Attached files
file | filename |
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EX-32.2 - EX-32.2 - Ceres Classic L.P. | d158110dex322.htm |
EX-32.1 - EX-32.1 - Ceres Classic L.P. | d158110dex321.htm |
EX-31.2 - EX-31.2 - Ceres Classic L.P. | d158110dex312.htm |
EX-31.1 - EX-31.1 - Ceres Classic L.P. | d158110dex311.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: 000-25603
CERES CLASSIC L.P. | ||
(Exact name of registrant as specified in its charter) | ||
Delaware | 13-4018068 | |
(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 | ||
(Registrants 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, 6,632,874.564 Limited Partnership Class A Units were outstanding and 11,079.649 Limited Partnership Class Z Units were outstanding.
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements.
Ceres Classic L.P.
Statements of Financial Condition
March 31, 2021 (Unaudited) |
December 31, 2020 | |||||||
Assets: |
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Investment in the Trading Company(1) , at fair value |
$ | 40,647,150 | $ | - | ||||
Redemptions receivable from the Trading Company |
1,554,613 | - | ||||||
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Equity in trading account: |
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Unrestricted cash |
86,460,824 | 44,958,423 | ||||||
Restricted cash |
19,727,027 | 15,232,825 | ||||||
Net unrealized appreciation on open futures contracts |
- | 3,773,179 | ||||||
Net unrealized appreciation on open forward contracts |
2,691,883 | 608,548 | ||||||
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Total equity in trading account |
108,879,734 | 64,572,975 | ||||||
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Expense reimbursement receivable |
- | 9,406 | ||||||
Interest receivable |
1,413 | 2,380 | ||||||
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Total assets |
$ | 151,082,910 | $ | 64,584,761 | ||||
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Liabilities and Partners Capital: |
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Liabilities: |
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Net unrealized depreciation on open futures contracts |
$ | 127,332 | $ | - | ||||
Accrued expenses: |
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Administrative and General Partners fees |
92,232 | 89,047 | ||||||
Management fees |
158,463 | 68,694 | ||||||
Incentive fees |
538,838 | - | ||||||
Professional fees |
75,235 | - | ||||||
Redemptions payable to Limited Partners |
2,870,692 | 2,977,462 | ||||||
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Total liabilities |
3,862,792 | 3,135,203 | ||||||
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Partners Capital: |
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General Partner, Class Z, 184,481.234 and 101,536.878 Units outstanding at March 31, 2021 and December 31, 2020, respectively |
1,696,817 | 904,065 | ||||||
Limited Partners, Class A, 6,693,118.035 and 2,873,697.998 Units outstanding at March 31, 2021 and December 31, 2020, respectively |
145,421,410 | 60,545,493 | ||||||
Limited Partners, Class Z, 11,079.649 and 0.000 Units outstanding at March 31, 2021 and December 31, 2020, respectively |
101,891 | - | ||||||
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Total partners capital (net asset value) |
147,220,118 | 61,449,558 | ||||||
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Total liabilities and partners capital |
$ | 151,082,910 | $ | 64,584,761 | ||||
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Net asset value per Unit: |
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Class A |
$ | 21.73 | $ | 21.07 | ||||
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Class Z |
$ | 9.20 | $ | 8.90 | ||||
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(1) | Defined in Note 1. |
See accompanying notes to financial statements.
1
Ceres Classic L.P.
Condensed Schedule of Investments
March 31, 2021
(Unaudited)
Notional ($)/ Number of Contracts |
Fair Value | % of Partners Capital |
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Futures Contracts Purchased |
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Currencies |
62 | $ | (20,364 | ) | (0.01 | ) | % | |||||||
Energy |
229 | (670,980 | ) | (0.46 | ) | |||||||||
Grains |
506 | 417,492 | 0.28 | |||||||||||
Indices |
545 | 692,388 | 0.47 | |||||||||||
Interest Rates U.S. |
1,147 | (764,493 | ) | (0.52 | ) | |||||||||
Interest Rates Non-U.S. |
2,314 | (210,514 | ) | (0.14 | ) | |||||||||
Livestock |
32 | 20,560 | 0.01 | |||||||||||
Metals |
35 | (298,413 | ) | (0.20 | ) | |||||||||
Softs |
159 | (213,792 | ) | (0.14 | ) | |||||||||
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Total futures contracts purchased |
(1,048,116 | ) | (0.71 | ) | ||||||||||
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Futures Contracts Sold |
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Currencies |
76 | 37,478 | 0.02 | |||||||||||
Energy |
44 | 9,244 | 0.01 | |||||||||||
Grains |
32 | (9,595 | ) | (0.01 | ) | |||||||||
Indices |
86 | (58,014 | ) | (0.04 | ) | |||||||||
Interest Rates U.S. |
689 | 867,747 | 0.59 | |||||||||||
Interest Rates Non-U.S. |
1,275 | 17,336 | 0.01 | |||||||||||
Livestock |
17 | (14,530 | ) | (0.01 | ) | |||||||||
Metals |
43 | 13,501 | 0.01 | |||||||||||
Softs |
80 | 57,617 | 0.04 | |||||||||||
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Total futures contracts sold |
920,784 | 0.62 | ||||||||||||
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Net unrealized depreciation on open futures contracts |
$ | (127,332 | ) | (0.09 | ) | % | ||||||||
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Unrealized Appreciation on Open Forward Contracts |
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Currencies |
$ | 265,331,396 | $ | 3,701,051 | 2.51 | % | ||||||||
Metals |
206 | 1,384,192 | 0.94 | |||||||||||
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Total unrealized appreciation on open forward contracts |
5,085,243 | 3.45 | ||||||||||||
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Unrealized Depreciation on Open Forward Contracts |
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Currencies |
$ | 168,156,104 | (1,630,383 | ) | (1.11 | ) | ||||||||
Metals |
167 | (762,977 | ) | (0.52 | ) | |||||||||
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Total unrealized depreciation on open forward contracts |
(2,393,360 | ) | (1.63 | ) | ||||||||||
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Net unrealized appreciation on open forward contracts |
$ | 2,691,883 | 1.82 | % | ||||||||||
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Investment in the Trading Company |
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CMF Winton Master L.P. |
$ | 40,647,150 | 27.61 | % | ||||||||||
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See accompanying notes to financial statements.
2
Ceres Classic L.P.
Condensed Schedule of Investments
December 31, 2020
Notional ($)/ Number of Contracts |
Fair Value | % of Partners Capital |
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Futures Contracts Purchased |
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Currencies |
5 | $ | 3,505 | 0.01 | % | |||||||||
Energy |
42 | 16,480 | 0.03 | |||||||||||
Grains |
292 | 1,365,431 | 2.22 | |||||||||||
Indices |
570 | 1,527,501 | 2.49 | |||||||||||
Interest Rates U.S. |
314 | (27,131 | ) | (0.05 | ) | |||||||||
Interest Rates Non-U.S. |
1,330 | 207,805 | 0.34 | |||||||||||
Metals |
85 | 578,642 | 0.94 | |||||||||||
Softs |
89 | 74,260 | 0.12 | |||||||||||
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Total futures contracts purchased |
3,746,493 | 6.10 | ||||||||||||
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Futures Contracts Sold |
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Currencies |
29 | 16,319 | 0.03 | |||||||||||
Energy |
186 | (19,896 | ) | (0.03 | ) | |||||||||
Indices |
67 | 40,340 | 0.06 | |||||||||||
Interest Rates U.S. |
145 | (41,711 | ) | (0.07 | ) | |||||||||
Interest Rates Non-U.S. |
225 | 31,285 | 0.05 | |||||||||||
Softs |
3 | 349 | 0.00 | * | ||||||||||
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Total futures contracts sold |
26,686 | 0.04 | ||||||||||||
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Net unrealized appreciation on open futures contracts |
$ | 3,773,179 | 6.14 | % | ||||||||||
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Unrealized Appreciation on Open Forward Contracts |
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Currencies |
$ | 79,799,689 | $ | 546,367 | 0.89 | % | ||||||||
Metals |
74 | 927,155 | 1.51 | |||||||||||
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Total unrealized appreciation on open forward contracts |
1,473,522 | 2.40 | ||||||||||||
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Unrealized Depreciation on Open Forward Contracts |
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Currencies |
$ | 60,084,486 | (763,174 | ) | (1.24 | ) | ||||||||
Metals |
38 | (101,800 | ) | (0.17 | ) | |||||||||
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Total unrealized depreciation on open forward contracts |
(864,974 | ) | (1.41 | ) | ||||||||||
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Net unrealized appreciation on open forward contracts |
$ | 608,548 | 0.99 | % | ||||||||||
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* Due to rounding.
See accompanying notes to financial statements.
3
Ceres Classic L.P.
Statements of Income and Expenses
(Unaudited)
Three Months Ended March 31, | ||||||||
2021 | 2020 | |||||||
Investment Income: |
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Interest income |
$ | 10,302 | $ | 170,801 | ||||
Interest income allocated from the Trading Company |
4,086 | - | ||||||
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Total investment income |
14,388 | 170,801 | ||||||
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Expenses: |
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Expenses allocated from the Trading Company |
51,207 | - | ||||||
Clearing fees |
93,617 | 44,415 | ||||||
Administrative and General Partners fees |
278,789 | 394,281 | ||||||
Ongoing placement agent fees |
274,820 | 389,839 | ||||||
Management fees |
479,604 | 266,141 | ||||||
Incentive fees |
538,838 | - | ||||||
Professional fees |
136,414 | - | ||||||
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Total expenses |
1,853,289 | 1,094,676 | ||||||
Expenses reimbursed by the General Partner |
- | (44,415 | ) | |||||
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Net expenses |
1,853,289 | 1,050,261 | ||||||
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Net investment loss |
(1,838,901 | ) | (879,460 | ) | ||||
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Trading Results: |
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Net gains (losses) on trading of commodity interests: |
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Net realized gains (losses) on closed contracts |
5,418,637 | (19,707,205 | ) | |||||
Net realized gains (losses) on closed contracts allocated from the Trading Company |
4,807,136 | - | ||||||
Net change in unrealized gains (losses) on open contracts |
(1,813,173 | ) | 5,608,003 | |||||
Net change in unrealized gains (losses) on open contracts allocated from the Trading Company |
(2,083,613 | ) | - | |||||
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Total trading results |
6,328,987 | (14,099,202 | ) | |||||
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Net income (loss) |
$ | 4,490,086 | $ | (14,978,662 | ) | |||
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Net income (loss) per Unit*: |
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Class A |
$ | 0.66 | $ | (3.99 | ) | |||
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Class Z |
$ | 0.30 | $ | (1.62 | ) | |||
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Weighted average Units outstanding: |
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Class A |
6,970,190.296 | 3,713,962.776 | ||||||
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Class Z |
238,081.761 | 101,536.878 | ||||||
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* Represents the change in net asset value per Unit during the period.
See accompanying notes to financial statements.
4
Ceres Classic 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 | Units | Amount | Units | Amount | Units | |||||||||||||||||||
Partners Capital, December 31, 2019 |
$ | 83,168,125 | 3,744,360.651 | $ | 938,707 | 101,536.878 | $ | 84,106,832 | 3,845,897.529 | |||||||||||||||
Subscriptions - Limited Partners |
25,000 | 1,155.802 | - | - | 25,000 | 1,155.802 | ||||||||||||||||||
Redemptions - Limited Partners |
(2,556,091 | ) | (132,707.471 | ) | - | - | (2,556,091 | ) | (132,707.471 | ) | ||||||||||||||
Net income (loss) |
(14,814,065 | ) | - | (164,597 | ) | - | (14,978,662 | ) | - | |||||||||||||||
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Partners Capital, March 31, 2020 |
$ | 65,822,969 | 3,612,808.982 | $ | 774,110 | 101,536.878 | $ | 66,597,079 | 3,714,345.860 | |||||||||||||||
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Class A | Class Z | Total | ||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||
Partners Capital, December 31, 2020 |
$ | 60,545,493 | 2,873,697.998 | $ | 904,065 | 101,536.878 | $ | 61,449,558 | 2,975,234.876 | |||||||||||||||
Subscriptions - General Partner |
- | - | 1,841,454 | 206,904.961 | 1,841,454 | 206,904.961 | ||||||||||||||||||
Subscriptions - Limited Partners |
89,741,721 | 4,259,217.890 | 99,016 | 11,079.649 | 89,840,737 | 4,270,297.539 | ||||||||||||||||||
Redemptions - General Partner |
- | - | (1,085,094 | ) | (123,960.605 | ) | (1,085,094 | ) | (123,960.605 | ) | ||||||||||||||
Redemptions - Limited Partners |
(9,316,623 | ) | (439,797.853 | ) | - | - | (9,316,623 | ) | (439,797.853 | ) | ||||||||||||||
Net income (loss) |
4,450,819 | - | 39,267 | - | 4,490,086 | - | ||||||||||||||||||
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Partners Capital, March 31, 2021 |
$ | 145,421,410 | 6,693,118.035 | $ | 1,798,708 | 195,560.883 | $ | 147,220,118 | 6,888,678.918 | |||||||||||||||
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See accompanying notes to financial statements.
5
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
1. | Organization: |
Ceres Classic L.P. (the Partnership) is a Delaware limited partnership organized in 1998 to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy and agricultural products (collectively, Futures Interests) (refer to Note 4, Financial Instruments). The General Partner (as defined below) may also determine to invest up to all of the Partnerships assets in United States (U.S.) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (Ceres or the General Partner) and commodity pool operator of the Partnership. 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. Morgan Stanley Smith Barney LLC is doing business as Morgan Stanley Wealth Management (Morgan Stanley Wealth Management). This entity currently acts as the placement agent for the Partnership. Morgan Stanley Wealth Management is a principal subsidiary of MSD Holdings.
As of March 31, 2021, all trading decisions were made for the Partnership by Graham Capital Management, L.P. (Graham), Winton Capital Management Limited (WCM), EMC Capital Advisors, LLC (EMC) and Campbell & Company, LP (Campbell), as the commodity trading advisors to the Partnership (each, a Trading Advisor and collectively, the Trading Advisors). Prior to January 1, 2021, Graham was the sole trading advisor to the Partnership, and managed the assets of the Partnership pursuant to its K4D-15V Program, Grahams proprietary, trend-following trading program. Ceres is responsible for selecting additional commodity trading advisors from time to time and for replacing Trading Advisors as it deems necessary. Trading advisors can be added, removed or replaced at any time by Ceres, or Ceres may determine to adjust the allocation of assets to each Trading Advisor, without the consent of, or advance notice to, the limited partners.
As of January 1, 2021, the Partnership invested a portion of its assets in CMF Winton Master L.P., organized in New York as a limited partnership (CMF Winton or the Trading Company). The Partnership and any other feeder fund investing in the Trading Company constitute the limited partners of the Trading Company. The Trading Company is managed by Ceres Managed Futures LLC. CMF Winton has a single account with WCM. The Trading Company may and will, among other things, trade, buy, sell, spread, or otherwise acquire, hold or dispose of Futures Interests.
The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended March 31, 2021.
During the reporting periods ended March 31, 2021 and 2020, the Partnerships commodity broker was Morgan Stanley & Co. LLC (MS&Co.), a registered futures commission merchant. MS&Co. also acts as the counterparty on all trading of foreign currency forward contracts. MS&Co. is a wholly-owned subsidiary of Morgan Stanley. As of January 1, 2021, JPMorgan Chase Bank, N.A. (JPM) acts as prime broker in connection with foreign exchange forward and swap transactions for the Trading Company.
Effective October 2, 2020, the Partnership changed its name from Managed Futures Premier Graham L.P. to Ceres Classic L.P.
As of March 31, 2021, units of limited partnership interest (Unit(s)) of the Partnership are being offered in two share classes (each, a Class or collectively, the Classes). A Limited Partner will initially receive Class A Units in the Partnership, provided, that certain investors (other than ERISA/IRA investors) who subscribe for Units on a consulting basis, the General Partner, and certain employees of Morgan Stanley and/or its subsidiaries (and their family members) may be designated to hold Class Z Units. The Partnership previously offered Units in Class D; however, no Limited Partners hold Class D Units as of March 31, 2021, and Class D Units are no longer offered.
Each of Class A and Z Units of the Partnership have the same investment exposure and rights except for the amount of the ongoing placement agent fee charged to each Class of Units; however, Class Z Units are not subject to an ongoing placement agent fee.
6
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
The monthly management fee paid by the Partnership to Graham is equal to 1/12th of 1.25% (1.25% annual rate) of the Partnerships net assets allocated to Graham as of the first day of each month. Prior to January 1, 2021, the monthly management fee paid by the Partnership to Graham was 1/12th of 1.35% (1.35% annual rate) of the Partnerships net assets as of the first day of each month. The Partnership pays Graham an incentive fee of 18% of new trading profits annually.
The Partnership pays WCM a flat-rate monthly fee equal to 1/12th of 1.5% (1.5% annual rate) of the Partnerships net assets allocated to WCM as at the beginning of the relevant month, which is equal to the prior month end net assets, net of all fees and expenses for the previous month, and decreased by any redemptions for such prior month end and increased by any subscriptions for the current month. In addition, the Partnership pays WCM a quarterly incentive fee equal to 20% of new trading profits earned by WCM in each quarterly period. Pursuant to the management agreement with WCM, no incentive fee will be paid to WCM with respect to the Partnership until it has (i) recouped a certain loss carryforward and (ii) earned new trading profits (as defined in the applicable management agreement) from and after January 1, 2021. The loss carryforward applied to the Partnership will be adjusted according to the Partnerships assets allocated to WCM as of January 1, 2021.
The Partnership pays Campbell a flat rate monthly fee equal to 1/12th of 1.25% (1.25% annual rate) of the beginning of the month net asset value allocated to Campbell, and the Partnership pays Campbell a quarterly incentive fee equal to 20% of trading profits earned by Campbell in each quarterly period.
The Partnership pays EMC a flat rate monthly fee equal to 1/12th of 0.875% (0.875% annual rate) of the beginning of the month net asset value allocated to EMC, and the Partnership pays EMC a quarterly incentive fee equal to 20% of trading profits earned by EMC in each quarterly period.
The ongoing placement agent fee paid by the Partnership to Morgan Stanley Wealth Management for Class A unit holders is equal to an annual rate of 0.75% of the adjusted net assets of Class A units (computed monthly by multiplying the adjusted net assets of the Class A units by 0.75% and dividing the result thereof by 12). Prior to January 1, 2021, the ongoing placement agent fee paid by the Partnership to Morgan Stanley Wealth Management for Class A unit holders was equal to an annual rate of 1.00% of the adjusted net assets of Class A units (computed monthly by multiplying the adjusted net assets of the Class A units by 1.00% and dividing the result thereof by 12). Prior to July 1, 2020, the ongoing placement agent fee paid by the Partnership to Morgan Stanley Wealth Management for Class A unit holders was equal to an annual rate of 2.00% of the adjusted net assets of Class A units (computed monthly by multiplying the adjusted net assets of the Class A units by 2.00% and dividing the result thereof by 12).
The administrative and general partner fee paid by the Partnership to Ceres for all limited partners is equal to an annual rate of 0.75% of the Partnerships net assets (as defined in the Partnerships Limited Partnership Agreement). Prior to January 1, 2021, the administrative and general partner fee paid by the Partnership to Ceres was equal to an annual rate of 1.75% of the Partnerships net assets (as defined in the Partnerships Limited Partnership Agreement). Prior to July 1, 2020, the administrative and general partner fee paid by the Partnership to Ceres was equal to an annual rate of 2.00% of the Partnerships net assets (as defined in the Partnerships Limited Partnership Agreement).
The Partnership directly pays the brokerage fees and other transaction-related fees and expenses, as incurred and also pays its ongoing administrative, operating, offering and organizational expenses (including, but not limited to, periodic legal, accounting, administrative, filing, reporting and data processing fees) and its pro rata share of such expenses of any trading company to which the Partnership has allocated assets. Prior to January 1, 2021, the General Partner paid or reimbursed the Partnership for all fees and costs charged or incurred by the commodity brokers for trades executed on behalf of the Partnership, and for all ordinary administrative and offering expenses.
The Trading Company has entered into a foreign exchange brokerage account agreement and a futures brokerage account agreement with MS&Co. The Partnership has also entered into a futures brokerage account agreement with MS&Co. Pursuant to these agreements, the Partnership, directly or indirectly through its investment in the Trading Company, pays MS&Co. (or will reimburse MS&Co., if previously paid) its allocable share of all trading fees for the clearing and, where applicable, execution of transactions as well as exchange, user, give-up, floor brokerage and National Futures Association fees (collectively, the clearing fees).
7
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
The Partnership has also entered into a selling agreement with Morgan Stanley Wealth Management (as amended, the Selling Agreement). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management is paid a monthly ongoing selling agent fee at the rates described above. The ongoing selling agent fee received by Morgan Stanley Wealth Management is shared with the properly registered/exempted financial advisors of Morgan Stanley Wealth Management who sell Class A Units.
On July 12, 2017, the Trading Company entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of the Trading Company and, indirectly, the Partnership. These agreements include a foreign exchange and bullion authorization agreement (FX Agreement), an International Swap Dealers Association, Inc. master agreement (Master Agreement), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. Under the FX Agreement, JPMorgan charges a fee on the aggregate foreign currency transactions entered into on behalf of the Trading Company during a month.
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.
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 Partnerships 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 of the disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnerships 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 contributions and profits, if any, net of distributions or redemptions and losses, if any.
Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (ASC) 230, Statement of Cash Flows. The Statements of Changes in Partners Capital are included herein, and as of and for the periods ended March 31, 2021 and 2020, the Partnership carried no debt and all of the Partnerships investments were carried at fair value and classified as Level 1 or Level 2 measurements.
8
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
Partnerships Investment in the Trading Company. The Partnership carries its investment in the Trading Company at fair value based on the Trading Companys net asset value per redeemable unit, as a practical expedient, as calculated by the Trading Company.
Partnerships Investments. All Futures Interests held by the Partnership, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The Futures Interests are recorded on trade date and open contracts are recorded at fair value (as described in Note 6, Fair Value Measurements) at the measurement date. Investments in Futures 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. Net unrealized gains or losses on open contracts are included as a component of equity in trading account in the Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Statements of Income and Expenses. The Partnership does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in the Statements of Income and Expenses.
Partnerships Cash. The cash held by the Partnership that is available for Futures Interests trading is on deposit in a commodity brokerage account with MS&Co. The Partnerships 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. All of these amounts are maintained separately. At March 31, 2021 and December 31, 2020, the amount of cash held for margin requirements was $19,727,027 and $15,232,825, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. Restricted and unrestricted cash includes cash denominated in foreign currencies of $(372,759) (proceeds of $376,224) and $(415,847) (proceeds of $415,309) as of 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 Partnerships 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 Partnerships 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 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 Partnerships Statements of Income and Expenses in the periods 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 ServicesInvestment 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 Unit. Net income (loss) per 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 Partnerships critical accounting policies as reported in the Partnerships Annual Report on Form 10-K for the year ended December 31, 2020.
9
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
3. | Financial Highlights: |
Financial highlights for the limited partner class as a whole for the three months ended March 31, 2021 and 2020 were as follows:
Three Months Ended March 31, | ||||||||||||||||||
2021 | 2020 | |||||||||||||||||
Class A | Class Z | Class A | ||||||||||||||||
Per Unit Performance (for a unit outstanding throughout the period):* |
||||||||||||||||||
Net realized and unrealized gains (losses) |
$ | 0.92 | $ | 0.40 | $ | (3.75 | ) | |||||||||||
Net investment loss |
(0.26 | ) | (0.10 | ) | (0.24 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
Increase (decrease) for the period |
0.66 | 0.30 | (3.99 | ) | ||||||||||||||
Net asset value per Unit, beginning of period |
21.07 | 8.90 | 22.21 | |||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
Net asset value per Unit, end of period |
$ | 21.73 | $ | 9.20 | $ | 18.22 | ||||||||||||
|
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|
|
|
|
|
|
||||||||||
Three Months Ended March 31, |
||||||||||||||||||
2021 | 2020 | |||||||||||||||||
Class A | Class Z | Class A | ||||||||||||||||
Ratios to Average Limited Partners Capital: ** |
||||||||||||||||||
Net investment loss *** |
(4.6 | ) | % | (3.2 | ) | % | (4.7 | ) | % | |||||||||
|
|
|
|
|
|
|
|
|
||||||||||
Operating expenses |
4.3 | % | 2.8 | % | 5.8 | % | ||||||||||||
Expenses reimbursed by the General Partner |
- | % | - | % | (0.2 | ) | % | |||||||||||
Incentive fees |
0.4 | % | 0.4 | % | - | % | ||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
Total expenses |
4.7 | % | 3.2 | % | 5.6 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
Total return: |
||||||||||||||||||
Total return before incentive fees |
3.5 | % | 3.7 | % | (18.0 | ) | % | |||||||||||
Incentive fees |
(0.4 | ) | % | (0.3 | ) | % | - | % | ||||||||||
|
|
|
|
|
|
|
|
|
||||||||||
Total return after incentive fees |
3.1 | % | 3.4 | % | (18.0 | ) | % | |||||||||||
|
|
|
|
|
|
|
|
|
* | Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information. |
** | Annualized (except for incentive fees). |
*** | Interest income less total expenses. |
The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners share of income, expenses and average partners capital of the Partnership and include the income and expenses allocated from the Trading Company.
10
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
4. | Financial Instruments: |
The Partnership trades Futures Interests. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price.
The fair value of an exchange-traded contract is based on the settlement price quoted by the exchange on the day with respect to which fair value is being determined. If an exchange-traded contract could not have been liquidated on such day due to the operation of daily limits or other rules of the exchange, the settlement price will be equal to the settlement price on the first subsequent day on which the contract could be liquidated.
The General Partner estimates that, at any given time, approximately 22.0% to 40.9% of the Partnerships contracts are traded over-the-counter.
In general, the risks associated with non-exchange-traded contracts are greater than those associated with exchange-traded contracts because of the greater risk of default by the counterparty to a non-exchange-traded contract. The Partnership has credit risk associated with counterparty nonperformance. As of the date of the financial statements, the credit risk associated with the instruments in which the Partnership trades is limited to the unrealized gain amounts reflected in the Statements of Financial Condition.
The Partnership also has credit risk because MS&Co. acts as the commodity futures broker, or the counterparty, with respect to most of the Partnerships assets. Exchange-traded futures and exchange-traded forward contracts are fair valued on a daily basis, with variations in value settled on a daily basis. With respect to the Partnerships non-exchange-traded forward currency contracts, there are no daily settlements of variation in value, nor is there any requirement that an amount equal to the net unrealized gains (losses) on such contracts be segregated. However, the Partnership is required to meet margin requirements equal to the net unrealized loss on open forward currency contracts in the Partnerships accounts with the counterparty, which is accomplished by daily maintenance of the cash balance in a custody account held at MS&Co., for the benefit of MS&Co. With respect to those non-exchange-traded forward currency contracts, the Partnership is at risk to the ability of MS&Co., the sole counterparty on all such contracts, to perform. The Partnership has a netting agreement with MS&Co. The primary terms are based on industry standard master netting agreements. This agreement, which seeks to reduce both the Partnerships and MS&Co.s exposure on non-exchange-traded forward currency contracts, should materially decrease the Partnerships credit risk in the event of MS&Co.s bankruptcy or insolvency.
The General Partner monitors and attempts to mitigate the Partnerships 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 may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of U.S. Treasury bills, futures, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.
The Futures Interests traded, and the U.S. Treasury bills held, by the Partnership involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnerships open positions, and consequently, in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures and exchange-traded forward contracts are settled daily through variation margin. Gains and losses on non-exchange-traded forward currency contracts are settled upon termination of the contract.
In the ordinary course of business, the Partnership enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnerships maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership. The General Partner considers the risk of any future obligation relating to these indemnifications to be remote.
11
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
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 Partnerships investments and operations.
5. | Trading Activities: |
The Partnerships objective is to profit from speculative trading in Futures Interests. Therefore, the Trading Advisor will take speculative positions in Futures Interests where it feels the best profit opportunities exist for its trading strategy. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures.
All of the Futures Interests owned by the Partnership are held for trading purposes. The monthly average number of futures contracts traded during the three months ended March 31, 2021 and 2020 were 8,003 and 4,198, respectively. The monthly average number of metals forward contracts traded during the three months ended March 31, 2021 and 2020 were 488 and 626, respectively. The monthly average notional values of currency forward contracts traded during the three months ended March 31, 2021 and 2020 were $589,582,105 and $319,518,988, respectively.
The following tables summarize the gross and net amounts recognized relating to the assets and liabilities of the Partnerships derivative instruments and transactions eligible for offset subject to master netting agreements or similar arrangements 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 | |||||||||||||||||||
Financial Instruments |
Cash Collateral Received/ Pledged* |
|||||||||||||||||||||||
Assets |
||||||||||||||||||||||||
Futures |
$ | 2,738,655 | $ | (2,738,655 | ) | $ | - | $ | - | $ | - | $ | - | |||||||||||
Forwards |
5,085,243 | (2,393,360 | ) | 2,691,883 | - | - | 2,691,883 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total assets |
$ | 7,823,898 | $ | (5,132,015 | ) | $ | 2,691,883 | $ | - | $ | - | $ | 2,691,883 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||||||||||
Futures |
$ | (2,865,987 | ) | $ | 2,738,655 | $ | (127,332 | ) | $ | - | $ | 127,332 | $ | - | ||||||||||
Forwards |
(2,393,360 | ) | 2,393,360 | - | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
$ | (5,259,347 | ) | $ | 5,132,015 | $ | (127,332 | ) | $ | - | $ | 127,332 | $ | - | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Net fair value |
$ | 2,691,883 | * | |||||||||||||||||||||
|
|
12
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
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 | |||||||||||||||||||
Financial Instruments |
Cash Collateral Received/ Pledged* |
|||||||||||||||||||||||
Assets |
||||||||||||||||||||||||
Futures |
$ | 4,122,810 | $ | (349,631 | ) | $ | 3,773,179 | $ | - | $ | - | $ | 3,773,179 | |||||||||||
Forwards |
1,473,522 | (864,974 | ) | 608,548 | - | - | 608,548 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total assets |
$ | 5,596,332 | $ | (1,214,605 | ) | $ | 4,381,727 | $ | - | $ | - | $ | 4,381,727 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||||||||||
Futures |
$ | (349,631 | ) | $ | 349,631 | $ | - | $ | - | $ | - | $ | - | |||||||||||
Forwards |
(864,974 | ) | 864,974 | - | - | - | - | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
$ | (1,214,605 | ) | $ | 1,214,605 | $ | - | $ | - | $ | - | $ | - | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Net fair value |
$ | 4,381,727 | * | |||||||||||||||||||||
|
|
* | In the event of default by the Partnership, MS&Co., the Partnerships commodity futures broker and the sole counterparty to the Partnerships non-exchange-traded contracts, as applicable, has the right to offset the Partnerships obligation with the Partnerships 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 Partnerships exposure to counterparty risk may be reduced since the exchanges clearinghouse interposes its credit between buyer and seller and the clearinghouses 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. |
13
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of March 31, 2021 and December 31, 2020, respectively.
March 31, 2021 | ||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | 68,717 | ||
Energy |
34,491 | |||
Grains |
655,362 | |||
Indices |
792,136 | |||
Interest Rates U.S. |
878,130 | |||
Interest Rates Non-U.S. |
134,350 | |||
Livestock |
32,473 | |||
Metals |
71,706 | |||
Softs |
71,290 | |||
|
|
|||
Total unrealized appreciation on open futures contracts |
2,738,655 | |||
|
|
|||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
(51,603) | |||
Energy |
(696,227) | |||
Grains |
(247,465) | |||
Indices |
(157,762) | |||
Interest Rates U.S. |
(774,876) | |||
Interest Rates Non-U.S. |
(327,528) | |||
Livestock |
(26,443) | |||
Metals |
(356,618) | |||
Softs |
(227,465) | |||
|
|
|||
Total unrealized depreciation on open futures contracts |
(2,865,987) | |||
|
|
|||
Net unrealized depreciation on open futures contracts |
$ | (127,332) | * | |
|
|
|||
Assets |
||||
Forward Contracts |
||||
Currencies |
$ | 3,701,051 | ||
Metals |
1,384,192 | |||
|
|
|||
Total unrealized appreciation on open forward contracts |
5,085,243 | |||
|
|
|||
Liabilities |
||||
Forward Contracts |
||||
Currencies |
(1,630,383) | |||
Metals |
(762,977) | |||
|
|
|||
Total unrealized depreciation on open forward contracts |
(2,393,360) | |||
|
|
|||
Net unrealized appreciation on open forward contracts |
$ | 2,691,883 | ** | |
|
|
* | This amount is in Net unrealized depreciation on open futures contracts in the Statements of Financial Condition. |
** | This amount is in Net unrealized appreciation on open forward contracts in the Statements of Financial Condition. |
14
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
December 31, 2020 | ||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | 23,052 | ||
Energy |
109,229 | |||
Grains |
1,365,721 | |||
Indices |
1,611,029 | |||
Interest Rates U.S. |
64,049 | |||
Interest Rates Non-U.S. |
291,892 | |||
Metals |
581,429 | |||
Softs |
76,409 | |||
|
|
|||
Total unrealized appreciation on open futures contracts |
4,122,810 | |||
|
|
|||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
(3,228) | |||
Energy |
(112,645) | |||
Grains |
(290) | |||
Indices |
(43,188) | |||
Interest Rates U.S. |
(132,891) | |||
Interest Rates Non-U.S. |
(52,802) | |||
Metals |
(2,787) | |||
Softs |
(1,800) | |||
|
|
|||
Total unrealized depreciation on open futures contracts |
(349,631) | |||
|
|
|||
Net unrealized appreciation on open futures contracts |
$ | 3,773,179 | * | |
|
|
|||
Assets |
||||
Forward Contracts |
||||
Currencies |
$ | 546,367 | ||
Metals |
927,155 | |||
|
|
|||
Total unrealized appreciation on open forward contracts |
1,473,522 | |||
|
|
|||
Liabilities |
||||
Forward Contracts |
||||
Currencies |
(763,174) | |||
Metals |
(101,800) | |||
|
|
|||
Total unrealized depreciation on open forward contracts |
(864,974) | |||
|
|
|||
Net unrealized appreciation on open forward contracts |
$ | 608,548 | ** | |
|
|
* | This amount is in Net unrealized appreciation on open futures contracts in the Statements of Financial Condition. |
** | This amount is in Net unrealized appreciation on open forward contracts in the Statements of Financial Condition. |
15
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2021 and 2020, respectively.
Three Months Ended March 31, |
||||||||||||
Sector |
2021 | 2020 | ||||||||||
Currencies |
$ | 1,160,513 | $ | (1,459,803 | ) | |||||||
Energy |
1,677,819 | 661,332 | ||||||||||
Grains |
1,536,622 | 667,216 | ||||||||||
Indices |
3,495,310 | (28,956,085 | ) | |||||||||
Interest Rates U.S. |
(1,937,227 | ) | 10,638,122 | |||||||||
Interest Rates Non-U.S. |
(2,541,160 | ) | 2,529,822 | |||||||||
Livestock |
(14,325 | ) | | |||||||||
Metals |
93,779 | 2,286,240 | ||||||||||
Softs |
134,133 | (466,046 | ) | |||||||||
|
|
|
|
|||||||||
Total |
$ | 3,605,464 | *** | $ | (14,099,202 | ) | *** | |||||
|
|
|
|
*** This amount is in Total trading results in the Statements of Income and Expenses.
6. | Fair Value Measurements: |
Partnerships and the Trading Companys 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, forward and option contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as input the spot prices, interest rates and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.
The Partnership and the Trading Company 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 Trading Company did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partners assumptions and internal valuation pricing models (Level 3).
16
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
March 31, 2021 |
Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Assets |
||||||||||||||||
Futures |
$ | 2,738,655 | $ | 2,738,655 | $ | - | $ | - | ||||||||
Forwards |
5,085,243 | - | 5,085,243 | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
$ | 7,823,898 | $ | 2,738,655 | $ | 5,085,243 | $ | - | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures |
$ | 2,865,987 | $ | 2,865,987 | $ | - | $ | - | ||||||||
Forwards |
2,393,360 | - | 2,393,360 | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
$ | 5,259,347 | $ | 2,865,987 | $ | 2,393,360 | $ | - | ||||||||
|
|
|
|
|
|
|
|
|||||||||
December 31, 2020 |
Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Assets |
||||||||||||||||
Futures |
$ | 4,122,810 | $ | 4,122,810 | $ | - | $ | - | ||||||||
Forwards |
1,473,522 | - | 1,473,522 | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
$ | 5,596,332 | $ | 4,122,810 | $ | 1,473,522 | $ | - | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures |
$ | 349,631 | $ | 349,631 | $ | - | $ | - | ||||||||
Forwards |
864,974 | - | 864,974 | - | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
$ | 1,214,605 | $ | 349,631 | $ | 864,974 | $ | - | ||||||||
|
|
|
|
|
|
|
|
7. | Investment in the Trading Company: |
On January 1, 2021, the assets allocated to WCM for trading were invested in CMF Winton, a limited partnership organized under the partnership laws of the State of New York. CMF Winton permits accounts managed by WCM using the Winton Futures Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of CMF Winton. Individual and pooled accounts currently managed by WCM, including the Partnership, are permitted to be limited partners of CMF Winton. The General Partner and WCM believe that trading through this structure promotes efficiency and economy in the trading process. The General Partner and WCM have agreed that WCM will trade the Partnerships assets allocated to WCM at a level that is up to 1.5 times the amount of assets allocated, provided that the General Partner may instruct WCM to change such level in accordance with the investment management agreement from time to time.
The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended March 31, 2021.
The Partnerships/Trading Companys trading of futures, forward, swap, and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Partnership/Trading Company engage in such trading through commodity brokerage accounts maintained with MS&Co.
Generally, a limited partner in the Trading Company may withdraw all or part of its capital contribution and undistributed profits, if any, from the Trading Company as of the end of any month (the Redemption Date) after a request has been made to the Trading Manager at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner elects to redeem and informs the Trading Company. However, a limited partner may request a withdrawal as of the end of any day if such request is received by the Trading Manager at least three days in advance of the proposed withdrawal date.
Management fees, General Partner fees, ongoing selling fees and incentive fees are charged at the Partnership level. All clearing fees paid to MS&Co. are borne directly by the Partnership for its direct trading. In addition, clearing fees are borne by the Trading Company and allocated to the Trading Companys limited partners, including the Partnership. Professional fees are borne by the Trading Company and allocated to the Partnership, and also charged directly at the Partnership level.
17
Ceres Classic L.P.
Notes to Financial Statements
(Unaudited)
At March 31, 2021, the Partnership owned approximately 100% of CMF Winton. It is the Partnerships intention to continue to invest in the Trading Company. The performance of the Partnership is directly affected by the performance of the Trading Company. Expenses to investors as a result of investment in the Trading Company 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 partners capital of the Trading Company is shown in the following table:
March 31, 2021 | ||||||||||||
Total Assets | Toal Liabilities | Total Capital | ||||||||||
CMF Winton |
$ | 42,306,679 | $ | 1,659,973 | $ | 40,646,706 |
Summarized information reflecting the net investment income (loss), total trading results and net income (loss) of the Trading Company is shown in the following table:
For the three months ended March 31, 2021 | ||||||||||||
Net Investment Income (Loss) |
Total Trading Results |
Net Income (Loss) |
||||||||||
CMF Winton |
$ | (47,121 | ) | $ | 2,723,523 | $ | 2,676,402 |
Summarized information reflecting the Partnerships investment in and the Partnerships pro-rata share of the results of operations of the Trading Company is shown in the following table:
March 31, 2021 | For the three months ended March 31, 2021 | |||||||||||||||||||||||||||
% of Partners Capital |
Fair Value | Income (Loss) |
Expenses | Net Income (Loss) |
Investment |
Redemptions | ||||||||||||||||||||||
Funds |
Clearing Fees |
Professional Fees |
||||||||||||||||||||||||||
CMF Winton(a) |
27.61 | % | $ | 40,647,150 | $ | 2,727,609 | $ | 37,920 | $ | 13,287 | $ | 2,676,402 | Commodity Portfolio | Monthly |
(a) | On January 1, 2021, the Partnership invested into CMF Winton. |
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.
18
Item 2. Managements 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 Trading Company, (ii) redemptions receivable from the Trading Company, (iii) equity in trading account, consisting of restricted and unrestricted cash, net unrealized appreciation on open futures contracts and net unrealized appreciation on open forward contracts, as applicable, (iv) interest receivable and (v) expense reimbursement. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its direct investments. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the first quarter of 2021.
The Partnerships/Trading Companys investment in Futures Interests 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/Trading Company from promptly liquidating its futures or option contracts and result in restrictions on redemptions.
There is no limitation on daily price movements in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership/Trading Company from trading in potentially profitable markets or prevent the Partnership/Trading Company from promptly liquidating unfavorable positions in such markets, subjecting it to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnerships/Trading Companys 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 General Partner knows of no trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Partnerships/Trading Companys liquidity increasing or decreasing in any material way.
The Partnerships capital consists of the capital contributions of the partners as increased or decreased by net realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions and redemptions of Units.
For the three months ended March 31, 2021, the Partnerships capital increased 139.6% from $61,449,558 to $147,220,118. This increase was attributable to subscriptions of 4,259,217.890 Class A limited partner Units totaling $89,741,721, subscriptions of 206,904.961 Class Z General Partner Units totaling $1,841,454, subscriptions of 11,079.649 Class Z limited partner Units totaling $99,016 and a net income of $4,490,086 which was partially offset by redemptions of 439,797.853 Class A limited partner Units totaling $9,316,623 and redemptions of 123,960.605 Class Z General Partner Units totaling $1,085,094. Future redemptions could impact the amount of funds available for investments in commodity contract positions in subsequent periods.
Other than as discussed above, there are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnerships 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.
19
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 Partnerships 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/Trading Company records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and net change in unrealized gains (losses) in the Statements of Income and Expenses.
Results of Operations
During the Partnerships first quarter of 2021, the net asset value per Unit for Class A increased 3.1% from $21.07 to $21.73 as compared to a decrease of 18.0% during the first quarter of 2020. During the Partnerships first quarter of 2021, the net asset value per Unit for Class Z increased 3.4% from $8.90 to $9.20 as compared to a decrease of 17.5% during the first quarter of 2020. The Partnership experienced a net trading gain before fees and expenses in the first quarter of 2021 of $6,328,987. Gains were primarily attributable to the Partnerships trading of Futures Interests in currencies, energy, grains, indices, metals and softs and were partially offset by losses in U.S. and non-U.S. interest rates and livestock. The Partnership experienced a net trading loss before fees and expenses in the first quarter of 2020 of $14,099,202. Losses were primarily attributable to the Partnerships trading of Futures Interests in currencies, indices and softs and were partially offset by gains in energy, grains, U.S. and non-U.S. interest rates and metals.
The Partnerships most notable gains were experienced during February and March from long positions in U.S., Asian, and European equity index futures as stock prices rallied on an optimistic outlook for global economic growth. Within the agricultural sector, gains were achieved during January and February from long positions in corn and soybean futures as prices advanced on strengthening consumer demand and weather related concerns in growing regions. Within the energy sector, gains were achieved during February from long futures positions in crude oil and its refined products as prices surged on an outlook for increased global demand. Additional gains were experienced within the currency markets primarily during March from short positions in the Japanese yen versus the U.S. dollar as the relative value of the dollar advanced as the rollout of the COVID-19 vaccine gained momentum in the U.S. The Partnerships overall trading gains for the first quarter were partially offset by trading losses recorded during January and February from long positions in U.S., Australian, Canadian and European bond futures as interest rates moved higher, pressuring prices lower. Within the metals sector, losses were incurred during January and March from long positions in gold and silver futures as the stronger U.S. dollar reduced demand for precious metals.
20
Commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase not only the risk involved in commodity trading, but also the possibility of profit. The profitability of the Partnership depends on the existence of major price trends and the ability of the Trading Advisor to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Trading Advisor is able to identify them, the Partnership expects to increase capital through operations.
The Partnership receives monthly interest on 100% of the average daily equity maintained in cash in the Partnerships account during each month at a rate equal to 100% of the monthly average of the 4-week U.S. Treasury bill discount rate. Prior to January 1, 2021, the Partnership received monthly interest on 100% of its average daily equity maintained in cash in the Partnerships account during each month at a rate equal to 80% of the monthly average of the 4-week U.S. Treasury bill discount rate. For the avoidance of doubt, the Partnership will not receive interest on amounts in the futures brokerage account that are committed to margin. Any interest earned on the Partnerships 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 fund securities will be retained by the Partnership, as applicable. Interest income for the three months ended March 31, 2021 decreased by $156,413 as compared to the corresponding period in 2020. The decrease in interest income was primarily due to lower interest rates 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 Partnerships accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and (3) interest rates over which none of the Partnership or MS&Co. has control.
Certain clearing fees are based on the number of trades executed by the Trading Advisors for the Partnership. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees for the three months ended March 31, 2021 increased by $49,202 as compared to the corresponding period in 2020. The increase in these clearing fees was primarily due to an increase in the number of trades made by the Partnership during the three months ended March 31, 2021 as compared to the corresponding period in 2020.
Ongoing placement agent fees are calculated as a percentage of the Partnerships Class A adjusted net assets on the first day 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. Ongoing placement agent fees for the three months ended March 31, 2021 decreased by $115,019 as compared to the corresponding period in 2020. The decrease was primarily due to a reduction in the ongoing placement agent fee rate to 1/12th of 0.75% for Class A Units effective January 1, 2021.
General Partner fees are paid to the General Partner for administering the business and affairs of the Partnership. The General Partners fees are calculated as a percentage of the Partnerships adjusted net asset value as of the beginning of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. General Partners fees for the three months ended March 31, 2021 decreased by $115,492 as compared to the corresponding period in 2020. The decrease was primarily due to a reduction in the General Partner fee rate to 1/12th of 0.75% effective January 1, 2021. Prior to January 1, 2021, the General Partner paid or reimbursed the Partnership for all fees and costs charged or incurred by the commodity brokers for trades executed on behalf of the Partnership, and for all ordinary administrative and offering expenses. Effective January 1, 2021, the Partnership directly pays the brokerage fees and other transaction-related fees and expenses, as incurred and also pays its ongoing administrative, operating, offering and organizational expenses (including, but not limited to, periodic legal, accounting, administrative, filing, reporting and data processing fees) and its pro rata share of such expenses of any trading company to which the Partnership has allocated assets.
21
Management fees are calculated as a percentage of the Partnerships adjusted net asset value as of the beginning of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Management fees for the three months ended March 31, 2021 increased by $213,463 as compared to the corresponding period in 2020. The increase was primarily due to an increase in average net assets during the three months ended March 31, 2021 as compared to the corresponding period in 2020.
Incentive fees are based on the new trading profits generated by the Trading Advisors at the end of the year as defined in the management agreement among the Partnership, the General Partner and the relevant Trading Advisor. Trading performance for the three months ended March 31, 2021 resulted in incentive fees of $538,838. To the extent that a Trading Advisor incurs a loss for the Partnership, the Trading Advisor will not be paid incentive fees until such Trading Advisor recovers any net loss incurred and earns additional new trading profits for the Partnership.
In allocating substantially all of the assets of the Partnership among the Trading Advisors, the General Partner considers, among other factors, the Trading Advisors past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Trading Advisors and allocate assets to additional advisors at any time.
As of March 31, 2021, the Partnerships assets were allocated among the Trading Advisors in the following approximate percentages:
Advisor |
March 31, 2021 | March 31, 2021 (percentage of Partners Capital) | ||||||
Campbell |
$ | 28,175,178 | 19 | % | ||||
EMC |
12,298,985 | 8 | % | |||||
Graham |
66,063,241 | 45 | % | |||||
WCM |
40,682,714 | 28 | % |
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.
Introduction
The Partnership and the Trading Company are commodity pools engaged primarily in the speculative trading of Futures Interests. The market-sensitive instruments held by the Partnership are acquired for speculative trading purposes only and, as a result, all or substantially all of the Partnerships assets are at risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is inherent to the primary business activity of the Partnership.
The Futures Interests on such contracts traded by the Partnership involve varying degrees of related market risk. Market risk is often dependent upon changes in the level or volatility of held interest rates, exchange rates, and prices of financial instruments and commodities, factors that result in frequent changes in the fair value of the Partnerships open positions, and consequently in its earnings, whether realized or unrealized, and cash flow. Gains and losses on open positions of exchange-traded futures, exchange-traded forward and exchange-traded futures-styled option contracts are settled daily through variation margin. Gains and losses on non-exchange-traded forward currency contracts and forward currency option contracts are settled upon termination of the contract. Gains and losses on non-exchange-traded forward currency option contracts are settled on an agreed-upon settlement date.
The Partnerships total market risk may increase or decrease as it is influenced by a wide variety of factors, including, but not limited to, the diversification among the Partnerships open positions, the volatility present within the markets, and the liquidity of the markets.
The face value of the market sector instruments held by the Partnership is typically many times the applicable margin requirements. Margin requirements generally range between 2% and 15% of contract face value. Additionally, the use of leverage causes the face value of the market sector instruments held by the Partnership typically to be many times the total capitalization of the Partnership.
22
The Partnerships past performance is no guarantee of its future results. Any attempt to numerically quantify the Partnerships market risk is limited by the uncertainty of its speculative trading. The Partnerships speculative trading and use of leverage may cause future losses and volatility (i.e., risk of ruin) that far exceed the Partnerships experience to date as discussed under the Partnerships Value at Risk in Different Market Sectors section and significantly exceed the Value at Risk tables disclosed.
Limited partners will not be liable for losses exceeding the current net asset value of their investment.
Quantifying the Partnerships and the Trading Companys Trading Value at Risk
The following quantitative disclosures regarding the Partnerships/Trading Companys 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/Trading Company accounts for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnerships open positions is directly reflected in the Partnerships/Trading Companys earnings and cash flow.
The Partnerships/Trading Companys risk exposure in the market sectors traded by the Trading 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 Ceres or the Trading Advisor in their daily risk management activities.
Value at Risk is a measure of the maximum amount which the Partnership/Trading Company could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnerships/Trading Companys speculative trading and the recurrence of market movements far exceeding expectations in the markets traded by the Partnership/Trading Company could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnerships/Trading Companys 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 Partnerships/Trading Companys losses in any market sector will be limited to Value at Risk or by the Partnerships/Trading Companys attempts to manage its market risk.
Exchange margin requirements have been used by the Partnership/Trading Company as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market sensitive instruments. The first trading Value at Risk table reflect the market sensitive instruments held by the Partnership directly and through its investments in the Trading Company. 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 Partnerships name traded by certain Trading Advisors) and indirectly by the Trading Company separately. There have been no material changes in the trading Value at Risk, non-trading risk and risk management information previously disclosed in the Partnerships Annual Report on Form 10-K for the year ended December 31, 2020.
23
The following table indicates the trading Value at Risk associated with the Partnerships open positions by market category as of March 31, 2021. As of March 31, 2021, the Partnerships total capitalization was $147,220,118.
March 31, 2021 | ||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
||||||
Currencies |
$ | 9,587,007 | 6.51 | % | ||||
Energy |
1,942,329 | 1.32 | ||||||
Grains |
1,323,609 | 0.90 | ||||||
Indices |
5,972,861 | 4.06 | ||||||
Interest Rates U.S. |
1,048,238 | 0.71 | ||||||
Interest Rates Non-U.S. |
1,491,847 | 1.01 | ||||||
Livestock |
268,152 | 0.18 | ||||||
Metals |
1,599,934 | 1.09 | ||||||
Softs |
692,034 | 0.47 | ||||||
|
|
|
|
|||||
Total |
$ | 23,926,011 | 16.25 | % | ||||
|
|
|
|
The following tables indicate the trading Value at Risk associated with the Partnerships/Trading Companys open positions 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 for the twelve months ended December 31, 2020. All open position trading risk exposures of the Partnership have been included in calculating the figures set forth below.
As of March 31, 2021, the Partnerships total capitalization was $147,220,118.
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 |
$ | 7,790,899 | 5.29 | % | $ | 9,753,825 | $ | 4,585,900 | $ | 6,983,115 | ||||||||||
Energy |
1,386,756 | 0.94 | 2,081,351 | 626,844 | 1,526,950 | |||||||||||||||
Grains |
1,032,873 | 0.70 | 1,032,873 | 432,300 | 937,578 | |||||||||||||||
Indices |
5,043,591 | 3.42 | 8,684,936 | 3,945,956 | 5,986,148 | |||||||||||||||
Interest Rates U.S. |
952,369 | 0.65 | 1,273,735 | 321,052 | 825,322 | |||||||||||||||
Interest Rates Non-U.S. |
1,223,209 | 0.83 | 3,120,174 | 1,223,209 | 2,374,895 | |||||||||||||||
Livestock |
100,292 | 0.07 | 105,572 | - | 56,403 | |||||||||||||||
Metals |
1,249,849 | 0.85 | 2,352,311 | 1,213,123 | 1,629,919 | |||||||||||||||
Softs |
438,034 | 0.30 | 608,683 | 145,390 | 463,687 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 19,217,872 | 13.05 | % | ||||||||||||||||
|
|
|
|
*Average of daily Values at Risk.
24
As of December 31, 2020, the Partnerships total capitalization was $61,449,558.
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 |
$ | 4,585,900 | 7.46 | % | $ | 8,589,160 | $ | 1,988,196 | $ | 4,818,773 | ||||||||||
Energy |
626,844 | 1.02 | 2,552,997 | 413,031 | 1,220,747 | |||||||||||||||
Grains |
432,300 | 0.70 | 532,703 | 167,620 | 347,194 | |||||||||||||||
Indices |
5,876,214 | 9.56 | 7,450,314 | 1,787,744 | 4,425,043 | |||||||||||||||
Interest Rates U.S. |
321,052 | 0.52 | 2,183,794 | 91,439 | 821,051 | |||||||||||||||
Interest Rates Non-U.S. |
1,288,553 | 2.10 | 2,591,197 | 406,577 | 1,573,416 | |||||||||||||||
Metals |
1,509,872 | 2.46 | 2,390,942 | 760,459 | 1,330,807 | |||||||||||||||
Softs |
145,390 | 0.24 | 395,332 | 54,260 | 183,497 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 14,786,125 | 24.06 | % | ||||||||||||||||
|
|
|
|
*Annual average of daily Values at Risk.
As of March 31, 2021, the Trading Companys total capitalization was $40,646,706 and the Partnership owned approximately 100% of the Trading Company. The Partnership invests a portion of its assets in the Trading Company. The Trading Companys Value at Risk as of March 31, 2021 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 |
$ | 1,796,108 | 4.42 | % | $ | 3,262,014 | $ | 1,100,239 | $ | 1,464,943 | ||||||||||
Energy |
555,573 | 1.37 | 569,555 | 333,655 | 490,718 | |||||||||||||||
Grains |
290,736 | 0.71 | 559,815 | 277,813 | 378,001 | |||||||||||||||
Indices |
929,270 | 2.29 | 1,234,106 | 905,311 | 1,031,966 | |||||||||||||||
Interest Rates U.S. |
95,869 | 0.24 | 297,855 | 95,225 | 165,974 | |||||||||||||||
Interest Rates Non-U.S. |
268,638 | 0.66 | 887,489 | 266,178 | 489,493 | |||||||||||||||
Livestock |
167,860 | 0.41 | 182,655 | 75,683 | 125,759 | |||||||||||||||
Metals |
350,085 | 0.86 | 735,993 | 350,085 | 538,345 | |||||||||||||||
Softs |
254,000 | 0.62 | 336,483 | 254,000 | 292,179 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 4,708,139 | 11.58 | % | ||||||||||||||||
|
|
|
|
*Average of daily Values at Risk.
25
Item 4. Controls and Procedures.
The Partnerships 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 SECs 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 (the General Partners principal executive officer) and Chief Financial Officer (CFO) (the General Partners principal financial officer) 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 Partnerships external disclosures.
The General Partners President and CFO have evaluated the effectiveness of the Partnerships 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 Partners President and CFO have concluded that, at that date, the Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision of the General Partners 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 Partnerships 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 Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control over financial reporting during the fiscal quarter ended March 31, 2021 that materially affected, or are reasonably likely to materially affect, the Partnerships internal control over financial reporting.
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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 ( 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 Stanleys 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 Stanleys 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.
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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 MS&Cos 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.
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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 plaintiffs 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 courts 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.
29
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 plaintiffs 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 plaintiffs 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 plaintiffs 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.
30
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 Generals 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.
31
Item 1A. Risk Factors.
There have been no material changes to the risk factors set forth under Part I, Item 1A. Risk Factors. in the Partnerships 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 4,259,217.890 Class A Units totaling $89,741,721 and subscriptions 11,079.649 Class Z Units totaling $99,016. Units are issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act and Section 506 of Regulation D promulgated thereunder. Units are purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relies on the fact that the Units are purchased by accredited investors in a private offering.
Proceeds of net offering are used for the trading of Futures Interests.
The following chart sets forth the purchases of Units by the Partnership.
Period | Class A (a) Total Number of Units Purchased* |
Class A (b) Average Price Paid per Unit** |
(c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs |
(d) Maximum Number (or Approximate Dollar Value) of Units that May Yet Be Purchased Under the Plans or Programs | ||||
January 1, 2021 - January 31, 2021 |
180,486.227 | $20.66 | N/A | N/A | ||||
February 1, 2021 -February 28, 2021 |
127,204.323 | $21.36 | N/A | N/A | ||||
March 1, 2021 - March 31, 2021 |
132,107.303 | $21.73 | N/A | N/A | ||||
439,797.853 | $21.18 |
* Generally, limited partners are permitted to redeem their Units as of the end of each month on three business days notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date the General Partner has not exercised this right. Purchases of Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnerships business in connection with effecting redemptions for limited partners.
** | Redemptions of Units are effected as of the last day of each month at the net asset value per Unit as of that day. |
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, 2019 could impact the operations and financial performance of the Partnership investments subsequent to March 31, 2021. The extent of the impact to the financial performance of the Partnership 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 investments is impacted because of these factors for an extended period, the Partnership performance may be adversely affected.
32
Item 6. Exhibits.
31.1 Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) (filed herewith).
32.1 Section 1350 Certification (Certification of President and Director) (filed herewith).
32.2 Section 1350 Certification (Certification of Chief Financial Officer and Director) (filed herewith).
101.INS XBRL Instance Document.
101.SCH XBRL Taxonomy Extension Schema Document.
101.CAL XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB XBRL Taxonomy Extension Label Linkbase Document.
101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.
101.DEF XBRL Taxonomy Extension Definition Document.
33
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 CLASSIC 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.
34