Emerging Cta Portfolio 10-Q 2012 Q2 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2012

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 Number0-53211

EMERGING CTA PORTFOLIO L.P.

(Exact name of registrant as specified in its charter)

New York	04-3768983
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue – 14th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(Registrant’s telephone number, including area code)

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

YesX  No -

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

YesX  No -

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

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

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

Yes -  NoX

As of July 31, 2012, 149,696.3973 Limited Partnership Class A Redeemable Units were outstanding.

EMERGING CTA PORTFOLIO L.P.

FORM 10-Q

INDEX

			Page Number
PART I-Financial Information:
	Item 1.	Financial Statements:
		Statements of Financial Condition at June 30, 2012 (unaudited) and December 31, 2011		3
		Condensed Schedules of Investments at June 30, 2012 (unaudited) and December 31, 2011		4–5
		Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June  30, 2012 and 2011 (unaudited)		6
		Notes to Financial Statements (unaudited)		7–21
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		22–24
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk		25–31
	Item 4.	Controls and Procedures		32
PART II-Other Information				33–51
Exhibits
Exhibit 31.1 Certification
Exhibit 31.2 Certification
Exhibit 32.1 Certification
Exhibit 32.2 Certification
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.

2

PART I

Item 1. Financial Statements

Emerging CTA Portfolio L.P.

Statements of Financial Condition

	(Unaudited) June 30, 2012		December 31, 2011
Assets:
Investment in Funds, at fair value	$	159,575,287	$	159,310,000
Equity in trading account:
Cash		49,831,745		48,192,792
Cash margin		2,522,649		364,015
Net unrealized appreciation on open forward contracts		0		26,212
Options purchased, at fair value (cost $67,500 and $0 at June 30, 2012 and December 31, 2011, respectively)		79,313		0
Total trading equity		212,008,994		207,893,019
Interest receivable		2,007		0
Total assets	$	212,011,001	$	207,893,019
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts	$	4,733	$	1,817
Net unrealized depreciation on open forward contracts		73,078		0
Options premium received, at fair value (premium $275,031 and $0 at June 30, 2012 and December 31, 2011, respectively)		240,501		0
Accrued expenses:
Brokerage fees		617,437		606,200
Management fees		252,772		259,281
Administrative fees		87,883		86,298
Incentive fees		358,490		163,245
Other		157,158		119,104
Redemptions payable		3,155,292		1,705,003
Total liabilities		4,947,344		2,940,948
Partners’ Capital:
General Partner, Class A, 1,508.6394 and 1,438.9316 unit equivalents outstanding at June 30, 2012 and December 31, 2011, respectively		2,047,887		2,086,221
Limited Partners, Class A, 151,031.5273 and 139,922.8594 Redeemable Units outstanding at June 30, 2012 and December 31, 2011, respectively		205,015,770		202,865,850
Total partners’ capital		207,063,657		204,952,071
Total liabilities and partners’ capital	$	212,011,001	$	207,893,019
Net asset value per unit, Class A	$	1,357.44	$	1,449.84

See accompanying notes to financial statements.

3

Emerging CTA Portfolio L.P.

Statements of Financial Condition

Condensed Scheduleof Investments

June 30, 2012

(Unaudited)

	Notional ($)/ Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Energy		5	$	(400	)		(0.00	)%*
Grains		232		264,292			0.13
Interest Rates Non-U.S.		1,045		132,357			0.06
Interest Rates U.S.		110		(125,031	)		(0.06	)
Total futures contracts purchased				271,218			0.13
Futures Contracts Sold
Currencies		35		(26,425	)		(0.01	)
Energy		35		(149,144	)		(0.07	)
Indices		20		(1,400	)		(0.00	)*
Interest Rates Non-U.S.		2,080		(98,982	)		(0.05	)
Total futures contracts sold				(275,951	)		(0.13	)
Unrealized Appreciation on Forward Contracts
Currencies	$	37,690,240		441,498			0.21
Metals		13		54,021			0.03
Total unrealized appreciation on forward contracts				495,519			0.24
Unrealized Depreciation on Forward Contracts
Currencies	$	37,690,240		(554,726	)		(0.27	)
Metals		7		(13,871	)		(0.01	)
Total unrealized depreciation on forward contracts				(568,597	)		(0.28	)
Options Purchased
Calls
Grains		27		62,438			0.03
Puts
Interest Rates U.S.		270		16,875			0.01
Total options purchased				79,313			0.04
Options premium received
Calls
Interest Rates U.S.		68		(81,813	)		(0.04	)
Puts
Interest Rates U.S.		338		(158,688	)		(0.08	)
Total options purchased				(240,501	)		(0.12	)
Investment in Funds
CMF Altis Partners Master Fund L.P.				4,226,475			2.04
Waypoint Master Fund L.P.				18,168,542			8.77
Blackwater Master Fund L.P.				34,700,743			16.76
PGR Master Fund L.P.				32,885,293			15.88
JEM Master Fund L.P.				34,113,883			16.48
CMF Cirrus Master Fund L.P.				19,173,372			9.26
FL Master Fund L.P.				16,306,979			7.88
Total investment in Funds				159,575,287			77.07
Net fair value			$	159,336,288			76.95	%

*Due to rounding.

See accompanying notes to financial statements.

4

Emerging CTA Portfolio L.P.

Statements of Financial Condition

Condensed Schedule of Investments

December 31, 2011

	Notional ($)/ Number of Contracts		Fair Value			% of  Partners’ Capital
Futures Contracts Purchased
Energy		13	$	(6,729	)		(0.00	)%*
Grains		35		13,919			0.00	*
Indices		7		(28	)		(0.00	)*
Metals		7		(8,800	)		(0.00	)*
Softs		8		(179	)		(0.00	)*
Total futures contracts purchased				(1,817	)		0.00	*
Unrealized Appreciation on Forward Contracts
Currencies	$	18,983		42			0.00	*
Metals		43		149,404			0.07
Total unrealized appreciation on forward contracts				149,446			0.07
Unrealized Depreciation on Forward Contracts
Currencies	$	258,087		(761	)		(0.00	)*
Metals		53		(122,473	)		(0.06	)
Total unrealized depreciation on forward contracts				(123,234	)		(0.06	)
Investment in Funds
CMF Altis Partners Master Fund L.P.				4,403,517			2.15
Waypoint Master Fund L.P.				21,857,243			10.67
Blackwater Master Fund L.P.				32,714,125			15.96
PGR Master Fund L.P.				28,765,002			14.03
JEM Master Fund L.P.				31,902,038			15.57
CMF Cirrus Master Fund L.P.				20,248,797			9.88
FL Master Fund L.P.				19,419,278			9.47
Total investment in Funds				159,310,000			77.73
Net fair value			$	159,334,395			77.74	%

* Due to rounding.

See accompanying notes to financial statements.

5

Emerging CTA Portfolio L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2012			2011			2012			2011
Investment Income:
Interest income	$	6,682		$	2,408		$	11,277		$	16,692
Interest income from investment in Funds		23,101			6,997			40,472			39,195
Total investment income		29,783			9,405			51,749			55,887
Expenses:
Brokerage fees including clearing fees		2,314,248			2,196,819			4,500,677			4,239,712
Management fees		776,481			873,834			1,560,796			1,727,250
Administrative fees		269,599			260,370			537,775			500,705
Incentive fees		358,490			156,846			408,551			276,307
Other		169,789			143,667			318,803			281,188
Total expenses		3,888,607			3,631,536			7,326,602			7,025,162
Net investment income (loss)		(3,858,824	)		(3,622,131	)		(7,274,853	)		(6,969,275	)
Trading Results:
Net gains (losses) on trading of commodity interests and investment in Funds:
Net realized gains (losses) on closed contracts		4,036,120			4,827,835			3,420,626			4,212,221
Net realized gains (losses) investment in Funds		(627,913	)		(126,360	)		(5,786,786	)		1,779,404
Change in net unrealized gains (losses) on open contracts		(7,622	)		(1,483,705	)		(55,863	)		(1,420,240	)
Change in net unrealized gains (losses) on investment in Funds		(6,928,511	)		492,442			(4,431,606	)		(2,820,240	)
Total trading results		(3,527,926	)		3,710,212			(6,853,629	)		1,751,145
Net income (loss)		(7,386,750	)		88,081			(14,128,482	)		(5,218,130	)
Subscriptions — Limited Partners		12,091,376			13,957,373			32,764,327			34,563,484
Subscriptions — General Partner		0			200,000			100,000			200,000
Redemptions — Limited Partners		(9,010,087	)		(9,269,306	)		(16,624,259	)		(14,717,735	)
Net increase (decrease) in Partners’ Capital		(4,305,461	)		4,976,148			2,111,586			14,827,619
Partners’ Capital, beginning of period		211,369,118			193,377,072			204,952,071			183,525,601
Partners’ Capital, end of period	$	207,063,657		$	198,353,220		$	207,063,657		$	198,353,220
Net asset value per unit (152,540.1667 and 137,723.8353 units outstanding at June 30, 2012 and 2011, respectively)	$	1,357.44		$	1,440.22		$	1,357.44		$	1,440.22
Net income (loss) per unit*	$	(47.79	)	$	0.99		$	(92.40	)	$	(39.38	)
Weighted average units outstanding		154,789.6255			141,017.6956			152,479.8630			136,690.7542

* Based on change in net asset value per unit.

See accompanying notes to financial statements.

6

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

1. General:

Emerging CTA Portfolio L.P. (the “Partnership”) is a limited partnership that was organized on July 7, 2003 under the partnership laws of the State of New York. The objective of the Partnership is to achieve capital appreciation through the allocation of assets to early-stage commodity trading advisors which engage, directly and indirectly, in speculative trading of a diversified portfolio of commodity interests, including futures contracts, forward contracts and options. The Partnership may also enter into swap and other derivative transactions with the approval of the General Partner (defined below). The sectors traded include currencies, livestock, lumber, energy, grains, metals, indices, softs and U.S. and non-U.S. interest rates. The Partnership directly and through its investment in the Funds, (as defined in Note 5, “Investment in Funds”) may trade futures, forward and option contracts of any kind. The commodity interests that are traded by the Partnership and the Funds are volatile and involve a high degree of market risk.

Between December 1, 2003 (commencement of the offering period) and August 5, 2004, 20,872 redeemable units of limited partnership interest (“Redeemable Units”) were sold at $1,000 per Redeemable Unit. The proceeds of the initial offering were held in an escrow account until August 6, 2004, at which time they were remitted to the Partnership for trading. The Partnership privately and continuously offers Redeemable Units in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Inc. indirectly owns a minority equity interest in MSSB Holdings. Citigroup Inc. also indirectly owns Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc.

As of September 1, 2011, the Partnership began offering three classes of limited partnership interests: Class A units, Class D units and Class Z units; each will be referred to as a “Class” and collectively referred to as the “Classes”. All Redeemable Units issued prior to September 1, 2011 were deemed “Class A Units.” The rights, liabilities, risks, and fees associated with investment in the Class A Units were not changed. Class A Units and Class D Units are available to taxable U.S. individuals and institutions, as well as U.S. tax exempt individuals and institutions. Class Z Units will be offered to certain employees of Morgan Stanley Smith Barney and its affiliates (and their family members). The Class of units that a Limited Partner receives upon subscription will generally depend upon the amount invested in the Partnership or the status of the investor, although the General Partner may determine to offer units to investors at its discretion. As of June 30, 2012, there were no Redeemable Units outstanding in Class D or Class Z.

As of June 30, 2012, all trading decisions are made for the Partnership by its eight trading advisors (the “Advisors”) either directly, through individually managed accounts, or indirectly, through investments in other collective investment vehicles. Blackwater Capital Management, LLC (“Blackwater”), J E Moody & Company LLC (“J E Moody”), PGR Capital LLP (“PGR Capital”) and Willowbridge Associates Inc. (“Willowbridge”) have been selected by the General Partner as the major commodity trading advisors. In addition, the General Partner has allocated the Partnership’s assets to additional non-major trading advisors. The General Partner may allocate less than 10% of the Partnership’s assets to a new trading advisor or another trading program of a current Advisor at any time. The Advisors are not affiliated with one another, are not affiliated with the General Partner or CGM and are not responsible for the organization or operation of the Partnership.

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at June 30, 2012 and December 31, 2011, and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2012 and 2011. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2011.

The General Partner and each limited partner of the Partnership (each a “Limited Partner”) share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no Limited Partner is liable for obligations of the Partnership in excess of its capital contribution and profits or losses, if any, net of distributions.

The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management 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.

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.

7

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

2. Financial Highlights:

Changes in the net asset value per unit for Class A for the three and six months ended June 30, 2012 and 2011 were as follows:

	Three Months Ended June 30,						Six Months Ended June 30,
	2012			2011			2012			2011
Net realized and unrealized gains (losses) *	$	(37.83	)	$	11.12		$	(74.24	)	$	(19.34	)
Interest income		0.19			0.07			0.33			0.42
Expenses **		(10.15	)		(10.20	)		(18.49	)		(20.46	)
Increase (decrease) for the period		(47.79	)		0.99			(92.40	)		(39.38	)
Net asset value per unit, beginning of period		1,405.23			1,439.23			1,449.84			1,479.60
Net asset value per unit, end of period	$	1,357.44		$	1,440.22		$	1,357.44		$	1,440.22

* Includes brokerage fees and clearing fees.

** Excludes brokerage fees and clearing fees.

	Three Months Ended June 30,						Six Months Ended June 30,
	2012			2011***			2012			2011***
Ratios to average net assets:****
Net investment income (loss)		(6.8	)%		(7.0	)%		(6.8	)%		(7.0	)%
Incentive fees		0.2	%		0.1	%		0.2	%		0.1	%
Net investment income (loss) before incentive fees*****		(6.6	)%		(6.9	)%		(6.6	)%		(6.9	)%
Operating expense		6.7	%		6.9	%		6.6	%		7.0	%
Incentive fees		0.2	%		0.1	%		0.2	%		0.1	%
Total expenses		6.9	%		7.0	%		6.8	%		7.1	%
Total return:
Total return before incentive fees		(3.2	)%		0.1	%		(6.2	)%		(2.5	)%
Incentive fees		(0.2	)%		—	%******		(0.2	)%		(0.1	)%
Total return after incentive fees		(3.4	)%		0.1	%		(6.4	)%		(2.6	)%

***       The ratios are shown net and gross of incentive fees to conform to current period presentation.

****       Annualized (other than incentive fees).

*****     Interest inc ome less total expenses.

******   Due to rounding

The above ratios 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 net assets.

3. Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

The customer agreements between the Partnership and CGM and the Funds and CGM give the Partnership and the Funds, the legal right to net unrealized gains and losses on open futures and forward contracts on the Statements of Financial Condition. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and on open forward contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210-20, “Balance Sheet,” have been met.

8

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

All of the commodity interests owned by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended June 30, 2012 and 2011 were 4,455 and 3,716, respectively. The monthly average number of futures contracts traded directly by the Partnership during the six months ended June 30, 2012 and 2011 were 2,905 and 4,096, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended June 30, 2012 and 2011 were 10 and 1,002, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the six months ended June 30, 2012 and 2011 were 11 and 778, respectively. The monthly average number of option contracts held directly by the Partnership during the three months ended June 30, 2012 and 2011 were 269 and 0, respectively. The monthly average number of option contracts held directly by the Partnership during the six months ended June 30, 2012 and 2011 were 145 and 122, respectively. The monthly average notional value of currency forward contracts held directly by the Partnership during the three months ended June 30, 2012 and 2011 were $33,487,217 and $418,864,114, respectively. The monthly average notional value of currency forward contracts held directly by the Partnership during the six months ended June 30, 2012 and 2011 were $31,305,439 and $368,242,547, respectively.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions.

The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of June 30, 2012 and December 31, 2011.

	June 30, 2012
Assets
Futures Contracts
Currencies	$	3,000
Grains		269,268
Indices		650
Interest Rates U.S.		136,100
Total unrealized appreciation on open futures contracts	$	409,018
Liabilities
Futures Contracts
Currencies	$	(29,425	)
Energy		(149,544	)
Grains		(4,975	)
Indices		(2,050	)
Interest Rates Non-U.S.		(102,726	)
Interest Rates U.S.		(125,031	)
Total unrealized depreciation on open futures contracts	$	(413,751	)
Net unrealized depreciation on open futures contracts	$	(4,733	)*

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

	June 30, 2012
Assets
Forward Contracts
Currencies	$	441,498
Metals		54,021
Total unrealized appreciation on open forward contracts	$	495,519
Liabilities
Forward Contracts
Currencies	$	(554,726	)
Metals		(13,871	)
Total unrealized depreciation on open forward contracts	$	(568,597	)
Net unrealized depreciation on open forward contracts	$	(73,078	)**

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

9

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

	June 30, 2012
Assets
Options purchased
Grains	$	62,438
Interest Rates U.S.		16,875
Total options purchased	$	79,313	***
Liabilities
Options premium received
Interest Rates U.S.	$	240,501
Total options premium received	$	240,501	****

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

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

	December 31, 2011
Assets
Futures Contracts
Energy	$	1,680
Grains		14,643
Indices		128
Softs		90
Total unrealized appreciation on open futures contracts	$	16,541
Liabilities
Futures Contracts
Energy	$	(8,409	)
Grains		(725	)
Indices		(155	)
Metals		(8,800	)
Softs		(269	)
Total unrealized depreciation on open futures contracts	$	(18,358	)
Net unrealized depreciation on open futures contracts	$	(1,817	)*

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

	December 31, 2011
Assets
Forward Contracts
Currencies	$	42
Metals		149,404
Total unrealized appreciation on open forward contracts	$	149,446
Liabilities
Forward Contracts
Currencies	$	(761	)
Metals		(122,473	)
Total unrealized depreciation on open forward contracts	$	(123,234	)
Net unrealized appreciation on open forward contracts	$	26,212	**

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

10

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

The following tables indicate the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and six months ended June 30, 2012 and 2011.

	Three Months Ended June 30,						Six Months Ended June 30,
Sector	2012			2011			2012			2011
Currencies	$	22,363		$	(281,152	)	$	731,128		$	(781,560	)
Energy		800,722			(130,187	)		757,266			246,142
Grains		443,606			(74,811	)		476,269			416,310
Indices		(212,568	)		(146,605	)		(196,580	)		(1,191,476	)
Interest Rates U.S.		2,537,829			1,351,570			2,213,142			1,304,155
Interest Rates Non-U.S.		788,238			68,787			142,824			(389,499	)
Livestock		(24,560	)		166,289			(24,560	)		(139,557	)
Metals		(368,805	)		2,655,319			(746,007	)		3,042,421
Softs		41,673			(265,080	)		11,281			285,045
Total	$	4,028,498	*****	$	3,344,130	*****	$	3,364,763	*****	$	2,791,981	*****

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

4. Fair Value Measurements:

Partnership’s and the Funds’ Investments.All commodity interests held by the Partnership and Funds (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.

Partnership’s and the Funds’ Fair Value Measurements.Fair value is defined as the price 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. Management has concluded that based on available information in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets and liabilities.

The Partnership and the Funds will separately present purchases, sales, issuances and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

Effective January 1, 2012, the Partnership adopted Accounting Standards Update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”).” The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify the Financial Accounting Standards Board’s (“FASB”) intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnership’s financial statements.

11

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and options contracts for which market quotations are not readily available are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). Investments in funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended June 30, 2012 and December 31, 2011, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). During the six months ended June 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

	June 30, 2012		Quoted Prices in Active  Markets for Identical Assets and Liabilities (Level 1)			Significant Other Observable  Inputs (Level 2)		Significant Unobservable  Inputs (Level 3)
Assets
Investment in Funds	$	159,575,287	$	—		$	159,575,287	$	—
Futures		409,018		409,018			—		—
Forwards		495,519		54,021			441,498		—
Options purchased		79,313		79,313			—		—
Total assets	$	160,559,137	$	542,352		$	160,016,785	$	—
Liabilities
Futures	$	413,751	$	413,751		$	—	$	—
Forwards		568,597		13,871			554,726		—
Options premium received		240,501		240,501			—		—
Total liabilities		1,222,849		668,123			554,726		—
Net fair value	$	159,336,288	$	(125,771	)	$	159,462,059	$	—

	December 31, 2011		Quoted Prices in Active  Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable  Inputs (Level 2)		Significant Unobservable  Inputs (Level 3)
Assets
Investment in Funds	$	159,310,000	$	—	$	159,310,000	$	—
Futures		16,541		16,541		—		—
Forwards		149,446		149,404		42		—
Total assets	$	159,475,987	$	165,945	$	159,310,042	$	—
Liabilities
Futures	$	18,358	$	18,358	$	—	$	—
Forwards		123,234		122,473		761		—
Total liabilities		141,592		140,831		761		—
Net fair value	$	159,334,395	$	25,114	$	159,309,281	$	—

5. Investment in Funds:

The assets allocated to Willowbridge for trading are invested directly pursuant to Willowbridge’s wPraxis Futures Trading Approach and MStrategy Trading Approach.

On November 1, 2005, the assets allocated to Altis Partners Jersey Limited (“Altis”) for trading were invested in the CMF Altis Partners Master Fund L.P. (“Altis Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 4,898.1251 units of Altis Master with cash equal to $4,196,275 and a contribution of open commodity futures and forward contracts with a fair value of $701,851. Altis Master was formed to permit accounts managed now or in the future by Altis using the Global Futures Portfolio program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Altis Master. Individual and pooled accounts currently managed by Altis, including the Partnership, are permitted to be limited partners of Altis Master. The General Partner and Altis believe that trading through this structure should promote efficiency and economy in the trading process.

12

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

On May 1, 2009, the assets allocated to Sasco Energy Partners LLC (“Sasco”) for trading were invested in the CMF Sasco Master Fund L.P. (“Sasco Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 16,437.9008 units of Sasco Master with cash equal to $16,364,407 and a contribution of open commodity futures contracts with a fair value of $(1,325,727). Sasco Master was formed in order to permit accounts managed now or in the future by Sasco using the Energy Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The Partnership fully redeemed its investment in Sasco Master on May 31, 2011 for cash equal to $14,575,007.

On March 1, 2010, the assets allocated to Waypoint Capital Management LLC for trading were invested in the Waypoint Master Fund L.P. (“Waypoint Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 26,581.6800 units of Waypoint Master with cash equal to $26,581,680. Waypoint Master was formed in order to permit commodity pools managed now or in the future by Waypoint using its Diversified Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Waypoint Master. Individual and pooled accounts currently managed by Waypoint, including the Partnership, are permitted to be limited partners of Waypoint Master. The General Partner and Waypoint believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2010, the assets allocated to PGR Capital LLP (“PGR”) for trading were invested in PGR Master Fund L.P. (“PGR Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 14,913.0290 units of PGR Master with cash equal to $14,913,029. PGR Master was formed to permit accounts managed now or in the future by PGR using the Mayfair Program at 150% Leverage, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for PGR Master. Individual and pooled accounts currently managed by PGR, including the Partnership, are permitted to be limited partners of PGR Master. The General Partner and PGR believe that trading through this structure should promote efficiency and economy in the trading process.

On November 1, 2010, the assets allocated to Blackwater Capital Management LLC (“Blackwater”) for trading were invested in Blackwater Master Fund L.P. (“Blackwater Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 15,674.6940 units of Blackwater Master with cash equal to $15,674,694. Blackwater Master was formed to permit accounts managed now or in the future by Blackwater using the Global Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for Blackwater Master. Individual and pooled accounts currently managed by Blackwater, including the Partnership, are permitted to be limited partners of Blackwater Master. The General Partner and Blackwater believe that trading through this structure should promote efficiency and economy in the trading process.

On January 1, 2011, the assets allocated to J E Moody & Company LLC (“J E Moody”) for trading were invested in JEM Master Fund L.P. (“JEM Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 19,624.4798 units of JEM Master with cash equal to $19,624,480. JEM Master was formed to permit accounts managed now or in the future by J E Moody using the Commodity Relative Value Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for JEM Master. Individual and pooled accounts currently managed by J E Moody, including the Partnership, are permitted to be limited partners of JEM Master. The General Partner and J E Moody believe that trading through this structure should promote efficiency and economy in the trading process.

On January 1, 2011, the assets allocated to Cirrus Capital Management LLC (“Cirrus”) for trading were invested in CMF Cirrus Master Fund L.P. (“Cirrus Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership purchased 22,270.9106 units of Cirrus Master with cash equal to $22,270,911. Cirrus Master was formed to permit accounts managed now or in the future by Cirrus using the Energy Program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for Cirrus Master. Individual and pooled accounts currently managed by Cirrus, including the Partnership, are permitted to be limited partners of Cirrus Master. The General Partner and Cirrus believe that trading through this structure should promote efficiency and economy in the trading process.

13

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

On May 1, 2011, the assets allocated to Flintlock Capital Asset Management, LLC (“Flintlock”) for trading were invested in FL Master Fund L.P. (“FL Master”), a limited partnership organized under the partnership laws of the State of Delaware. The Partnership invested in FL Master with cash equal to $23,564,973. FL Master was formed to permit accounts managed now or in the future by Flintlock using the 2x Flintlock Commodity Opportunities Partners, LP, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner for FL Master. Individual and pooled accounts currently managed by Flintlock, including the Partnership, are permitted to be limited partners of FL Master. The General Partner and Flintlock believe that trading through this structure should promote efficiency and economy in the trading process.

The General Partner is not aware of any material changes to any of the trading programs discussed above during the fiscal quarter ended June 30, 2012.

Altis Master’s, Waypoint Master’s, Blackwater Master’s, PGR Master’s, JEM Master’s, Cirrus Master’s and FL Master’s (collectively, the “Funds”) trading of futures, forwards, swaps and options contracts, as applicable, on commodities is done primarily on United States of America commodity exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity brokerage accounts maintained with CGM.

A limited partner of the Funds may withdraw all or part of their capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner elects to redeem and informs the Funds.

Management, administrative and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Partnership directly or through its investment in the Funds. All other fees, including CGM’s direct brokerage fees, are charged at the Partnership level.

At June 30, 2012, the Partnership owned approximately 3.0% of Altis Master, 54.1% of Waypoint Master, 72.1% of PGR Master, 45.4% of Blackwater Master, 72.7% of JEM Master, 87.7% of Cirrus Master and 63.6% of FL Master. At December 31, 2011, the Partnership owned approximately 3.0% of Altis Master, 55.8% of Waypoint Master, 63.9% of PGR Master, 39.5% of Blackwater Master, 69.9% of JEM Master, 87.5% of Cirrus Master and 85.7% of FL Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of investment in the Funds are approximately the same and the redemption rights are not affected.

14

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

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

	June 30, 2012
	Total Assets		Total Liabilities		Total Capital
Altis Master	$	138,807,842	$	41,206	$	138,766,636
Waypoint Master		34,168,229		589,589		33,578,640
Blackwater Master		81,120,085		4,725,068		76,395,017
PGR Master		47,787,304		2,205,463		45,581,841
JEM Master		46,988,858		47,603		46,941,255
Cirrus Master		21,897,346		25,388		21,871,958
FL Master		30,772,931		5,129,378		25,643,553
Total	$	401,542,595	$	12,763,695	$	388,778,900

	December 31, 2011
	Total Assets		Total Liabilities		Total Capital
Altis Master	$	145,096,295	$	161,169	$	144,935,126
Waypoint Master		39,260,567		68,237		39,192,330
Blackwater Master		83,066,066		176,287		82,889,779
PGR Master		45,105,430		68,484		45,036,946
JEM Master		45,732,649		67,973		45,664,676
Cirrus Master		23,186,209		55,047		23,131,162
FL Master		28,928,129		6,267,539		22,660,590
Total	$	410,375,345	$	6,864,736	$	403,510,609

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

	For the three months ended June 30, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Altis Master	$	(84,220	)	$	516,388		$	432,168
Waypoint Master		(42,354	)		2,954,453			2,912,099
Blackwater Master		(43,832	)		(7,334,291	)		(7,378,123	)
PGR Master		(42,967	)		(4,624,963	)		(4,667,930	)
JEM Master		(198,379	)		(1,370,688	)		(1,569,067	)
Cirrus Master		(31,159	)		1,146,353			1,115,194
FL Master		(183,243	)		(4,093,506	)		(4,276,749	)
Total	$	(626,154	)	$	(12,806,254	)	$	(13,432,408	)

	For the six months ended June 30, 2012
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Altis Master	$	(163,841	)	$	(1,155,332	)	$	(1,319,173	)
Waypoint Master		(87,368	)		2,790,730			2,703,362
Blackwater Master		(70,743	)		(11,659,189	)		(11,729,932	)
PGR Master		(69,323	)		(6,891,029	)		(6,960,352	)
JEM Master		(435,978	)		(45,113	)		(481,091	)
Cirrus Master		(58,446	)		1,217,739			1,159,293
FL Master		(241,495	)		(4,274,677	)		(4,516,172	)
Total	$	(1,127,194	)	$	(20,016,871	)	$	(21,144,065	)

15

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

	For the three months ended June 30, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Altis Master	$	(86,627	)	$	(11,353,961	)	$	(11,440,588	)
Sasco Master		(337,870	)		3,450,469			3,112,599
Waypoint Master		(49,050	)		846,382			797,332
Blackwater Master		(20,229	)		(503,805	)		(524,034	)
PGR Master		(26,281	)		(107,699	)		(133,980	)
JEM Master		(200,955	)		1,503,277			1,302,322
Cirrus Master		(22,683	)		667,044			644,361
FL Master		(45,798	)		(1,835,364	)		(1,881,162	)
Total	$	(789,493	)	$	(7,333,657	)	$	(8,123,150	)
	For the six months ended June 30, 2011
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Altis Master	$	(139,884	)	$	(19,456,564	)	$	(19,596,448	)
Sasco Master		(707,823	)		1,199,725			491,902
Waypoint Master		(113,465	)		(760,597	)		(874,062	)
Blackwater Master		(47,734	)		516,903			469,169
PGR Master		(53,692	)		483,766			430,074
JEM Master		(306,111	)		1,316,107			1,009,996
Cirrus Master		(42,492	)		1,328,826			1,286,334
FL Master		(45,798	)		(1,835,364	)		(1,881,162	)
Total	$	(1,456,999	)	$	(17,207,198	)	$	(18,664,197	)

Summarized information reflecting the Partnership’s investments in, and the operations of, the Funds is shown in the following tables.

	June 30, 2012					For the three months ended June 30, 2012
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemptions Permitted
Funds									Brokerage Fees		Other
Altis Master		2.04	%	$	4,226,475	$	16,260		$	2,491	$	559	$	13,210		Commodity Portfolio	Monthly
Waypoint Master		8.77	%		18,168,542		1,686,688			16,339		9,503		1,660,846		Commodity Portfolio	Monthly
Blackwater Master		16.76	%		34,700,743		(3,324,843	)		28,184		19,456		(3,372,483	)	Commodity Portfolio	Monthly
PGR Master		15.88	%		32,885,293		(3,342,941	)		28,230		13,286		(3,384,457	)	Commodity Portfolio	Monthly
JEM Master		16.48	%		34,113,883		(970,816	)		135,722		11,224		(1,117,762	)	Commodity Portfolio	Monthly
Cirrus Master		9.26	%		19,173,372		997,167			17,029		12,640		967,498		Energy Markets	Monthly
FL Master		7.88	%		16,306,979		(2,594,838	)		149,863		11,851		(2,756,552	)	Commodity Portfolio	Monthly
Total				$	159,575,287	$	(7,533,323	)	$	377,858	$	78,519	$	(7,989,700	)

16

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

	June 30, 2012					For the six months ended June 30, 2012
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemptions Permitted
Funds									Brokerage Fees		Other
Altis Master		2.04	%	$	4,226,475	$	(34,131	)	$	4,459	$	1,377	$	(39,967	)	Commodity Portfolio	Monthly
Waypoint Master		8.77	%		18,168,542		1,578,491			34,203		18,906		1,525,382		Commodity Portfolio	Monthly
Blackwater Master		16.76	%		34,700,743		(5,172,876	)		50,272		28,258		(5,251,406	)	Commodity Portfolio	Monthly
PGR Master		15.88	%		32,885,293		(4,884,575	)		43,516		24,008		(4,952,099	)	Commodity Portfolio	Monthly
JEM Master		16.48	%		34,113,883		(17,745	)		295,370		24,130		(337,245	)	Commodity Portfolio	Monthly
Cirrus Master		9.26	%		19,173,372		1,061,499			30,403		25,112		1,005,984		Energy Markets	Monthly
FL Master		7.88	%		16,306,979		(2,708,583	)		187,385		27,468		(2,923,436	)	Commodity Portfolio	Monthly
Total				$	159,575,287	$	(10,177,920	)	$	645,608	$	149,259	$	(10,972,787	)

	December 31, 2011					For the three months ended June 30, 2011
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemption Permitted
Funds									Brokerage Fees		Other
Altis Master		2.15	%	$	4,403,517	$	(582,053	)	$	6,111	$	1,966	$	(590,130	)	Commodity Portfolio	Monthly
Sasco Master		—			—		751,955			44,717		10,124		697,114		Energy Portfolio	Monthly
Waypoint Master		10.67	%		21,857,243		446,287			18,059		7,829		420,399		Commodity Portfolio	Monthly
Blackwater Master		15.96	%		32,714,125		(387,412	)		14,676		3,234		(405,322	)	Commodity Portfolio	Monthly
PGR Master		14.03	%		28,765,002		(101,708	)		7,166		14,258		(123,132	)	Commodity Portfolio	Monthly
JEM Master		15.57	%		31,902,038		1,205,602			134,806		15,470		1,055,326		Commodity Portfolio	Monthly
Cirrus Master		9.88	%		20,248,797		599,088			13,157		8,097		577,834		Energy Markets	Monthly
FL Master		9.47	%		19,419,278		(1,558,680	)		31,750		7,774		(1,598,204	)	Commodity Portfolio	Monthly
Total				$	159,310,000	$	373,079		$	270,442	$	68,752	$	33,885

17

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

	December 31, 2011					For the six months ended June 30, 2011
	% of Partnership’s Net Assets			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemption Permitted
Funds									Brokerage Fees		Other
Altis Master		2.15	%	$	4,403,517	$	(2,460,584	)	$	17,679	$	5,993	$	(2,484,256	)	Commodity Portfolio	Monthly
Sasco Master		—			—		443,762			104,912		18,860		319,990		Energy Portfolio	Monthly
Waypoint Master		10.67	%		21,857,243		(360,913	)		43,966		18,889		(423,768	)	Commodity Portfolio	Monthly
Blackwater Master		15.96	%		32,714,125		396,604			27,797		16,516		352,291		Commodity Portfolio	Monthly
PGR Master		14.03	%		28,765,002		349,443			13,008		32,020		304,415		Commodity Portfolio	Monthly
JEM Master		15.57	%		31,902,038		1,023,375			235,905		24,470		763,000		Commodity Portfolio	Monthly
Cirrus Master		9.88	%		20,248,797		1,165,352			27,754		15,723		1,121,875		Energy Markets	Monthly
FL Master		9.47	%		19,419,278		(1,558,680	)		31,750		7,774		(1,598,204	)	Commodity Portfolio	Monthly
Total				$	159,310,000	$	(1,001,641	)	$	502,771	$	140,245	$	(1,644,657	)

6. Financial Instrument Risks:

In the normal course of business, the Partnership and the Funds are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forward and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 1.1% to 15.9% of the Partnership’s/Fund’s contracts are traded OTC.

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

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

18

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

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

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

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

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

7. Critical Accounting Policies

Use of Estimates.The preparation of financial statements and accompanying notes in conformity with 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.

Partnership’s and the Funds’ Investments.All commodity interests held by the Partnership and the Funds (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.

Partnership’s and the Funds’ Fair Value Measurements.Fair value is defined as the price 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. Management has concluded that based on available information in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets and liabilities.

19

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

The Partnership and the Funds will separately present purchases, sales, issuances and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange-traded forwards, swaps and option contracts for which market quotations are not readily available, are priced by broker-dealers that derive fair values for those assets and liabilities from observable inputs (Level 2). Investments in funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended June 30, 2012 and December 31, 2011, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). During the six months ended June 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.

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

Forward Foreign Currency Contracts.Forward foreign currency contracts are those contracts where the Partnership and the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Partnership’s and Funds’ net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

The Partnership and the Funds do not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

20

Emerging CTA Portfolio L.P.

Notes to Financial Statements

June 30, 2012

(Unaudited)

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

Income Taxes.Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses.

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner has concluded that no provision for income tax is required in the Partnership’s financial statements.

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2008 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Subsequent Events.The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.

Recent Accounting Pronouncements. In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

In December 2011, FASB issued ASU 2011-11, “Disclosures about Offsetting Assets and Liabilities,” which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.

Net Income (Loss) per unit.Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights.”

21

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

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its assets are its (i) investments in the Funds, (ii) equity in its trading account, consisting of cash and cash equivalents and net unrealized appreciation on open futures contract and options purchased. and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its direct investments and investment in the Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the second quarter of 2012.

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by net realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2012, Partnership capital increased 1.0% from $204,952,071 to $207,063,657. This increase was attributable to the subscriptions of 22,960.5103 Class A Redeemable Units totaling $32,764,327 and 69.7078 Class A General Partner unit equivalents totaling $100,000, which was partially offset by a net loss from operations of $14,128,482 coupled with the redemption of 11,851.8424 Class A Redeemable Units resulting in an outflow of $16,624,259. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. The General Partner believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 7 of the Financial Statements.

The Partnership and the Funds record all investments at fair value in their financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.

Results of Operations

During the Partnership’s second quarter of 2012, the net asset value per unit decreased 3.4% from $1,405.23 to $1,357.44 as compared to an increase of 0.1% in the second quarter of 2011. The Partnership experienced a net trading loss before brokerage fees and related fees in the second quarter of 2012 of $3,527,926. Losses were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, energy, grains, indices, livestock, metals and softs, and were partially offset by gains in U.S. and non-U.S. interest rates. The Partnership experienced a net trading gain before brokerage fees and related fees in the second quarter of 2011 of $3,710,212. Gains were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, energy, U.S. interest rates, livestock and metals, and were partially offset by losses in grains, indices, non-U.S. interest rates and softs.

        During the second quarter of 2012, the most significant losses were incurred within the stock indices sector, primarily during April and May, due to short futures positions in Pacific Rim and European equity index futures as prices rose on speculation the Chinese government will ease monetary policy and global central banks will take action to bolster economies amid Europe’s sovereign debt crisis. Within the energy sector, losses were incurred throughout the majority of the quarter from short positions in natural gas futures as prices rose to the highest level since January on forecasts of above-normal temperatures that may signal increased demand. Natural gas futures prices continued to rise after a U.S. government report showed a smaller-than-expected gain in U.S. supplies. Meanwhile, additional losses were incurred in this sector during May from long positions in Brent crude, gas oil, and gasoline futures as prices capped the biggest monthly drop in more than three years on speculation that slowing U.S. growth will reduce fuel demand. Within the livestock sector, losses were incurred throughout the majority of the quarter from short positions in lean hog futures as prices advanced on signs that hot weather in the U.S. will curb livestock weights and deter producers from increasing pork supplies. Losses were also incurred within the currency markets, primarily during June, from short positions in the

22

British pound versus the U.S. dollar as the value of the British pound advanced as European Union leaders eased terms on loans to Spanish banks, taking a step towards resolving the region’s debt crisis. Elsewhere, losses were incurred from short positions in the Canadian dollar versus the U.S. dollar as the value of the Canadian dollar also advanced. Meanwhile, losses were incurred during April from short positions in the Japanese yen versus the U.S. dollar as the value of the yen advanced after the Bank of Japan refrained from easing monetary policy. Within the metals complex, losses were incurred primarily during April from long positions in gold futures as prices declined on concern that demand in India, the world’s biggest buyer of gold, is slowing. Within the agricultural sector, losses were incurred primarily during May and June from short positions in corn futures as corn prices climbed higher after inventories tumbled the most in 16 years, and on speculation that hot, dry weather will increase stress on crops in the U.S. Elsewhere, losses were incurred from short positions in wheat futures. Losses were also incurred within the soft commodities markets, primarily during April, from long positions in sugar futures as prices fell to an 11-month low amid prospects for ample supplies from Brazil and India, the world’s biggest producers of sugar. A portion of the Partnership’s losses during the quarter was offset by gains achieved within the global interest rate sector, primarily during April and May, from long positions in European, U.S., and Australian fixed-income futures as prices advanced as Greece failed to form a unified government, increasing concern Europe’s debt crisis is worsening and spurring demand for the relative “safety” of government debt. Meanwhile, prices of European fixed-income futures continued to move higher as German manufacturing data weakened and China said its biggest banks may fall short of loan targets. Additionally, prices of global fixed-income futures rose amid signs of slowing economic growth in the U.S., and as China dampened speculation it would provide large-scale stimulus to boost growth.

During the Partnership’s six months ended June 30, 2012, the net asset value per unit decreased 6.4% from $1,449.84 to $1,357.44 as compared to a decrease of 2.6% in six months ended June 30, 2011. The Partnership experienced a net trading loss before brokerage fees and related fees in the six months ended June 30, 2012 of $6,853,629. Losses were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, grains, indices, livestock, metals and softs, and were partially offset by gains in energy, U.S. and non-U.S. interest rates. The Partnership experienced a net trading gain before brokerage fees and related fees in the six months ended June 30, 2011 of $1,751,145. Gains were primarily attributable to the Partnership/Funds’ trading of commodity futures in currencies, energy, grains, U.S. interest rates, livestock and metals, and were partially offset by losses in indices, non-U.S. interest rates and softs.

During the six months ended 2012, the most significant losses were incurred within the global stock indices sector, primarily during April and May, due to short futures positions in Pacific Rim and European equity index futures as prices rose on speculation the Chinese government will ease monetary policy and global central banks will take action to bolster economies amid Europe’s sovereign debt crisis. Within the currency sector, losses were experienced primarily during June from short positions in the British pound versus the U.S. dollar as the value of the British pound advanced as European Union leaders eased terms on loans to Spanish banks, taking a step towards resolving the region’s debt crisis. Elsewhere, losses were incurred from short positions in the Canadian dollar versus the U.S. dollar as the value of the Canadian dollar also advanced. Within the agricultural sector, losses were incurred primarily during January, from short positions in wheat futures as prices advanced on speculation cold weather in Europe will hurt winter crops that lack protective snow cover. Elsewhere, losses were incurred from short positions in corn futures, primarily during June as corn prices climbed higher after inventories tumbled the most in 16 years, and on speculation that hot, dry weather will increase stress on crops in the U.S. Within the metals sector, losses were incurred primarily during February and March from long positions in silver and gold futures as prices declined on speculation that the U.S. Federal Reserve will refrain from offering additional stimulus as the economy recovers, eroding demand for the precious metals. Gold futures prices continued to decline after India, the world’s biggest bullion buyer, increased the tax on imports of precious metals for the second time this year. Losses were also incurred within the soft commodities markets, primarily during April, from long positions in sugar futures as prices fell to an 11-month low amid prospects for ample supplies from Brazil and India, the world’s biggest producers of sugar. Within the livestock sector, losses were incurred throughout the majority of the second quarter from short positions in lean hog futures as prices advanced on signs that hot weather in the U.S. will curb livestock weights and deter producers from increasing pork supplies. A portion of the Partnership’s losses during the first half of the year was offset by gains achieved within the global interest rate sector, primarily during April and May, from long positions in European, U.S., and Australian fixed-income futures as prices advanced as Greece failed to form a unified government, increasing concern Europe’s debt crisis is worsening and spurring demand for the relative “safety” of government debt. Gains were also experienced in the energy sector, primarily during February and March, from short positions in natural gas futures as prices dropped amid ample inventories and mild weather across the U.S.

23

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

Interest income is earned on 100% of the Partnership’s average daily equity maintained in cash in its (or the Partnership’s allocable portion of a Fund’s) account during each month at the 30-day U.S. Treasury bill rate determined weekly by CGM based on the average noncompetitive yield on 3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is determined. Interest income for the three months ended June 30, 2012 increased by $20,378, as compared to the corresponding period in 2011. The increase in interest income is due to higher U.S. Treasury bill rates during the three months ended June 30, 2012 as compared to the corresponding period in 2011. Interest income for the six months ended June 30, 2012 decreased by $4,138, as compared to the corresponding period in 2011. The decrease in interest income is due to lower U.S. Treasury bill rates during the six months ended June 30, 2012 as compared to the corresponding period in 2011. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership and the Funds depends on the average daily equity in the Partnership’s/Funds’ account and upon interest rates over which neither the Partnership/Funds nor CGM has control.

Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three and six months ended June 30, 2012 increased by $117,429 and $260,965, respectively, as compared to the corresponding periods in 2011. The increase in brokerage fees is due to higher average net assets during the three and six months ended June 30, 2012, as compared to the corresponding periods in 2011.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three and six months ended June 30, 2012 decreased by $97,353 and $166,454, respectively, as compared to the corresponding periods in 2011. The decrease in management fees is due to a change in fee percentage rates as a result of a change in the mix of Advisors allocated assets of the Partnership during the three and six months ended June 30, 2012, as compared to corresponding periods in 2011.

Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Administrative fees for the three and six months ended June 30, 2012 increased by $9,229 and $37,070, respectively, as compared to the corresponding periods in 2011. The increase in administrative fees is due to higher average net assets during the three and six months ended June 30, 2012, as compared to the corresponding periods in 2011.

Incentive fees paid by the Partnership to the Advisors are based on the new trading profits generated by each Advisor at the end of the quarter, as defined in the management agreements among the Partnership, the General Partner and each Advisor. Trading performance for the three and six months ended June 30, 2012 resulted in incentive fees of $358,490 and $408,551, respectively. Trading performance for the three and six months ended June 30, 2011 resulted in incentive fees of $156,846 and $276,307, respectively.

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

As of June 30, 2012 and March 31, 2012 the Partnership’s assets were allocated among these Advisors in the following approximate percentages:

Advisor	June 30, 2012			March 31, 2012
Altis Partners (Jersey) Limited		1	%		2	%
Waypoint Capital Management LLC		9	%		9	%
PGR Capital LLP		16	%		16	%
Blackwater Capital Management LLC		17	%		17	%
J E Moody & Company LLC		16	%		16	%
Cirrus Capital Management LLC		9	%		9	%
Flintlock Capital Asset Management LLC		8	%		9	%
Willowbridge Associates Inc.		24	%		22	%

24

Item 3. Quantitative and Qualitative Disclosures about Market Risk

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

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

Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open positions and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open contracts and the liquidity of the markets in which they trade.

The Partnership/Funds rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s/Funds’ past performance is not necessarily indicative of their future results.

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

Exchange maintenance margin requirements have been used by the Partnership/Funds as the measure of their Value at Risk. Maintenance 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. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. With the exception of Willowbridge, the Advisors currently trade the Partnership’s assets indirectly in master fund managed accounts over which they have been granted limited authority to make trading decisions. Willowbridge directly trades managed accounts in the Partnership’s name. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investments in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed accounts in the Partnership’s name traded by Willowbridge) and indirectly by each Fund separately. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2011.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of June 30, 2012 and December 31, 2011. As of June 30, 2012, the Partnership’s total capitalization was $207,063,657.

June 30, 2012

Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	2,792,254		1.35	%
Energy		1,732,029		0.84	%
Grains		1,424,477		0.69	%
Indices		2,287,456		1.10	%
Interest Rates U.S.		1,460,740		0.71	%
Interest Rates Non-U.S.		3,478,707		1.68	%
Livestock		973,001		0.47	%
Lumber		597		0.00	%*
Metals		1,788,242		0.86	%
Softs		864,735		0.42	%
Total	$	16,802,238		8.12	%

* Due to rounding.

25

As of December 31, 2011, the Partnership’s total capitalization was $204,952,071.

December 31, 2011

Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	2,045,101		1.00	%
Energy		1,049,884		0.51	%
Grains		554,666		0.27	%
Indices		969,832		0.47	%
Interest Rates U.S.		456,702		0.22	%
Interest Rates Non-U.S.		2,195,954		1.07	%
Livestock		17,245		0.01	%
Lumber		1,710		0.00	%*
Metals		804,434		0.40	%
Softs		220,609		0.11	%
Total	$	8,316,137		4.06	%

* Due to rounding.

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and through its investments in the Funds by market category as of June 30, 2012 and December 31, 2011, the highest, lowest and average values during the three months ended June 30, 2012 and the twelve months ended December 31, 2011. All open contracts trading risk exposures have been included in calculating the figures set forth below.

As of June 30, 2012, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

June 30, 2012

						Three months ended June 30, 2012
Market Sector	Value at Risk		% of  Total Capital			High Value at  Risk		Low Value at  Risk		Average Value at Risk*
Currencies	$	108,000		0.05	%	$	649,367	$	15,525	$	260,622
Energy		168,750		0.08	%		355,500		5,000		181,750
Grains		593,437		0.29	%		656,733		12,500		243,479
Indices		70,000		0.03	%		70,000		17,500		29,167
Interest Rates U.S.		449,700		0.22	%		1,178,570		14,000		635,180
Interest Rates Non-U.S.		378,884		0.18	%		1,067,767		29,603		659,883
Total	$	1,768,771		0.85	%

* Average of month-end Values at Risk.

As of December 31, 2011, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of  Total Capital			High Value at  Risk		Low Value at  Risk		Average Value at Risk*
Currencies	$	15,524		0.01	%	$	3,016,047	$	15,524	$	1,667,723
Energy		78,000		0.04	%		1,025,063		51,958		486,312
Grains		68,250		0.03	%		651,925		22,574		230,826
Indices		28,000		0.01	%		2,523,159		28,000		896,548
Metals		59,500		0.03	%		2,138,330		51,000		623,747
Softs		18,000		0.01	%		867,645		6,750		295,195
Total	$	267,274		0.13	%

* Annual average of month-end Values at Risk.

26

As of June 30, 2012, Altis Master’s total capital was $138,766,636. The Partnership owned approximately 3.0% of Altis Master. As of June 30, 2012 , Altis Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Altis for trading) was as follows:

June 30, 2012

						Three months ended June 30, 2012
Market Sector	Value at Risk		% of  Total Capital			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	1,762,067		1.27	%	$	2,425,305	$	884,563	$	2,105,120
Energy		714,623		0.51	%		1,067,442		714,623		870,865
Grains		1,595,044		1.15	%		2,282,893		1,595,044		1,619,873
Indices		1,135,918		0.82	%		1,669,840		596,803		1,444,095
Interest Rates U.S.		1,155,125		0.83	%		1,155,125		383,122		884,796
Interest Rates Non -U.S.		3,718,033		2.68	%		4,536,756		3,671,651		3,950,106
Livestock		216,430		0.16	%		383,910		206,910		264,570
Lumber		19,250		0.01	%		45,000		1,100		23,250
Metals		3,089,429		2.23	%		3,284,303		1,878,846		2,675,582
Softs		1,197,394		0.86	%		1,546,718		1,197,394		1,337,594
Total	$	14,603,313		10.52	%

* Average of month-end Values at Risk.

As of December 31, 2011, Altis Master’s total capital was $144,935,126. The Partnership owned approximately 3.0% of Altis Master. As of December 31, 2011, Altis Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Altis for trading) was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of  Total Capital			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	4,706,034		3.25	%	$	4,735,198	$	646,682	$	2,692,436
Energy		1,077,077		0.74	%		2,954,905		374,821		1,387,930
Grains		1,147,409		0.79	%		1,342,558		294,622		660,686
Indices		1,694,372		1.17	%		4,865,066		470,802		1,611,202
Interest Rates U.S.		659,750		0.46	%		1,007,400		101,249		442,163
Interest Rates Non -U.S.		2,332,739		1.61	%		2,332,739		211,275		1,252,268
Livestock		242,550		0.17	%		244,350		21,625		109,725
Lumber		57,000		0.04	%		70,500		800		22,233
Metals		2,499,389		1.72	%		3,663,593		644,520		1,887,972
Softs		1,438,518		0.99	%		1,748,653		374,414		801,205
Total	$	15,854,838		10.94	%

* Annual average of month-end Values at Risk.

27

As of June 30, 2012, Waypoint Master’s total capitalization was $33,578,640. The Partnership owned approximately 54.1% of Waypoint Master. As of June 30, 2012, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

June 30, 2012

						Three months ended June 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	804,383		2.40	%	$	6,148,305	$	804,383	$	3,456,790
Energy		38,000		0.11	%		56,100		17,100		31,367
Interest Rates U.S.		279,450		0.83	%		279,450		25,200		182,433
Interest Rates Non-U.S.		300,700		0.90	%		1,695,062		67,627		623,828
Softs		33,800		0.10	%		136,300		31,200		89,500
Total	$	1,456,333		4.34	%

* Average of month-end Values at Risk.

As of December 31, 2011, Waypoint Master’s total capitalization was $39,192,330. The Partnership owned approximately 55.8% of Waypoint Master. As of December 31, 2011, Waypoint Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Waypoint for trading) was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	1,465,318		3.74	%	$	10,317,436	$	325,222	$	5,419,330
Energy		47,250		0.12	%		195,000		12,250		73,156
Grains		181,500		0.46	%		221,500		15,000		94,143
Indices		84,070		0.21	%		1,861,926		19,012		596,211
Interest Rates U.S.		339,700		0.87	%		591,250		26,000		244,963
Interest Rates Non-U.S.		1,096,807		2.80	%		1,537,795		55,028		713,282
Metals		137,000		0.35	%		245,750		17,000		151,548
Softs		108,000		0.28	%		353,250		14,700		75,763
Total	$	3,459,645		8.83	%

* Annual average of month-end Value at Risk.

28

As of June 30, 2012, PGR Master’s total capitalization was $45,581,841. The Partnership owned approximately 72.1% of PGR Master. As of June 30, 2012, PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

June 30, 2012

						Three months ended June 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	403,280		0.88	%	$	1,035,798	$	403,280	$	731,220
Energy		643,150		1.41	%		1,418,646		290,285		691,843
Grains		126,725		0.28	%		283,024		126,725		167,538
Indices		798,859		1.75	%		2,339,303		798,859		1,592,044
Interest Rates U.S.		485,475		1.06	%		1,040,100		485,475		764,767
Interest Rates Non -U.S.		2,488,629		5.46	%		4,045,515		2,488,629		2,585,168
Livestock		7,200		0.02	%		49,200		7,200		25,600
Metals		631,250		1.39	%		1,007,250		257,000		631,833
Softs		225,523		0.50	%		418,734		225,523		295,138
Total	$	5,810,091		12.75	%

* Average of month-end Values at Risk.

As of December 31, 2011, PGR Master’s total capitalization was $45,036,946. The Partnership owned approximately 63.9% of PGR Master. As of December 31, 2011, PGR Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to PGR for trading) was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	694,855		1.54	%	$	694,855	$	100,205	$	258,300
Energy		348,040		0.77	%		541,391		154,095		291,918
Grains		244,450		0.54	%		252,500		37,750		98,122
Indices		1,529,751		3.40	%		1,529,751		236,424		793,620
Interest Rates U.S.		375,000		0.83	%		398,000		94,750		259,088
Interest Rates Non-U.S.		1,821,829		4.05	%		1,821,829		107,676		771,169
Livestock		22,800		0.05	%		25,200		1,200		9,917
Metals		344,450		0.77	%		414,700		77,258		193,290
Softs		201,285		0.45	%		201,285		61,317		113,562
Total	$	5,582,460		12.40	%

* Annual average of month-end Value at Risk.

As of June 30, 2012, Blackwater Master’s total capitalization was $76,395,017. The Partnership owned approximately 45.4% of Blackwater Master. As of June 30, 2012, Blackwater Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Blackwater for trading) was as follows:

June 30, 2012

						Three months ended June 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	4,193,158		5.49	%	$	5,515,620	$	2,549,371	$	3,927,036
Energy		200,100		0.26	%		1,965,000		200,100		721,507
Grains		211,675		0.28	%		1,015,435		211,675		370,525
Indices		3,538,028		4.63	%		4,320,542		1,980,078		3,082,890
Interest Rates U.S.		1,044,100		1.37	%		1,044,100		366,750		802,017
Interest Rates Non -U.S.		2,263,401		2.96	%		3,185,250		2,263,401		2,542,944
Metals		2,469,739		3.23	%		2,525,190		1,285,422		2,074,740
Total	$	13,920,201		18.22	%

* Average of month-end Values at Risk.

29

As of December 31, 2011, Blackwater Master’s total capitalization was $82,889,779. The Partnership owned approximately 39.5% of Blackwater Master. As of December 31, 2011, Blackwater Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Blackwater for trading) was as follows:

December 31, 2011

						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Currencies	$	2,411,930		2.91	%	$	2,568,118	$	336,921	$	1,115,740
Energy		402,750		0.49	%		1,023,868		16,250		232,145
Grains		764,500		0.92	%		870,250		30,000		240,345
Indices		300,251		0.36	%		1,607,842		247,572		684,419
Interest Rates Non-U.S.		1,542,704		1.86	%		1,552,868		102,339		581,511
Metals		1,292,162		1.56	%		1,292,162		86,599		500,735
Total	$	6,714,297		8.10	%

* Annual average of month-end Value at Risk.

As of June 30, 2012, JEM Master’s total capitalization was $46,941,255. The Partnership owned approximately 72.7% of JEM Master. As of June 30, 2012, JEM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to JE Moody for trading) was as follows:

June 30, 2012

	Value at Risk		% of Total Capitalization			Three months ended June 30, 2012
Market Sector						High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Energy	$	559,328		1.19	%	$	1,614,650	$	559,328	$	1,042,343
Grains		170,475		0.36	%		443,300		170,475		216,425
Livestock		750,900		1.60	%		946,600		561,000		696,633
Softs		22,800		0.05	%		759,850		14,950		137,000
Total	$	1,503,503		3.20	%

* Average of month-end Values at Risk.

As of December 31, 2011, JEM Master’s total capitalization was $45,664,676. The Partnership owned approximately 69.9% of JEM Master. As of December 31, 2011, the JEM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to JE Moody for trading) was as follows:

December 31, 2011

	Value at Risk		% of Total Capitalization			Twelve months ended December 31, 2011
Market Sector						High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	1,859,447		4.07	%	$	5,686,643	$	181,650	$	1,801,740
Grains		520,100		1.14	%		740,600		8,250		252,410
Livestock		694,200		1.52	%		1,276,200		48,750		531,258
Metals		55,575		0.12	%		213,525		4,350		22,019
Softs		850,000		1.86	%		1,601,400		13,750		469,008
Total	$	3,979,322		8.71	%

* Annual average of month-end Value at Risk.

30

As of June 30, 2012, FL Master’s total capitalization was $25,643,553. The Partnership owned approximately 63.6% of FL Master. As of June 30, 2012, FL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Flintlock for trading) was as follows:

June 30, 2012

	Value at Risk		% of Total Capitalization			Three months ended June 30, 2012
Market Sector						High Value at  Risk		Low Value at  Risk		Average Value at  Risk*
Energy	$	878,147		3.42	%	$	1,750,550	$	14,750	$	763,893
Grains		738,130		2.88	%		1,128,750		22,250		798,310
Livestock		651,800		2.54	%		1,021,200		68,100		784,150
Metals		182,225		0.71	%		2,923,578		182,225		915,530
Softs		989,250		3.86	%		1,191,050		45,600		864,633
Total	$	3,439,552		13.41	%

* Average of month-end Values at Risk.

As of December 31, 2011, FL Master’s total capitalization was $22,660,590. The Partnership owned approximately 85.7% of FL Master. As of December 31, 2011, FL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Flintlock for trading) was as follows:

December 31, 2011

	Value at Risk		% of Total Capitalization			For the period ended December 31, 2011
Market Sector						High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	570,800		2.52	%	$	1,601,607	$	195,250	$	681,872
Total	$	570,800		2.52	%

* For the period May 1, 2011 (commencement of trading operations) to December 31, 2011 average of month-end Value at Risk.

31

Item 4. Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934 (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the President and Chief Financial Officer (the “CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

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

The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of June 30, 2012 and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

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

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

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

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

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended June 30, 2012 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

32

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

The following information supplements and amends the discussion set forth under Part I, Item 3. “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011, as updated by the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2012.

This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which CGM 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.

CGM (together with Citigroup Inc. and its other subsidiaries, “Citigroup”) (formerly known as Salomon Smith Barney Inc.) is a New York corporation with its principal place of business at 388 Greenwich St., New York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant (“FCM”), and provides futures brokerage and clearing services for institutional and retail participants in the futures markets. CGM and its affiliates also provide investment banking and other financial services for clients worldwide.

There have been no material administrative, civil or criminal actions within the past five years against CGM or any of its individual principals and no such actions are currently pending, except as follows.

ENRON CORP.

Beginning in 2002, Citigroup, CGM and certain executive officers and current and former employees (along with, in many cases, other investment banks and certain Enron officers and directors, lawyers and/or accountants) were named as defendants in a series of individual and alleged class action lawsuits related to Enron.

The alleged securities class action and all remaining individual actions (other than actions brought as part of Enron’s Chapter 11 bankruptcy proceeding) were consolidated or coordinated in the United States District Court for the Southern District of Texas. The consolidated securities class action, brought on behalf of an alleged class of individuals who purchased Enron securities (NEWBY, ET AL. v. ENRON CORP., ET AL.), alleged violations of Sections 11 and 15 of the Securities Act of 1933, as amended, and Sections 10 and 20 of the Securities Exchange Act of 1934. Citigroup agreed to settle this action on June 10, 2005. Under the terms of the settlement, approved by the District Court on May 24, 2006, $2.18 billion was paid to an escrow account for the benefit of the settlement class, which consists of all purchasers of publicly traded equity and debt securities issued by Enron and Enron-related entities between September 9, 1997 and December 2, 2001. The amount paid to settle this action was covered by existing Citigroup litigation reserves.

On August 27, 2007, the District Court for the Southern District of New York in IN RE ENRON CORP. reversed the rulings of the federal bankruptcy court that certain bankruptcy claims held by Citigroup transferees could be equitably subordinated or disallowed solely because of the alleged misconduct of Citigroup, and remanded for further proceedings.

On April 4, 2008, Citigroup announced an agreement to settle actions filed by Enron in its Chapter 11 bankruptcy proceedings seeking to recover payments to Citigroup as alleged preferences or fraudulent conveyances, to disallow or equitably subordinate claims of Citigroup and Citigroup transferees on the basis of alleged fraud, and to recover damages from Citigroup for allegedly aiding and abetting breaches of fiduciary duty. Under the terms of the settlement, approved by the Bankruptcy Court for the Southern District of New York on April 24, 2008, Citigroup made a pretax payment of $1.66 billion to Enron, and

33

waived certain claims against Enron’s estate. Enron also allowed specified Citigroup-related claims in the bankruptcy proceeding, including all of the bankruptcy claims of parties holding approximately $2.4 billion of Enron credit-linked notes (“CLNs”), and released all claims against Citigroup. Citigroup separately agreed to settle an action brought by certain trusts that issued the CLNs in question, by the related indenture trustee and by certain holders of those securities. The amounts paid to settle these actions were covered by existing Citigroup litigation reserves.

On February 14, 2008, Citigroup agreed to settle CONNECTICUT RESOURCES RECOVERY AUTHORITY v. LAY, ET AL., an action brought by the Attorney General of Connecticut in connection with an Enron-related transaction; subsequently, the district court dismissed the case on March 5, 2008. The amount paid to settle this action was covered by existing Citigroup litigation reserves.

Over the first two quarters of 2008, Citigroup agreed to settle the following cases, brought by clients of a single law firm in connection with the purchase and holding of Enron securities, and naming Citigroup as a third-party defendant: (1) AHLICH v. ARTHUR ANDERSEN, L.L.P.; (2) DELGADO v. FASTOW; (3) PEARSON v. FASTOW; (4) ROSEN v. FASTOW; (5) BULLOCK v. ARTHUR ANDERSEN, L.L.P.; (6) CHOUCROUN v. ARTHUR ANDERSEN, L.L.P.; (7) GUY v. ARTHUR ANDERSEN, L.L.P. (8) ADAMS v. ARTHUR ANDERSEN, L.L.P.; (9) JOSE v. ARTHUR ANDERSEN, L.L.P.; and (10) ODAM, ET AL., v. ENRON CORP., ET AL. The amount paid to settle these actions was covered by existing Citigroup litigation reserves.

On May 23, 2008, Citigroup agreed to settle SILVERCREEK MANAGEMENT INC., ET AL. v. SALOMON SMITH BARNEY, INC. ET AL., and SILVERCREEK MANAGEMENT INC., ET AL. v. CITIGROUP INC., ET AL., two actions brought by investors in Enron debt securities. The amount paid to settle this action was covered by existing Citigroup litigation reserves. On May 30, 2008, the Southern District of Texas approved Citigroup’s settlement of WESTPAC BANKING CORP. v. CITIBANK, N.A., an action arising out of an Enron-related credit derivative transaction between Citibank and the plaintiff. The amount paid to settle this action was covered by existing Citigroup litigation reserves. On July 9, 2008, Citigroup agreed to settle PUBLIC UTILITY DISTRICT NO. 1 OF SNOHOMISH COUNTY, WASHINGTON v. CITIGROUP, ET AL., an action brought by a utility in connection with alleged electricity overcharges by Enron. The amount paid to settle this action was covered by existing Citigroup litigation reserves.

A number of other individual actions have been settled, including, on January 21, 2009, the parties settled VANGUARD BALANCED INDEX FUND, ET AL. v. CITIGROUP, ET AL., an action filed in 2003 in Pennsylvania state court by certain investment funds, and asserting claims under state securities and common law, arising out of plaintiffs’ purchase of certain Enron-related securities. The case had been coordinated with NEWBY (discussed above) until it was remanded to the United States District Court for the Eastern District of Pennsylvania in June 2008. Pursuant to the settlement, the case was voluntarily dismissed on February 4, 2009.

On May 14, 2009, a settlement agreement was executed among the parties in DK ACQUISITION PARTNERS, L.P., ET AL. v. J.P. MORGAN CHASE & CO., ET AL. and AVENUE CAPITAL MANAGEMENT II, L.P., ET AL. v. J.P. MORGAN CHASE & CO., ET AL. On June 3, 2009, a settlement agreement was executed among the parties in UNICREDITO ITALIANO, SpA, ET AL. v. J.P. MORGAN CHASE BANK, ET AL. The three actions, which were consolidated and pending trial in the United States District Court for the Southern District of New York, were brought against Citigroup and certain of its affiliates, and JPMorgan Chase and certain of its affiliates, in their capacity as co-agents on certain Enron revolving credit facilities. Pursuant to the settlements, the cases were dismissed with prejudice.

34

WORLDCOM, INC.

Beginning in 2002, Citigroup, CGM and certain executive officers and current and former employees were named as defendants—along with twenty-two other investment banks, certain current and former WorldCom officers and directors, and WorldCom’s former auditors—in a consolidated class action (IN RE WORLDCOM, INC. SECURITIES LITIGATION) brought on behalf of individuals and entities who purchased or acquired publicly traded securities of WorldCom between April 29, 1999 and June 25, 2002. The class settlement became final in March 2006.

Following the resolution of all other individual actions by settlements and other resolutions, one individual action remains pending on appeal in the Second Circuit, HOLMES, et al. v. GRUBMAN, et al., which was brought by an individual and entities who opted out of the WorldCom securities class action settlement. On October 13, 2006, this action was dismissed with prejudice by the District Court for the Southern District of New York. On June 3, 2009, the Second Circuit certified certain state law questions to be resolved by the Georgia Supreme Court, which has issued an opinion answering those questions. The Second Circuit has not yet decided the appeal. On June 23, 2010, the Second Circuit affirmed the dismissal of the remaining claims in HOLMES v. GRUBMAN. Petitioners-plaintiffs submitted a petition for certiorari to the United States Supreme Court seeking review of the decision of the Second Circuit, affirming dismissal of the action.

RESEARCH

Customer Class Actions

In March 2004, an alleged research-related customer class action alleging various state law claims arising out of the issuance of allegedly misleading research analyst reports concerning numerous issuers was filed against certain Citigroup affiliates in Illinois state court. On October 13, 2011, the court entered an order dismissing with prejudice all class-action claims asserted in the action on the ground that the Securities Litigation Uniform Standards Act of 1998 precludes those claims. The court granted leave for the alleged representative plaintiff to file an amended complaint asserting only his individual claims within 21 days. An amended complaint was not filed within the 21-day period. The alleged representative plaintiff has filed a notice of appeal from the court’s October 13, 2011 order.

Global Crossing, Ltd.

On or about January 28, 2003, lead plaintiff in a consolidated alleged class action in the United States District Court for the Southern District of New York (IN RE GLOBAL CROSSING, LTD. SECURITIES LITIGATION) filed a consolidated complaint on behalf of purchasers of the securities of Global Crossing and its subsidiaries, which named as defendants, among others, Citigroup, CGM and certain executive officers and current and former employees, asserting claims under the federal securities laws for allegedly issuing research reports without a reasonable basis in fact and for allegedly failing to disclose conflicts of interest with Global Crossing in connection with published investment research. On March 22, 2004, lead plaintiff amended its consolidated complaint to add claims on behalf of purchasers of the securities of Asia Global Crossing. The added claims asserted causes of action under the federal securities laws and common law in connection with CGM’s research reports about Global Crossing and Asia Global Crossing and for CGM’s roles as an investment banker for Global Crossing and as an

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underwriter in the Global Crossing and Asia Global Crossing offerings. The Citigroup-Related Defendants moved to dismiss all of the claims against them on July 2, 2004. The plaintiffs and the Citigroup-Related Defendants entered into a settlement agreement that was preliminarily approved by the Court on March 8, 2005, and was finally approved on June 30, 2005. The amount to be paid in settlement is covered by existing litigation reserves.

In addition, on or about January 27, 2004, the Global Crossing Estate Representative filed in the United States Bankruptcy Court for the Southern District of New York an adversary proceeding against Citigroup and several other financial institutions seeking to rescind the payment of a $1 billion loan made to a subsidiary of Global Crossing. The Citigroup-Related Defendants moved to dismiss the latter action on May 28, 2004, which motion remains pending. In addition, actions asserting claims against Citigroup and certain of its affiliates relating to CGM Global Crossing research reports are pending in numerous arbitrations around the country. On August 20, 2008, Plaintiff filed an amended complaint that narrowed the pending claims. Citigroup has yet to respond to the amended complaint.

Telecommunications Research Class Actions

Beginning in May 2002, Citigroup, CGM and certain executive officers and current and former employees were named as defendants in a series of alleged class action lawsuits and arbitration demands by purchasers of various securities, alleging violations of the federal securities laws, including Sections 10 and 20 of the Securities Exchange Act of 1934 for allegedly issuing research reports without a reasonable basis in fact and for allegedly failing to disclose conflicts of interest with companies in connection with published investment research. The Citigroup research analyst reports concerned seven issuers: AT&T Corp. (“AT&T”), Winstar Communications, Inc., Level 3 Communications, Inc., Metromedia Fiber Network, Inc. (“MFN”), XO Communications, Inc., Williams Communications Group Inc., and Focal Communications, Inc. These alleged class actions were assigned to a single judge in the United States District Court for the Southern District of New York for coordinated proceedings. The court consolidated these actions into seven separate proceedings corresponding to the seven issuers of securities involved.

On January 6, 2005, the district court granted in part and denied in part Citigroup’s motion to dismiss the claims against it in the MFN action, In re SALOMON ANALYST METROMEDIA LITIGATION. On June 20, 2006, the district court certified the plaintiff class in the MFN action. The District Court’s class certification decision is on appeal in the United States Court of Appeals for the Second Circuit, and oral argument was held in January 2008. On September 30, 2008, the district court’s class certification decision was vacated on appeal by the United States Court of Appeals for the Second Circuit. On October 1, 2008, the parties reached a settlement pursuant to which Citigroup will pay $35 million to members of the settlement class that purchased or otherwise acquired MFN securities during the class period; the settlement was preliminarily approved by the district court on November 19, 2008. On February 27, 2009, the district court approved the class action settlement, and entered a final judgment dismissing the action with prejudice.

CREDIT-CRISIS-RELATED LITIGATION AND OTHER MATTERS

Citigroup and certain of its subsidiaries have been named as defendants in numerous legal actions and other proceedings asserting claims for damages and related relief for losses arising from the global financial credit and subprime-mortgage crisis that began in 2007. Such matters include, among other types of proceedings, claims asserted by: (i) individual investors and purported classes of investors in Citigroup’s common and preferred stock and debt, alleging violations of the federal securities laws; (ii)

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individual investors and purported classes of investors in, and issuers of, auction rate securities alleging violations of the federal securities and antitrust laws; (iii) counterparties to significant transactions adversely affected by developments in the credit and subprime markets; (iv) individual investors and purported classes of investors in securities and other investments underwritten, issued or marketed by Citigroup, including collateralized debt obligations (“CDOs”), mortgage-backed securities (“MBS”), auction-rate securities (“ARS”), investment funds, and other structured or leveraged instruments, that have suffered losses as a result of the credit crisis; (v) municipalities, related entities and individuals asserting public nuisance claims; and (vi) individual borrowers asserting claims related to their loans. These matters have been filed in state and federal courts across the country, as well as in arbitrations before the Financial Industry Regulatory Authority (“FINRA”) and other arbitration associations.

In addition to these litigations and arbitrations, Citigroup continues to cooperate fully in response to subpoenas and requests for information from the Securities and Exchange Commission (“SEC”), FINRA, the Federal Housing Finance Agency (“FHFA”, state attorneys general, the Department of Justice and subdivisions thereof, bank regulators, and other government agencies and authorities in connection with various formal and informal inquiries concerning Citigroup’s subprime and other mortgage-related conduct and business activities, as well as other business activities affected by the credit crisis. These business activities include, but are not limited to, Citigroup’s sponsorship, packaging, issuance, marketing, servicing, and underwriting of CDOs and residential mortgage-backed securities (“RMBS”) and its origination, sale or other transfer, servicing, and foreclosure of residential mortgages.

On October 19, 2011, in connection with its industry wide investigation concerning CDO-related business activities, the SEC filed a complaint in the United States District Court for the Southern District of New York regarding Citigroup’s structuring and sale of the Class V Funding III CDO transaction (“Class V”), which alleged that CGM negligently misrepresented key deal terms of the Class V CDO. On the same day, the SEC and Citigroup announced a settlement of the SEC’s claims, subject to judicial approval, and the SEC filed a proposed final judgment pursuant to which Citigroup’s U.S. broker-dealer CGM agreed to disgorge $160 million, and pay $30 million in prejudgment interest and a $95 million penalty. On November 28, 2011, the district court issued an order refusing to approve the proposed settlement and ordering trial to begin on July 16, 2012. On December 15 and 19, 2011, respectively, the SEC and CGM filed notices of appeal from the district court’s November 28 order. On December 27, 2011, the United States Court of Appeals for the Second Circuit granted an emergency stay of further proceedings in the district court, pending the Second Circuit’s ruling on the SEC’s motion to stay the district court proceedings during the pendency of the appeals. On March 15, 2012, the Second Circuit granted a stay of the district court proceedings pending resolution of the appeals.

Federal and state regulators, including the SEC, also have served subpoenas or otherwise requested information related to Citigroup’s issuing, sponsoring, or underwriting of MBS. These inquiries include a subpoena from the Civil Division of the Department of Justice that Citigroup received on January 27, 2012.

Subprime Mortgage–Related Litigation and Other Matters

Beginning in November 2007, Citigroup and a number of current and former officers, directors, and employees have been named as defendants in numerous complaints brought by Citigroup shareholders, investors, counterparties and others concerning Citigroup’s activities relating to subprime mortgages, including Citigroup’s exposure to CDOs, MBS), and structured investment vehicles, Citigroup’s underwriting activity for subprime mortgage lenders, and Citigroup’s more general involvement in subprime- and credit-related activities.

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Securities Actions:Citigroup has been named as a defendant in four alleged class actions filed in the United States District Court for the Southern District of New York. On August 19, 2008, these actions were consolidated under the caption IN RE CITIGROUP INC. SECURITIES LITIGATION. The consolidated amended complaint asserts claims arising under Sections 10(b) and 20(a) of the Securities Exchange Act of 1934 on behalf of an alleged class of purchasers of Citigroup common stock from January 1, 2004 through January 15, 2009. On November 9, 2010, the district court issued an opinion and order dismissing all claims except those arising out of Citigroup’s exposure to CDOs for the time period February 1, 2007 through April 18, 2008. Fact discovery is underway. Plaintiffs have not yet quantified the alleged class’ alleged damages. During the alleged class period, as narrowed by the district court, the price of Citigroup’s common stock declined from $54.73 at the beginning of the period to $25.11 at the end of the period. (These share prices represent Citigroup’s common stock prices prior to its 1-for-10 reverse stock split, effective May 6, 2011.)

Citigroup and CGM have been named as defendants in two alleged class actions filed in the United States District Court for the Southern District of California, but since transferred by the Judicial Panel on Multidistrict Litigation to the United States District Court for the Southern District of New York. In the consolidated action, lead plaintiffs assert claims on behalf of an alleged class of participants in Citigroup’s Voluntary Financial Advisor Capital Accumulation Plan from November 2006 through January 2009. On June 7, 2011, the district court granted defendants’ motion to dismiss the complaint and subsequently entered judgment. On November 14, 2011, the district court granted in part plaintiffs’ motion to alter or amend the judgment and granted plaintiffs leave to amend the complaint. On November 23, 2011, plaintiffs filed an amended complaint alleging violations of Section 12 of the Securities Act of 1933, as amended, and Section 10(b) of the Securities Exchange Act of 1934. Defendants filed a motion to dismiss certain of plaintiffs’ claims on December 21, 2011.

On September 30 and October 28, 2008, Citigroup, certain Citigroup entities, certain current and former directors and officers of Citigroup and Citigroup Funding, Inc., and certain underwriters of Citigroup notes (including CGM) were named as defendants in two alleged class actions filed in New York state court but since removed to the United States District Court for the Southern District of New York. These actions allege violations of Sections 11, 12, and 15 of the Securities Act of 1933, as amended, arising out of forty-eight corporate debt securities, preferred stock, and interests in preferred stock issued by Citigroup and related issuers over a two-year period from 2006 to 2008. On December 10, 2008, these two actions were consolidated under the caption IN RE CITIGROUP INC. BOND LITIGATION, and lead plaintiff and counsel were appointed. On January 15, 2009, plaintiffs filed a consolidated class action complaint.

On March 13, 2009, defendants filed a motion to dismiss the complaint. On July 12, 2010, the district court issued an order and opinion granting in part and denying in part defendants’ motion to dismiss. The court’s order, among other things, dismissed plaintiffs’ claims under Section 12 of the Securities Act of 1933, as amended, but denied defendants’ motion to dismiss certain claims under Section 11 of that Act. A motion for partial reconsideration of the latter ruling in pending. On September 30, 2010, the district court entered a scheduling order in IN RE CITIGROUP INC. BOND LITIGATION. Fact discovery has commenced. On March 11, 2011, lead plaintiffs in IN RE CITIGROUP INC. BOND LITIGATION filed a motion seeking class certification. Plaintiffs have not yet quantified the alleged class’s alleged damages. Because of the preliminary stage of the proceedings, Citigroup cannot at this time estimate the possible loss or range of loss, if any, for this action or predict the timing of its eventual resolution.

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Several institutions and sophisticated investors that purchased debt and equity securities issued by Citigroup and related issuers have also filed actions on their own behalf against Citigroup and certain of its subsidiaries in the Southern District of New York and the Court of Common Pleas for Philadelphia County. These actions assert claims similar to those asserted in the IN RE CITIGROUP INC. SECURITIES LITIGATION and IN RE CITIGROUP INC. BOND LITIGATION actions described above. Collectively, these investors seek damages exceeding $1 billion.

Underwriting Actions. Certain Citigroup affiliates have been named as defendants arising out of their activities as underwriters of securities in actions brought by investors in securities of issuers adversely affected by the credit crisis, including AIG, Fannie Mae, Freddie Mac, Ambac and Lehman, among others. These matters are in various stages of litigation. As a general matter, issuers indemnify underwriters in connection with such claims. In certain of these matters, however, Citigroup affiliates are not being indemnified or may in the future cease to be indemnified because of the financial condition of the issuer.

On September 28, 2011, the United States District Court for the Southern District of New York approved a stipulation of settlement with the underwriter defendants in IN RE AMBAC FINANCIAL GROUP, INC. SECURITIES LITIGATION and judgment was entered. A member of the settlement class has appealed the judgment to the United States Court of Appeals for the Second Circuit. On December 22, 2011, the underwriter defendants moved to dismiss the appeal.

Discrimination in Lending Actions. Two alleged class actions have been filed alleging claims of racial discrimination in mortgage lending under the Equal Credit Opportunity Act, the Fair Housing Act, and/or the Civil Rights Act. The first action, PUELLO, ET AL. v. CITIFINANCIAL SERVICES, INC., ET AL., was filed against Citigroup and its affiliates in the United States District Court for the District of Massachusetts. The second action, NAACP v. AMERIQUEST MORTGAGE CO., ET AL., was filed against one of Citigroup’s affiliates in the United States District Court for the Central District of California. In each action, defendants’ motions to dismiss have been denied. On September 21, 2009, the United States District Court for the Central District of California denied defendant CitiMortgage’s motion for summary judgment and granted its motion to strike the jury demand.

Counterparty and Investor Actions. Citigroup and certain of its subsidiaries have been named as defendants in actions brought in various state and federal courts, as well as in arbitrations, by counterparties and investors that claim to have suffered losses as a result of the credit crisis. Those actions include claims asserted by investors in CDO-related transactions, including Moneygram Payment Systems, Inc., which filed a lawsuit in Minnesota state court on October 26, 2011, alleging misstatements in connection with the sale of CDO securities. Additional actions asserting claims related to investments or participation in CDO-related transactions may be filed in the future.

Ambac. Counterparties to transactions involving CDOs, SIVs, credit default swaps (“CDS”), and other instruments related to investments in mortgage-backed securities have sued Citigroup on a variety of theories. On August 3, 2009, one such counterparty filed an action—AMBAC CREDIT PRODUCTS, LLC v. CITIGROUP INC., et al.—in New York Supreme Court, County of New York, alleging various claims including fraud and breach of fiduciary duty in connection with Citigroup’s purchase of CDS from Ambac as credit protection for a $1.95 billion super-senior tranche of a CDO structured by Citigroup, the underlying assets of which allegedly included subprime mortgage-backed securities. Ambac alleges, among other things, that Citigroup misrepresented the nature of the risks that were being transferred. On October 7, 2009, defendants filed a motion to dismiss the complaint. On June 7, 2010, in connection with a global settlement agreement between Ambac and Citigroup, the parties stipulated to a discontinuation with prejudice.

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In August 2011, two Saudi nationals and related entities commenced a FINRA arbitration against CGM alleging $380 million in losses resulting from certain options trades referencing a portfolio of hedge funds and certain credit facilities collateralized by a private equity portfolio. CGM did not serve as the counterparty or credit facility provider in these transactions. In September 2011, CGM commenced an action in the United States District Court for the Southern District of New York seeking to enjoin the arbitration. Simultaneously with that filing, the Citigroup entities that served as the counterparty or credit facility provider to the transactions commenced actions in London and Switzerland for declaratory judgments of no liability.

RMBS Litigation and Other Matters

During the period 2005 through 2008, Citigroup affiliates (including both S&B and Consumer mortgage entities) sponsored approximately $91 billion in private-label mortgage-backed securitization transactions, of which approximately $35 billion remained outstanding at September 30, 2011. Losses to date on these issuances are estimated to be approximately $9.3 billion. From time to time, investors or other parties to such securitizations have contended, or may in the future contend, that Citigroup affiliates involved in the securitizations are responsible for such losses because of misstatements or omissions in connection with the issuance and underwriting of the securities, breaches of representations and warranties with respect to the underlying mortgage loans, or for other reasons. Beginning in July 2010, several investors, including Cambridge Place Investment Management, The Charles Schwab Corporation, the Federal Home Loan Bank of Chicago, the Federal Home Loan Bank of Indianapolis, Allstate Insurance Company, the Federal Home Loan Bank of Boston, the Union Central Life Insurance Co., Ameritas Life Insurance Corp., and Acacia Life Insurance Co. and affiliated entities have filed lawsuits against Citigroup and certain of its affiliates alleging actionable misstatements or omissions in connection with the issuance and underwriting of residential mortgage-backed securities. As a general matter, plaintiffs in these actions are seeking rescission of their investments or other damages. These actions, which are in their early procedural stages, allege claims against Citigroup and certain of its affiliates in connection with approximately $1.5 billion of residential mortgage-backed securities. Because these proceedings are in their preliminary stages, Citigroup cannot at this time estimate the possible loss or range of loss, if any, for these actions or predict the timing of their eventual resolution. Other purchasers of MBS or CDOs sold or underwritten by Citigroup affiliates have threatened to file lawsuits asserting similar claims, some of which Citigroup has agreed to toll pending further discussions with these investors.

On July 14, 2011, plaintiff filed an amended complaint in FEDERAL HOME LOAN BANK OF INDIANAPOLIS v. BANC OF AMERICA MORTGAGE SECURITIES, INC., ET AL., which no longer names Citigroup or any of its affiliates as defendants.

On September 2, 2011, the Federal Housing Finance Agency (“FHFA”) filed four lawsuits against Citigroup and certain of its subsidiaries alleging actionable misstatements or omissions in connection with the issuance and/or underwriting of RMBS. The FHFA has asserted similar claims against numerous other financial institutions. The FHFA seeks rescission of investments made by Fannie Mae and Freddie Mac, and/or other damages.

On September 9, 2011, the Western & Southern Life Insurance Company and other entities filed an amended complaint against CGM, as well as other financial institutions, alleging actionable

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misstatements or omissions in connection with the sale of residential mortgage-backed securities. In addition, other purchasers of residential mortgage-backed securities sold or underwritten by Citigroup affiliates have threatened to file lawsuits asserting similar claims, some of which Citigroup has agreed to toll pending further discussions with those investors.

Given the continued and increased focus on mortgage-related matters, as well as the increasing level of litigation and regulatory activity relating to mortgage loans and mortgage-backed securities, the level of inquiries and assertions respecting securitizations may further increase. These inquiries and assertions could lead to actual claims for breaches of representations and warranties, or to litigation relating to such breaches or other matters.

Auction Rate Securities–Related Litigation and Other Matters

Beginning in March 2008, Citigroup and certain of its subsidiaries have been named as defendants in numerous actions and proceedings brought by Citigroup shareholders and customers concerning ARS. In addition to those matters described below, these have included, among others, numerous arbitrations filed by customers of Citigroup and its subsidiaries seeking damages in connection with investments in ARS, which are in various stages of proceedings, and a derivative action filed against certain Citigroup officers and directors, which has been dismissed. A committee of Citigroup’s Board of Directors is reviewing a demand sent to the Board following the dismissal of the derivative action.

Securities Actions. Beginning in March 2008, Citigroup, CGM and their affiliates and certain current and former officers, directors, and employees, have been named as defendants in several individual and alleged class action lawsuits related to ARS. These have included, among others: (i) numerous lawsuits and arbitrations filed by customers of Citigroup and its affiliates seeking damages in connection with investments in ARS; (ii) a consolidated alleged class action asserting claims for federal securities violations, which has been dismissed and is now pending on appeal; (iii) two alleged class actions asserting violations of Section I of the Sherman Act, which have been dismissed and are now pending on appeal; and (iv) a derivative action filed against certain Citigroup officers and directors, which has been dismissed. In addition, based on an investigation, report and recommendation from a committee of Citigroup’s Board of Directors, the Board refused a shareholder demand that was made after dismissal of the derivative action.

Hansen Beverage Co. v. Citigroup Inc., et al.On July 11, 2008, a complaint was filed against Citigroup, CGM and Smith Barney, alleging violations of Sections 10 and 20 of the Securities Exchange Act of 1934 and the Investment Advisers Act arising out of plaintiff’s investment in ARS. On September 22, 2008, the Citigroup defendants filed a motion to compel arbitration, which was granted on October 10, 2008. A motion to reconsider the district court’s decision was denied on October 21, 2008. This action is currently stayed, pending arbitration.

Antitrust Actions. MAYOR & CITY COUNCIL OF BALTIMORE, MARYLAND v. CITIGROUP INC., ET AL. and RUSSELL MAYFIELD, ET AL. v. CITIGROUP INC., ET AL., are lawsuits filed in the Southern District of New York on behalf of a purported class of ARS issuers and investors, respectively, against Citigroup, CGM and various other financial institutions. In these actions, plaintiffs allege violations of Section 1 of the Sherman Act arising out of defendants’ alleged conspiracy to artificially restrain trade in the ARS market. On January 15, 2009, defendants filed motions to dismiss the complaints in these actions. On January 26, 2010, both actions were dismissed. The actions are now pending on appeal.

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Governmental and Regulatory Matters.On August 7, 2008, Citigroup and certain of its subsidiaries reached a settlement with the New York Attorney General, the Securities and Exchange Commission, and other state regulatory agencies, pursuant to which Citigroup agreed to offer to purchase at par ARS that are not auctioning from all Citigroup individual investors, small institutions (as defined in by the terms of the settlement), and charities that purchased ARS from Citigroup prior to February 11, 2008. In addition, Citigroup agreed to pay a $50 million fine to the State of New York and a $50 million fine to the other state regulatory agencies.

Citigroup and certain of its affiliates are also subject to formal and informal investigations, as well as subpoenas and/or requests for information, from various governmental and self-regulatory agencies relating to auction rate securities. Citigroup and its affiliates are cooperating fully and are engaged in discussions on these matters.

Arbitrations. In addition to the various lawsuits discussed above, several arbitrations are pending against Citigroup and certain of its affiliates relating to ARS investments.

ASTA/MAT and Falcon–Related Litigation and Other Matters

ASTA/MAT and Falcon were alternative investment funds managed and marketed by certain Citigroup affiliates that allegedly suffered substantial losses during the credit crisis. The SEC is investigating the management and marketing of the ASTA/MAT and Falcon funds. Citigroup is cooperating fully with the SEC’s inquiry.

In addition, numerous investors in ASTA/MAT have filed lawsuits or arbitrations against Citigroup seeking recoupment of their alleged losses. Although many of these investor disputes have been resolved, others remain pending. In April 2011, a FINRA arbitration panel awarded two ASTA/MAT investors $54 million in damages and attorneys’ fees, including punitive damages, against Citigroup. In December 2011, the United States District Court for the District of Colorado entered an order confirming the FlNRA panel’s award. Citigroup has filed a notice of appeal to the 10th Circuit Court of Appeals.

Arbitrations:In addition to the various lawsuits discussed above, several arbitrations are pending against Citigroup and certain of its affiliates relating to ASTA/MAT investments. On April 11, 2011, a FINRA arbitration panel in Denver awarded $54 million in damages and attorneys’ fees, including punitive damages, to claimants Jerry Murdock Jr. and Gerald Hosier arising out of their alleged losses in the ASTA/MAT and other funds.

Governmental and Regulatory Matters.Citigroup and certain of its affiliates are subject to formal and informal investigations, as well as subpoenas and/or requests for information, from various governmental and self-regulatory agencies relating to the marketing and management of the Falcon and ASTA/MAT funds. Citigroup and its affiliates are cooperating fully and are engaged in discussions on these matters.

ADELPHIA COMMUNICATIONS CORPORATION

On July 6, 2003, an adversary proceeding was filed by the Official Committee of Unsecured Creditors on behalf of Adelphia Communications Corporation against certain lenders and investment banks, including CGM, Citibank, N.A., Citicorp USA, Inc., and Citigroup Financial Products, Inc. (together, the “Citigroup Parties”). The complaint alleged that the Citigroup Parties and numerous other defendants committed acts in violation of the Bank Holding Company Act, the Bankruptcy Code, and

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common law. It sought an unspecified amount of damages. In November 2003, a similar adversary proceeding was filed by the Equity Holders Committee of Adelphia, asserting additional statutory and common law claims. In June 2004, motions to dismiss were filed with respect to the complaints of the two committees. Those motions were decided by the bankruptcy court, and were granted in part and denied in part. The district court affirmed in part and reversed in part the bankruptcy court’s decision. The Adelphia Recovery Trust (“ART”), which replaced the committees as the plaintiff in the action, filed an amended complaint on behalf of the Adelphia Estate, consolidating the two prior complaints; motions to dismiss the amended complaint and answers were filed. The district court granted in part and denied in part the defendants’ motions to dismiss the consolidated complaint. The ART’s appeal to the Second Circuit from that partial dismissal is pending. Before the district court, the parties are briefing summary judgment. On September 22, 2010, the ART agreed in principle to settle its claims against numerous pre-petition lenders and investment banks, including Citigroup, in the action entitled ADELPHIA RECOVERY TRUST v. BANK OF AMERICA N.A., ET AL., 05 Civ. 9050 (S.D.N.Y.). The agreement in principle is subject to execution of a final settlement agreement and court approval.

In addition, CGM is among the underwriters named in numerous civil actions brought to date by investors in Adelphia debt securities in connection with Adelphia securities offerings between September 1997 and October 2001. Three of the complaints also assert claims against Citigroup Inc. and Citibank, N.A. All of the complaints allege violations of federal securities laws, and certain of the complaints also allege violations of state securities laws and the common law. The complaint seeks unspecified damages. In December 2003, a second amended complaint was filed and consolidated before the same judge of the United States District Court for the Southern District of New York. In February 2004, motions to dismiss the class and individual actions pending in the United States District Court for the Southern District of New York were filed. In May and July of 2005, the United States District Court for the Southern District of New York granted motions to dismiss several claims, based on the running of applicable statute of limitations, asserted in the alleged class and individual actions being coordinated under IN RE ADELPHIA COMMUNICATIONS CORPORATION SECURITIES AND DERIVATIVE LITIGATION. With the exception of one individual action that was dismissed with prejudice, the court granted the alleged class and individual plaintiffs leave to re-plead certain of those claims the court found to be time-barred. Without admitting any liability, CGM and numerous other financial institution defendants settled IN RE ADELPHIA COMMUNICATIONS CORPORATION SECURITIES AND DERIVATIVE LITIGATION for a total of $250 million, and the settlement was approved in November 2006. Two of the additional remaining individual complaints have been settled. Following settlements of the class action, which is pending appeal, and other individual actions, two cases remain outstanding. The Second Circuit is considering whether the plaintiff in one has proper standing to sue. In September 2007, motions to dismiss in the other case were granted in part and denied in part.

IPO SECURITIES LITIGATION

In April 2002, consolidated amended complaints were filed against CGM and other investment banks named in numerous alleged class actions filed in the United States District Court for the Southern District of New York, alleging violations of certain federal securities laws (including Section 11 of the Securities Act of 1933, as amended, and Section 10(b) of the Securities Exchange Act of 1934) with respect to the allocation of shares for certain initial public offerings, related aftermarket transactions and damage to investors caused by allegedly biased research analyst reports.

Defendants’ motion to dismiss was denied. On October 13, 2004, the court granted in part the motion to certify class actions for six focus cases in the securities litigation. CGM is not a defendant in any of the six focus cases. In December 2006, the United States Court of Appeals for the Second Circuit reversed

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the district court and held that the classes could not be certified. Plaintiffs filed a petition for rehearing in January 2007; that petition was denied, and the case was remanded to the lower court. Plaintiffs filed amended pleadings in August 2007 and a new motion for class certification in September 2007. Defendants moved to dismiss the amended pleadings in November 2007 and filed an opposition to the new motion for class certification in December 2007. On March 26, 2008, the United States District Court for the Southern District of New York denied in part and granted in part Defendants’ motions to dismiss the amended complaints. Following mediation, a settlement in principle was reached, subject to negotiation of definitive documentation and court approval. On June 10, 2009, the district court entered an order preliminarily approving the proposed settlement of this matter and scheduling a hearing to determine whether the proposed settlement should be finally approved. In October 2009, the district court entered an order granting final approval of the settlement.

IPO ANTITRUST LITIGATION

Beginning in March 2001, several alleged class actions that were later consolidated into a single class action were filed in the Southern District of New York against CGM and other investment banks, alleging violations of certain federal and state antitrust laws in connection with the allocation of shares in initial public offerings when acting as underwriters. A separate alleged class action was filed against the same underwriter defendants as well as certain institutional investors alleging commercial bribery claims under the Robinson Patman Act arising out of similar allegations regarding IPO allocation conduct. On November 3, 2003, the district court granted CGM’s motion to dismiss the consolidated amended complaint in the antitrust case and the Robinson Patman complaint. Plaintiffs thereafter appealed the district court’s order dismissing the two actions. On September 28, 2005, the Second Circuit vacated the district court’s decision and ordered the cases remanded to the district court. In December 2006, the United States Supreme Court granted the underwriter defendants’ petition for certiorari to review the Second Circuit’s decision and set oral argument for March 2007.

On April 6, 2007, the Second Circuit panel that reversed the district court’s class certification decision denied plaintiffs’ petition for rehearing. The companion petition for rehearing en banc remains pending before the Second Circuit. On June 18, 2007, the United States Supreme Court ruled that the securities law precludes application of the antitrust laws to the claims asserted by plaintiffs, effectively terminating the litigation.

WAGE & HOUR EMPLOYMENT ACTIONS

Numerous financial services firms, including Citigroup and its affiliates, were named in alleged class actions alleging that certain present and former employees in California were entitled to overtime pay under state and federal laws; were subject to certain allegedly unlawful deductions under state law; or were entitled to reimbursement for employment related expenses incurred by them. The first of these class actions filed in the Fall of 2004 in the United States District Court for the Northern District of California, BAHRAMIPOUR v. CITIGROUP GLOBAL MARKETS INC., sought damages and injunctive relief on behalf of an alleged class of California employees. Similar complaints have been subsequently filed against CGM on behalf of certain statewide or nationwide alleged classes in (i) the United States District Courts for the Southern District of New York, the District of New Jersey, the Eastern District of New York, the District of Massachusetts, and the Middle District of Pennsylvania; and (ii) the New Jersey Superior Court. Without admitting any liability, CGM reached an agreement in principle, which is subject to court approval, to a nationwide settlement for up to approximately $98 million of various class actions asserting violations of state and federal laws relating to overtime and violations of various state laws relating to alleged unlawful payroll deductions. Additional alleged class action lawsuits alleging a variety of violations of state and federal wage and hour laws have been filed against various other Citigroup businesses.

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MUTUAL FUNDS LITIGATION

Citigroup and certain of its affiliates were named in several class action litigations in various federal District Courts arising out of alleged violations of the federal securities laws, including the Investment Company Act, and common law (including breach of fiduciary duty and unjust enrichment). The claims concern practices in connection with the sale of mutual funds, including allegations involving market timing, revenue sharing, incentive payments for the sale of proprietary funds, undisclosed breakpoint discounts for the sale of certain classes of funds, inappropriate share class recommendations and inappropriate fund investments. The litigations involving market timing have been consolidated under the Multi District rules in the United States District Court for the District of Maryland (the “MDL action”), and the litigations involving revenue sharing, incentive payment and other issues were filed in the United States District Court for the Southern District of New York. The plaintiffs in these litigations generally seek unspecified compensatory damages, recessionary damages, injunctive relief, costs and fees. In the principal cases concerning revenue sharing, incentive payment and other issues, the lead plaintiff filed a consolidated and amended complaint on December 15, 2004. Citigroup defendants’ motion to dismiss the consolidated complaint was substantially granted; a motion to dismiss the remaining claim was filed. Several derivative actions and class actions were also dismissed against Citigroup defendants in the MDL action (the class actions were dismissed with leave to replead state law claims of unjust enrichment). Issues in the mutual-fund industry continue to receive scrutiny by various government regulators and SROs. CGM reached an agreement in principle with the NYSE to settle a matter related to its market-timing practices prior to September 2003.

Several issues in the mutual fund industry have come under the scrutiny of federal and state regulators. Citigroup has received subpoenas and other requests for information from various government regulators regarding market timing, financing, fees, sales practices and other mutual fund issues in connection with various investigations. Citigroup is cooperating with all such reviews. Additionally, CGM has entered into a settlement agreement with the SEC with respect to revenue sharing and sales of classes of funds.

In May 2007, CGM finalized its settlement agreement with the NYSE and the New Jersey Bureau of Securities on the matter related to its market-timing practices prior to September 2003. The allegations included failure to supervise trading of mutual fund shares and variable annuity mutual fund sub-accounts, failure to prevent market-timing by its brokers and failure to comply with applicable recordkeeping requirements. CGM neither admitted nor denied any wrongdoing or liability, and paid $50 million in disgorgement and penalties.

FINRA SETTLEMENTS

On October 12, 2009, FINRA announced its acceptance of an Award Waiver and Consent (“AWC”) in which CGM, without admitting or denying the findings, consented to the entry of the AWC and a fine and censure of $600,000. The AWC includes findings that CGM failed to adequately supervise the activities of its equities trading desk in connection with swap and related hedge trades in U.S. and Italian equities that were designed to provide certain perceived tax advantages. CGM was charged with failing to provide for effective written procedures with respect to the implementation of the trades, failing to monitor Bloomberg messages and failing to properly report certain of the trades to the NASDAQ.

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On May 22, 2012, FINRA announced its acceptance of an AWC in which CGM, without admitting or denying the findings, consented to the entry of the AWC and a fine and censure of $3.5 million. FINRA found that, in connection with several RMBS issued between January 2006 and October 2007 and underwritten by CGM, certain mortgage performance information posted to a website used for the offerings was inaccurate. In addition, FINRA found that certain of CGM’s supervisory and documentation practices with respect to pricing, independent price verification and margin calls were insufficient in 2007. The charges included failure to supervise, failure to observe high standards of commercial honor and just and equitable principles of trade, and books and records violations.

TERRA FIRMA LITIGATION

In December 2009, plaintiffs, general partners of two related private equity funds, filed a complaint in New York state court, subsequently removed to the Southern District of New York, against certain Citigroup affiliates. Plaintiffs allege that during the May 2007 auction of the music company EMI, Citigroup, as advisor to EMI and as a potential lender to plaintiffs’ acquisition vehicle Maltby, fraudulently or negligently orally misrepresented the intentions of another potential bidder regarding the auction. Plaintiffs alleged that, but for the oral misrepresentations, Maltby would not have acquired EMl for approximately £4.2 billion. Plaintiffs further alleged that, following the acquisition of EMI, certain Citigroup entities tortiously interfered with plaintiffs’ business relationship with EMI. Plaintiffs sought billions of dollars in damages. On September 15, 2010, the district court issued an order granting in part and denying in part Citigroup’ s motion for summary judgment. Plaintiffs’ claims for negligent misrepresentation and tortious interference were dismissed. On October 18, 2010, a jury trial commenced on plaintiffs’ remaining claims for fraudulent misrepresentation and fraudulent concealment. The court dismissed the fraudulent concealment claim before sending the case to the jury. On November 4, 2010, the jury returned a verdict on the fraudulent misrepresentation claim in favor of Citigroup. Judgment dismissing the complaint was entered on December 9, 2010. Plaintiffs have appealed the judgment as to the negligent misrepresentation claim, the fraudulent concealment claim and the fraudulent misrepresentation claim.

OTHER MATTERS

Lehman Brothers Bankruptcy Proceedings.On March 18, 2011, Citigroup and certain of its subsidiaries were named as defendants in an adversary proceeding captioned LEHMAN BROTHERS INC. v. CITIBANK, N.A., ET AL. In the complaint, which asserts claims under federal bankruptcy and state law, the Securities Investor Protection Act Trustee alleges that a $1 billion cash deposit that Lehman Brothers Inc. (“LBI”), the broker dealer subsidiary of Lehman Brothers Holdings Inc. (“LBHI”), placed with Citibank prior to the commencement of liquidation proceedings should be returned to the bankruptcy estate, that Citibank’s setoff against the $1 billion deposit to satisfy its claims against LBI should be set aside, and that approximately $342 million in additional deposits by LBI currently held by Citibank and its affiliates should be returned to the estate. Citigroup has moved to dismiss the adversary complaint.

On September 15, 2008, LBHI subsidiary Lehman Brothers International (Europe) (“LBIE”) entered administration under English law. Since that time, Citigroup and certain of its subsidiaries have held as custodians approximately $2 billion of proprietary assets and cash of LBIE. During the course of LBIE’s administration, Citigroup and certain of its subsidiaries asserted a contractual right to retain the proprietary assets and cash as security for amounts owed to Citigroup and certain of its subsidiaries by LBIE and its affiliates (including LBHI and LBI), a right that the administrators for LBIE disputed. On June 28, 2011, Citigroup and certain of its subsidiaries entered into a settlement agreement with LBIE resolving the parties’ disputes with respect to LBIE’s proprietary assets and cash held by Citigroup and certain of its subsidiaries as custodians. Under the terms of the settlement, Citigroup and

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certain of its subsidiaries will return LBIE’s proprietary assets and cash and release all claims in respect of those assets and cash in exchange for releases, the payment of fees, and preservation of certain claims asserted by Citigroup and certain of its subsidiaries in LBIE’s insolvency proceedings in the United Kingdom.

27001 Partnership, et al. v. BT Securities Corp., et al.: In December 2004, 46 individual purchasers of 10-1/2% Senior Subordinated Notes (the “Notes”) issued in 1995 in connection with the leveraged recapitalization of Bruno’s Inc. sued the underwriters of the Notes, including Salomon Brothers, Inc., together with Bruno’s auditors, in Alabama state court. Plaintiffs brought state law claims arising out of, among other things, alleged material misrepresentations and omissions in the Prospectus issued in connection with the offering. The case was filed following the prior dismissal, after years of motion practice, of a lawsuit brought in April 2000 by the investment advisor to these 46 plaintiffs on behalf of its clients, which alleged identical claims against defendants. Plaintiffs allege that they purchased $190 million of the Notes and seek compensatory damages, punitive damages, attorneys’ fees and costs. After the commencement of the case in 2004, the parties engaged in extensive procedural motion practice, which resulted in the dismissal of several defendants on October 14, 2005. On August 25, 2009, 27001 PARTNERSHIP was consolidated with W.R. HUFF ASSET MANAGEMENT CO., LLC v. KOHLBERG KRAVIS ROBERTS & CO., L.P., also pending in the Circuit Court of Jefferson County, Alabama. The circuit court further held that the parties in 27001 PARTNERSHIP are to provide certain discovery materials to the parties in W.R. HUFF ASSET MANAGEMENT, but that the two cases would be tried separately. On September 18, 2009, defendants Salomon Brothers, Inc. and Chemical Securities, Inc. moved for summary judgment. On September 18, 2009, plaintiffs moved for partial summary judgment. In January 2010, prior to trial, the Citigroup subsidiaries and affiliates (the “Citigroup Defendants”) entered into a settlement conditioned on court approval. On March 24, 2010, pursuant to the settlement agreement, the Alabama state court entered an Order of Final Judgment and Dismissal and bar order, dismissing the Citigroup Defendants from the Bruno’s actions with prejudice.

W.R. Huff Asset Management Co., LLC v. Kohlberg Kravis Roberts & Co., L.P.In August 1999, W. R. Huff Asset Management Co., LLC filed this lawsuit (the “KKR Case”) on behalf of its clients who purchased 101/2% Senior Subordinated Notes issued in 1995 in connection with the leveraged recapitalization of Bruno ‘s, Inc. The case was filed in Alabama state court against Robinson Humphrey Co. LLC, which served as financial advisor to Bruno ‘s in connection with the leveraged recapitalization (and which later became a fully owned subsidiary of Salomon Smith Barney) and others. The KKR Case arises out of the same transaction at issue in 27001 PARTNERSHIP, ET AL. v. BT SECURITIES CORP., ET AL. (the “BT Securities Case” described above). The allegations and potential exposure in the KKR Case and BT Securities Case are similar, with plaintiffs seeking compensatory damages, punitive damages, attorneys’ fees, costs and pre-judgment interest in an amount they allege to be between approximately $250 million and $750 million. After years of motion practice over jurisdictional issues, on April 29, 2009, the Court of Appeals for the Eleventh Circuit affirmed the district court’s order allowing Huff to amend its complaint to substitute the same 46 individual noteholders named as plaintiffs in the BT Securities Case as plaintiffs in the KKR Case, resulting in remand of the case to Alabama state court. Defendants’ motion to strike the Fourth Amended Complaint and plaintiffs’ motion to consolidate the BT Securities and KKR Cases are pending. On August 6, 2009, the Circuit Court of Jefferson County, Alabama granted defendant Robinson Humphrey Co. LLC’s motion to strike the Fourth Amended Complaint on statute of limitations grounds, thereby dismissing Robinson Humphrey Co. LLC from the case. On August 25, 2009, the case was consolidated with 27001 PARTNERSHIP for discovery purposes but not for trial. In January 2010, prior to trial, the Citigroup defendants entered into a settlement conditioned on court approval.

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Terra Securities ASA Konkursbo, et al. v. Citigroup Inc., et al. On August 10, 2009, Norwegian securities firm Terra Securities ASA Konkursbo and seven Norwegian municipalities filed a complaint in the United States District Court for the Southern District of New York against Citigroup, CGM and Citigroup Alternative Investments LLC. The complaint asserts, among other things, claims under Sections 10 and 20 of the Securities Exchange Act of 1934 and state law arising out of the municipalities’ investment in certain notes. Plaintiffs allege that, among other things, the municipalities invested in the notes after receiving purportedly false and materially misleading marketing materials that were allegedly prepared by defendants. On October 7, 2009, defendants filed a motion to dismiss.

Tribune Company Bankruptcy. Certain Citigroup entities have been named as defendants in adversary proceedings related to the Chapter 11 cases of Tribune Company (“Tribune”) pending in the U.S. Bankruptcy Court for the District of Delaware. The complaints set forth allegations arising out of the approximately $11 billion leveraged buyout (“LBO”) of Tribune in 2007. With respect to Citigroup, the complaints allege claims relating to Citigroup’s role as lender and advisor to Tribune in connection with the LBO and seek to avoid, recover, subordinate or disallow payments on LBO debt, as well as approximately $57 million in lender and advisory fees received by Citigroup and certain of its subsidiaries in connection with the LBO. The complaints also assert claims of aiding and abetting breaches of fiduciary duty by Tribune management as well as professional malpractice. The complaints have been stayed by court order pending a confirmation hearing on competing plans of reorganization. If confirmed, the plan proposed by the Debtors and others, and supported by Citigroup, would settle all claims relating to Citigroup’s role as lender. On February 11, 2011, Tribune and its debtor subsidiaries announced that most classes of voting creditors overwhelmingly approved the Debtors’ plan. The confirmation hearing before the Bankruptcy Court commenced on March 8, 2011. The parties completed their evidentiary presentations on April 12, 2011. The Bankruptcy Court confirmation hearing concluded on June 27, 2011. On October 31, 2011, the bankruptcy court denied confirmation of both the competing plans. A third amended plan of reorganization was then proposed, and confirmation proceedings are expected to take place in 2012. Certain Citigroup entities have been named as defendants in two actions brought by creditors of Tribune alleging state law constructive fraudulent conveyance claims relating to the Tribune LBO. These actions have been stayed pending confirmation of a plan of reorganization.

Asset Repurchase Matters.Beginning in March 2010, various regulators have made inquiries regarding the accounting treatment of certain repurchase transactions. Citigroup is cooperating fully with these inquiries.

Additionally, beginning in April 2011, a number of purported class actions and other private civil suits were filed in various courts against banks that served on the LIBOR panel and their affiliates, including certain Citigroup subsidiaries. The actions, which assert various federal and state law claims relating to the setting of LIBOR, have been consolidated into a multidistrict litigation proceeding before Judge Buchwald in the Southern District of New York.

In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a 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 CGM. GCM may establish reserves from time to time in connections with such actions. Additional lawsuits containing claims similar to those described above may be filed in the future.

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Item 1A. Risk Factors

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2012.

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

For the three months ended June 30, 2012, there were subscriptions of 8,632.0788 Class A Redeemable Units totaling $12,091,376. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.

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

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

Period	Class A (a) Total Number of Redeemable Units Purchased*		Class A (b) Average Price Paid per Redeemable Unit**		(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
April 1, 2012- April 30, 2012		2,523.3514	$	1,376.92		N/A		N/A
May 1, 2012- May 31, 2012		1,659.6772	$	1,434.22		N/A		N/A
June 1, 2012- June 30, 2012		2,324.4434	$	1,357.44		N/A		N/A
		6,507.4720	$	1,384.58

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

** Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day.

Item 3. Defaults Upon Senior Securities. None.

Item 4. Mine Safety Disclosures. None.

Item 5. Other Information. None.

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Item 6. Exhibits

3.1(a)	Certificate of Limited Partnership dated June 30, 2003 (filed as Exhibit 3.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).
(b)	Certificate of Amendment of the Certificate of Limited Partnership dated September 21, 2005 (filed as Exhibit 3.1(a) to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).
(c)	Certificate of Amendment of the Certificate of Limited Partnership dated September 19, 2008 (filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(d)	Certificate of Amendment of the Certificate of Limited Partnership dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
(e)	Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.1(e) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).
(f)	Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Form 8-K filed on September 7, 2011 and incorporated herein by reference.)
3.2	Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.2 to the Current Report on Form 8-K filed on November 1, 2010 and incorporated herein by reference).
10.1(a)	Management Agreement among the Partnership, the General Partner and Altis (filed as Exhibit 10.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).
(b)	Letter from the General Partner to Altis extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.1(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).
10.2(a)	Management Agreement among the Partnership, the General Partner and Waypoint Capital Management LLC (filed as Exhibit 10.4 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).
(b)	Letter from the General Partner to Waypoint Capital Management LLC extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.3(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).
10.3	Customer Agreement between the Partnership, the General Partner and CGM (filed as Exhibit 10.9 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference).
10.4	Amended and Restated Agency Agreement between the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC (filed as Exhibit 10.8 to the Current Report on Form 8-K filed on August 4, 2010 and incorporated herein by reference).
10.5	Form of Subscription Agreement (filed as Exhibit 10.11 to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).

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10.6	Joinder Agreement among the Partnership, the General Partner, CGM and MSSB (filed as Exhibit 10 to the Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2009 filed on August 14, 2009 and incorporated herein by reference).
10.7(a)	Management Agreement among the Partnership, the General Partner and PGR Capital LLP (filed as Exhibit 10.12 to the Current Report on Form 8-K Filed on November 4, 2010 and incorporated herein by reference).
(b)	Letter from the General Partner to PGR Capital LLP extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).
10.8(a)	Management Agreement among the Partnership, the General Partner and Blackwater Capital Management LLC (filed as Exhibit 10.13 to the Current Report on Form 8-K filed on November 4, 2010 and incorporated herein by reference).
(b)	Letter from the General Partner to Blackwater Capital Management LLC extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).
10.9(a)	Management Agreement among the Partnership, the General Partner and J E Moody & Company LLC (filed as Exhibit 10.14 on Form 8-K filed on January 3, 2011 and incorporated herein by reference)
(b)	Letter from the General Partner to J E Moody & Company LLC extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).
10.10(a)	Management Agreement among the Partnership, the General Partner and Cirrus Capital Management LLC (filed as Exhibit 10.1 on Form 8-K filed on January 3, 2011 and incorporated herein by reference).
(b)	Letter from the General Partner to Cirrus Capital Management LLC extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).
10.11(a)	Management Agreement among the Partnership, the General Partner and Flintlock Capital Asset Management, LLC (filed as Exhibit 10.16 on Form 8-K filed on December 1, 2010 and incorporated herein by reference).
(b)	Letter from the General Partner to Flintlock Capital Asset Management LLC extending the Management Agreement from June 30, 2011 to June 30, 2012 (filed as Exhibit 10.7(b) on Form 10-K filed on March 30, 2012 and incorporated herein by reference).
10.12	Management Agreement among the Partnership, the General Partner and Willowbridge Associates Inc. (filed as Exhibit 10.17 to the Current Report on Form 8-K filed on June 2, 2011 and incorporated herein by reference).

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

31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)

32.1 — Section 1350 Certification (Certification of President and Director)

32.2 — Section 1350 Certification (Certification of Chief Financial Officer)

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.

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SIGNATURES

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

EMERGING CTA PORTFOLIO L.P.
By:	Ceres Managed Futures LLC
	(General Partner)

By:	/s/  Walter Davis
	Walter Davis President and Director

Date: August 14, 2012

By:	/s/  Damian George
	Damian George Chief Financial Officer (Principal Accounting Officer)

Date: August 14, 2012

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