Emerging Cta Portfolio 10-Q 2020 Q3 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 September 30, 2020

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                        to                         

Commission File Number 0-53211

EMERGING CTA PORTFOLIO L.P.

(Exact name of registrant as specified in its charter)

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

c/o Ceres Managed Futures LLC

522 Fifth Avenue

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(Registrant’s telephone number, including area code)

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

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

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

Yes X    No  

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

Yes X    No  

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

Large accelerated filer                         Accelerated filer                                     Non-accelerated filer X

Smaller reporting company                 Emerging growth company     

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.__

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

Yes        No X

As of October 31, 2020, 13,204.8370 Limited Partnership Class A Redeemable Units were outstanding and 21.2650 Limited Partnership Class Z Redeemable Units were outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Emerging CTA Portfolio L.P.

Statements of Financial Condition

	September 30, 2020 (Unaudited)		December 31, 2019
Assets:
Equity in trading account:
Unrestricted cash	$	12,436,102	$	18,613,692
Restricted cash		3,009,053		4,003,185
Net unrealized appreciation on open futures contracts		484,410		291,121
Total equity in trading account		15,929,565		22,907,998
Interest receivable		908		25,265
Total assets	$	15,930,473	$	22,933,263
Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Ongoing selling agent fees	$	13,043	$	37,737
Management fees		11,120		21,068
General Partner fees		11,477		18,927
Incentive fees		74,665		-
Professional fees		190,183		220,648
Redemptions payable to Limited Partners		738,171		730,708
Total liabilities		1,038,659		1,029,088
Partners’ Capital:
General Partner, Class Z, 269.6640 Redeemable Units outstanding at September 30, 2020 and December 31, 2019		254,111		266,934
Limited Partners, Class A, 13,417.0520 and 18,649.8510 Redeemable Units outstanding at September 30, 2020 and December 31, 2019, respectively		14,617,664		21,616,191
Limited Partners, Class Z, 21.2650 Redeemable Units outstanding at September 30, 2020 and December 31, 2019		20,039		21,050
Total partners’ capital (net asset value)		14,891,814		21,904,175
Total liabilities and partners’ capital	$	15,930,473	$	22,933,263
Net asset value per Redeemable Unit:
Class A	$	1,089.48	$	1,159.05
Class Z	$	942.33	$	989.88

See accompanying notes to financial statements.

1

Emerging CTA Portfolio L.P.

Condensed Schedule of Investments

September 30, 2020

(Unaudited)

	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		53	$	(932	)		(0.01	)%
Energy		132		6,333			0.04
Grains		182		366,997			2.47
Indices		86		93,144			0.63
Interest Rates U.S.		283		32,797			0.22
Interest Rates Non-U.S.		267		73,350			0.49
Metals		6		(10,263	)		(0.07	)
Softs		4		(8,566	)		(0.06	)
Total futures contracts purchased				552,860			3.71
Futures Contracts Sold
Currencies		130		66,294			0.45
Energy		163		150,930			1.01
Grains		73		(382,712	)		(2.57	)
Indices		79		145,213			0.98
Interest Rates Non-U.S.		108		(38,068	)		(0.26	)
Metals		13		(10,107	)		(0.07	)
Total futures contracts sold				(68,450	)		(0.46	)
Net unrealized appreciation on open futures contracts			$	484,410			3.25	%

See accompanying notes to financial statements.

2

Emerging CTA Portfolio L.P.

Condensed Schedule of Investments

December 31, 2019

	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		461	$	421,729			1.93	%
Energy		65		74,304			0.34
Grains		151		99,037			0.45
Indices		372		(139,542	)		(0.64	)
Interest Rates U.S.		243		7,555			0.03
Interest Rates Non-U.S.		353		(151,351	)		(0.69	)
Livestock		18		(2,085	)		(0.01	)
Metals		60		72,176			0.33
Softs		162		208,407			0.95
Total futures contracts purchased				590,230			2.69
Futures Contracts Sold
Currencies		53		(43,925	)		(0.20	)
Energy		84		(174,259	)		(0.80	)
Grains		51		(43,825	)		(0.20	)
Indices		249		3,481			0.02
Interest Rates U.S.		2		375			0.00	*
Interest Rates Non-U.S.		159		84,242			0.39
Livestock		11		(12,300	)		(0.06	)
Metals		3		(441	)		(0.00	)*
Softs		38		(112,457	)		(0.51	)
Total futures contracts sold				(299,109	)		(1.36	)
Net unrealized appreciation on open futures contracts			$	291,121			1.33	%

* Due to rounding.

See accompanying notes to financial statements.

3

Emerging CTA Portfolio L.P.

Statements of Income and Expenses

(Unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2020			2019			2020			2019
Investment Income:
Interest income	$	3,103		$	110,267		$	59,482		$	298,782
Interest income allocated from the Funds		-			-			-			78,975
Total investment income		3,103			110,267			59,482			377,757
Expenses:
Expenses allocated from the Funds		-			-			-			85,308
Clearing fees related to direct investments		18,200			58,684			95,915			142,963
Ongoing selling agent fees		40,603			123,467			238,362			395,902
Management fees		34,750			69,560			123,425			224,697
General Partner fees		35,701			62,055			134,908			199,430
Incentive fees		74,413			-			74,664			(48,436	)
Professional fees		29,836			74,916			100,399			244,202
Total expenses		233,503			388,682			767,673			1,244,066
Net investment loss		(230,400	)		(278,415	)		(708,191	)		(866,309	)
Trading Results:
Net gains (losses) on trading of commodity interests and investment in the Funds:
Net realized gains (losses) on closed contracts		370,352			787,650			(863,623	)		711,997
Net realized gains (losses) on closed contracts allocated from the Funds		-			-			-			197,738
Net change in unrealized gains (losses) on open contracts		516,347			(348,120	)		189,281			56,876
Net change in unrealized gains (losses) on open contracts allocated from the Funds		-			-			-			47,655
Total trading results		886,699			439,530			(674,342	)		1,014,266
Net income (loss)	$	656,299		$	161,115		$	(1,382,533	)	$	147,957
Net income (loss) per Redeemable Unit*:
Class A	$	44.82		$	7.47		$	(69.57	)	$	9.62
Class Z	$	41.06		$	11.28		$	(47.55	)	$	22.89
Weighted average Redeemable Units outstanding:
Class A		15,020.1087			21,095.0010			16,800.7386			22,786.2310
Class Z		290.9290			290.9290			290.9290			352.3937

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

See accompanying notes to financial statements.

4

Emerging CTA Portfolio L.P.

Statements of Changes in Partners’ Capital

For the Three and Nine Months Ended September 30, 2020 and 2019

(Unaudited)

	Class A						Class Z						Total
	Amount			Redeemable Units			Amount			Redeemable Units			Amount			Redeemable Units
Partners’ Capital, December 31, 2018	$	29,455,757			25,573.0000		$	402,916			417.9500		$	29,858,673			25,990.9500
Redemptions - General Partner		-			-			(121,996	)		(127.0210	)		(121,996	)		(127.0210	)
Redemptions - Limited Partners		(5,924,238	)		(5,190.4710	)		-			-			(5,924,238	)		(5,190.4710	)
Net income (loss)		141,754			-			6,203			-			147,957			-
Partners’ Capital, September 30, 2019	$	23,673,273			20,382.5290		$	287,123			290.9290		$	23,960,396			20,673.4580
Partners’ Capital, June 30, 2019	$	24,735,125			21,434.5300		$	283,842			290.9290		$	25,018,967			21,725.4590
Redemptions - Limited Partners		(1,219,686	)		(1,052.0010	)		-			-			(1,219,686	)		(1,052.0010	)
Net income (loss)		157,834			-			3,281			-			161,115			-
Partners’ Capital, September 30, 2019	$	23,673,273			20,382.5290		$	287,123			290.9290		$	23,960,396			20,673.4580
	Class A						Class Z						Total
	Amount			Redeemable Units			Amount			Redeemable Units			Amount			Redeemable Units
Partners’ Capital, December 31, 2019	$	21,616,191			18,649.8510		$	287,984			290.9290		$	21,904,175			18,940.7800
Redemptions - Limited Partners		(5,629,828	)		(5,232.7990	)		-			-			(5,629,828	)		(5,232.7990	)
Net income (loss)		(1,368,699	)		-			(13,834	)		-			(1,382,533	)		-
Partners’ Capital, September 30, 2020	$	14,617,664			13,417.0520		$	274,150			290.9290		$	14,891,814			13,707.9810
Partners’ Capital, June 30, 2020	$	16,534,877			15,827.9510		$	262,205			290.9290		$	16,797,082			16,118.8800
Redemptions - Limited Partners		(2,561,567	)		(2,410.8990	)		-			-			(2,561,567	)		(2,410.8990	)
Net income (loss)		644,354			-			11,945			-			656,299			-
Partners’ Capital, September 30, 2020	$	14,617,664			13,417.0520		$	274,150			290.9290		$	14,891,814			13,707.9810

See accompanying notes to financial statements.

5

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

1. Organization:

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

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

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership and prior to their respective terminations, acted as the general partner of SECOR Master (as defined below) and the trading manager (the “Trading Manager”) of AE Capital Master (as defined below) and Harbour Square Master (as defined below), respectively. The General Partner is a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses.

During the reporting periods ended September 30, 2020 and 2019, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward contract counterparty for SECOR Master.

As of September 1, 2011, the Partnership began offering three classes of limited partnership interests: Class A Redeemable Units, Class D Redeemable Units and Class Z Redeemable Units; each of which will be referred to as a “Class” and collectively referred to as the “Classes.” All Redeemable Units issued prior to September 1, 2011 were deemed “Class A Redeemable Units.” The rights, liabilities, risks, and fees associated with investment in the Class A Redeemable Units were not changed. Class A Redeemable Units and Class D Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions and non-U.S. investors. Class Z Redeemable Units are offered to certain employees of Morgan Stanley and its subsidiaries (and their family members). The Class of Redeemable Units that a limited partner of the Partnership receives upon subscription will generally depend upon the amount invested in the Partnership or the status of the limited partner, although the General Partner may determine to offer a particular Class of Redeemable Units to investors at its discretion. Class Z Redeemable Units were first issued on July 1, 2017. As of September 30, 2020, there were no Redeemable Units outstanding in Class D.

All trading decisions are made for the Partnership by its trading advisors (each, an “Advisor” and together, the “Advisors”). As of September 30, 2020, the Advisors are Katonah Capital Partners Management, LLC (“Katonah”) and DCM Systematic Advisors SA (“DCM”). Effective March 31, 2020, Independent View BV (“Independent View”) ceased to act as a commodity trading advisor to the Partnership. Effective June 30, 2019, SECOR Capital Advisors, LP (“SECOR”) ceased to act as a commodity trading advisor to the Partnership. Effective April 3, 2019, AE Capital PTY Limited (“AE Capital”) ceased to act as a commodity trading advisor to the Partnership. Effective March 31, 2019, Harbour Square Capital Management LLC (“Harbour Square”) ceased to act as a commodity trading advisor to the Partnership. References herein to the “Advisors” may also include, as relevant, references to SECOR, AE Capital, Harbour Square and Independent View. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of Katonah and DCM directly through individually managed accounts. In prior periods, the Partnership also invested the portion of its assets allocated to each of the other Advisors either directly, through individually managed accounts, or indirectly, through investments in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional non-major trading advisors (i.e. commodity trading advisors allocated less than 10% of the Partnership’s assets). Information about advisors allocated less than 10% of the Partnership’s assets may not be disclosed. The General Partner may also allocate less than 10% of the Partnership’s assets to a new trading advisor or another trading program of a current Advisor. The Advisors are not affiliated with one another, are not affiliated with the General Partner, MS&Co. or JPMorgan, and are not responsible for the organization or operation of the Partnership.

6

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

On November 1, 2018, the Partnership allocated a portion of its assets to Katonah, which trades the assets directly pursuant to Katonah’s Laplace Program through a managed account in the Partnership’s name. The General Partner and Katonah have agreed that Katonah will trade the Partnership’s assets allocated to Katonah at a level that is up to 1.5 times the amount of the assets allocated.

On June 4, 2020, the Partnership allocated a portion of its assets to DCM, which trades the assets pursuant to DCM’s Diversified Alpha Program through a managed account in the Partnership’s name. The General Partner and DCM have agreed that DCM will trade the Partnership’s assets allocated to DCM at a level that is 2.0 times the amount of the assets allocated.

Prior to Independent View’s termination effective March 31, 2020, the assets allocated to it had been traded directly pursuant to its IV Quantitative Futures Fund Program through a managed account in the Partnership’s name.

The Partnership has, and (prior to their respective terminations), SECOR Master Fund L.P. (“SECOR Master”) and CMF AE Capital Master Fund LLC (“AE Capital Master”) had, entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. Prior to its termination, CMF Harbour Square Master Fund LLC (“Harbour Square Master”) had entered into a futures brokerage account agreement with MS&Co. References herein to “Funds” may include as relevant, reference to, AE Capital Master, Harbour Square Master and SECOR Master. The Partnership pays, and through its investment in the Funds, paid, MS&Co. (or will reimburse MS&Co. if previously paid) its allocable share of all trading fees for the clearing and, where applicable, execution of transactions as well as exchange, user, give-up, floor brokerage and National Futures Association fees (collectively, “clearing fees”).

Effective July 12, 2017 and until its termination effective June 30, 2019, SECOR Master entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of SECOR Master and indirectly, the Partnership. These agreements included a foreign exchange and bullion authorization agreement (“FX Agreement”), an International Swap Dealers Association, Inc. master agreement (“Master Agreement”), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. In addition, SECOR was party to the FX Agreement for SECOR Master. Under the FX Agreement, JPMorgan charged a fee on the aggregate foreign currency transactions entered into on behalf of SECOR Master during a month.

The Partnership has entered into a selling agreement with Morgan Stanley Smith Barney LLC, doing business as Morgan Stanley Wealth Management (“Morgan Stanley Wealth Management”) (the “Selling Agreement”). Under the Selling Agreement, during the period covered by this report, the Partnership paid Morgan Stanley Wealth Management a monthly ongoing selling agent fee. Effective July 1, 2020, the ongoing selling agent fee the Partnership paid to Morgan Stanley Wealth Management was reduced for Class A Redeemable Unit holders from an annual rate of 2.00% of the adjusted net assets of Class A Redeemable Units to an annual rate of 1.00% of the adjusted net assets of Class A Redeemable Units. Under the Selling Agreement, the Partnership also pays Morgan Stanley Wealth Management 0.75% per year of adjusted month-end net assets for Class D Redeemable Units. Morgan Stanley Wealth Management pays a portion of its ongoing selling agent fees to properly registered or exempted financial advisors who have sold Class A Redeemable Units and Class D Redeemable Units. Class Z Redeemable Units are not subject to an ongoing selling agent fee.

Effective July 1, 2020, the monthly General Partner fee was reduced for all limited partners from an annual rate of 1.00% of month-end adjusted net assets per Class to an annual rate of 0.875% of month-end adjusted net assets per Class.

The General Partner has delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.

2. Basis of Presentation and Summary of Significant Accounting Policies:

The financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at September 30, 2020 and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2020 and 2019. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2019. The December 31, 2019 information has been derived from the audited financial statements as of and for the year ended December 31, 2019.

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

(Unaudited)

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

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

Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.” The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended September 30, 2020 and 2019, the Partnership carried no debt and all of the Partnership’s and the Funds’ investments were carried at fair value and classified as Level 1 or Level 2 measurements.

Partnership’s Investment in the Funds. The Partnership carried its investment in the Funds based on the Partnership’s (1) net contribution to the Funds and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of the Funds.

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

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

Partnership’s Cash. The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At September 30, 2020 and December 31, 2019, the amount of cash held for margin requirements was $3,009,053 and $4,003,185, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $(134,222) (proceeds of $129,462) and $233,300 (cost of $234,052) as of September 30, 2020 and December 31, 2019, respectively.

Income Taxes. Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740, “Income Taxes,” which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the more-likely-than-not threshold would be recorded as a tax benefit or liability in the Partnership’s Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Statements of Income and Expenses in the period in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2016 through 2019 tax years remain subject to examination by U.S. federal and most state tax authorities.

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

8

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

Net Income (Loss) Per Redeemable Unit. Net income (loss) per Redeemable Unit is calculated in accordance with ASC 946, “Financial Services – Investment Companies.” See Note 3, “Financial Highlights.”

There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2019.

3. Financial Highlights:

Financial highlights for the limited partner Classes as a whole for the three and nine months ended September 30, 2020 and 2019 were as follows:

	Three Months Ended September 30,												Nine Months Ended September 30,
	2020						2019						2020						2019
	Class A			Class Z			Class A			Class Z			Class A			Class Z			Class A			Class Z
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	59.95		$	52.02		$	20.58		$	17.43		$	(27.84	)	$	(23.25	)	$	47.37		$	40.20
Net investment loss		(15.13	)		(10.96	)		(13.11	)		(6.15	)		(41.73	)		(24.30	)		(37.75	)		(17.31	)
Increase (decrease) for the period		44.82			41.06			7.47			11.28			(69.57	)		(47.55	)		9.62			22.89
Net asset value per Redeemable Unit, beginning of period		1,044.66			901.27			1,153.98			975.64			1,159.05			989.88			1,151.83			964.03
Net asset value per Redeemable Unit, end of period	$	1,089.48		$	942.33		$	1,161.45		$	986.92		$	1,089.48		$	942.33		$	1,161.45		$	986.92
	Three Months Ended September 30,												Nine Months Ended September 30,
	2020						2019						2020						2019
	Class A			Class Z			Class A			Class Z			Class A			Class Z			Class A			Class Z
Ratios to Average Limited Partners’ Capital:**
Net investment loss***		(4.5	)%		(3.3	)%		(4.5	)%		(2.5	)%		(5.0	)%		(3.3	)%		(4.5	)%		(2.4	)%
Operating expenses		4.0	%		2.9	%		6.3	%		4.3	%		5.1	%		3.2	%		6.6	%		4.5	%
Incentive fees		0.5	%		0.5	%		-	%		-	%		0.4	%		0.5	%		(0.2	)%		(0.2	)%
Total expenses		4.5	%		3.4	%		6.3	%		4.3	%		5.5	%		3.7	%		6.4	%		4.3	%
Total return:
Total return before incentive fees		4.8	%		5.0	%		0.6	%		1.2	%		(5.6	)%		(4.4	)%		0.7	%		2.2	%
Incentive fees		(0.5	)%		(0.4	)%		-	%		-	%		(0.4	)%		(0.4	)%		0.1	%		0.2	%
Total return after incentive fees		4.3	%		4.6	%		0.6	%		1.2	%		(6.0	)%		(4.8	)%		0.8	%		2.4	%

* Net investment loss per Redeemable Unit is calculated by dividing the interest income less total expenses by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.

** Annualized (except for incentive fees).

*** Interest income less total expenses.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class for the Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Funds.

9

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

4. Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses. Prior to June 30, 2019, the Partnership also invested its assets through a “master/feeder” structure. The Partnership’s pro-rata share of the results of the Funds’ trading activities are shown in the Statements of Income and Expenses.

The futures brokerage account agreements with MS&Co. give the Partnership and gave the Funds, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts in their respective Statements of Financial Condition. The Partnership nets and the Funds netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts in their respective Statements of Financial Condition, as the criteria under ASC 210-20, “Balance Sheet,” have been met.

All of the commodity interests owned by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds were held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended September 30, 2020 and 2019 was 1,553 and 2,508, respectively. The monthly average number of futures contracts traded directly by the Partnership during the nine months ended September 30, 2020 and 2019 was 1,299 and 2,241, respectively.

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

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

10

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting agreements or similar arrangements as of September 30, 2020 and December 31, 2019, respectively.

September 30, 2020	Gross Amounts Recognized			Gross Amounts Offset in the Statements of Financial Condition			Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
									Financial Instruments		Cash Collateral Received/ Pledged*
Assets
Futures	$	1,164,394		$	(679,984	)	$	484,410	$	-	$	-	$	484,410
Total assets	$	1,164,394		$	(679,984	)	$	484,410	$	-	$	-	$	484,410
Liabilities
Futures	$	(679,984	)	$	679,984		$	-	$	-	$	-	$	-
Total liabilities	$	(679,984	)	$	679,984		$	-	$	-	$	-	$	-
Net fair value													$	484,410	*
December 31, 2019	Gross Amounts Recognized			Gross Amounts Offset in the Statements of Financial Condition			Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
									Financial Instruments		Cash Collateral Received/ Pledged*
Assets
Futures	$	1,147,042		$	(855,921	)	$	291,121	$	-	$	-	$	291,121
Total assets	$	1,147,042		$	(855,921	)	$	291,121	$	-	$	-	$	291,121
Liabilities
Futures	$	(855,921	)	$	855,921		$	-	$	-	$	-	$	-
Total liabilities	$	(855,921	)	$	855,921		$	-	$	-	$	-	$	-
Net fair value													$	291,121	*

*    In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization.

11

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

The following tables indicate the gross fair values of derivative instruments of futures contracts held directly by the Partnership as separate assets and liabilities as of September 30, 2020 and December 31, 2019, respectively.

Assets	September 30, 2020
Futures Contracts
Currencies	$	102,334
Energy		247,271
Grains		367,021
Indices		297,350
Interest Rates U.S.		33,515
Interest Rates Non-U.S.		86,906
Metals		29,762
Softs		235
Total unrealized appreciation on open futures contracts		1,164,394
Liabilities
Futures Contracts
Currencies		(36,972	)
Energy		(90,008	)
Grains		(382,736	)
Indices		(58,993	)
Interest Rates U.S.		(718	)
Interest Rates Non-U.S.		(51,624	)
Metals		(50,132	)
Softs		(8,801	)
Total unrealized depreciation on open futures contracts		(679,984	)
Net unrealized appreciation on open futures contracts	$	484,410	*

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

12

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

Assets	December 31, 2019
Futures Contracts
Currencies	$	426,287
Energy		93,445
Grains		108,711
Indices		67,499
Interest Rates U.S.		32,868
Interest Rates Non-U.S.		94,991
Livestock		2,930
Metals		82,332
Softs		237,979
Total unrealized appreciation on open futures contracts		1,147,042
Liabilities
Futures Contracts
Currencies		(48,483	)
Energy		(193,400	)
Grains		(53,499	)
Indices		(203,560	)
Interest Rates U.S.		(24,938	)
Interest Rates Non-U.S.		(162,100	)
Livestock		(17,315	)
Metals		(10,597	)
Softs		(142,029	)
Total unrealized depreciation on open futures contracts		(855,921	)
Net unrealized appreciation on open futures contracts	$	291,121	*

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

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and nine months ended September 30, 2020 and 2019, respectively.

	Three Months Ended September 30,						Nine Months Ended September 30,
Sector	2020			2019			2020			2019
Currencies	$	379,809		$	(915,087	)	$	(532,945	)	$	(772,203	)
Energy		17,849			175,781			236,561			(78,964	)
Grains		(126,933	)		(73,697	)		(284,841	)		(553,595	)
Indices		319,115			345,243			(1,575,999	)		(38,089	)
Interest Rates U.S.		48,746			474,420			1,420,244			1,433,600
Interest Rates Non-U.S.		71,311			(108,602	)		395,508			291,762
Livestock		-			2,982			(138,937	)		(74,398	)
Metals		191,324			516,133			(41,283	)		747,131
Softs		(14,522	)		22,357			(152,650	)		(186,371	)
Total	$	886,699	**	$	439,530	**	$	(674,342	)**	$	768,873	**

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

13

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

5. Fair Value Measurements:

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

The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs the spot prices, interest rates, and option implied volatilities quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period. U.S. Treasury bills are valued at the last available bid price received from independent pricing services as of the close of the last business day of the reporting period.

The Partnership considers, and the Funds considered, prices for commodity futures, swap and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain option contracts for which market quotations are not readily available are priced by pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of September 30, 2020 and December 31, 2019 and for the periods ended September 30, 2020 and 2019, the Partnership 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).

September 30, 2020	Total		Level 1		Level 2		Level 3
Assets
Futures	$	1,164,394	$	1,164,394	$	-	$	-
Total assets	$	1,164,394	$	1,164,394	$	-	$	-
Liabilities
Futures	$	679,984	$	679,984	$	-	$	-
Total liabilities	$	679,984	$	679,984	$	-	$	-
December 31, 2019	Total		Level 1		Level 2		Level 3
Assets
Futures	$	1,147,042	$	1,147,042	$	-	$	-
Total assets	$	1,147,042	$	1,147,042	$	-	$	-
Liabilities
Futures	$	855,921	$	855,921	$	-	$	-
Total liabilities	$	855,921	$	855,921	$	-	$	-

14

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

6. Investment in the Funds:

On August 1, 2013, the assets allocated to SECOR for trading were invested in SECOR Master, a limited partnership organized under the partnership laws of the State of Delaware. SECOR Master permitted accounts managed by SECOR using a variation of the program traded by SECOR Alpha Master Fund L.P., a proprietary, systematic trading program, to invest together in one trading vehicle. Effective June 30, 2019, the Partnership fully redeemed its investment in SECOR Master.

On February 1, 2017, the Partnership allocated a portion of its assets to AE Capital, which were managed and traded directly by AE Capital pursuant to AE Capital’s AE Systematic FX Fund Program through a trading account in the Partnership’s name from March 1, 2017 until January 31, 2018. Effective February 1, 2018, the assets allocated to AE Capital were transferred into AE Capital Master, a limited liability company organized under the limited liability company laws of the State of Delaware, through which they were managed and traded by AE Capital pursuant to the same strategy until AE Capital’s termination effective April 3, 2019. For the interim period from April 4, 2019 through April 30, 2019, the Partnership’s assets previously allocated to AE Capital were not charged a management fee and was credited with interest income at a rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. Effective April 30, 2019, the Partnership fully redeemed its investment in AE Capital Master.

On August 1, 2016, the Partnership allocated a portion of its assets to Harbour Square, which until December 31, 2017 were managed and traded directly by Harbour Square pursuant to Harbour Square’s Discretionary Energy Program through a trading account in the Partnership’s name. Effective January 1, 2018, the assets allocated to Harbour Square were transferred into Harbour Square Master, a limited liability company organized under the limited liability company laws of the State of Delaware, through which they were managed and traded by Harbour Square pursuant to the same strategy until Harbour Square’s termination effective March 31, 2019. Effective March 31, 2019, the Partnership fully redeemed its investment in Harbour Square Master.

The General Partner is not aware of any other material changes to any of the trading programs discussed above or in Note 1, “Organization” during the fiscal quarter ended September 30, 2020.

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

Generally, a limited partner/member in the Funds could have withdrawn all or part of its capital contribution and undistributed profits, if any, from the Funds as of the end of any month (the “Redemption Date”) after a request had been made to the General Partner/Trading Manager at least three days in advance of the Redemption Date. Such withdrawals were classified as a liability when the limited partner/member elected to redeem and informed the Funds. However, a limited partner/member could have requested a withdrawal as of the end of any day if such request was received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day.

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

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

	For the nine months ended September 30, 2019
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
SECOR Master (a)	$	(84,266	)	$	2,719,987		$	2,635,721
Harbour Square Master (b)		(14,678	)		160,848			146,170
AE Capital Master (c)		71,739			(890,810	)		(819,071	)

(a) From January 1, 2019 through June 30, 2019, the date SECOR Master terminated operations.

(b) From January 1, 2019 through March 31, 2019, the date Harbour Square Master terminated operations.

(c) From January 1, 2019 through April 30, 2019, the date AE Capital Master terminated operations.

15

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

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

	December 31, 2019					For the nine months ended September 30, 2019
Funds	% of Partners’ Capital			Fair Value		Income (Loss)			Expenses				Net Income (Loss)			Investment Objective	Redemptions Permitted
									Clearing Fees		Professional Fees
SECOR Master (a)		-	%	$	-	$	352,502		$	56,216	$	4,201	$	292,085		Commodity Portfolio	Monthly
Harbour Square Master (b)		-	%		-		56,578			3,271		11,879		41,428		Commodity Portfolio	Monthly
AE Capital Master (c)		-	%		-		(84,712	)		5,155		4,586		(94,453	)	Commodity Portfolio	Monthly
Total				$	-	$	324,368		$	64,642	$	20,666	$	239,060

(a) From January 1, 2019 through June 30, 2019, the date the Partnership fully redeemed its investment in SECOR Master.

(b) From January 1, 2019 through March 31, 2019, the date the Partnership fully redeemed its investment in Harbour Square Master.

(c) From January 1, 2019 through April 30, 2019, the date the Partnership fully redeemed its investment in AE Capital Master.

7. Financial Instrument Risks:

In the normal course of business, the Partnership is and the Funds were parties to financial instruments with off-balance-sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include futures, forwards, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, swap and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. None of the Partnership’s contracts are, and none of the Funds’ (except a portion of SECOR Master’s) contracts were, traded OTC, although contracts may be traded OTC in the future.

Futures Contracts. The Partnership trades and the Funds traded 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 (prior to the Partnership’s redemption from the Funds) the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are (or were with respect to the Funds) recorded as unrealized gains or losses by the Partnership and the Funds. When the contract is closed, the Partnership records and the Funds recorded a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Partnership’s/Funds’ Statements of Income and Expenses.

16

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

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

London Metal Exchange Forward Contracts. Metal contracts traded on the London Metal Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin, zinc or other metals. LME contracts traded by the Partnership/Funds are (or were with respect to the Funds) cash settled based on prompt dates published by the LME. Variation margin may be made or received by the Partnership and may have been made or received by the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are (or were with respect to the Funds) 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 records and the Funds recorded a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included in the Partnership’s/Funds’ Statements of Income and Expenses.

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

As both a buyer and seller of options, the Partnership pays or receives (and the Funds paid or received) 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 does not and the Funds did not consider these contracts to be guarantees.

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

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of counterparty default is (or was with respect to the Funds) typically limited to the amounts recognized in the Statements of Financial Condition and is (was) not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is (or was with respect to the Funds) reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership and permitted the Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership has and the Funds had credit risk and concentration risk, as MS&Co. or an MS&Co. affiliate are (or were with respect to the Funds) counterparties or brokers with respect to the Partnership’s/Funds’ assets. For certain OTC contracts traded by SECOR Master prior to its full redemption, JPMorgan was the counterparty with respect to those assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.

17

Emerging CTA Portfolio L.P.

Notes to Financial Statements

(Unaudited)

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

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

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

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

8. Subsequent Events:

The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements.

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

Liquidity and Capital Resources

The Partnership does not have, nor does it expect to have, any capital assets. The Partnership does not engage in sales of goods or services. Its assets are its (i) equity in trading account, consisting of unrestricted cash, restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, options purchased at fair value and investment in U.S. Treasury bills at fair value, if applicable and (ii) 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 may have resulted in substantial losses to the Partnership through its investment in the Funds. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the third quarter of 2020.

The Partnership’s/Funds’ investment in futures, forwards and options may or could have been, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or option contract has increased or decreased by an amount equal to the daily limit, positions in that futures or option contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Partnership and/or prevented the Funds from promptly liquidating their futures or option contracts and result in restrictions on redemptions.

There is no limitation on daily price movements in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership and/or prevented the Funds from trading in potentially profitable markets or prevent the Partnership and/or prevented the Funds from promptly liquidating unfavorable positions in such markets, subjecting them to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership’s or the Funds’ assets.

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

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

For the nine months ended September 30, 2020, Partnership capital decreased 32.0% from $21,904,175 to $14,891,814. This decrease was attributable to redemptions of 5,232.7990 Class A limited partner Redeemable Units totaling $5,629,828 and a net loss of $1,382,533. Future redemptions can impact the amount of funds available for investment in subsequent periods.

Other than as discussed above, there are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnership’s capital resource arrangements at the present time.

Off-Balance Sheet Arrangements and Contractual Obligations

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

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting periods. The General Partner believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 2, “Basis of Presentation and Summary of Significant Accounting Policies,” of the Financial Statements.

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

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Results of Operations

During the Partnership’s third quarter of 2020, the net asset value per Class A Redeemable Unit increased 4.3% from $1,044.66 to $1,089.48, as compared to an increase of 0.6% in the third quarter of 2019. During the Partnership’s third quarter of 2020 the net asset value per Class Z Redeemable Unit increased 4.6% from $901.27 to $942.33, as compared to an increase of 1.2% in the third quarter of 2019. The Partnership experienced a net trading gain before fees and expenses in the third quarter of 2020 of $886,699. Gains were primarily attributable to the Partnership’s trading of commodity futures in currencies, energy, indices, U.S. and non-U.S. interest rates and metals and were partially offset by losses in grains and softs. The Partnership experienced a net trading gain before fees and expenses in the third quarter of 2019 of $439,530. Gains were primarily attributable to the Partnership’s trading of commodity futures in energy, indices, U.S. interest rates, livestock, metals and softs and were partially offset by losses in currencies, grains and non-U.S. interest rates.

The Partnership’s most notable gains during the quarter were recorded within the currency sector during July from long positions in the euro, New Zealand dollar, and Canadian dollar versus the U.S. dollar as the relative value of the U.S. currency decreased amid weak economic data. Additional currency gains were achieved during September from short positions in the Australian dollar versus the U.S. dollar as the value of the U.S. dollar strengthened as investors became more risk averse. Gains in the global stock index sector were achieved from tactical relative-value positioning in U.S. volatility index futures as volatility in U.S. equity indices fluctuated amid numerous geopolitical events. Gains within the metals complex were recorded during July from long positions in precious metals as prices were buoyed by safe-haven demand. Within the global interest rate sector, gains were achieved primarily during September from long positions in U.S. and Australian fixed income futures as growing uncertainty over the strength of the global economy pushed investor demand for safe-haven assets. Gains in the energy sector were experienced during September from short positions in Brent crude oil futures as prices declined amid speculation of falling global energy demand. The Partnership’s overall trading gains for the quarter were partially offset by trading losses in the agricultural markets during July and September from short futures positions in soybean products as prices rose amid increased demand from China.

During the Partnership’s nine months ended September 30, 2020, the net asset value per Class A Redeemable Unit decreased 6.0% from $1,159.05 to $1,089.48 as compared to an increase of 0.8% in the nine months ended September 30, 2019. During the Partnership’s nine months ended September 30, 2020, the net asset value per Class Z Redeemable Unit decreased 4.8% from $989.88 to $942.33, as compared to an increase of 2.4% in the nine months ended September 30, 2019. The Partnership experienced a net trading loss before fees and expenses in the nine months ended September 30, 2020 of $674,342. Losses were primarily attributable to the Partnership’s trading of commodity futures in currencies, grains, indices, livestock, metals and softs and were partially offset by gains in energy and U.S. and non-U.S. interest rates. The Partnership experienced a net trading gain before fees and expenses in the nine months ended September 30, 2019 of $1,014,266. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in indices, U.S. and non-U.S. interest rates and metals and were partially offset by losses in currencies, energy, grains, livestock and softs.

The Partnership’s most significant losses during the first three quarters of the year were incurred throughout the second quarter from short U.S. and European equity index futures positions as prices increased following positive sentiment attributed to easing quarantine restrictions and a pickup in economic activity. Further losses in this sector were recorded from long positions in European and U.S. equity index futures during January. Losses within the agriculturals were experienced during January through March from long positions in soybean futures as prices fell. Further losses in this sector were experienced during the first quarter from long positions in livestock futures as prices decreased on the expectations of limited demand. During July and September, additional losses in this sector were recorded from short futures positions in soybean products as prices rose amid increased demand from China. In the currency sector, losses were recorded primarily during the first quarter from long positions in the Australian and New Zealand dollar versus the U.S. dollar as investors shifted from commodity-linked currencies to safe-haven currencies. Smaller losses were incurred from short euro, Canadian dollar, and Australian dollar positions during April. In the metals complex, losses were incurred primarily during February and March from long futures positions in silver as prices decreased amid investor liquidity needs and diminished industrial demand. A portion of the Partnership’s losses for the first nine months of the year was offset by trading gains within the global interest rate sector during the first quarter from long positions in U.S. and non-U.S. fixed income futures as prices advanced amid speculation that a worsening coronavirus outbreak would perpetuate looser central bank policies. Additional gains in this sector were achieved during September from long positions in U.S. and Australian fixed income futures as growing uncertainty over the strength of the global economy pushed investor demand for safe-haven assets. Within the energy complex, gains were experienced throughout the first quarter, as well as during September, from short crude oil futures positions as investors speculated supply would outstrip demand, pushing prices lower.

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

Interest income on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) brokerage account at MS&Co. during each month is (or was with respect to the Funds) earned at the monthly average of the 4-week U.S. Treasury bill discount rate. For the avoidance of doubt, the Partnership will not and the Funds did not receive interest on amounts in the futures brokerage account that are (were) committed to margin. Any interest earned on the Partnership’s and/or each Fund’s account in excess of the amounts described above, if any, will be (or was with respect to the Funds) retained by MS&Co. and/or shared with the General Partner. All interest earned on U.S. Treasury bills and money market mutual fund securities will be (or was with respect to the Funds) retained by the Partnership and/or the Funds, as applicable. Any interest income earned on collateral or excess cash deposited by SECOR Master and held by JPMorgan in its capacity as SECOR Master’s forward foreign currency counterparty was retained by SECOR Master, and the Partnership received its allocable portion of such interest from SECOR Master. Interest income for the three and nine months ended September 30, 2020 decreased by $107,164 and $318,275, respectively, as compared to the corresponding periods in 2019. The decrease in interest income was primarily due to lower 4-week U.S. Treasury bill discount rates along with lower average daily equity during the three and nine months ended September 30, 2020 as compared to the corresponding periods in 2019. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depended upon (1) the average daily equity maintained in cash in the Partnership’s and/or the applicable Fund’s accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Funds and (3) interest rates over which none of the Partnership, the Funds, MS&Co. or JPMorgan has or had control.

Certain clearing fees are based on the number of trades executed by the Advisors for the Partnership/Funds. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees related to direct investments for the three and nine months ended September 30, 2020 decreased by $40,484 and $47,048, respectively, as compared to the corresponding periods in 2019. The change in these clearing fees was primarily due to a decrease in the number of direct trades made by the Partnership during the three and nine months ended September 30, 2020 as compared to the corresponding periods in 2019.

Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value of Class A Redeemable Units as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in monthly net asset values. Ongoing selling agent fees for the three and nine months ended September 30, 2020 decreased by $82,864 and $157,540, respectively, as compared to the corresponding periods in 2019. The decrease was due to lower average net assets attributable to Class A Redeemable Units during the three and nine months ended September 30, 2020 as compared to the corresponding periods in 2019, as well as a reduction in the ongoing selling agent fee rate from 1/12 of 2.00% to 1/12 of 1.00% for Class A Redeemable Units effective July 1, 2020.

Management fees are calculated as a percentage of the Partnership’s adjusted net assets per Class as of the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in monthly net asset values. Management fees for the three and nine months ended September 30, 2020 decreased by $34,810 and $101,272, respectively, as compared to the corresponding periods in 2019. The decrease in management fees was due to lower average net assets per Class during the three and nine months ended September 30 2020 as compared to the corresponding periods in 2019.

General Partner fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisors, (ii) allocating and reallocating the Partnership’s assets among the commodity trading advisors and (iii) monitoring the activities of the commodity trading advisors. These fees are calculated as a percentage of the Partnership’s adjusted net assets per Class as of the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in monthly net asset values. General Partner fees for the three and nine months ended September 30, 2020 decreased by $26,354 and $64,522, respectively, as compared to the corresponding periods in 2019. The decrease in General Partner fees was due to lower average net assets per Class during the three and nine months ended September 30, 2020 as compared to the corresponding periods in 2019, as well as a reduction in the General Partner fee rate from 1/12 of 1.00% to 1/12 of 0.875% effective July 1, 2020.

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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, half-year or year, as applicable, as defined in the respective management agreements among the Partnership, the General Partner and each Advisor. Trading performance for the three and nine months ended September 30, 2020 resulted in incentive fees of $74,413 and $74,664, respectively. Trading performance for the three months ended September 30, 2019 did not result in any incentive fees. Trading performance for the nine months ended September 30, 2019 resulted in a reversal of incentive fees of $48,436. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid incentive fees until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

The General Partner is also paid an incentive fee payable annually equal to 5% of the Partnership’s overall New Trading Profits, as defined in the Partnership’s limited partnership agreement, as may be amended from time to time, earned in each calendar year. Trading performance for the three and nine months ended September 30, 2020 and 2019 did not result in any General Partner incentive fees.

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

As of September 30, 2020 and June 30, 2020, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:

Advisor	September 30, 2020		September 30, 2020 (percentage of Partners’ Capital)			June 30, 2020		June 30, 2020 (percentage of Partners’ Capital)
Katonah	$	6,138,502		41	%	$	6,794,912		40	%
DCM	$	8,753,312		59	%	$	10,002,170		60	%

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

Item 3. Quantitative and Qualitative Disclosures about Market Risk.

The Partnership is a commodity pool engaged primarily in the speculative trading of futures interests. The market-sensitive instruments held by the Partnership are acquired for speculative trading purposes only and, as a result, all or substantially all of the Partnership’s assets are at risk of trading loss. Unlike an operating company, the risk of market-sensitive instruments is inherent to the primary business activity of the Partnership.

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

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

Quantifying the Partnership’s Trading Value at Risk

The following quantitative disclosures regarding the Partnership’s market risk exposure contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933, as amended (the “Securities Act”), and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Partnership accounts for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s open positions is directly reflected in the Partnership’s earnings and cash flow.

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The Partnership’s risk exposure in the market sectors traded by the Advisors is estimated below in terms of Value at Risk. Please note that the Value at Risk model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by either the General Partner or the Advisors in their daily risk management activities.

“Value at Risk” is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s speculative trading and the recurrence in the markets traded by the Partnership 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 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 losses in any market sector will be limited to Values at Risk or by the Partnership’s attempt to manage its market risk.

Exchange margin requirements have been used by the Partnership as the measure of its Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly as of September 30, 2020 and December 31, 2019. There has been no material change in the trading Value at Risk, non-trading risk and risk management information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2019.

The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments as of September 30, 2020 and December 31, 2019 and the highest, lowest and average values during the three months ended September 30, 2020 and the twelve months ended December 31, 2019. All open contracts trading risk exposures have been included in calculating the figures set forth below.

As of September 30, 2020, the Partnership’s total capitalization was $14,891,814.

	September 30, 2020
						Three Months Ended September 30, 2020
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	389,895		2.62	%	$	542,273	$	306,123	$	427,369
Energy		564,029		3.79			1,180,522		167,306		887,824
Grains		128,152		0.86			168,319		66,734		129,792
Indices		923,455		6.20			1,428,734		637,695		1,005,499
Interest Rates U.S.		301,895		2.03			328,801		244,464		285,594
Interest Rates Non-U.S.		513,821		3.45			910,649		469,892		700,626
Metals		173,393		1.16			233,178		114,785		159,358
Softs		14,412		0.10			40,343		11,000		26,318
Total	$	3,009,052		20.21	%

* Average of daily Values at Risk.

As of December 31, 2019, the Partnership’s total capitalization was $21,904,175.

	December 31, 2019
						Twelve Months Ended December 31, 2019
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	640,449		2.92	%	$	857,974	$	289,100	$	531,360
Energy		240,642		1.10			447,920		69,866		198,168
Grains		123,811		0.57			290,337		36,829		144,576
Indices		1,824,747		8.33			3,698,816		416,213		1,365,755
Interest Rates U.S.		208,210		0.95			314,267		40,139		155,036
Interest Rates Non-U.S.		576,889		2.63			806,967		117,135		426,438
Livestock		44,475		0.20			51,508		-		29,614
Metals		170,654		0.78			356,505		25,608		155,903
Softs		173,309		0.79			418,304		43,400		201,155
Total	$	4,003,186		18.27	%

* Annual average of daily Values at Risk.

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Item 4. Controls and Procedures.

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

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

The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2020 and, based on that evaluation, the General Partner’s President and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.

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

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

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

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

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2020 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings.

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

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

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

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

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

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

Regulatory and Governmental Matters

On February 25, 2015, MS&Co. reached an agreement in principle with the United States Department of Justice, Civil Division and the United States Attorney’s Office for the Northern District of California, Civil Division (collectively, the “Civil Division”) to pay $2.6 billion to resolve certain claims that the Civil Division indicated it intended to bring against MS&Co. That settlement was finalized on February 10, 2016.

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In October 2014, the Illinois Attorney General’s Office (“ILAG”) sent a letter to MS&Co. alleging that MS&Co. knowingly made misrepresentations related to RMBS purchased by certain pension funds affiliated with the State of Illinois and demanding that MS&Co. pay ILAG approximately $88 million. MS&Co. and ILAG reached an agreement to resolve the matter on February 10, 2016.

On January 13, 2015, the New York Attorney General’s Office (“NYAG”), which is also a member of the RMBS Working Group, indicated that it intended to file a lawsuit related to approximately 30 subprime securitizations sponsored by MS&Co. NYAG indicated that the lawsuit would allege that MS&Co. misrepresented or omitted material information related to the due diligence, underwriting and valuation of the loans in the securitizations and the properties securing them and indicated that its lawsuit would be brought under the Martin Act. MS&Co. and NYAG reached an agreement to resolve the matter on February 10, 2016.

On April 21, 2015, the Chicago Board Options Exchange, Incorporated (CBOE) and the CBOE Futures Exchange, LLC (CFE) filed statements of charges against MS&Co. in connection with trading by one of MS&Co.’s former traders of EEM options contracts that allegedly disrupted the final settlement price of the November 2012 VXEM futures. CBOE alleged that MS&Co. violated CBOE Rules 4.1, 4.2 and 4.7, Sections 9(a) and 10(b) of the Exchange Act and Rule 10b-5 thereunder. CFE alleged that MS&Co. violated CFE Rules 608, 609 and 620. The matters were resolved on July 12, 2016 and June 28, 2016, respectively, without any findings of fraud. Pursuant to the settlements, MS&Co. was required to pay a $750,000 penalty to the CBOE (for which MS&Co. and an individual were jointly and severally liable) and a $400,000 penalty to the CFE (for which MS&Co. and an individual were jointly and severally liable) and $152,664 in disgorgement.

On August 6, 2015, MS&Co. consented to and became the subject of an order by the CFTC to resolve allegations that MS&Co. violated CFTC Regulation 22.9(a) by failing to hold sufficient U.S. Dollars in cleared swap segregated accounts in the United States to meet all U.S. Dollar obligations to cleared swaps customers. Specifically, the CFTC found that while MS&Co. at all times held sufficient funds in segregation to cover its obligations to its customers, on certain days during 2013 and 2014, it held currencies, such as euros, instead of US dollars, to meet its U.S. dollar obligations. In addition, the CFTC found that MS&Co. violated CFTC Regulation 166.3 by failing to have in place adequate procedures to ensure that it complied with CFTC Regulation 22.9(a). Without admitting or denying the findings or conclusions and without adjudication of any issue of law or fact, MS&Co. accepted and consented to the entry of findings, the imposition of a cease and desist order, a civil monetary penalty of $300,000, and undertakings related to public statements, cooperation, and payment of the monetary penalty.

On December 20, 2016, MS&Co. consented to and became the subject of an order by the SEC in connection with allegations that MS&Co. willfully violated Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3(e), 17a-5(a), and 17a-5(d) thereunder, by inaccurately calculating its Reserve Account requirement under Rule 15c3-3 by including margin loans to an affiliate in its calculations, which resulted in making inaccurate records and submitting inaccurate reports to the SEC. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. consented to a cease and desist order, a censure, and a civil monetary penalty of $7.5 million.

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

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

On September 30, 2020, the SEC entered into a settlement order with MS&Co. settling an administrative action which relates to MS&Co.’s violations of the order marking requirements of Regulation SHO of the Exchange Act resulting from its improper use of aggregation units in structuring MS&Co.’s equity swaps business. The order found that MS&Co. improperly operated its equity swaps business without netting certain “long” and “short” positions as required by Rule 200(c) of Regulation SHO. The order found that the long exposure to an equity security (the “Long Unit”) and the short exposure to an equity security (the “Short Unit”) were not independent from one another and did not have separate trading strategies or objectives without regard to each other, and that the Long and Short Units were not eligible for the exception in Rule 200(f) of Regulation SHO. The order found that MS&Co. willfully violated Section 200(g) of Regulation SHO. MS&Co. consented, without admitting or denying the findings and without adjudication of any issue of law or fact, to a censure; to cease and desist from committing or causing future violations; to pay a civil penalty of $5 million; and to comply with the undertaking enumerated in the order.

Civil Litigation

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against MS&Co., styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., which is pending in the Supreme Court of the State of New York, New York County (“Supreme Court of NY”). The complaint relates to a $275 million credit default swap (“CDS”) referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that MS&Co. misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that MS&Co knew that the assets backing the CDO were of poor quality when it entered into the CDS with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost under the CDS, rescission of CDIB’s obligation to pay an additional $12 million, punitive damages, equitable relief, fees and costs. On February 28, 2011, the court denied MS&Co.’s motion to dismiss the complaint. On June 27, 2018, MS&Co. filed a motion for summary judgment and spoliation sanctions against CDIB. On December 21, 2018, the court denied MS&Co.’s motion for summary judgment and granted in part MS&Co.’s motion for sanctions relating to spoliation of evidence. On January 24, 2019, CDIB filed a notice of appeal from the court’s December 21, 2018 order, and on January 25, 2019, MS&Co. filed a notice of appeal from the same order. On March 7, 2019, the court denied the relief that CDIB sought in a motion to clarify and resettle the portion of the court’s December 21, 2018 order granting spoliation sanctions. On May 21, 2020, the Appellate Division, First Department (“First Department”) modified the Supreme Court of NY’s order to deny MS&Co.’s motion for summary judgment. On June 19, 2020, MS&Co. moved for leave to appeal the First Department’s decision to the New York Court of Appeals, which the First Department denied on July 24, 2020. Based on currently available information, MS&Co. believes it could incur a loss in this action of up to approximately $240 million plus pre- and post-judgment interest, fees and costs.

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On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against MS&Co. and other defendants in the Circuit Court of the State of Illinois, styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al. A corrected amended complaint was filed on April 8, 2011, which alleges that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by MS&Co. at issue in the action was approximately $203 million. The complaint seeks, among other things, to rescind the plaintiff’s purchase of such certificates. The defendants filed a motion to dismiss the corrected amended complaint on May 27, 2011, which was denied on September 19, 2012. On December 13, 2013, the court entered an order dismissing all claims related to one of the securitizations at issue. On January 18, 2017, the court entered an order dismissing all claims related to an additional securitization at issue. After those dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $65 million. At December 25, 2019, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $35 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $35 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On May 17, 2013, plaintiff in IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al. filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY. The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $133 million. The complaint alleges causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, among other things, compensatory and punitive damages. On October 29, 2014, the court granted in part and denied in part MS&Co.’s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $116 million. On August 11, 2016, the First Department affirmed the trial court’s decision denying in part MS&Co.’s motion to dismiss the complaint. At December 25, 2019, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $22 million, and the certificates had incurred actual losses of $58 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $22 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

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In August of 2017, MS&Co. was named as a defendant in a purported antitrust class action in the United States District Court for the United States District Court for the Southern District of New York styled Iowa Public Employees’ Retirement System et al. v. Bank of America Corporation et al. Plaintiffs allege, inter alia, that MS&Co., together with a number of other financial institution defendants, violated U.S. antitrust laws and New York state law in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for securities lending. The class action complaint was filed on behalf of a purported class of borrowers and lenders who entered into stock loan transactions with the defendants. The class action complaint seeks, among other relief, certification of the class of plaintiffs and treble damages. On September 27, 2018, the court denied the defendants’ motion to dismiss the class action complaint.

Settled Civil Litigation

On December 23, 2009, the Federal Home Loan Bank of Seattle filed a complaint against MS&Co. and another defendant in the Superior Court of the State of Washington, styled Federal Home Loan Bank of Seattle v. Morgan Stanley & Co. Inc., et al. The amended complaint, filed on September 28, 2010, alleged that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $233 million. The complaint raised claims under the Washington State Securities Act and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On January 23, 2017, the parties reached an agreement to settle the litigation.

On March 15, 2010, the Federal Home Loan Bank of San Francisco filed a complaint against MS&Co. and other defendants in the Superior Court of the State of California styled Federal Home Loan Bank of San Francisco v. Deutsche Bank Securities Inc. et al. An amended complaint, filed on June 10, 2010, alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $276 million. The complaint raised claims under both the federal securities laws and California law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On December 21, 2016, the parties reached an agreement to settle the litigation.

On April 25, 2012, The Prudential Insurance Company of America and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Superior Court of the State of New Jersey, styled The Prudential Insurance Company of America, et al. v. Morgan Stanley, et al. On October 16, 2012, plaintiffs filed an amended complaint. The amended complaint alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. was approximately $1.073 billion. The amended complaint raised claims under the New Jersey Uniform Securities Law, as well as common law claims of negligent misrepresentation, fraud, fraudulent inducement, equitable fraud, aiding and abetting fraud, and violations of the New Jersey RICO statute, and includes a claim for treble damages. On January 8, 2016, the parties reached an agreement to settle the litigation.

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On September 23, 2013, the plaintiff in National Credit Union Administration Board v. Morgan Stanley & Co. Inc., et al. filed a complaint against MS&Co. and certain affiliates in the SDNY. The complaint alleged that defendants made untrue statements of material fact or omitted to state material facts in the sale to the plaintiff of certain mortgage pass-through certificates issued by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiffs in the matter was approximately $417 million. The complaint alleged violations of federal and various state securities laws and sought, among other things, rescissionary and compensatory damages. On November 23, 2015, the parties reached an agreement to settle the matter.

On September 16, 2014, the Virginia Attorney General’s Office filed a civil lawsuit, styled Commonwealth of Virginia ex rel. Integra REC LLC v. Barclays Capital Inc., et al., against MS&Co. and several other defendants in the Circuit Court of the City of Richmond related to RMBS. The lawsuit alleged that MS&Co. and the other defendants knowingly made misrepresentations and omissions related to the loans backing RMBS purchased by the Virginia Retirement System. The complaint asserted claims under the Virginia Fraud Against Taxpayers Act, as well as common law claims of actual and constructive fraud, and sought, among other things, treble damages and civil penalties. On January 6, 2016, the parties reached an agreement to settle the litigation. An order dismissing the action with prejudice was entered on January 28, 2016.

On April 20, 2011, the Federal Home Loan Bank of Boston filed a complaint against MS&Co. and other defendants in the Superior Court of the Commonwealth of Massachusetts styled Federal Home Loan Bank of Boston v. Ally Financial, Inc. F/K/A GMAC LLC et al. An amended complaint was filed on June 29, 2012 and alleged that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $385 million. The amended complaint raised claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On November 25, 2013, July 16, 2014, and May 19, 2015, respectively, the plaintiff voluntarily dismissed its claims against MS&Co. with respect to three of the securitizations at issue. After these voluntary dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $332 million. On July 13, 2018, the parties reached an agreement in principle to settle the litigation.

On May 3, 2013, plaintiffs in Deutsche Zentral-Genossenschaftsbank AG et al. v. Morgan Stanley et al. filed a complaint against MS&Co., certain affiliates, and other defendants in the Supreme Court of NY. The complaint alleged that defendants made material misrepresentations and omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $634 million. The complaint alleged causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, negligent misrepresentation, and rescission and sought, among other things, compensatory and punitive damages. On June 26, 2018, the parties entered into an agreement to settle the litigation.

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On April 1, 2016, the California Attorney General’s Office filed an action against MS&Co. in California state court styled California v. Morgan Stanley, et al., on behalf of California investors, including the California Public Employees’ Retirement System and the California Teachers’ Retirement System. The complaint alleged that MS&Co. made misrepresentations and omissions regarding residential mortgage-backed securities and notes issued by the Cheyne SIV, and asserted violations of the California False Claims Act and other state laws and sought treble damages, civil penalties, disgorgement, and injunctive relief. On April 24, 2019, the parties reached an agreement to settle the litigation.

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

Additional lawsuits containing claims similar to those described above may be filed in the future. In the course of its business, MS&Co., as a major futures commission merchant, is party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of MS&Co. MS&Co. may establish reserves from time to time in connections with such actions.

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Item lA. Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors.” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2019 and under Part II, Item 1A. “Risk Factors.” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2020 and June 30, 2020.

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

For the three months ended September 30, 2020, there were no additional subscriptions of Redeemable Units. Redeemable Units are issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act and Section 506 of Regulation D promulgated thereunder. Redeemable Units are purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relies on the fact that Redeemable Units are purchased by accredited investors in a private offering.

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

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

Period	Class A (a) Total Number of Redeemable Units Purchased*		Class A (b) Average Price Paid per Redeemable Unit**		(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs
July 1, 2020 - July 31, 2020		690.1720	$	1,055.28		N/A		N/A
August 1, 2020 - August 31, 2020		1,043.1830	$	1,049.74		N/A		N/A
September 1, 2020 - September 30, 2020		677.5440	$	1,089.48		N/A		N/A
		2,410.8990	$	1,062.49

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

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

Item 3. Defaults Upon Senior Securities. None.

Item 4. Mine Safety Disclosures. Not Applicable.

Item 5. Other Information.

Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak that occurred after December 31, 2019 could impact the operations and financial performance of the Partnership investments subsequent to September 30, 2020. The extent of the impact to the financial performance of the Partnership investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. If the financial performance of the Partnership investments is impacted because of these factors for an extended period, the Partnership performance may be adversely affected.

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Item 6. Exhibits.

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

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

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

32.2 — Section  1350 Certification (Certification of Chief Financial Officer and Director) (filed herewith).

101.INS      XBRL Instance Document.

101.SCH     XBRL Taxonomy Extension Schema Document.

101.CAL     XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB     XBRL Taxonomy Extension Label Linkbase Document.

101.PRE     XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF     XBRL Taxonomy Extension Definition Linkbase Document.

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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/ Patrick T. Egan
	Patrick T. Egan
	President and Director

Date: November 12, 2020

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

Date: November 12, 2020

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

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