NL Master Fund LLC (“NL Master”) have entered into futures brokerage account agreements with MS&Co. Transtrend Master, FORT Contrarian Master and NL Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, Winton Master.

Transtrend Master, and prior to the Partnership’s full redemption, Winton 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. Under each FX Agreement, JPMorgan charges or charged 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 agent agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee at a flat annual rate equal to 0.75% per year of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 0.75% and dividing the result thereof by 12). For the period from July 1, 2020 to December 31, 2020, the ongoing selling agent fee for Class A Redeemable Unit holders was paid at a flat annual rate of 1.00% of the adjusted net assets of Class A Redeemable Units. Prior to July 1, 2020, the ongoing selling agent fee was $15.00 each for futures transactions and up to an equivalent amount for swaps and $7.50 each per side for options transactions, with respect to Class A Redeemable Units. The ongoing selling agent fee for Class A Redeemable Unit holders prior to July 1, 2020 was reduced by applicable floor brokerage fees and did not exceed 2.00% of adjusted month-end net assets per year, calculated monthly. Class Z Redeemable Units are not subject to an ongoing selling agent fee. The Partnership may pay an ongoing selling agent fee to other properly licensed and/or registered selling agents who sell Class A Redeemable Units, and such additional selling agents may share all or a substantial portion of such fees with their properly registered or exempted financial advisors who have sold Class A Redeemable Units.

The Partnership has entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. (“MSDI”), and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a non-exclusive selling agent and sub-selling agent, respectively, of the Partnership for the purpose of finding eligible investors for Redeemable Units through offerings that are exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”), pursuant to Section 4(a)(2) thereof and Rule 506 of Regulation D promulgated thereunder and for Harbor to serve as an investment advisor to its customers investing in one or more of the partnerships party to the Harbor Selling Agreement; provided, that, included within such appointment, Harbor will provide certain services to certain holders of Redeemable Units of the Partnership, who had acquired such Redeemable Units prior to such holders becoming clients of Harbor. The Harbor Selling Agreement continues in effect until September 30, 2021 unless terminated in certain circumstances as set forth in the Harbor Selling Agreement, including by any party on thirty days’ prior written notice, after which the General Partner or the Partnership may, in its sole discretion, renew the Harbor Selling Agreement for additional one-year periods. Pursuant to the Harbor Selling Agreement, the Partnership pays Harbor a monthly ongoing selling agent fee at a flat annual rate equal to 0.75% per year of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 0.75% and dividing the result thereof by 12). For the period from July 1, 2020 to December 31, 2020, the ongoing selling agent fee for Class A Redeemable Unit holders was paid at a flat annual rate of 1.00% of the adjusted net assets of Class A Redeemable Units. Prior to July 1, 2020, the Partnership paid Harbor an ongoing selling agent fee equal to $15.00 per round turn, swaps by up to an equivalent amount and options transactions by $7.50 each per side, with respect to Class A Redeemable Units held by Harbor clients. The ongoing selling agent fee for Class A Redeemable Unit holders prior to July 1, 2020 was reduced by applicable floor brokerage fees and did not exceed 2.00% of adjusted month-end net assets per year, calculated monthly.

The General Partner fee, management fees, incentive fees and professional fees of the Partnership are allocated proportionally to each Class based on the net asset value of the Class.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

Effective January 1, 2021, the incentive fee payable to Transtrend by Transtrend Master was reduced to 16% of New Trading Profits, accrued monthly, but payable semi-annually.

The General Partner has 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 March 31, 2021 and the results of its operations and changes in partners’ capital for the three months ended March 31, 2021 and 2020. 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, 2020. The December 31, 2020 information has been derived from the audited financial statements as of and for the year ended December 31, 2020.

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

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

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

Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.” The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended March 31, 2021 and 2020, the Partnership carried no debt and all of the Partnership’s and the Funds’ 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 Transtrend Master, FORT Contrarian Master and NL Master based on the Partnership’s (1) net contributions to Transtrend Master, FORT Contrarian Master and NL Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of Transtrend Master, FORT Contrarian Master and NL Master. The Partnership carried its investment in Winton Master based on Winton Master’s net asset value per redeemable unit as calculated by Winton Master.

Partnership’s/Funds’ Derivative Investments. All commodity interests held by 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 due to 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 restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At March 31, 2021 and December 31, 2020,

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

the amount of cash held for margin requirements was $27,164,011 and $23,403,438, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $(3,754,715) (proceeds of $3,821,053) and $(3,186,405) (proceeds of $3,163,920) at March 31, 2021 and December 31, 2020, 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 Partnership’s Statements of Income and Expenses in the years 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 2017 through 2020 tax years remain subject to examination by U.S. federal and most state tax authorities.

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

Net Income (Loss) Per Redeemable Unit. Net income (loss) per Redeemable Unit 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, 2020.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

3.	Financial Highlights:

Financial highlights for the limited partner Classes as a whole for the three months ended March 31, 2021 and 2020 were as follows:


	Three Months Ended March 31, 2021						Three Months Ended March 31, 2020
	Class A			Class Z			Class A			Class Z
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	202.71		$	83.41		$	5.85		$	2.19
Net investment loss		(57.39	)		(21.64	)		(46.61	)		(15.99	)

Increase (decrease) for the period		145.32			61.77			(40.76	)		(13.80	)
Net asset value per Redeemable Unit, beginning of period		2,769.71			1,134.16			2,728.91			1,106.01

Net asset value per Redeemable Unit, end of period	$	2,915.03		$	1,195.93		$	2,688.15		$	1,092.21


	Three Months Ended March 31, 2021						Three Months Ended March 31, 2020
	Class A			Class Z			Class A			Class Z
Ratios to Average Limited Partners’ Capital:**
Net investment loss***		(4.9	)%		(4.1	)%		(4.8	)%		(3.8	)%

Operating expenses		3.8	%		3.0	%		5.1	%		4.1	%
Incentive fees		1.1	%		1.1	%		0.7	%		0.7	%

Total expenses		4.9	%		4.1	%		5.8	%		4.8	%

Total return:
Total return before incentive fees		6.4	%		6.6	%		(0.8	)%		(0.6	)%
Incentive fees		(1.2	)%		(1.2	)%		(0.7	)%		(0.6	)%

Total return after incentive fees		5.2	%		5.4	%		(1.5	)%		(1.2	)%

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 Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Funds.

Ceres Orion 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 Partnership’s Statements of Income and Expenses. The Partnership also invests certain of 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 Partnership’s Statements of Income and Expenses.

The foreign exchange brokerage account agreements and/or futures brokerage account agreements with MS&Co. or JPMorgan, as applicable, give the Partnership and the Funds, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts in their respective 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 their respective Statements of Financial Condition, as the criteria under ASC 210-20, “Balance Sheet,” have been met.

All of the commodity interests owned directly 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 March 31, 2021 and 2020 was 47,907 and 81,120, respectively. The monthly average number of option contracts traded directly by the Partnership during the three months ended March 31, 2021 and during the period February 1, 2020 through March 31, 2020 was 5,277 and 381, 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. for direct trading are borne by the Partnership. In addition, clearing fees are borne by the Funds and are allocated to the Funds’ limited partners/members, including the Partnership.

Ceres Orion 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 arrangements or similar agreements as of March 31, 2021 and December 31, 2020, respectively.


March 31, 2021	Gross Amounts Recognized			Gross Amounts Offset in the Statements of Financial Condition			Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
March 31, 2021	Gross Amounts Recognized								Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets
Futures	$	30,925,488		$	(19,086,872	)	$	11,838,616	$	-	$	-	$	11,838,616

Total assets	$	30,925,488		$	(19,086,872	)	$	11,838,616	$	-	$	-	$	11,838,616

Liabilities
Futures	$	(19,086,872	)	$	19,086,872		$	-	$	-	$	-	$	-

Total liabilities	$	(19,086,872	)	$	19,086,872		$	-	$	-	$	-	$	-

Net fair value													$	11,838,616	*


December 31, 2020	Gross Amounts Recognized			Gross Amounts Offset in the Statements of Financial Condition			Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
December 31, 2020	Gross Amounts Recognized								Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets
Futures	$	28,495,595		$	(22,261,995	)	$	6,233,600	$	-	$	-	$	6,233,600

Total assets	$	28,495,595		$	(22,261,995	)	$	6,233,600	$	-	$	-	$	6,233,600

Liabilities
Futures	$	(22,261,995	)	$	22,261,995		$	-	$	-	$	-	$	-

Total liabilities	$	(22,261,995	)	$	22,261,995		$	-	$	-	$	-	$	-

Net fair value													$	6,233,600	*

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. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

The following tables indicate the gross fair values of derivative instruments of futures and option contracts held directly by the Partnership as separate assets and liabilities as of March 31, 2021 and December 31, 2020, respectively.


	March 31, 2021
Assets
Futures Contracts
Currencies	$	1,172,342
Energy		12,565,367
Grains		3,659,845
Indices		3,024,194
Interest Rates U.S.		2,364,901
Interest Rates Non-U.S.		1,026,419
Livestock		445,505
Metals		4,898,006
Softs		1,768,909

Total unrealized appreciation on open futures contracts		30,925,488


Liabilities
Futures Contracts
Currencies		(922,820	)
Energy		(9,234,257	)
Grains		(3,324,605	)
Indices		(1,313,197	)
Interest Rates U.S.		(99,141	)
Interest Rates Non-U.S.		(659,420	)
Livestock		(128,795	)
Metals		(1,331,175	)
Softs		(2,073,462	)

Total unrealized depreciation on open futures contracts		(19,086,872	)

Net unrealized appreciation on open futures contracts	$	11,838,616	*


Assets
Options Purchased
Energy	$	2,176,789

Total options purchased	$	2,176,789	**


Liabilities
Options Written
Energy	$	(1,970,422	)

Total options written	$	(1,970,422	)***

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

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

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

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)


	December 31, 2020
Assets
Futures Contracts
Currencies	$	1,044,103
Energy		13,319,139
Grains		6,011,789
Indices		1,759,777
Interest Rates U.S.		103,022
Interest Rates Non-U.S.		583,702
Livestock		129,327
Metals		2,995,699
Softs		2,549,037

Total unrealized appreciation on open futures contracts		28,495,595


Liabilities
Futures Contracts
Currencies		(100,354	)
Energy		(9,752,293	)
Grains		(6,858,706	)
Indices		(452,482	)
Interest Rates U.S.		(144,140	)
Interest Rates Non-U.S.		(197,520	)
Livestock		(231,190	)
Metals		(1,734,127	)
Softs		(2,791,183	)

Total unrealized depreciation on open futures contracts		(22,261,995	)

Net unrealized appreciation on open futures contracts	$	6,233,600	*


Assets
Options Purchased
Energy	$	2,470,392

Total options purchased	$	2,470,392	**


Liabilities
Options Written
Energy	$	(2,311,171	)

Total options written	$	(2,311,171	)***

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

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

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

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three months ended March 31, 2021 and 2020, respectively.


	Three Months Ended March 31,
Sector	2021			2020
Currencies	$	(1,665,750	)	$	(2,485,209	)
Energy		5,254,973			14,418,791
Grains		2,394,344			180,970
Indices		3,311,199			(3,970,177	)
Interest Rates U.S.		4,725,960			(1,382,899	)
Interest Rates Non-U.S.		(1,444,502	)		10,532,332
Livestock		583,542			(4,877,916	)
Metals		1,553,760			6,440,818
Softs		290,132			(1,062,442	)

Total	$	15,003,658	****	$	17,794,268	****

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

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 commodity futures, 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 March 31, 2021 and December 31, 2020 and for the periods ended March 31, 2021 and 2020, 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).

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)


March 31, 2021	Total		Level 1		Level 2		Level 3
Assets
Futures	$	30,925,488	$	30,925,488	$	-	$	-
Options purchased		2,176,789		2,176,789		-		-

Total assets	$	33,102,277	$	33,102,277	$	-	$	-

Liabilities
Futures	$	19,086,872	$	19,086,872	$	-	$	-
Options written		1,970,422		1,970,422		-		-

Total liabilities	$	21,057,294	$	21,057,294	$	-	$	-


December 31, 2020	Total		Level 1		Level 2		Level 3
Assets
Futures	$	28,495,595	$	28,495,595	$	-	$	-
Options purchased		2,470,392		2,470,392		-		-

Total assets	$	30,965,987	$	30,965,987	$	-	$	-

Liabilities
Futures	$	22,261,995	$	22,261,995	$	-	$	-
Options written		2,311,171		2,311,171		-		-

Total liabilities	$	24,573,166	$	24,573,166	$	-	$	-

6.	Investment in the Funds:

On June 1, 2011, the Partnership allocated a portion of its assets to Transtrend Master, a limited liability company organized under the limited liability company laws of the State of Delaware. Transtrend Master permits accounts managed by Transtrend using the Diversified Trend Program-Enhanced Risk Profile (US Dollar), a proprietary, systematic trading system, to invest together in one trading vehicle. Transtrend generally trades its Enhanced Risk Profile (US Dollar) using 1.5 times the leverage employed by the Standard Risk Profile. The General Partner is also the Trading Manager of Transtrend Master. Individual and pooled accounts managed by Transtrend, including the Partnership, are permitted to be members of Transtrend Master. The Trading Manager and Transtrend believe that trading through this structure promotes efficiency and economy in the trading process.

On February 1, 2018, the assets allocated to FORT for trading were invested in FORT Contrarian Master, a limited liability company organized under the limited liability company laws of the State of Delaware. FORT Contrarian Master permits accounts managed by FORT using its Global Contrarian Trading Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of FORT Contrarian Master. Individual and pooled accounts currently managed by FORT, including the Partnership, are permitted to be members of FORT Contrarian Master. The Trading Manager and FORT believe that trading through this structure promotes efficiency and economy in the trading process. The Trading Manager and FORT have agreed that FORT will trade the Partnership’s assets allocated to FORT at a level that is up to 1.25 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future.

On April 1, 2019, the assets allocated to Northlander for trading were invested in NL Master, a limited liability company organized under the limited liability company laws of the State of Delaware. NL Master permits accounts managed by Northlander using the Northlander Commodity Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of NL Master. Individual and pooled accounts currently managed by Northlander, including the Partnership, are permitted to be members of NL Master. The Trading Manager and Northlander believe that trading through this structure promotes efficiency and economy in the trading process.

On November 1, 2004, the assets allocated to Winton for trading were invested in Winton Master, a limited partnership organized under the partnership laws of the State of New York. The Partnership fully redeemed its investment in Winton Master on September 30, 2020.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

The General Partner is not aware of any material changes to any of the trading programs discussed above or in Note 1, “Organization” during the fiscal quarter ended March 31, 2021.

The Funds’ and the Partnership’s trading of futures, forward, swap and option contracts, if 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/member 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/Trading Manager at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner/member elects to redeem and informs the Funds. However, a limited partner/member may request a withdrawal as of the end of any day if such request is received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day.

Management fees, ongoing selling agent fees, the General Partner fee and incentive fees are charged at the Partnership level, except for management and incentive fees payable to Transtrend, which are charged at the Transtrend Master level. Clearing fees are borne by the Funds and allocated to the Funds’ limited partners/members, including the Partnership. Clearing fees are also borne by the Partnership directly. Professional fees are borne by the Funds and allocated to the Partnership and are also charged directly at the Partnership level.

As of March 31, 2021, the Partnership owned 100.0% of Transtrend Master, 100.0% of FORT Contrarian Master and approximately 76.4% of NL Master. At December 31, 2020, the Partnership owned 100.0% of Transtrend Master, 100.0% of FORT Contrarian Master and approximately 81.4% of NL Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to limited partners as a result of investment in the Funds are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected.

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


	March 31, 2021
	Total Assets		Total Liabilities		Total Capital
Transtrend Master	$	71,786,969	$	4,720,009	$	67,066,960
FORT Contrarian Master		47,130,750		582,148		46,548,602
NL Master		18,096,845		73,161		18,023,684

	December 31, 2020
	Total Assets		Total Liabilities		Total Capital
Transtrend Master	$	69,303,466	$	2,670,947	$	66,632,519
FORT Contrarian Master		59,456,843		1,491,365		57,965,478
NL Master		14,423,589		85,616		14,337,973

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

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 March 31, 2021
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Transtrend Master	$	(1,657,051	)	$	8,955,958		$	7,298,907
FORT Contrarian Master		(39,067	)		(1,078,566	)		(1,117,633	)
NL Master		(37,646	)		2,842,858			2,805,212



	For the three months ended March 31, 2020
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Winton Master	$	387,606		$	(23,953,788	)	$	(23,566,182	)
Transtrend Master		(261,094	)		(3,266,814	)		(3,527,908	)
FORT Contrarian Master		168,677			(5,653,909	)		(5,485,232	)
NL Master		12,428			752,782			765,210

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


	March 31, 2021					For the three months ended March 31, 2021
Funds	% of Partners’ Capital			Fair Value		Income (Loss)			Expenses								Net Income (Loss)			Investment Objective		Redemptions Permitted
Funds	% of Partners’ Capital			Fair Value		Income (Loss)			Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Net Income (Loss)			Investment Objective		Redemptions Permitted
Transtrend Master		19.19	%	$	67,066,960	$	8,956,732		$	108,810	$	16,584	$	142,311	$	1,390,121	$	7,298,906			Commodity Portfolio		Monthly
FORT Contrarian Master		13.32	%		46,549,268		(1,073,372	)		29,018		15,242		-		-		(1,117,632	)		Commodity Portfolio		Monthly
NL Master		3.94	%		13,773,899		2,231,715			19,168		11,839		-		-		2,200,708			Commodity Portfolio		Monthly

Total				$	127,390,127	$	10,115,075		$	156,996	$	43,665	$	142,311	$	1,390,121	$	8,381,982


	December 31, 2020					For the three months ended March 31, 2020
Funds	% of Partners’ Capital			Fair Value		Income (Loss)			Expenses								Net Income (Loss)			Investment Objective		Redemptions Permitted
Funds	% of Partners’ Capital			Fair Value		Income (Loss)			Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Net Income (Loss)			Investment Objective		Redemptions Permitted
Winton Master		-	%	$	-	$	(8,370,730	)	$	42,551	$	7,687	$	-	$	-	$	(8,420,968	)		Commodity Portfolio		Monthly
Transtrend Master		18.55	%		66,632,519		(3,033,914	)		259,821		17,000		217,175		-		(3,527,910	)		Commodity Portfolio		Monthly
FORT Contrarian Master		16.14	%		57,968,789		(5,002,992	)		152,428		16,040		-		-		(5,171,460	)		Commodity Portfolio		Monthly
NL Master		3.24	%		11,667,482		662,560			21,564		12,843		-		-		628,153			Commodity Portfolio		Monthly

Total				$	136,268,790	$	(15,745,076	)	$	476,364	$	53,570	$	217,175	$	-	$	(16,492,185	)

Ceres Orion 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 forwards, futures, options, and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating 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 1.1% to 5.6% 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, 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 the 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 foreign exchange 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 Metal Exchange Forward Contracts. Metal contracts traded on the London Metal Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin, zinc or other metals. 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, 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.

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

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.

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.

Futures-Style Options. The Partnership/Funds may trade futures-style option contracts. Unlike traditional option contracts, the premiums for futures-style option contracts are not received or paid upon the onset of the trade. The premiums are recognized and received or paid as part of the sales price when the contract is closed. Similar to a futures contract, variation margin for the futures-style option contract may be made or received by the Partnership/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/Funds. Transactions in futures-style option 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. Futures-style option contracts are presented as part of “Net unrealized appreciation on open futures contracts” or “Net unrealized depreciation on open futures contracts,” as applicable, in the Partnership’s/Funds’ Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on futures-style option contracts are included in the Partnership’s/Funds’ Statements of Income and Expenses.

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 market risk equal to the value of the 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 a counterparty default is typically limited to the amounts recognized in the Partnership’s/Funds’ 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. or an MS&Co. affiliate are counterparties or brokers with respect to the Partnership’s and the Funds’ assets. For certain OTC contracts traded by certain Funds, JPMorgan is the counterparty with respect to those 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/Trading Manager 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/Trading Manager to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, exchange-cleared swaps, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

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

Ceres Orion L.P.

Notes to Financial Statements

(Unaudited)

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 General Partner/Trading Manager considers the risk of any future obligation relating to these indemnifications to be remote.

Since its discovery in December 2019, a new strain of coronavirus, which causes the viral disease known as COVID-19, has spread from China to many other countries, including the United States. The outbreak has been declared a pandemic by the World Health Organization, and the U.S. Health and Human Services Secretary has declared a public health emergency in the United States in response to the outbreak.

The outbreak of the novel coronavirus in many countries is having and will likely continue to have an adverse impact on global commercial activity, which has contributed to significant volatility in financial markets. The global impact of the outbreak has been rapidly evolving, and as cases of the virus have been identified in additional countries, many countries have reacted by instituting quarantines and restrictions on travel. These actions are creating disruption in supply chains, and adversely impacting a number of industries, including but not limited to transportation, hospitality, and entertainment.

The impact of COVID-19 on the U.S. and world economies, and the extent of and effectiveness of any responses taken on a national and local level, is uncertain and could result in a world-wide economic downturn and disrupt financial markets that impact trading programs in unanticipated and unintended ways.

The rapid development of this situation precludes any prediction as to the ultimate adverse impact of the novel coronavirus. Nevertheless, the novel coronavirus presents material uncertainty and risk with respect to the Partnership’s/Funds’ investments and operations.

8.	Subsequent Events:

The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are available to be 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) redemptions receivable from the Funds, (iii) its 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 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 investment in the Funds and direct investments. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the first quarter of 2021.

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, forwards, 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 realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions and redemptions of Redeemable Units and distributions of profits, if any.

For the three months ended March 31, 2021, the Partnership’s capital decreased 2.7% from $359,254,745 to $349,458,654. This decrease was attributable to redemptions of 10,435.0970 Class A limited partner Redeemable Units totaling $29,412,023, redemptions of 490.0250 Class Z General Partner Redeemable Units totaling $575,000 and redemptions of 231.2570 Class Z limited partner Redeemable Units totaling $273,445, which was partially offset by subscriptions of 890.9890 Class A limited partner Redeemable Units totaling $2,519,943, subscriptions of 17.3570 Class Z limited partner Redeemable Units totaling $19,685 and net income of $17,924,749. 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 capital resource arrangements at the present time.

Off-Balance Sheet Arrangements and Contractual Obligations

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

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting periods. 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 first quarter of 2021, the net asset value per Redeemable Unit for Class A increased 5.2% from $2,769.71 to $2,915.03, as compared to a decrease of 1.5% in the first quarter of 2020. During the Partnership’s first quarter of 2021, the net asset value per Redeemable Unit for Class Z increased 5.4% from $1,134.16 to $1,195.93, as compared to a decrease of 1.2% in the first quarter of 2020. The Partnership experienced a net trading gain before fees and expenses in the first quarter of 2021 of $25,111,628. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains, indices, U.S. interest rates, livestock, metals and softs and were partially offset by losses in currencies and non-U.S. interest rates. The Partnership experienced a net trading gain before fees and expenses in the first quarter of 2020 of $1,251,725. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, U.S. and non-U.S. interest rates and metals and were partially offset by losses in currencies, grains, livestock, softs and indices.

The most notable gains were achieved within the energy markets during February and March from long positions in European carbon emission futures as prices surged higher on an outlook for growth in global industrial demand. Additional gains in the energies were recorded from long positions in natural gas futures during January. Within the agricultural sector, gains were experienced during February from long futures positions in the grains as prices advanced amid adverse weather in key growing regions in North and South America threatening crop plantings. Smaller gains in the agricultural markets were recorded in livestock trading throughout the quarter. Gains were also recorded within the global stock index markets during all three months of the quarter primarily from long positions in U.S. and Asian equity index futures amid continued strong investor demand for risk assets. Additional gains were achieved within the metals markets during February from long positions in copper futures as prices rallied on optimism that global manufacturing demand would accelerate coming out of the COVID-19 lockdown era. Further gains were recorded during March within the global interest rate sector from short positions in U.S. Treasury bond futures as interest rates moved higher amid growing inflationary concerns. The Partnership’s overall trading gains for the quarter were partially offset by trading losses within the currency sector from long positions in the euro, Australian dollar, Canadian dollar and Japanese yen versus the U.S. dollar as the value of U.S. currency advanced as the pace of the U.S. vaccine rollout accelerated.

Commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility for 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, public health epidemics, 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/Funds expect to increase capital through operations.

Interest income is earned on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of FORT Contrarian Master’s and NL Master’s or, prior to the Partnership’s full redemption, Winton Master’s) brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. will pay monthly interest to Transtrend Master on 100% of the average daily equity maintained in cash in Transtrend Master’s brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero. When the effective rate is less than zero, no interest is earned. For the avoidance of doubt, the Partnership/Funds will not receive interest on amounts in the futures brokerage account that are committed to margin. Any interest earned on the Partnership’s and/or each Fund’s cash account in excess of the amounts described above, if any, will be retained by MS&Co. and/or shared with the General Partner. All interest earned on U.S. Treasury bills and money market mutual fund securities will be retained by the Partnership and/or the Funds, as applicable. Any interest income earned on collateral or excess cash deposited by certain of the Funds and held by JPMorgan in its capacity as such Funds’ forward foreign currency counterparty will be retained by such Funds, and the Partnership will receive its allocable portion of such interest from the applicable Fund. Interest income earned by the Partnership for the three months ended March 31, 2021 decreased by $1,161,660 as compared to the corresponding period in 2020. The decrease in interest income was primarily due to lower 4-week U.S. Treasury bill discount rates along with lower average daily equity during the three months ended March 31, 2021 as compared to the corresponding period in 2020. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on (1) the average daily equity maintained in cash in the Partnership’s and/or the Funds’ 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, MS&Co. or JPMorgan 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 months ended March 31, 2021 decreased by $1,043,771 as compared to the corresponding period in 2020. The decrease in these clearing fees was primarily due to a decrease in the number of direct trades made by the Partnership during the three months ended March 31, 2021 as compared to the corresponding period in 2020.

Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value for Class A Redeemable

Units as of the end of each month and are affected by trading performance, subscriptions and redemptions. Prior to July 1, 2020, ongoing selling agent fees were based on the number of trades executed by the Advisors and the adjusted month-end net assets calculated monthly. Accordingly, ongoing sell agent fees prior to July 1, 2020 must be compared in relation to the number of trades executed during the period as well as the fluctuations in the monthly net asset values. Ongoing selling agent fees for the three months ended March 31, 2021 decreased by $551,765 as compared to the corresponding period in 2020. The decrease in ongoing selling agent fees was primarily due to lower average adjusted net assets during the three months ended March 31, 2021 as compared to the corresponding period in 2020, as well as changes in the calculation and percentage of the ongoing selling agent fee for Class A Redeemable Units as described in Note 1 to the Financial Statements effective July 1, 2020 and January 1, 2021, respectively.

Management fees, except fees payable to Transtrend, are calculated as a percentage of the Partnership’s adjusted net asset value 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 the monthly net asset values. Management fees payable to Transtrend are charged at the Transtrend Master level and are affected by trading performance, subscriptions and redemptions of Transtrend Master. Management fees for the three months ended March 31, 2021 decreased by $558,489 as compared to the corresponding period in 2020. The decrease in management fees was due to lower average adjusted net assets during the three months ended March 31, 2021 as compared to the corresponding period in 2020.

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 asset value 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 the monthly net asset values. The General Partner fees for the three months ended March 31, 2021 decreased by $227,705 as compared to the corresponding period in 2020. The decrease in the General Partner fees was due to lower average adjusted net assets during the three months ended March 31, 2021 as compared to the corresponding period in 2020.

Incentive fees paid by the Partnership are based on the new trading profits, as defined in the respective management agreements among the Partnership, the General Partner/Trading Manager and each Advisor, generated by each Advisor at the end of the quarter, calendar half year or annually, as applicable. Trading performance for the three months ended March 31, 2021 resulted in incentive fees of $3,958,886. Trading performance for the three months ended March 31, 2020 resulted in incentive fees of $3,310,643. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid an incentive fee until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

In allocating the assets of the Partnership among the Advisors, the General Partner considers, among other factors, each Advisor’s past performance, trading style, volatility of markets traded 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 March 31, 2021 and December 31, 2020, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:


Advisor	March 31, 2021		March 31, 2021 (percentage of Partners’ Capital)			December 31, 2020		December 31, 2020 (percentage of Partners’ Capital)
Transtrend	$	67,066,666		19	%	$	66,632,375		19	%
FORT	$	46,549,252		13	%	$	57,968,789		16	%
Northlander	$	13,773,998		4	%	$	11,667,608		3	%
JSCL	$	99,889,435		29	%	$	98,938,743		28	%
Pan	$	22,208,601		6	%	$	22,185,046		6	%
Greenwave	$	25,955,069		8	%	$	30,467,267		8	%
Quantica	$	74,015,633		21	%	$	71,394,917		20	%

For additional disclosures about operational and financial risk related to the COVID-19 outbreak, refer to Part II, Item 5. “Other Information.” in this Form 10-Q.

Item 3. Quantitative and Qualitative Disclosures about Market Risk.

The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by the Partnership/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 contracts and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors. These primarily include factors which affect energy price levels, including supply factors and weather conditions, but could also include 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 performances 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, 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 Value 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. JSCL, Pan, Greenwave and Quantica directly trade managed accounts in the name of the Partnership. Transtrend, Northlander and FORT currently trade the Partnership’s assets indirectly in master fund managed accounts established in the name of the master funds 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 investment 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 JSCL, Pan, Greenwave and Quantica) 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, 2020.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2021 and December 31, 2020. As of March 31, 2021, the Partnership’s total capitalization was $349,458,654.


March 31, 2021

Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	7,948,811		2.27	%
Energy		11,092,515		3.17
Grains		2,905,186		0.83
Indices		6,061,002		1.73
Interest Rates U.S.		3,390,041		0.97
Interest Rates Non-U.S.		5,963,091		1.71
Livestock		996,435		0.29
Metals		3,272,409		0.94
Softs		2,459,173		0.70

Total	$	44,088,663		12.61	%

As of December 31, 2020, the Partnership’s total capitalization was $359,254,745.


December 31, 2020

Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	9,132,601		2.54	%
Energy		9,244,038		2.57
Grains		2,833,843		0.79
Indices		8,908,326		2.48
Interest Rates U.S.		2,377,558		0.66
Interest Rates Non-U.S.		6,931,554		1.93
Livestock		835,043		0.23
Metals		4,572,824		1.27
Softs		2,340,934		0.65

Total	$	47,176,721		13.12	%

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 March 31, 2021 and December 31, 2020, and the highest, lowest and average values during the three months ended March 31, 2021 and the twelve months ended December 31, 2020, as applicable. All open position trading risk exposures have been included in calculating the figures set forth below.

At March 31, 2021, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

March 31, 2021


						Three Months Ended March 31, 2021
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	4,334,332		1.24	%	$	5,394,125	$	2,731,465	$	4,015,529
Energy		7,753,875		2.22			7,900,442		4,672,904		5,733,449
Grains		1,917,879		0.55			2,316,342		1,358,132		1,820,108
Indices		2,225,860		0.64			5,461,795		2,225,860		4,019,629
Interest Rates U.S.		2,089,230		0.60			2,771,045		1,010,762		1,867,198
Interest Rates Non-U.S.		3,580,330		1.02			6,868,118		3,157,105		4,523,533
Livestock		496,375		0.14			894,922		93,704		441,807
Metals		1,967,460		0.56			3,921,858		1,909,578		2,591,910
Softs		1,612,204		0.46			3,534,137		1,488,913		1,969,346

Total	$	25,977,545		7.43	%

*	Average of daily Values at Risk.

At December 31, 2020, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

December 31, 2020


						Twelve Months Ended December 31, 2020
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	3,389,760		0.94	%	$	5,269,055	$	629,154	$	2,431,899
Energy		6,184,256		1.72			13,521,727		3,760,820		9,244,751
Grains		1,383,941		0.39			5,718,941		720,538		2,426,904
Indices		3,781,386		1.05			7,746,319		92,887		2,743,407
Interest Rates U.S.		1,010,762		0.28			2,043,671		214,773		1,107,710
Interest Rates Non-U.S.		3,157,105		0.88			7,123,169		771,101		4,310,725
Livestock		341,231		0.09			5,779,951		240,768		2,315,619
Metals		1,909,578		0.53			7,087,231		376,349		3,682,732
Softs		1,558,845		0.43			7,007,411		662,448		2,278,312

Total	$	22,716,864		6.31	%

*	Annual average of daily Values at Risk.

At March 31, 2021, Transtrend Master’s total capitalization was $67,066,960 and the Partnership owned 100.0% of Transtrend Master. As of March 31, 2021, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:

March 31, 2021


						Three Months Ended March 31, 2021
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	3,141,867		4.68	%	$	5,335,509	$	2,871,112	$	3,529,929
Energy		1,515,392		2.26			1,657,661		1,239,675		1,434,100
Grains		987,307		1.47			1,725,096		987,307		1,460,469
Indices		1,486,392		2.22			2,580,608		1,486,392		1,995,060
Interest Rates U.S.		1,131,084		1.69			1,131,084		513,043		845,560
Interest Rates Non-U.S.		1,600,131		2.39			3,030,400		1,600,131		2,323,572
Livestock		500,060		0.75			658,240		433,840		526,426
Metals		1,176,249		1.75			2,536,086		1,129,397		1,686,341
Softs		846,969		1.26			1,009,313		750,065		877,731

Total	$	12,385,451		18.47	%

*	Average of daily Values at Risk.

At December 31, 2020, Transtrend Master’s total capitalization was $66,632,519 and the Partnership owned 100.0% of Transtrend Master. As of December 31, 2020, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:

December 31, 2020


						Twelve Months Ended December 31, 2020
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	5,319,265		7.98	%	$	19,590,628	$	2,199,776	$	7,438,615
Energy		1,497,415		2.25			4,454,924		700,276		2,010,461
Grains		1,449,902		2.18			3,515,820		1,045,499		1,963,809
Indices		2,271,081		3.41			8,833,776		651,665		3,853,934
Interest Rates U.S.		915,405		1.37			1,720,048		192,556		1,019,051
Interest Rates Non-U.S.		2,795,726		4.20			6,121,339		1,122,144		2,420,152
Livestock		493,812		0.74			1,129,893		159,940		436,792
Metals		2,536,086		3.81			4,082,966		1,242,232		2,670,773
Softs		782,089		1.17			2,736,946		596,029		1,355,694

Total	$	18,060,781		27.11	%

*	Annual average of daily Values at Risk.

At March 31, 2021, FORT Contrarian Master’s total capitalization was $46,548,602 and the Partnership owned 100.0% of FORT Contrarian Master. As of March 31, 2021, FORT Contrarian Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to FORT for trading) was as follows:

March 31, 2021


						Three Months Ended March 31, 2021
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	472,612		1.02	%	$	583,567	$	281,989	$	437,112
Energy		287,645		0.62			525,042		227,827		389,640
Indices		2,348,750		5.05			2,933,444		2,110,040		2,489,824
Interest Rates U.S.		169,727		0.36			566,451		151,799		350,282
Interest Rates Non-U.S.		782,630		1.68			1,121,426		645,957		883,705
Metals		128,700		0.28			151,800		75,350		121,962

Total	$	4,190,064		9.01	%

*	Average of daily Values at Risk.

At December 31, 2020, FORT Contrarian Master’s total capitalization was $57,965,478 and the Partnership owned 100.0% of FORT Contrarian Master. As of December 31, 2020, FORT Contrarian Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to FORT for trading) was as follows:

December 31, 2020


						Twelve Months Ended December 31, 2020
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	423,576		0.73	%	$	1,988,707	$	202,069	$	838,490
Energy		276,619		0.48			1,165,186		142,190		564,762
Indices		2,855,859		4.93			5,798,597		449,691		2,778,753
Interest Rates U.S.		451,391		0.78			1,702,197		145,815		695,438
Interest Rates Non-U.S.		978,723		1.69			4,211,112		495,790		2,131,137
Metals		127,160		0.22			257,510		15,972		87,974

Total	$	5,113,328		8.83	%

*	Annual average of daily Values at Risk.

At March 31, 2021, NL Master’s total capitalization was $18,023,684 and the Partnership owned approximately 76.4% of NL Master. As of March 31, 2021, NL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Northlander for trading) was as follows:

March 31, 2021


						Three Months Ended March 31, 2021
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	2,009,952		11.15	%	$	2,126,456	$	1,349,006	$	1,652,854

Total	$	2,009,952		11.15	%

*	Average of daily Values at Risk.

At December 31, 2020, NL Master’s total capitalization was $14,337,973 and the Partnership owned approximately 81.4% of NL Master. As of December 31, 2020, NL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Northlander for trading) was as follows:

December 31, 2020


						Twelve Months Ended December 31, 2020
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	1,579,543		11.02	%	$	1,579,543	$	74,383	$	443,187

Total	$	1,579,543		11.02	%

*	Annual average of daily 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 March 31, 2021 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 the financial reporting process during the fiscal quarter ended March 31, 2021, that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings.

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

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

MS&Co. is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Securities Exchange Act of 1934, as amended (the “Exchange Act”) which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including MS&Co. As a consolidated subsidiary of Morgan Stanley, MS&Co. does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, we refer you to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2019, 2018, 2017, 2016, 2015 and 2014. 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. We refer you to the Commitments, Guarantees and Contingencies – Legal section of MS&Co.’s 2019 Audited Financial Statement.

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

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

During the preceding five years, the following administrative, civil, or criminal actions pending, on appeal or concluded against MS&Co. or any of its principals are material within the meaning of CFTC Rule 4.24(l)(2) or 4.34(k)(2):

Regulatory and Governmental Matters.

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 July 12, 2016 and June 28, 2016, respectively, without any findings of fraud. Pursuant to the settlements, MS&Co. was required to pay a $750,000 penalty to the CBOE (for which MS&Co. and an individual were jointly and severally liable) and a $400,000 penalty to the CFE (for which MS&Co. and an individual were jointly and severally liable) and $152,664 in disgorgement.

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 US 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 $7.5 million.

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 CFTC 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.

On September 30, 2020, the SEC entered into a settlement order with MS&Co. settling an administrative action which relates to MS&Co.’s violations of the order marking requirements of Regulation SHO of the Exchange Act resulting from its improper use of aggregation units in structuring the Firm’s equity swaps business. The order found that MS&Co. improperly operated its equity swaps business without netting certain “long” and “short” positions as required by Rule 200(c) of Regulation SHO. The order found that the long exposure to an equity security (the “Long Unit”) and the short exposure to an equity security (the “Short Unit”) were not independent from one another and did not have separate trading strategies or objectives without regard to each other, and that the Long and Short Units were not eligible for the exception in Rule 200(f) of Regulation SHO. The order found that MS&Co. willfully violated Section 200(g) of Regulation SHO. MS&Co. consented, without admitting or denying the findings and without adjudication of any issue of law

or fact, to a censure; to cease and desist from committing or causing future violations; to pay a civil penalty of $5 million; and to comply with the undertaking enumerated in the order.

Civil Litigation

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. On January 18, 2017, the court entered an order dismissing all claims related to an additional securitization at issue. After those dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $65 million. At December 25, 2019, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $35 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 $35 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 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 $133 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 11, 2016, the First Department affirmed the trial court’s decision denying in part MS&Co.’s motion to dismiss the complaint. At December 25, 2019, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $22 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 $22 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.

In August of 2017, MS&Co. was named as a defendant in a purported antitrust class action in the United States District Court for the United States District Court for the Southern District of New York styled Iowa Public Employees’ Retirement System et al. v. Bank of America Corporation

et al. Plaintiffs allege, inter alia, that MS&Co., together with a number of other financial institution defendants, violated U.S. antitrust laws and New York state law in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for securities lending. The class action complaint was filed on behalf of a purported class of borrowers and lenders who entered into stock loan transactions with the defendants. The class action complaint seeks, among other relief, certification of the class of plaintiffs and treble damages. On September 27, 2018, the court denied the defendants’ motion to dismiss the class action complaint.

Settled Civil Litigation

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, alleged 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 raised claims under the Washington State Securities Act and sought, 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 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 related to a $275 million credit default swap (“CDS”) referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserted 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 CDS with CDIB. On March 22, 2021, the parties entered into a settlement agreement. On April 16, 2021, the court entered a stipulation of voluntary discontinuance, with prejudice.

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, alleged 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 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 December 21, 2016, the parties reached an agreement to settle the litigation.

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 alleged 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 raised claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and sought, among other things, to

rescind the plaintiff’s purchase of such certificates. 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 July 13, 2018, the parties reached an agreement in principle to settle the litigation.

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 alleged 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 $634 million. The complaint alleged causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, negligent misrepresentation, and rescission and sought, among other things, compensatory and punitive damages. On June 26, 2018, the parties entered into an agreement to settle the litigation.

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 alleged that MS&Co. made misrepresentations and omissions regarding residential mortgage-backed securities and notes issued by the Cheyne SIV, and asserted violations of the California False Claims Act and other state laws and sought treble damages, civil penalties, disgorgement, and injunctive relief. On April 24, 2019, the parties reached an agreement to settle the litigation.

Beginning on March 25, 2019, MS&Co. was named as a defendant in a series of putative class action complaints filed in the Southern District of NY, the first of which is styled Alaska Electrical Pension Fund v. BofA Secs., Inc., et al. Each complaint alleged a conspiracy to fix prices and restrain competition in the market for unsecured bonds issued by the following Government-Sponsored Enterprises: the Federal National Mortgage Association; the Federal Home Loan Mortgage Corporation; the Federal Farm Credit Banks Funding Corporation; and the Federal Home Loan Banks. The purported class period for each suit is from January 1, 2012 to June 1, 2018. Each complaint raised a claim under Section 1 of the Sherman Act and sought, among other things, injunctive relief and treble compensatory damages. On May 23, 2019, plaintiffs filed a consolidated amended class action complaint styled In re GSE Bonds Antitrust Litigation, with a purported class period from January 1, 2009 to January 1, 2016. On June 13, 2019, the defendants filed a joint motion to dismiss the consolidated amended complaint. On August 29, 2019, the court denied MS&Co.’s motion to dismiss. On December 15, 2019, MS&Co. and certain other defendants entered into a stipulation of settlement to resolve the action as against each of them in its entirety. On June 16, 2020, the court granted final approval of the settlement.

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, 2020.

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

For the three months ended March 31, 2021, there were subscriptions of 890.9890 Class A Redeemable Units totaling $2,519,943 and subscriptions of 17.3570 Class Z Redeemable Units totaling $19,685. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act and Section 506 of Regulation D promulgated thereunder. These Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

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

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


Period	Class A (a) Total Number of Redeemable Units Purchased*		Class A (b) Average Price Paid per Redeemable Unit**		Class Z (a) Total Number of Redeemable Units Purchased*		Class Z (b) Average Price Paid per Redeemable Unit**		(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
January 1, 2021 - January 31, 2021		5,420.4710	$	2,757.63		N/A		N/A		N/A		N/A
February 1, 2021 - February 28, 2021		2,890.2710	$	2,861.95		138.6030	$	1,173.41		N/A		N/A
March 1, 2021 - March 31, 2021		2,124.3550	$	2,915.03		92.6540	$	1,195.93		N/A		N/A
		10,435.0970	$	2,818.57		231.2570	$	1,182.43

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 may compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.

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

Item 3. Defaults Upon Senior Securities. — None.

Item 4. Mine Safety Disclosures. — Not Applicable.

Item 5. Other Information.

Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak that occurred after December 31, 2020 could impact the operations and financial performance of the Partnership’s investments subsequent to March 31, 2021. The extent of the impact to the financial performance of the Partnership’s investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. If the financial performance of the Partnership’s investments is impacted because of these factors for an extended period, the Partnership’s performance may be adversely affected.

Item 6. Exhibits.

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

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

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

Exhibit 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 Document.

SIGNATURES

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

CERES ORION L.P.



By:		Ceres Managed Futures LLC (General Partner)

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

Date: May 12, 2021

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

Date: May 12, 2021

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

CERES ORION L.P. - FORM 10-Q - May 12, 2021

Attached files

CERES ORION L.P. Reports