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 endedJune 30, 2013
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission File Number0-53210
MANAGED FUTURES PREMIER ABINGDON L.P.
(Exact name of registrant as specified in its charter)
| | |
New York | | 20-3845005 |
(State or other jurisdiction of incorporation or organization) | | (I.R.S. Employer Identification No.) |
c/o Ceres Managed Futures LLC
522 Fifth Avenue - 14th Floor
New York, New York 10036
(Address of principal executive offices) (Zip Code)
(855) 672-4468
(Registrant’s telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes X No
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of RegulationS-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes X No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, anon-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” inRule 12b-2 of the Exchange Act. (Check one):
| | | | | | |
Large accelerated filer | | Accelerated filer | | Non-accelerated filer X | | Smaller reporting company |
Indicate by check mark whether the registrant is a shell company (as defined inrule 12b-2 of the Exchange Act).
Yes No X
As of July 31, 2013, there were 171,798.4602 Limited Partnership Redeemable Units of Class A outstanding, 12,775.9596 Limited Partnership Redeemable Units of Class D outstanding and 667.8032 Limited Partnership Redeemable Units of Class Z outstanding.
MANAGED FUTURES PREMIER ABINGDON L.P.
FORM10-Q
INDEX
2
PART I
Item 1. Financial Statements
Managed Futures Premier Abingdon L.P.
Statements of Financial Condition
| | | | | | | | |
| | (Unaudited) June 30, 2013 | | | December 31, 2012 | |
Assets: | | | | | | | | |
Investment in Master, at fair value | | $ | 209,976,370 | | | $ | 210,916,733 | |
Cash | | | 226,976 | | | | 256,315 | |
| | | | | | | | |
Total assets | | $ | 210,203,346 | | | $ | 211,173,048 | |
| | | | | | | | |
| | |
Liabilities and Partners’ Capital | | | | | | | | |
Liabilities: | | | | | | | | |
Accrued expenses: | | | | | | | | |
Brokerage fees | | $ | 751,879 | | | $ | 761,773 | |
Management fees | | | 261,633 | | | | 262,820 | |
Administrative fees | | | 87,211 | | | | 87,607 | |
Other | | | 145,084 | | | | 155,499 | |
Redemptions payable | | | 2,355,807 | | | | 4,318,383 | |
| | | | | | | | |
Total liabilities | | | 3,601,614 | | | | 5,586,082 | |
| | | | | | | | |
| | |
Partners’ Capital: | | | | | | | | |
General Partner, Class A, 0.0000 unit equivalents outstanding at June 30, 2013 and December 31, 2012 | | | 0 | | | | 0 | |
General Partner, Class D, 0.0000 unit equivalents outstanding at June 30, 2013 and December 31, 2012 | | | 0 | | | | 0 | |
General Partner, Class Z, 2,508.9070 unit equivalents outstanding at June 30, 2013 and December 31, 2012 | | | 2,466,030 | | | | 2,382,308 | |
Limited Partners, Class A, 174,558.3922 and 179,273.0292 Redeemable Units outstanding at June 30, 2013 and December 31, 2012, respectively | | | 190,994,794 | | | | 192,728,746 | |
Limited Partners, Class D, 12,653.1746 and 10,287.6586 Redeemable Units outstanding at June 30, 2013 and December 31, 2012, respectively | | | 12,484,529 | | | | 9,842,846 | |
Limited Partners, Class Z, 667.8032 and 666.7152 Redeemable Units outstanding at June 30, 2013 and December 31, 2012, respectively | | | 656,379 | | | | 633,066 | |
| | | | | | | | |
Total partners’ capital | | | 206,601,732 | | | | 205,586,966 | |
| | | | | | | | |
Total liabilities and partners’ capital | | $ | 210,203,346 | | | $ | 211,173,048 | |
| | | | | | | | |
Class A, net asset value per unit | | $ | 1,094.16 | | | $ | 1,075.06 | |
| | | | | | | | |
Class D, net asset value per unit | | $ | 986.67 | | | $ | 956.76 | |
| | | | | | | | |
Class Z, net asset value per unit | | $ | 982.91 | | | $ | 949.54 | |
| | | | | | | | |
See accompanying notes to financial statements.
3
Managed Futures Premier Abingdon L.P.
Statements of Income and Expenses
(Unaudited)
| | | | | | | | | | | | | | | | |
| | Three Months Ended June 30, | | | Six Months Ended June 30, | |
| | 2013 | | | 2012 | | | 2013 | | | 2012 | |
Income: | | | | | | | | | | | | | | | | |
Interest income allocated from Master | | $ | 10,265 | | | $ | 26,632 | | | $ | 35,860 | | | $ | 46,762 | |
| | | | | | | | | | | | | | | | |
| | | | |
Expenses: | | | | | | | | | | | | | | | | |
Expenses allocated from Master | | | 83,862 | | | | 75,750 | | | | 165,374 | | | | 144,345 | |
Brokerage fees | | | 2,325,580 | | | | 2,636,309 | | | | 4,656,535 | | | | 5,319,522 | |
Management fees | | | 805,912 | | | | 908,290 | | | | 1,610,820 | | | | 1,833,032 | |
Administrative fees | | | 268,638 | | | | 302,763 | | | | 536,940 | | | | 611,010 | |
Other | | | 84,225 | | | | 77,641 | | | | 134,698 | | | | 213,735 | |
| | | | | | | | | | | | | | | | |
Total expenses | | | 3,568,217 | | | | 4,000,753 | | | | 7,104,367 | | | | 8,121,644 | |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (3,557,952 | ) | | | (3,974,121 | ) | | | (7,068,507 | ) | | | (8,074,882 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Trading results: | | | | | | | | | | | | | | | | |
Net realized gains (losses) on closed contracts allocated from Master | | | (3,009,266 | ) | | | (9,925,768 | ) | | | 11,700,181 | | | | (6,160,777 | ) |
Change in net unrealized gains (losses) on open contracts allocated from Master | | | (216,068 | ) | | | (840,058 | ) | | | (790,238 | ) | | | (6,674,404 | ) |
| | | | | | | | | | | | | | | | |
Total trading results allocated from Master | | | (3,225,334 | ) | | | (10,765,826 | ) | | | 10,909,943 | | | | (12,835,181 | ) |
| | | | | | | | | | | | | | | | |
Net income (loss) | | | (6,783,286 | ) | | | (14,739,947 | ) | | | 3,841,436 | | | | (20,910,063 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net income (loss) allocated from Master | | | | | | | | | | | | | | | | |
Class A | | | (6,345,931 | ) | | | (13,943,972 | ) | | | 3,528,298 | | | | (19,845,056 | ) |
| | | | | | | | | | | | | | | | |
Class D | | | (358,221 | ) | | | (630,401 | ) | | | 211,683 | | | | (847,712 | ) |
| | | | | | | | | | | | | | | | |
Class Z | | | (79,134 | ) | | | (165,574 | ) | | | 101,455 | | | | (217,295 | ) |
| | | | | | | | | | | | | | | | |
Net asset value per redeemable unit | | | | | | | | | | | | | | | | |
Class A (174,558.3922 and 194,284.9592 units outstanding at June 30, 2013 and 2012, respectively) | | $ | 1,094.16 | | | $ | 1,086.91 | | | $ | 1,094.16 | | | $ | 1,086.91 | |
| | | | | | | | | | | | | | | | |
Class D (12,653.1746 and 11,535.0586 units outstanding at June 30, 2013 and 2012, respectively) | | $ | 986.67 | | | $ | 954.65 | | | $ | 986.67 | | | $ | 954.65 | |
| | | | | | | | | | | | | | | | |
Class Z (3,176.7102 and 3,175.6222 units outstanding at June 30, 2013 and 2012, respectively) | | $ | 982.91 | | | $ | 943.89 | | | $ | 982.91 | | | $ | 943.89 | |
| | | | | | | | | | | | | | | | |
Net income (loss) per redeemable unit* | | | | | | | | | | | | | | | | |
Class A | | $ | (35.68 | ) | | $ | (69.82 | ) | | $ | 19.10 | | | $ | (99.35 | ) |
| | | | | | | | | | | | | | | | |
Class D | | $ | (25.49 | ) | | $ | (54.66 | ) | | $ | 29.91 | | | $ | (73.63 | ) |
| | | | | | | | | | | | | | | | |
Class Z | | $ | (23.50 | ) | | $ | (52.16 | ) | | $ | 33.37 | | | $ | (68.98 | ) |
| | | | | | | | | | | | | | | | |
Weighted average units outstanding | | | | | | | | | | | | | | | | |
Class A | | | 175,165.2315 | | | | 201,212.4011 | | | | 177,950.7827 | | | | 199,033.6065 | |
| | | | | | | | | | | | | | | | |
Class D | | | 11,076.1639 | | | | 11,521.8209 | | | | 10,681.9113 | | | | 11,487.7974 | |
| | | | | | | | | | | | | | | | |
Class Z | | | 3,213.6809 | | | | 3,108.6367 | | | | 3,194.6515 | | | | 3,091.8902 | |
| | | | | | | | | | | | | | | | |
* | Based on change in net asset value per unit. |
See accompanying notes to financial statements.
4
Managed Futures Premier Abingdon L.P.
Statements of Changes in Partners’ Capital
For the Six Months Ended June 30, 2013 and 2012
(Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Class A | | | Class D | | | Class Z | | | Total | |
| | Amount | | | Units | | | Amount | | | Units | | | Amount | | | Units | | | Amount | | | Units | |
Partner’s Capital, December 31, 2012 | | $ | 192,728,746 | | | | 179,273.0292 | | | $ | 9,842,846 | | | | 10,287.6586 | | | $ | 3,015,374 | | | | 3,175.6222 | | | $ | 205,586,966 | | | | 192,736.3100 | |
Subscriptions—Limited Partners | | | 21,482,536 | | | | 19,040.4110 | | | | 2,430,000 | | | | 2,365.5160 | | | | 60,623 | | | | 57.0880 | | | | 23,973,159 | | | | 21,463.0150 | |
Net income (loss) | | | 3,528,298 | | | | — | | | | 211,683 | | | | — | | | | 101,455 | | | | — | | | | 3,841,436 | | | | — | |
Redemptions—Limited Partners | | | (26,744,786 | ) | | | (23,755.0480 | ) | | | — | | | | — | | | | (55,043 | ) | | | (56.0000 | ) | | | (26,799,829 | ) | | | (23,811.0480 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Partners’ Capital, June 30, 2013 | | $ | 190,994,794 | | | | 174,558.3922 | | | $ | 12,484,529 | | | | 12,653.1746 | | | $ | 3,122,409 | | | | 3,176.7102 | | | $ | 206,601,732 | | | | 190,388.2770 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Partner’s Capital, December 31, 2011 | | $ | 222,607,691 | | | | 187,655.6606 | | | $ | 11,777,664 | | | | 11,453.7739 | | | $ | 2,682,781 | | | | 2,648.6854 | | | $ | 237,068,136 | | | | 201,758.1199 | |
Subscriptions—Limited Partners | | | 32,051,214 | | | | 27,353.3664 | | | | 82,000 | | | | 81.2847 | | | | 231,947 | | | | 230.7487 | | | | 32,365,161 | | | | 27,665.3998 | |
Subscriptions—General Partner | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 300,000 | | | | 296.1881 | | | | 300,000 | | | | 296.1881 | |
Net income (loss) | | | (19,845,056 | ) | | | 0 | | | | (847,712 | ) | | | 0 | | | | (217,295 | ) | | | 0 | | | | (20,910,063 | ) | | | 0 | |
Redemptions—Limited Partners | | | (23,644,346 | ) | | | (20,724.0678 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (23,644,346 | ) | | | (20,724.0678 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Partners’ Capital, June 30, 2012 | | $ | 211,169,503 | | | | 194,284.9592 | | | $ | 11,011,952 | | | | 11,535.0586 | | | $ | 2,997,433 | | | | 3,175.6222 | | | $ | 225,178,888 | | | | 208,995.6400 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
5
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
1. General:
Managed Futures Premier Abingdon L.P. (formerly Abingdon Futures Fund L.P.) (the “Partnership”) is a limited partnership organized on November 8, 2005, under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. andnon-U.S. interest rates, livestock, metals and softs. The Partnership commenced trading on February 1, 2007. The commodity interests that are traded by the Partnership through its investment in the Master (as defined below), are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest in the Partnership (“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. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). MSSB Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses. Prior to June 28, 2013, Morgan Stanley indirectly owned a majority equity interest in MSSB Holdings and Citigroup Inc. indirectly owned a minority equity interest in MSSB Holdings. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup Inc. As of June 30, 2013, all trading decisions for the Partnership are made by the Advisor (defined below).
On February 1, 2007, the Partnership allocated substantially all of its capital to CMF Winton Master L.P. (the “Master”), a limited partnership organized under the partnership laws of the state of New York, having the same investment objective as the Partnership. The Partnership purchased 9,017.0917 units of the Master with cash equal to $12,945,000. The Master was formed in order to permit accounts managed by Winton Capital Management Limited (the “Advisor”) using the Diversified Trading Program Without Equities (formerly the Diversified Program), the Advisor’s proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of the Master. Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be limited partners of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected. The General Partner and the Advisor agreed that the Advisor will trade the Partnership’s assets allocated to the Advisor at a level that is up to 1.5 times the amount of assets allocated.
On April 1, 2011, the Partnership began offering “Class A” Redeemable Units, “Class D” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to April 1, 2011 were deemed Class A Redeemable Units. The rights, liabilities, risks, and fees associated with investment in the Class A Units did not change. “Class D” Redeemable Units and “Class Z” Redeemable Unites were first issued on April 1, 2011, and August 1, 2011, respectively. Class A, Class D and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Units that a Limited Partner receives upon a 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 Redeemable Units to investors at its discretion. Class Z Units were offered to certain employees of Morgan Stanley Smith Barney and its affiliates (and their family members). Class A Units, Class D Units, and Class Z Units are identical, except that Class D Units are subject to a monthly commission fee equal to 1/12th of 1.875% (a 1.875% annual rate) of the Net Assets of Class D as of the ending of each month, and Class Z Units are subject to a monthly commission fee equal to 1/12th of 1.125% (a 1.125% annual rate) of the Net Assets of Class Z as of the ending of each month which differs from the Class A monthly commission fee of 1/12th of 4.5% (a 4.5% annual rate) of the net assets of Class A.
The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended June 30, 2013.
At June 30, 2013 and December 31, 2012, the Partnership owned approximately 29.5% and 27.8%, respectively, of the Master. The Partnership intends to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Master’s trading of futures, forwards, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with Citigroup Global Markets, Inc. (“CGM”) and/or Morgan Stanley & Co. LLC (“MS&Co.”). The Master’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.
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 their capital contribution and profits, if any, net of distributions and losses, if any.
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at June 30, 2013 and December 31, 2012, and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2013 and 2012. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2012.
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.
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.
6
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2013 and December 31, 2012 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2013 and 2012 are presented below:
CMF Winton Master L.P.
Statements of Financial Condition
| | | | | | | | |
| | (Unaudited) June 30, 2013 | | | December 31, 2012 | |
Assets: | | | | | | | | |
Equity in trading account: | | | | | | | | |
Cash | | $ | 612,269,165 | | | $ | 635,259,818 | |
Cash margin | | | 90,171,883 | | | | 115,113,218 | |
Due from broker | | | 1,006,331 | | | | 0 | |
Net unrealized appreciation on open futures contracts | | | 6,824,553 | | | | 12,365,331 | |
Net unrealized appreciation on open forward contracts | | | 2,162,276 | | | | 0 | |
| | | | | | | | |
Total assets | | $ | 712,434,208 | | | $ | 762,738,367 | |
| | | | | | | | |
| | |
| | | | | | | | |
Liabilities and Partners’ Capital: | | | | | | | | |
Liabilities: | | | | | | | | |
Net unrealized depreciation on open forward contracts | | $ | 0 | | | $ | 2,773,634 | |
Accrued expenses: | | | | | | | | |
Professional fees | | | 45,819 | | | | 54,220 | |
| | | | | | | | |
Total liabilities | | | 45,819 | | | | 2,827,854 | |
| | | | | | | | |
Partners’ Capital: | | | | | | | | |
General Partner, 0.0000 unit equivalents at June 30, 2013 and December 31, 2012 | | | 0 | | | | 0 | |
Limited Partners, 283,241.9493 and 317,836.6063 units outstanding at June 30, 2013 and December 31, 2012, respectively | | | 712,388,389 | | | | 759,910,513 | |
| | | | | | | | |
Total liabilities and partners’ capital | | $ | 712,434,208 | | | $ | 762,738,367 | |
| | | | | | | | |
Net asset value per unit | | $ | 2,515.12 | | | $ | 2,390.86 | |
| | | | | | | | |
7
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
CMF Winton Master L.P.
Condensed Schedule of Investments
June 30, 2013
(Unaudited)
| | | | | | | | | | | | |
| | Notional ($)/ Number of Contracts | | | Fair Value | | | % of Partners’ Capital | |
Futures Contracts Purchased | | | | | | | | | | | | |
Currencies | | | 1,747 | | | $ | (5,043,757 | ) | | | (0.71 | )% |
Energy | | | 669 | | | | (2,615,310 | ) | | | (0.37 | ) |
Grains | | | 2,286 | | | | (2,318,274 | ) | | | (0.32 | ) |
Indices | | | 5,122 | | | | (7,035,979 | ) | | | (0.99 | ) |
Interest Rates U.S. | | | 1,886 | | | | (1,488,417 | ) | | | (0.21 | ) |
Interest Rates Non-U.S. | | | 3,107 | | | | (4,430,936 | ) | | | (0.62 | ) |
Livestock | | | 218 | | | | 300,670 | | | | 0.04 | |
Softs | | | 210 | | | | (314,511 | ) | | | (0.04 | ) |
| | | | | | | | | | | | |
Total futures contracts purchased | | | | | | | (22,946,514 | ) | | | (3.22 | ) |
| | | | | | | | | | | | |
| | | |
Futures Contracts Sold | | | | | | | | | | | | |
Currencies | | | 4,082 | | | | 9,146,015 | | | | 1.28 | |
Energy | | | 1,217 | | | | 59,839 | | | | 0.01 | |
Grains | | | 1,179 | | | | 2,219,552 | | | | 0.31 | |
Indices | | | 414 | | | | (236,051 | ) | | | (0.03 | ) |
Interest Rates U.S. | | | 518 | | | | 40,462 | | | | 0.01 | |
Interest Rates Non-U.S. | | | 1,302 | | | | (204,044 | ) | | | (0.03 | ) |
Livestock | | | 248 | | | | (55,378 | ) | | | (0.01 | ) |
Metals | | | 1,323 | | | | 17,481,248 | | | | 2.45 | |
Softs | | | 1,113 | | | | 1,319,424 | | | | 0.19 | |
| | | | | | | | | | | | |
Total futures contracts sold | | | | | | | 29,771,067 | | | | 4.18 | |
| | | | | | | | | | | | |
| | | |
Unrealized Appreciation on Open Forward Contracts | | | | | | | | | | | | |
Currencies | | $ | 293,946,325 | | | | 2,708,328 | | | | 0.38 | |
Metals | | | 1,039 | | | | 6,028,887 | | | | 0.84 | |
| | | | | | | | | | | | |
Total unrealized appreciation on open forward contracts | | | | | | | 8,737,215 | | | | 1.22 | |
| | | | | | | | | | | | |
| | | |
Unrealized Depreciation on Open Forward Contracts | | | | | | | | | | | | |
Currencies | | $ | 326,488,011 | | | | (4,551,174 | ) | | | (0.64 | ) |
Metals | | | 556 | | | | (2,023,765 | ) | | | (0.28 | ) |
| | | | | | | | | | | | |
Total unrealized depreciation on open forward contracts | | | | | | | (6,574,939 | ) | | | (0.92 | ) |
| | | | | | | | | | | | |
Net fair value | | | | | | $ | 8,986,829 | | | | 1.26 | % |
| | | | | | | | | | | | |
8
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
CMF Winton Master L.P.
Condensed Schedule of Investments
December 31, 2012
| | | | | | | | | | | | |
| | Notional ($)/ Number of Contracts | | | Fair Value | | | % of Partners' Capital | |
Futures Contracts Purchased | | | | | | | | | | | | |
Currencies | | | 6,587 | | | $ | (666,433 | ) | | | (0.09 | )% |
Energy | | | 193 | | | | 454,703 | | | | 0.06 | |
Grains | | | 531 | | | | (1,058,709 | ) | | | (0.14 | ) |
Indices | | | 9,776 | | | | 3,483,451 | | | | 0.46 | |
Interest Rates U.S. | | | 11,509 | | | | (1,196,499 | ) | | | (0.16 | ) |
Interest Rates Non-U.S. | | | 12,555 | | | | 3,471,950 | | | | 0.46 | |
Livestock | | | 158 | | | | (46,240 | ) | | | (0.01 | ) |
Metals | | | 413 | | | | (3,649,405 | ) | | | (0.48 | ) |
Softs | | | 20 | | | | (9,427 | ) | | | (0.00 | )* |
| | | | | | | | | | | | |
Total futures contracts purchased | | | | | | | 783,391 | | | | 0.10 | |
| | | | | | | | | | | | |
Futures Contracts Sold | | | | | | | | | | | | |
Currencies | | | 1,918 | | | | 13,108,119 | | | | 1.72 | |
Energy | | | 770 | | | | (1,375,332 | ) | | | (0.18 | ) |
Grains | | | 516 | | | | 1,316 | | | | 0.00 | * |
Indices | | | 42 | | | | (14,535 | ) | | | (0.00 | )* |
Interest Rates U.S. | | | 27 | | | | (892 | ) | | | (0.00 | )* |
Interest Rates Non-U.S. | | | 471 | | | | (93,370 | ) | | | (0.01 | ) |
Livestock | | | 322 | | | | (292,197 | ) | | | (0.04 | ) |
Metals | | | 45 | | | | (161,863 | ) | | | (0.02 | ) |
Softs | | | 1,178 | | | | 410,694 | | | | 0.05 | |
| | | | | | | | | | | | |
Total futures contracts sold | | | | | | | 11,581,940 | | | | 1.52 | |
| | | | | | | | | | | | |
Unrealized Appreciation on Open Forward Contracts | | | | | | | | | | | | |
Currencies | | $ | 415,131,266 | | | | 2,577,172 | | | | 0.34 | |
Metals | | | 303 | | | | 651,293 | | | | 0.09 | |
| | | | | | | | | | | | |
Total unrealized appreciation on open forward contracts | | | | | | | 3,228,465 | | | | 0.43 | |
| | | | | | | | | | | | |
Unrealized Depreciation on Open Forward Contracts | | | | | | | | | | | | |
Currencies | | $ | 481,350,781 | | | | (1,598,942 | ) | | | (0.21 | ) |
Metals | | | 1,028 | | | | (4,403,157 | ) | | | (0.58 | ) |
| | | | | | | | | | | | |
Total unrealized depreciation on open forward contracts | | | | | | | (6,002,099 | ) | | | (0.79 | ) |
| | | | | | | | | | | | |
Net fair value | | | | | | $ | 9,591,697 | | | | 1.26 | % |
| | | | | | | | | | | | |
9
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
CMF Winton Master L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)
| | | | | | | | | | | | | | | | |
| | Three Months Ended June 30, | | | Six Months Ended June 30, | |
| | 2013 | | | 2012 | | | 2013 | | | 2012 | |
Investment Income: | | | | | | | | | | | | | | | | |
Interest income | | $ | 42,239 | | | $ | 103,417 | | | $ | 148,912 | | | $ | 181,299 | |
| | | | | | | | | | | | | | | | |
| | | | |
Expenses: | | | | | | | | | | | | | | | | |
Clearing fees | | | 260,472 | | | | 233,818 | | | | 496,467 | | | | 438,831 | |
Professional fees | | | 30,747 | | | | 18,105 | | | | 83,832 | | | | 41,118 | |
| | | | | | | | | | | | | | | | |
Total expenses | | | 291,219 | | | | 251,923 | | | | 580,299 | | | | 479,949 | |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (248,980 | ) | | | (148,506 | ) | | | (431,387 | ) | | | (298,650 | ) |
| | | | | | | | | | | | | | | | |
Trading results: | | | | | | | | | | | | | | | | |
Net gains (losses) on trading of commodity interests: | | | | | | | | | | | | | | | | |
Net realized gains (losses) on closed contracts | | | (9,950,806 | ) | | | (32,696,620 | ) | | | 41,503,760 | | | | (20,241,937 | ) |
Change in net unrealized gains (losses) on open contracts | | | 354,705 | | | | (3,692,764 | ) | | | (604,869 | ) | | | (22,734,529 | ) |
| | | | | | | | | | | | | | | | |
Total trading results | | | (9,596,101 | ) | | | (36,389,384 | ) | | | 40,898,891 | | | | (42,976,466 | ) |
| | | | | | | | | | | | | | | | |
Net income (loss) | | | (9,845,081 | ) | | | (36,537,890 | ) | | | 40,467,504 | | | | (43,275,116 | ) |
Subscriptions — Limited Partners | | | 25,987,670 | | | | 46,430,186 | | | | 42,139,860 | | | | 73,928,063 | |
Redemptions — Limited Partners | | | (68,807,798 | ) | | | (44,725,785 | ) | | | (129,980,576 | ) | | | (70,727,305 | ) |
Distribution of interest income to feeder funds | | | (42,239 | ) | | | (103,417 | ) | | | (148,912 | ) | | | (181,299 | ) |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in Partners’ Capital | | | (52,707,448 | ) | | | (34,936,906 | ) | | | (47,522,124 | ) | | | (40,255,657 | ) |
Partners’ Capital, beginning of period | | | 765,095,837 | | | | 816,955,025 | | | | 759,910,513 | | | | 822,273,776 | |
| | | | | | | | | | | | | | | | |
Partners’ Capital, end of period | | $ | 712,388,389 | | | $ | 782,018,119 | | | $ | 712,388,389 | | | $ | 782,018,119 | |
| | | | | | | | | | | | | | | | |
Net asset value per unit (283,241.9493 and 334,209.1815 units outstanding at June 30, 2013 and 2012, respectively) | | $ | 2,515.12 | | | $ | 2,339.91 | | | $ | 2,515.12 | | | $ | 2,339.91 | |
| | | | | | | | | | | | | | | | |
Net income (loss) per unit * | | $ | (39.06 | ) | | $ | (109.31 | ) | | $ | 124.76 | | | $ | (129.89 | ) |
| | | | | | | | | | | | | | | | |
Weighted average units outstanding | | | 296,930.2044 | | | | 339,983.7489 | | | | 305,734.4331 | | | | 337,903.5757 | |
| | | | | | | | | | | | | | | | |
* | Based on changes in net asset value per unit. |
10
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
Changes in the net asset value per unit for each Class for the three months and six months ended June 30, 2013 and 2012 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Three Months Ended June 30, | |
| | 2013 | | | 2012 | |
| | Class A | | | Class D | | | Class Z | | | Class A | | | Class D | | | Class Z | |
Net realized and unrealized gains (losses)* | | $ | (29.53 | ) | | $ | (19.94 | ) | | $ | (17.99 | ) | | $ | (63.90 | ) | | $ | (49.47 | ) | | $ | (47.04 | ) |
Interest Income allocated from Master | | | 0.06 | | | | 0.06 | | | | 0.06 | | | | 0.12 | | | | 0.10 | | | | 0.10 | |
Expenses ** | | | (6.21 | ) | | | (5.61 | ) | | | (5.57 | ) | | | (6.04 | ) | | | (5.29 | ) | | | (5.22 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Increase (decrease) for the period | | | (35.68 | ) | | | (25.49 | ) | | | (23.50 | ) | | | (69.82 | ) | | | (54.66 | ) | | | (52.16 | ) |
Net Asset Value per Redeemable Unit, beginning of period | | | 1,129.84 | | | | 1,012.16 | | | | 1,006.41 | | | | 1,156.73 | | | | 1,009.31 | | | | 996.05 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Redeemable Unit, end of period | | $ | 1,094.16 | | | $ | 986.67 | | | $ | 982.91 | | | $ | 1,086.91 | | | $ | 954.65 | | | $ | 943.89 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
* | Includes brokerage commissions |
** | Excludes brokerage commissions. |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Six Months Ended June 30, | |
| | 2013 | | | 2012 | |
| | Class A | | | Class D | | | Class Z | | | Class A | | | Class D | | | Class Z | |
Net realized and unrealized gains (losses)* | | $ | 31.02 | | | $ | 40.62 | | | $ | 44.00 | | | $ | (86.95 | ) | | $ | (62.81 | ) | | $ | (58.30 | ) |
Interest Income allocated from Master | | | 0.19 | | | | 0.18 | | | | 0.18 | | | | 0.21 | | | | 0.19 | | | | 0.19 | |
Expenses ** | | | (12.11 | ) | | | (10.89 | ) | | | (10.81 | ) | | | (12.61 | ) | | | (11.01 | ) | | | (10.87 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Increase (decrease) for the period | | | 19.10 | | | | 29.91 | | | | 33.37 | | | | (99.35 | ) | | | (73.63 | ) | | | (68.98 | ) |
Net Asset Value per Redeemable Unit, beginning of period | | | 1,075.06 | | | | 956.76 | | | | 949.54 | | | | 1,186.26 | | | | 1,028.28 | | | | 1,012.87 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value per Redeemable Unit, end of period | | $ | 1,094.16 | | | $ | 986.67 | | | $ | 982.91 | | | $ | 1,086.91 | | | $ | 954.65 | | | $ | 943.89 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
* | Includes brokerage commissions |
** | Excludes brokerage commissions |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Three Months Ended June 30, | |
| | 2013 | | | 2012 | |
| | Class A | | | Class D | | | Class Z | | | Class A | | | Class D | | | Class Z | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (7.0 | )% | | | (4.3 | )% | | | (3.4 | )% | | | (6.9 | )% | | | (4.1 | )% | | | (3.7 | )% |
Incentive fees | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss before incentive fees **** | | | (7.0 | )% | | | (4.3 | )% | | | (3.4 | )% | | | (6.9 | )% | | | (4.1 | )% | | | (3.7 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | |
Operating expenses | | | 7.0 | % | | | 4.3 | % | | | 3.4 | % | | | 7.0 | % | | | 4.1 | % | | | 3.7 | % |
Incentive fees | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses and incentive fee | | | 7.0 | % | | | 4.3 | % | | | 3.4 | % | | | 7.0 | % | | | 4.1 | % | | | 3.7 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return: | | | | | | | | | | | | | | | | | | | | | | | | |
Total return before incentive fees | | | (3.2 | )% | | | (2.5 | )% | | | (2.3 | )% | | | (6.0 | )% | | | (5.4 | )% | | | (5.2 | )% |
Incentive fees | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return after incentive fees | | | (3.2 | )% | | | (2.5 | )% | | | (2.3 | )% | | | (6.0 | )% | | | (5.4 | )% | | | (5.2 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | |
*** | Annualized (other than incentive fees). |
**** | Interest income allocated from Master less total expenses. |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Six Months Ended June 30, | |
| | 2013 | | | 2012 | |
| | Class A | | | Class D | | | Class Z | | | Class A | | | Class D | | | Class Z | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (7.0 | )% | | | (4.2 | )% | | | (3.4 | )% | | | (7.0 | )% | | | (4.2 | )% | | | (3.9 | )% |
Incentive fees | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss before incentive fees **** | | | (7.0 | )% | | | (4.2 | )% | | | (3.4 | )% | | | (7.0 | )% | | | (4.2 | )% | | | (3.9 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | |
Operating expenses | | | 7.0 | % | | | 4.3 | % | | | 3.4 | % | | | 7.0 | % | | | 4.2 | % | | | 4.0 | % |
Incentive fees | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total expenses and incentive fee | | | 7.0 | % | | | 4.3 | % | | | 3.4 | % | | | 7.0 | % | | | 4.2 | % | | | 4.0 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return: | | | | | | | | | | | | | | | | | | | | | | | | |
Total return before incentive fees | | | 1.8 | % | | | 3.1 | % | | | 3.5 | % | | | (8.4 | )% | | | (7.2 | )% | | | (6.8 | )% |
Incentive fees | | | — | % | | | — | % | | | — | % | | | — | % | | | — | % | | | | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return after incentive fees | | | 1.8 | % | | | 3.1 | % | | | 3.5 | % | | | (8.4 | )% | | | (7.2 | )% | | | (6.8 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | |
*** | Annualized (other than incentive fees). |
**** | Interest income allocated from Master less total expenses.. |
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class for the Classes using the limited partners’ share of income, expenses and average net assets.
11
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
Financial Highlights of the Master:
| | | | | | | | | | | | | | | | |
| | Three Months Ended June 30, | | | Six Months Ended June 30, | |
| | 2013 | | | 2012 | | | 2013 | | | 2012 | |
| | | | |
Net realized and unrealized gains (losses) * | | $ | (39.11 | ) | | $ | (109.57 | ) | | $ | 124.53 | | | $ | (130.31 | ) |
Interest income | | | 0.15 | | | | 0.31 | | | | 0.50 | | | | 0.54 | |
Expenses ** | | | (0.10 | ) | | | (0.05 | ) | | | (0.27 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | |
Increase (decrease) for the period | | | (39.06 | ) | | | (109.31 | ) | | | 124.76 | | | | (129.89 | ) |
Distribution | | | (0.15 | ) | | | (0.31 | ) | | | (0.50 | ) | | | (0.54 | ) |
Net asset Value per Redeemable Unit, beginning of period | | | 2,554.33 | | | | 2,449.53 | | | | 2,390.86 | | | | 2,470.34 | |
| | | | | | | | | | | | | | | | |
Net asset Value per Redeemable Unit, end of period | | $ | 2,515.12 | | | $ | 2,339.91 | | | $ | 2,515.12 | | | $ | 2,339.91 | |
| | | | | | | | | | | | | | | | |
* | Includes brokerage commissions |
** | Excludes brokerage commissions |
| | | | | | | | | | | | | | | | |
| | Three Months Ended June 30, | | | Six Months Ended June 30, | |
| | 2013 | | | 2012 | | | 2013 | | | 2012 | |
| | | | |
Ratios to Average Net Assets:**** | | | | | | | | | | | | | | | | |
Net investment income (loss)*** | | | (0.1) | % | | | (0.1) | % | | | (0.1) | % | | | (0.1) | % |
| | | | | | | | | | | | | | | | |
Operating expenses | | | 0.2 | % | | | 0.1 | % | | | 0.2 | % | | | 0.1 | % |
| | | | | | | | | | | | | | | | |
Total return | | | (1.5) | % | | | (4.5) | % | | | 5.2 | % | | | (5.3) | % |
| | | | | | | | | | | | | | | | |
*** | Interest income less total expenses (exclusive of incentive fees) |
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.
The Partnership was formed for the purpose of trading commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro rata share of the results of the Master’s trading activities are shown in the Statements of Income and Expenses.
During the second quarter of 2013, CMF Winton Master L.P. entered into brokerage account agreements with MS&Co. The Partnership, through its investment in the Master, will pay MS&Co. a service fee equal to $0.70 per round-turn for futures transactions, an equivalent amount for swaps, excluding forward foreign currency transactions, and $0.35 per side for option transactions, excluding foreign exchange options. CMF Winton Master L.P. expects to commence trading during June 2013.
Effective April 12, 2013, CMF Winton Master L.P. entered into a foreign exchange brokerage agreement with MS&Co. and commenced trading on or about May 1, 2013. The Partnership, through its investment in the Funds, will pay MS&Co. a foreign exchange prime brokerage fee equal to $4 per $1 million (notional) spot and forward foreign currency contracts transacted each month.
The customer agreements between the Partnership and CGM and the Master and CGM/MS&Co. give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and open forward contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210-20, “Balance Sheet,” have been met.
Brokerage fees are calculated as a percentage of the adjusted net asset value per class on the last day of each month and are affected by trading performance, subscriptions and redemptions.
All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures contracts traded during the three months ended June 30, 2013 and 2012 was 44,226 and 56,574, respectively. The monthly average number of futures contracts traded during the six months ended June 30, 2013 and 2012 was 43,016 and 49,785, respectively. The monthly average number of metals forward contracts traded during the three months ended June 30, 2013 and 2012 was 1,266 and 2,541, respectively. The monthly average number of metals forward contracts traded during the six months ended June 30, 2013 and 2012 was 1,128 and 2,585, respectively. The average notional value of currency forward contracts during the three months ended June 30, 2013 and 2012 was $974,000,840 and $697,754,366, respectively. The average notional value of currency forward contracts during the six months ended June 30, 2013 and 2012 was $748,831,565 and $576,262,596, respectively. The monthly average number of options contracts traded during the three months ended June 30, 2012 was 181. The monthly average number of options contracts traded during the six months ended June 30, 2012 was 179. There were no options contracts traded during the three and six months ended June 30, 2013.
12
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
On January 1, 2013, the Partnership adopted Accounting Standards Update (“ASU”) 2011-11, “Disclosure about Offsetting Assets and Liabilities” and ASU 2013-01, “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” ASU 2011-11 created a new disclosure requirement about the nature of an entity’s rights to setoff and the related arrangements associated with its financial instruments and derivative instruments, while ASU 2013-01 clarified the types of instruments and transactions that are subject to the offsetting disclosure requirements established by ASU 2011-11. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of these disclosures is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (“IFRS”). The new guidance did not have a significant impact on the Partnership’s financial statements.
The following tables summarize the valuation of the Master’s investments as of June 30, 2013 and December 31, 2012, respectively.
| | | | | | | | | | | | |
June 30, 2013 | | Gross Amounts Recognized | | | Gross Amounts Offset in the Statement of Financial Condition | | | Net Amounts Presented in the Statement of Financial Condition | |
Assets | | | | | | | | | | | | |
Futures | | $ | 1,649,356 | | | $ | (24,595,870 | ) | | $ | (22,946,514 | ) |
Forwards | | | 1,573,051 | | | | (5,037,331 | ) | | | (3,464,280 | ) |
| | | | | | | | | | | | |
Total Assets | | $ | 3,222,407 | | | $ | (29,633,201 | ) | | $ | (26,410,794 | ) |
| | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | |
Futures | | $ | 31,663,902 | | | $ | (1,892,835 | ) | | $ | 29,771,067 | |
Forwards | | | 7,164,164 | | | | (1,537,608 | ) | | | 5,626,556 | |
| | | | | | | | | | | | |
Total Liabilities | | $ | 38,828,066 | | | $ | (3,430,443 | ) | | $ | 35,397,623 | |
| | | | | | | | | | | | |
| | | |
Net unrealized appreciation on open futures contracts | | | | | | | | | | $ | 6,824,553 | |
Net unrealized appreciation on open forward contracts | | | | | | | | | | $ | 2,162,276 | |
| | | | | | | | | | | | |
Net fair value | | | | | | | | | | $ | 8,986,829 | |
| | | | | | | | | | | | |
| | | |
December 31, 2012 | | Gross Amounts Recognized | | | Gross Amounts Offset in the Statement of Financial Condition | | | Net Amounts Presented in the Statement of Financial Condition | |
Assets | | | | | | | | | | | | |
Futures | | $ | 16,419,317 | | | $ | (15,635,925 | ) | | $ | 783,392 | |
Forwards | | | 2,067,280 | | | | (2,151,293 | ) | | | (84,013 | ) |
| | | | | | | | | | | | |
Total Assets | | $ | 18,486,597 | | | $ | (17,787,218 | ) | | $ | 699,379 | |
| | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | |
Futures | | $ | 14,476,250 | | | $ | (2,894,311 | ) | | $ | 11,581,939 | |
Forwards | | | 1,161,184 | | | | (3,850,805 | ) | | | (2,689,621 | ) |
| | | | | | | | | | | | |
Total Liabilities | | $ | 15,637,434 | | | $ | (6,745,116 | ) | | $ | 8,892,318 | |
| | | | | | | | | | | | |
| | | |
Net unrealized appreciation on open futures contracts | | | | | | | | | | $ | 12,365,331 | |
Net unrealized depreciation on open forward contracts | | | | | | | | | | $ | (2,773,634 | ) |
| | | | | | | | | | | | |
Net fair value | | | | | | | | | | $ | 9,591,697 | |
| | | | | | | | | | | | |
The following tables indicate the gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of June 30, 2013 and December 31, 2012.
| | | | |
| | June 30, 2013 | |
Assets | | | | |
Futures Contracts | | | | |
Currencies | | $ | 9,184,895 | |
Energy | | | 1,028,866 | |
Grains | | | 2,846,347 | |
Indices | | | 629,592 | |
Interest Rates U.S. | | | 225,329 | |
Interest Rates Non-U.S. | | | 101,068 | |
Livestock | | | 385,950 | |
Metals | | | 17,495,335 | |
Softs | | | 1,415,878 | |
| | | | |
Total unrealized appreciation on open futures contracts | | $ | 33,313,260 | |
| | | | |
| |
Liabilities | | | | |
Futures Contracts | | | | |
Currencies | | $ | (5,082,637 | ) |
Energy | | | (3,584,337 | ) |
Grains | | | (2,945,069 | ) |
Indices | | | (7,901,622 | ) |
Interest Rates U.S. | | | (1,673,284 | ) |
Interest Rates Non-U.S. | | | (4,736,048 | ) |
Livestock | | | (140,658 | ) |
Metals | | | (14,087 | ) |
Softs | | | (410,965 | ) |
| | | | |
Total unrealized depreciation on open futures contracts | | $ | (26,488,707 | ) |
| | | | |
| |
Net unrealized appreciation on open futures contracts | | $ | 6,824,553 | * |
| | | | |
| |
| | June 30, 2013 | |
Assets | | | | |
Forward Contracts | | | | |
Currencies | | $ | 2,708,328 | |
Metals | | | 6,028,887 | |
| | | | |
Total unrealized appreciation on open forward contracts | | $ | 8,737,215 | |
| | | | |
| |
Liabilities | | | | |
Forward Contracts | | | | |
Currencies | | $ | (4,551,174 | ) |
Metals | | | (2,023,765 | ) |
| | | | |
Total unrealized depreciation on open forward contracts | | $ | (6,574,939 | ) |
| | | | |
| |
Net unrealized appreciation on open forward contracts | | $ | 2,162,276 | ** |
| | | | |
* | This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. |
** | This amount is in “Net unrealized appreciation on open forward contracts” on the Master’s Statements of Financial Condition. |
13
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
| | | | |
| | December 31, 2012 | |
Assets | | | | |
Futures Contracts | | | | |
Currencies | | $ | 15,948,894 | |
Energy | | | 801,827 | |
Grains | | | 141,670 | |
Indices | | | 7,395,057 | |
Interest Rates U.S. | | | 559,432 | |
Interest Rates Non-U.S. | | | 5,104,485 | |
Livestock | | | 17,490 | |
Metals | | | 20,055 | |
Softs | | | 906,656 | |
| | | | |
Total unrealized appreciation on open futures contracts | | $ | 30,895,566 | |
| | | | |
Liabilities | | | | |
Futures Contracts | | | | |
Currencies | | $ | (3,507,208 | ) |
Energy | | | (1,722,456 | ) |
Grains | | | (1,199,063 | ) |
Indices | | | (3,926,141 | ) |
Interest Rates U.S. | | | (1,756,823 | ) |
Interest Rates Non-U.S. | | | (1,725,905 | ) |
Livestock | | | (355,927 | ) |
Metals | | | (3,831,323 | ) |
Softs | | | (505,389 | ) |
| | | | |
Total unrealized depreciation on open futures contracts | | $ | (18,530,235 | ) |
| | | | |
Net unrealized appreciation on open futures contracts | | $ | 12,365,331 | * |
| | | | |
| |
| | December 31, 2012 | |
Assets | | | | |
Forward Contracts | | | | |
Currencies | | $ | 2,577,172 | |
Metals | | | 651,293 | |
| | | | |
Total unrealized appreciation on open forward contracts | | $ | 3,228,465 | |
| | | | |
Liabilities | | | | |
Forward Contracts | | | | |
Currencies | | $ | (1,598,942 | ) |
Metals | | | (4,403,157 | ) |
| | | | |
Total unrealized depreciation on open forward contracts | | $ | (6,002,099 | ) |
| | | | |
Net unrealized depreciation on open forward contracts | | $ | (2,773,634 | )** |
| | | | |
* | This amount is in “Net unrealized appreciation on open futures contracts” on the Master’s Statements of Financial Condition. |
** | This amount is in “Net unrealized depreciation on open forward contracts” on the Master’s Statements of Financial Condition. |
14
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three months ended June 30, 2013 and 2012.
| | | | | | | | | | | | | | | | |
| | Three Months Ended June 30, | | | Six Months Ended June 30, 2013 | |
Sector | | 2013 | | | 2012 | | | 2013 | | | 2012 | |
Currencies | | $ | (9,182,227 | ) | | $ | (10,517,834 | ) | | $ | 2,385,065 | | | $ | (39,669,175 | ) |
Energy | | | (6,339,946 | ) | | | (25,736,616 | ) | | | (6,517,226 | ) | | | (12,297,722 | ) |
Grains | | | 2,356,148 | | | | (3,615,609 | ) | | | 4,258,420 | | | | (5,751,512 | ) |
Indices | | | 6,809,509 | | | | (39,173,713 | ) | | | 50,389,136 | | | | (13,689,165 | ) |
Interest Rates U.S. | | | (20,546,217 | ) | | | 17,466,751 | | | | (25,083,503 | ) | | | 11,233,519 | |
Interest Rates Non-U.S. | | | (24,181,594 | ) | | | 21,475,862 | | | | (26,134,845 | ) | | | 22,097,200 | |
Livestock | | | 1,213,192 | | | | 263,963 | | | | 1,932,814 | | | | 779,581 | |
Metals | | | 39,260,415 | | | | 2,758,776 | | | | 36,483,834 | | | | (3,682,046 | ) |
Softs | | | 1,014,619 | | | | 689,036 | | | | 3,185,196 | | | | (1,997,146 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (9,596,101 | )*** | | $ | (36,389,384 | )*** | | $ | 40,898,891 | *** | | $ | (42,976,466 | )*** |
| | | | | | | | | | | | | | | | |
*** | This amount is in “Total trading results” on the Master’s Statements of Income and Expenses and Changes in Partners’ Capital. |
15
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
4. | Fair Value Measurements: |
Partnership’s Investments.The Partnership values its investment in the Master at its net asset value per unit per class calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2012.
Partnership’s Fair Value Measurements.Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.
GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. The General Partner has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s Level 2 assets and liabilities.
The Partnership will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
On October 1, 2012, the Financial Accounting Standards Board (“FASB”) issued ASU 2012-04 “Technical Corrections and Improvements,” which makes minor technical corrections and clarifications to Accounting Standards Codification (“ASC”) 820, “Fair Value Measurements and Disclosures.” When the FASB issued Statement 157 (codified in ASC 820), it conformed the use of the term “fair value” in certain pre-Codification standards but not others. ASU 2012-04 conforms the term’s use throughout the ASC “to fully reflect the fair value measurement and disclosure requirements” of ASC 820. ASU 2012-04 also amends the requirements that must be met for an investment company to qualify for the exemption from presenting a statement of cash flows. Specifically, it eliminates the requirements that substantially all of an entity’s investments be carried at “market value” and that the investments be highly liquid. Instead, it requires substantially all of the entity’s investments to be carried at “fair value” and classified as Level 1 or Level 2 measurements under ASC 820. The amendments are effective for fiscal periods beginning after December 15, 2012. The adoption of this ASU did not have a material impact on the Partnership’s financial statements.
The Partnership values its investment in the Master with no rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended June 30, 2013 and December 31, 2012, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). During the six months ended June 30, 2013 and for the year ended December 31, 2012, there were no transfers of assets and liabilities between Level 1 and Level 2.
| | | | | | | | | | | | | | | | |
| | June 30, 2013 | | | Quoted Prices in Active Markets for Identical Assets (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | |
Assets | | | | | | | | | | | | | | | | |
Investment in Master | | $ | 209,976,370 | | | $ | 0 | | | $ | 209,976,370 | | | $ | 0 | |
| | | | | | | | | | | | | | | | |
Net fair value | | $ | 209,976,370 | | | $ | 0 | | | $ | 209,976,370 | | | $ | 0 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | December 31, 2012 | | | Quoted Prices in Active Markets for Identical Assets (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | |
Assets | | | | | | | | | | | | | | | | |
Investment in Master | | $ | 210,916,733 | | | $ | — | | | $ | 210,916,733 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Net fair value | | $ | 210,916,733 | | | $ | — | | | $ | 210,916,733 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Master’s Investments.All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.
16
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
Master’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.
GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Master’s Level 2 assets and liabilities.
The Master will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values ofnon-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended June 30, 2013 and December 31, 2012, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the six months ended June 30, 2013 and for the year ended December 31, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.
| | | | | | | | | | | | | | | | |
| | June 30, 2013 | | | Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | |
Assets | | | | | | | | | | | | | | | | |
Futures | | $ | 33,313,260 | | | $ | 33,313,260 | | | $ | — | | | $ | — | |
Forwards | | | 8,737,215 | | | | 6,028,887 | | | | 2,708,328 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets | | $ | 42,050,475 | | | $ | 39,342,147 | | | $ | 2,708,328 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | |
Futures | | $ | 26,488,707 | | | $ | 26,488,707 | | | $ | — | | | $ | — | |
Forwards | | | 6,574,939 | | | | 2,023,765 | | | | 4,551,174 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | $ | 33,063,646 | | | $ | 28,512,472 | | | $ | 4,551,174 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Net fair value | | $ | 8,986,829 | | | $ | 10,829,675 | | | $ | (1,842,846 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | December 31, 2012 | | | Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) | | | Significant Other Observable Inputs (Level 2) | | | Significant Unobservable Inputs (Level 3) | |
Assets | | | | | | | | | | | | | | | | |
Futures | | $ | 30,895,566 | | | $ | 30,895,566 | | | $ | — | | | $ | — | |
Forwards | | | 3,228,465 | | | | 651,293 | | | | 2,577,172 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets | | $ | 34,124,031 | | | $ | 31,546,859 | | | $ | 2,577,172 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | | | | | |
Futures | | $ | 18,530,235 | | | $ | 18,530,235 | | | $ | — | | | $ | — | |
Forwards | | | 6,002,099 | | | | 4,403,157 | | | | 1,598,942 | | | | — | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | $ | 24,532,334 | | | $ | 22,933,392 | | | $ | 1,598,942 | | | $ | — | |
| | | | | | | | | | | | | | | | |
Net fair value | | $ | 9,591,697 | | | $ | 8,613,467 | | | $ | 978,230 | | | $ | — | |
| | | | | | | | | | | | | | | | |
5. | Financial Instrument Risks: |
In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments withoff-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange orover-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forward and option contracts. OTC contracts are negotiated between contracting parties and include swaps and certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instrument including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.3% to 21.4% of the Partnership’s/Master’s contracts are traded OTC.
The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.
Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Master 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/Master is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.
17
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Master’s risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Master’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit risk and concentration risk as CGM and/or MS&Co. or their affiliates are the counterparties or brokers with respect to the Partnership’s/Master’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through CGM and/or MS&Co., the Partnership’s/Master’s counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Master pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Master 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 Master does not consider these contracts to be guarantees.
The General Partner monitors and attempts to control the Partnership’s/Master’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Master may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.
The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Master’s business, these instruments may not be held to maturity.
6. | Critical Accounting Policies: |
Use of Estimates.The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.
Partnership’s Investments.The Partnership values its investment in the Master at its net asset value per unit per Class as calculated by the Master. The Master values its investments as described in Note 2 of the Master’s notes to the annual financial statements as of December 31, 2012.
Partnership’s and the Master’s Fair Value Measurements.Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Master’s Level 1 assets and liabilities are actively traded.
GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Master’s Level 2 assets and liabilities.
The Partnership and the Master will separately present purchases, sales, issuances and settlements in their reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership values investments in the Master with no rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnership’s investment in the Master reflects its proportional interest in the Master. As of and for the periods ended June 30, 2013 and December 31, 2012, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During six months ended June 30, 2013 and for the year ended December 31, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.
The Master considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values ofnon-exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended June 30, 2013 and December 31, 2012, the Master did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the six months ended June 30, 2013 and for the year ended December 31, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.
Futures Contracts.The Master trades 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 Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.
18
Managed Futures Premier Abingdon L.P.
Notes to Financial Statements
June 30, 2013
(Unaudited)
Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Master agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Master’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.
The Master does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners’ Capital.
London Metals Exchange Forward Contracts.Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Master are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. 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 Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.
Options.The Master may purchase and write (sell) both exchange-listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Master writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.
Income Taxes.Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses.
GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements.
The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2009 through 2012 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.
Subsequent Events.The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.
Recent Accounting Pronouncements. In June 2013, the FASB issued ASU 2013-08, “Financial Services — Investments Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”. ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company’s status as an investment company. The amendments are effective for interim and annual reporting periods beginning after December 15, 2013. The Partnership is currently evaluating the impact this pronouncement would have on the financial statements.
Net Income (Loss) per unit. Net income (loss) per unit for each Class is calculated in accordance with investment company guidance. See Note 2 “Financial Highlights.”
19
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Master and cash. The Master does not engage in sales of goods or services. The Master’s only assets are its equity in its trading accounts, consisting of cash and cash margin, net unrealized appreciation on open futures contracts, net unrealized appreciation on forward contracts and options. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred in the second quarter of 2013.
The Partnership’s capital consists of capital contributions, as increased or decreased by income (loss) from its investment in the Master, expenses, interest income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any. For the six months ended June 30, 2013, Partnership capital increased 0.5% from $205,586,966 to $206,601,732. This increase was attributable to a net income of $3,841,436, coupled with subscriptions of 19,040.4110 Redeemable Units of Class A totaling $21,482,536, subscriptions of 2,365.5160 Redeemable Units of Class D totaling $2,430,000 and subscriptions for 57.0880 Redeemable Units of Class Z totaling $60,623. This increase was partially offset by redemptions for 23,755.0480 Redeemable Units of Class A totaling $26,744,786 and redemptions for 56.0000 Redeemable Units of Class Z totaling $55,043.
The Master’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of units and distributions of profits, if any.
For the six months ended June 30, 2013, the Master’s capital decreased 6.3% from $759,910,513 to $712,388,389. This decrease was attributable to redemptions for 51,265.6629 units totaling $129,980,576 and distribution of interest income to feeder funds totaling $148,912. This decrease was partially offset by net income of $40,467,504, coupled with subscriptions for 16,668.0058 units totaling $42,139,860. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.
Critical Accounting Policies
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates and assumptions 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 6 of the Financial Statements.
The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners’ Capital.
20
Results of Operations
During the Partnership’s second quarter of 2013, the net asset value per unit for Class A decreased 3.2% from $1,129.84 to $1,094.16 as compared to a decrease of 6.0% in the second quarter of 2012. During the Partnership’s second quarter of 2013, the net asset value per unit for Class D decreased 2.5% from $1,012.16 to $986.67 as compared to a decrease of 5.4% in the second quarter of 2012. During the Partnership’s second quarter of 2013, the net asset value per unit for Class Z decreased 2.3% from $1,006.41 to $982.91 as compared to a decrease of 5.2% in the second quarter of 2012. The Partnership, through its investment in the Master, experienced a net trading loss before brokerage fees and related fees in the second quarter of 2013 of $3,225,334. Losses were primarily attributable to the Master’s trading of commodity futures in currencies, energy, and U.S. and non-U.S. interest rates were partially offset by gains in grains, livestock, metals, softs and indices. The Partnership, through its investment in the Master, experienced a net trading loss before brokerage fees and related fees in the second quarter of 2012 of $10,765,826. Losses were primarily attributable to the Master’s trading of commodity futures in currency, energy, grains, and indices and were partially offset by gains in non-U.S. and U.S. interest rates, livestock, metals and softs.
The most significant losses were incurred within the global interest rate sector during May and June from long positions in U.S. and European interest rate futures as prices declined amid speculation a strengthening U.S. economy would spur the Federal Reserve to cut is bond buying program. Additional losses were recorded in the currency markets during May and June from positions in the British pound and the euro as the value of these European currencies moved without consistent direction amid conflicting data and expectations for future European economic growth. Within the energy markets, losses were experienced during May from long futures positions in natural gas futures as prices declined in late May on forecasts of mild weather and bigger-than-expected inventories in the U.S. Natural gas prices continued this downward movement throughout June, adding to the Partnership’s losses from long natural gas futures positions. A portion of the Partnership’s losses during the quarter was offset by gains achieved within the metals sector throughout the quarter from short positions in gold futures as prices declined on signs the U.S. economy was growing at a faster-than-expected rate, decreasing demand for gold as a store of value. Additional gains within the sector were achieved from short positions in copper futures during June as prices declined due to concerns a manufacturing slowdown in China would decrease demand for the industrial metal. Within the global stock index markets, gains were recorded during April and May from long positions in U.S., European and Asian stock index futures as prices increased as central bank chiefs in the U.S., Europe and Japan pledged to support ongoing stimulus measures. Additional gains were recorded within the agricultural markets from long positions in soybean futures as prices increased towards the end of May amid planting delays in the U.S. and sustained demand from China. Smaller profits in the agriculturals were recorded from short positions in coffee futures throughout much of the quarter.
During the Partnership’s six months ended June 30, 2013, the Partnership’s net asset value per Class A Redeemable Unit increased 1.8% from $1,075.06 to $1,094.16 as compared to a decrease of 8.4% in the six months ended June 30, 2012. During the Partnership’s six months ended June 30, 2013, the Partnership’s net asset value per Class D Redeemable Unit increased 3.1% from $956.76 to $986.67 as compared to a decrease of 7.2% in the six months ended June 30, 2012. During the Partnership’s six months ended June 30, 2013, the Partnership’s net asset value per Class Z Redeemable Unit increased 3.5% from $949.54 to $982.91 as compared to a decrease of 6.8% in the six months ended June 30, 2012. The Partnership experienced a net trading gain through its investment in the Funds before brokerage fees and related fees in the six months ended June 30, 2013 of $10,909,943. Gains were primarily attributable to the Master’s trading of commodity futures in currencies, grains, livestock, metals, softs and indices and were partially offset by losses in energy, non-U.S. and U.S. interest rates. The Partnership, through its investment in the Master, experienced a net trading loss before brokerage fees and related fees in the six months ended June 30, 2012 of $12,835,181. Losses were primarily attributable to the Master’s trading of commodity futures in currency, energy, grains, metals, softs and indices and were partially offset by gains in non-U.S. and U.S. interest rates and livestock.
The most significant gains were recorded within the global stock index markets in January from long positions in U.S., European and Asian stock index futures as prices advanced on positive economic sentiment in the U.S. following the resolution of the ‘fiscal cliff’ and as newly elected Japanese Prime Minister Shinzo Abe voiced his commitment to advance stimulus measures in that country. Throughout the next several months, central bank quantitative easing measures in much of the industrialized world continued to drive global stock prices higher, with long futures positions in the sector posting gains in each month with the exception of during June. Within the metals sector, gains were achieved during the second quarter from short positions in gold futures as prices declined on reports the U.S. Federal Reserve would consider curtailing its stimulus program earlier-than-expected, decreasing demand for gold as a store of value. Additional gains were recorded from short positions in copper futures in April and June as prices declined following reports a key gauge of Chinese manufacturing missed estimates, spurring concern demand from China may slow. Within the agricultural markets, gains were recorded during February from short positions in wheat futures as rain in the Midwest weakened prices amid dampened concerns that drought conditions would curtail U.S. exports. During May, long positions in soybean futures resulted in additional gains as prices increased amid planting delays in the U.S. and sustained demand from China. In currencies, gains were recorded primarily during January from short positions in the Japanese yen versus the U.S. dollar as the value of the yen declined on speculation the Bank of Japan will ease monetary policy. A portion of the Partnerships gains during the first half of the year was offset by losses incurred within the global interest rate sector during May and June from long positions in U.S. and European interest rate futures as prices declined due to speculation the U.S. Federal Reserve Bank would curb stimulus measures. Within the energy markets, losses were incurred primarily during May and June from long positions in natural gas futures as prices declined due to mild weather throughout much of the U.S. and larger-than-expected inventories.
21
Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership (and the Master) depends on the existence of major price trends and the ability of the Advisor to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationship, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Partnership (and the Master) expects to increase capital through operations.
Interest income on 80% of the Partnership’s average daily equity allocated to it by the Master was earned at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days. Interest income allocated from the Master for the three and six months ended June 30, 2013 decreased by $16,367 and $10,902, respectively, as compared to the corresponding periods in 2012. The decrease in interest income is primarily due to lower U.S. Treasury bill rates during the three and six months ended June 30, 2013 as compared to the corresponding periods in 2012.
Brokerage fees are calculated as a percentage of the adjusted net asset value per class on the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three and six months ended June 30, 2013 decreased by $310,729 and $662,987, respectively, as compared to the corresponding periods in 2012. The decrease in brokerage fees is due to lower net assets per class during the three and six months ended June 30, 2013 as compared to the corresponding periods in 2012.
Management fees are calculated as a percentage of the net asset value per class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Management fees for the three and six months ended June 30, 2013 decreased by $102,378 and $222,212, respectively, as compared to the corresponding periods in 2012. The decrease in management fees is due to lower net assets per class during the three and six months ended June 30, 2013 as compared to the corresponding periods in 2012.
Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees are calculated as a percentage of the net asset value per class as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. Administrative fees for the three and six months ended June 30, 2013 decreased by $34,125 and $74,070, respectively, as compared to the corresponding periods in 2012. The decrease in administrative fees is due to lower net assets per class during the three and six months ended June 30, 2013 as compared to the corresponding periods in 2012.
Incentive fees paid by the Partnership are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the management agreements among the Partnership, the General Partner and the Advisor. There were no incentive fees for the three and six months ended June 30, 2013 and 2012, respectively. The Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.
In allocating substantially all of the assets of the Partnership to the Master, the General Partner considers the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisor at any time.
22
Item 3. Quantitative and Qualitative Disclosures about Market Risk
All of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. The Master is a speculative commodity pool. The market sensitive instruments held by the Master are acquired for speculative trading purposes, and all or substantially all of the Partnership’s assets are subject to the risk of trading loss through its investment in the Master. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Master’s and the Partnership’s main line of business.
The limited partners will not be liable for losses exceeding the current net asset value of their investment.
Market movements result in frequent changes in the fair value of the Master’s open positions and, consequently, in its earnings and cash flow. The Master’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 Master’s open contracts and the liquidity of the markets in which it trades.
The Master 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 Master’s past performance is not necessarily indicative of its future results.
“Value at Risk” is a measure of the maximum amount which the Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Master’s speculative trading and the recurrence in the markets traded by the Master of market movements far exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or the Master’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 Master’s losses in any market sector will be limited to Value at Risk or by the Master’s attempts to manage its market risk.
Exchange maintenance margin requirements have been used by the Master as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in95%-99% of anyone-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 given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the Master’s open positions by market category as of June 30, 2013 and December 31, 2012, and the highest, lowest and average values during the three months ended June 30, 2013 and for the twelve months ended December 31, 2012. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form10-K for the year ended December 31, 2012.
As of June 30, 2013, the Master’s total capitalization was $712,388,389 and the Partnership owned approximately 29.5% of the Master. The Partnership invests substantially all of its assets in the Master. The Master’s Value at Risk as of June 30, 2013 was as follows:
June 30, 2013
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Three Months Ended June 30, 2013 | |
Market Sector | | Value at Risk | | | % of Total Capitalization | | | High Value at Risk | | | Low Value at Risk | | | Average Value at Risk | |
Currencies | | $ | 41,119,791 | | | | 5.77 | % | | $ | 45,364,007 | | | $ | 10,543,775 | | | $ | 34,965,335 | |
Commodities | | | 29,943,572 | | | | 4.20 | % | | | 29,943,572 | | | | 14,921,268 | | | | 21,010,658 | |
Indices | | | 17,790,086 | | | | 2.50 | % | | | 37,412,087 | | | | 17,717,248 | | | | 27,803,542 | |
Interest Rates | | | 4,320,119 | | | | 0.61 | % | | | 30,545,376 | | | | 4,320,119 | | | | 21,353,406 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL | | $ | 93,173,568 | | | | 13.08 | % | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
23
As of December 31, 2012, the Master’s total capitalization was $759,910,513 and the Partnership owned approximately 27.8% of the Master. The Partnership invests substaintially all of its assets in the Master. The Master’s Value at Risk as of December 31, 2012 was as follows:
December 31, 2012
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Twelve Months Ended December 31, 2012 | |
Market Sector | | Value at Risk | | | % of Total Capitalization | | | High Value at Risk | | | Low Value at Risk | | | Average Value at Risk* | |
Currencies | | $ | 41,304,444 | | | | 5.44 | % | | $ | 48,114,633 | | | $ | 24,998,252 | | | $ | 35,093,130 | |
Energy | | | 2,810,183 | | | | 0.37 | % | | | 11,050,143 | | | | 2,290,040 | | | | 5,543,539 | |
Grains | | | 1,056,340 | | | | 0.14 | % | | | 8,043,023 | | | | 1,056,340 | | | | 4,228,063 | |
Indices | | | 34,741,652 | | | | 4.57 | % | | | 34,741,652 | | | | 6,373,580 | | | | 21,642,491 | |
Interest Rates U.S. | | | 7,604,210 | | | | 1.00 | % | | | 14,904,463 | | | | 3,822,340 | | | | 10,772,523 | |
Interest Rates Non-U.S. | | | 12,626,364 | | | | 1.66 | % | | | 27,870,158 | | | | 11,844,253 | | | | 17,985,323 | |
Livestock | | | 421,690 | | | | 0.06 | % | | | 501,100 | | | | 370,125 | | | | 434,535 | |
Lumber | | | 16,250 | | | | 0.00 | %** | | | 21,000 | | | | 1,250 | | | | 12,213 | |
Metals | | | 5,450,886 | | | | 0.71 | % | | | 13,389,367 | | | | 4,708,508 | | | | 8,492,359 | |
Softs | | | 1,906,254 | | | | 0.25 | % | | | 2,551,922 | | | | 949,643 | | | | 1,850,513 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 107,938,273 | | | | 14.20 | % | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
* | Annual average of month-end Value at Risk |
24
Item 4. Controls and Procedures
The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934 (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the President and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.
The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and15d-15(e) under the Exchange Act) as of June 30, 2013 and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.
The Partnership’sinternal control over financial reportingis a process under the supervision of the General Partner’s President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:
| • | | pertain to the maintenance of records, that in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
| • | | provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and |
| • | | provide reasonable assurance regarding prevention or timely detection 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 June 30, 2013 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.
25
PART II. OTHER INFORMATION
Item 1. Legal Proceedings
There are no material legal proceedings pending against the Partnership nor the General Partner.
The following information supplements and amends the discussion set forth under Part I, Item 3 “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012, as updated by the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013.
Citigroup Global Markets Inc.
Subprime Mortgage – Related Litigation and Other Matters
Securities Actions:
On May 31, 2013, the United States District Court for the Southern District of New York entered an order dismissing with prejudice the consolidated action INTERNATIONAL FUND MANAGEMENT S.A., ET AL. v. CITIGROUP INC., ET AL. and the individual action SWISSCANTO ASSET MANAGEMENT AG, ET AL. v. CITIGROUP INC., ET AL. pursuant to settlement agreements reached by the parties.
RMBS Litigation and Other Matters
Beginning in July 2010, Citigroup and Related Parties have been named as defendants in complaints filed by purchasers of mortgage-backed securities (“MBS”) and collateralized debt obligations (“CDOs”) sold or underwritten by Citigroup and certain of its subsidiaries. The MBS-related complaints generally assert that the defendants made material misrepresentations and omissions about the credit quality of the mortgage loans underlying the securities, such as the underwriting standards to which the loans conformed, the loan-to-value ratio of the loans, and the extent to which the mortgaged properties were owner-occupied, and typically assert claims under Section 11 of the Securities Act of 1933, state blue sky laws, and/or common-law misrepresentation-based causes of action. The CDO-related complaints further allege that the defendants adversely selected or permitted the adverse selection of CDO collateral without full disclosure to investors. The plaintiffs in these actions generally seek rescission of their investments, recovery of their investment losses, or other damages. Other purchasers of MBS and CDOs sold or underwritten by Citigroup have threatened to file additional suits, for some of which Citigroup has agreed to toll (extend) the statute of limitations.
The filed actions generally are in the early stages of proceedings, and certain of the actions or threatened actions have been resolved through settlement or otherwise. The aggregate original purchase amount of the purchases at issue in the pending RMBS and CDO investor suits, including
26
claims that have been dismissed but are still subject to appeal or otherwise not fully resolved, is approximately $8 billion, and the aggregate original purchase amount of the purchases covered by tolling agreements with RMBS and CDO investors threatening litigation is approximately $6 billion.
On May 29, 2013, the United States District Court for the Southern District of New York so-ordered the parties’ stipulation of voluntary dismissal with prejudice in FEDERAL HOUSING FINANCE AGENCY v. CITIGROUP INC., ET AL. On June 24, 2013, the court entered orders of voluntary dismissal with prejudice and bar orders in FEDERAL HOUSING FINANCE AGENCY v. JPMORGAN CHASE & CO., ET AL. and FEDERAL HOUSING FINANCE AGENCY v. ALLY FINANCIAL INC., ET AL., dismissing with prejudice all claims against Citigroup in those actions.
On April 30, 2013, the United States District Court for the Southern District of New York issued an order reinstating certain RMBS claims on behalf of a putative class of purchasers of mortgage-backed securities issued by Residential Accredit Loans, Inc. in NEW JERSEY CARPENTERS HEALTH FUND v. RESIDENTIAL CAPITAL LLC, ET AL. Citigroup Global Markets Inc. is named as an underwriter defendant, along with several other underwriter defendants, in plaintiffs’ consolidated third amended complaint, served on May 10, 2013.
Terra Firma Litigation
On September 15, 2010, the district court issued an order granting in part and denying in part Citigroup’s motion for summary judgment. Plaintiffs’ claims for negligent misrepresentation and tortious interference were dismissed. On October 18, 2010, a jury trial commenced on Plaintiffs’ remaining claims for fraudulent misrepresentation and fraudulent concealment. The court dismissed the fraudulent concealment claim before sending the case to the jury. On November 4, 2010, the jury returned a verdict on the fraudulent misrepresentation claim in favor of Citi. Judgment dismissing the complaint was entered on December 9, 2010. Plaintiffs have appealed the judgment as to the negligent misrepresentation claim, the fraudulent concealment claim and the fraudulent misrepresentation claim to the United States Court of Appeals for the Second Circuit. Argument was held on October 4, 2012. On May 31, 2013, the United States Court of Appeals for the Second Circuit vacated the November 2010 jury verdict in favor of Citigroup and ordered that the case be retried. The action was remanded to the United States District Court for the Southern District of New York, and retrial is scheduled to begin on October 7, 2013.
Other Matters
On May 6, 2013, Citibank, N.A. filed a complaint in the United States District Court for the Southern District of New York against Barclays Bank, PLC, seeking payment under a contractual indemnity for losses suffered as a result of foreign exchange trading by Lehman Brothers Inc. in September 2008.
Credit Default Swaps Information Market Matters
In April 2011, the European Commission (DG Competition) (the “EC”) opened an investigation (Case No COMP/39.745) concerning the market for pricing information concerning
27
credit default swaps (“CDS”). On July 2, 2013, the EC served on Citigroup and Related Parties, as well as a dozen other CDS dealers, a Statement of Objections alleging that Citigroup and the other dealers colluded to prevent exchanges from entering the credit derivatives business. The Statement of Objections sets forth the EC case team’s preliminary conclusions prior to hearing the dealers’ defenses.
In July 2009 and September 2011, the Antitrust Division of the U.S. Department of Justice served Civil Investigative Demands (“CIDs”) on Citigroup concerning its role in Markit, a financial information services firm that collects and disseminates valuation and other data relating to credit default swaps. Citigroup has responded to the CIDs and is cooperating with the investigation.
Interbank Offered Rates-Related litigation and Other Matters
On June 14, 2013, the Monetary Authority of Singapore (“MAS”) announced the results of its review of the submissions processes from 2007 to 2011 of twenty banks, including Citibank, N.A. Singapore Branch, for benchmarks set in Singapore, including the Singapore Interbank Offered Rates (“SIBOR”), Swap Offered Rates, and foreign exchange benchmarks used to settle non-deliverable forward FX contracts. All of the banks, including Citibank, N.A. Singapore Branch, were found to have deficiencies in governance, risk management, internal controls, and surveillance systems relating to benchmark submissions, and all were required, among other things, to adopt certain corrective measures, to make quarterly reports to the MAS, and (with one exception) to deposit additional statutory reserves with the MAS for a period of one year.
On June 11, 2013, the plaintiff in 7 W. 57TH ST. REALTY V. CITIGROUP, INC., ET AL., filed a First Amended Complaint. The plaintiff alleges that defendants, including Citigroup and Citibank, N.A., manipulated USD LIBOR in violation of federal and state antitrust law and the Racketeer Influenced and Corrupt Organizations Act, and seeks compensatory damages and, where authorized by statute, treble damages.
On May 20, 2013, an individual action was brought against Citigroup and Citibank, N.A., as well as other USD LIBOR panel banks on behalf of certain hedge funds that were parties to interest rate swap transactions. Based on allegations that the panel bank defendants manipulated USD LIBOR, plaintiffs assert claims for breach of contract, breach of the implied covenant of good faith and fair dealing, fraud, tortious interference with contract, civil conspiracy, and unjust enrichment, and seek compensatory damages.
On June 25 and 28, 2013, three additional individual actions were brought against Citigroup and Citibank, N.A., as well as other USD LIBOR panel banks by various California counties and related public entities. Plaintiffs in each of these actions allege that the panel bank defendants manipulated USD LIBOR in violation of federal and state antitrust law. Plaintiffs also assert claims for fraud, negligent misrepresentation, interference with economic advantage, breach of the implied covenant of good faith and fair dealing, and unjust enrichment, and seek compensatory damages and, where authorized by statute, treble damages and injunctive relief.
28
Morgan Stanley & Co. LLC
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.” or the “Company”).
MS&Co. is a wholly-owned, indirect subsidiary of Morgan Stanley (“MS”), a Delaware holding company. MS files periodic reports with the Securities and Exchange Commission as required by the Securities Exchange Act of 1934, 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 MS and its subsidiaries, including MS&Co. As a consolidated subsidiary of MS, 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 MS’s SEC 10-K filings for 2012, 2011, 2010, 2009, and 2008.
In addition to the matters described in those filings, in the normal course of business, each of MS 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 MS 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 MS 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):
On June 2, 2009, MS executed a final settlement with the Office of the New York State Attorney General (“NYAG”) in connection with its investigation relating to the sale of auction-rate securities (“ARS”). MS agreed, among other things to: (1) repurchase at par illiquid ARS that were purchased by certain retail clients prior to February 13, 2008; (2) pay certain retail clients that sold ARS below par the difference between par and the price at which the clients sold the securities; (3) arbitrate, under special procedures, claims for consequential damages by certain retail clients; (4) refund refinancing fees to certain municipal issuers of ARS; and (5) pay a total penalty of $35 million. On August 13, 2008, MS reached an agreement in principle on substantially the same terms with the Office of the Illinois Secretary of State, Securities Department (on behalf of a task force of other states under the auspices of the North American Securities Administrators Association) that would settle their investigations into the same matters.
29
On June 5, 2012, the Company consented to and became the subject of an Order Instituting Proceedings Pursuant to Sections 6(c) and 6(d) of the Commodity Exchange Act, as amended, Making Findings and Imposing Remedial Sanctions by The Commodity Futures Trading Commission (“CFTC”) to resolve allegations related to the failure of a salesperson to comply with exchange rules that prohibit off-exchange futures transactions unless there is an Exchange for Related Position (“EFRP”). Specifically, the CFTC found that from April 2008 through October 2009, the Company violated Section 4c(a) of the Commodity Exchange Act and Commission Regulation 1.38 by executing, processing and reporting numerous off-exchange futures trades to the Chicago Mercantile Exchange (“CME”) and Chicago Board of Trade (“CBOT”) as EFRPs in violation of CME and CBOT rules because those trades lacked the corresponding and related cash, OTC swap, OTC option, or other OTC derivative position. In addition, the CFTC found that the Company violated CFTC Regulation 166.3 by failing to supervise the handling of the trades at issue and failing to have adequate policies and procedures designed to detect and deter the violations of the Act and Regulations. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, the Company accepted and consented to entry of findings and the imposition of a cease and desist order, a fine of $5,000,000, and undertakings related to public statements, cooperation and payment of the fine. The Company entered into corresponding and related settlements with the CME and CBOT in which the CME found that the Company violated CME Rules 432.Q and 538 and fined the Company $750,000 and CBOT found that the Company violated CBOT Rules 432.Q and 538 and fined the Company $1,000,000.
On March 15, 2010, the Federal Home Loan Bank of San Francisco filed two complaints against the Company and other defendants in the Superior Court of the State of California. These actions are styledFederal Home Loan Bank of San Francisco v. Credit Suisse Securities (USA) LLC, et al., andFederal Home Loan Bank of San Francisco v. Deutsche Bank Securities Inc. et al., respectively. Amended complaints filed on June 10, 2010 allege that defendants made untrue statements and material omissions in connection with the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by the Company in these cases was approximately $704 million and $276 million, respectively. The complaints raise claims under both the federal securities laws and California law and seek, among other things, to rescind the plaintiff’s purchase of such certificates. On July 29, 2011 and September 8, 2011, the court presiding over both actions sustained defendants’ demurrers with respect to claims brought under the Securities Act of 1933, as amended, and overruled defendants’ demurrers with respect to all other claims. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in these cases was approximately $345 million, and the certificates had incurred actual losses of approximately $2.8 million. Based on currently available information, the Company believes it could incur a loss for this action up to the difference between the $345 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company 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 July 9, 2010 and February 11, 2011, Cambridge Place Investment Management Inc. filed two separate complaints against the Company and other defendants in the Superior Court of the Commonwealth of Massachusetts, both styledCambridge Place Investment Management Inc. v. Morgan Stanley & Co., Inc., et al.The complaints assert claims on behalf of certain clients of
30
plaintiff’s affiliates and allege that defendants made untrue statements and material omissions in the sale of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued by the Company or sold to plaintiff’s affiliates’ clients by the Company in the two matters was approximately $263 million. Plaintiff filed amended complaints on October 14, 2011, which raise claims under the Massachusetts Uniform Securities Act and seek, among other things, to rescind the plaintiff’s purchase of such certificates. On November 22, 2011, defendants filed a motion to dismiss the amended complaints. On March 12, 2012, the court denied defendants’ motion to dismiss with respect to plaintiff’s standing to bring suit. Defendants sought interlocutory appeal from that decision on April 11, 2012. On April 26, 2012, defendants filed a second motion to dismiss for failure to state a claim upon which relief can be granted, which the court denied, in substantial part, on October 2, 2012. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in these cases was approximately $216 million, and the certificates had incurred actual losses of approximately $109 million. Based on currently available information, the Company believes it could incur a loss for these actions of up to the difference between the $216 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company 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 July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against the Company, which is styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al. and is pending in the Supreme Court of the State of New York, New York County (“Supreme Court of NY, NY County”). The complaint relates to a $275 million credit default swap referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that the Company misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that the Company knew that the assets backing the CDO were of poor quality when it entered into the credit default swap with CDIB. The complaint seeks compensatory damages related to the approximately $228 million that CDIB alleges it has already lost under the credit default swap, rescission of CDIB’s obligation to pay an additional $12 million, punitive damages, equitable relief, fees and costs. On February 28, 2011, the court presiding over this action denied the Company’s motion to dismiss the complaint and on March 21, 2011, the Company appealed that order. On July 7, 2011, the appellate court affirmed the lower court’s decision denying the motion to dismiss. Based on currently available information, the Company believes it could incur a loss of up to approximately $240 million plus pre- and post-judgment interest, fees and costs.
On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against the Company and other defendants in the Circuit Court of the State of Illinois styledFederal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al.The complaint 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. The total amount of certificates allegedly sold to plaintiff by the Company in this action was approximately $203 million. The complaint raises claims under Illinois law and seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On March 24, 2011, the court granted plaintiff leave to file an amended complaint. The defendants’ motion to dismiss the amended complaint was denied on September 19, 2012. The Company filed its answer on December 21,
31
2012. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $100 million and certain certificates had incurred actual losses of approximately $1 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $100 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company 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 July 18, 2011, the Western and Southern Life Insurance Company and certain affiliated companies filed a complaint against the Company and other defendants in the Court of Common Pleas in Ohio, styledWestern and Southern Life Insurance Company, et al. v. Morgan Stanley Mortgage Capital Inc., et al.An amended complaint was filed on April 2, 2012 and alleges that defendants made untrue statements and material omissions in the sale to plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of the certificates allegedly sold to plaintiffs by the Company was approximately $153 million. The amended complaint raises claims under the Ohio Securities Act, federal securities laws, and common law and seeks, among other things, to rescind the plaintiffs’ purchases of such certificates. On May 21, 2012, the Company filed a motion to dismiss the amended complaint, which motion was denied on August 3, 2012. The court has set a trial date in May 2015. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $121 million, and the certificates had incurred actual losses of approximately $1 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $121 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus post-judgment interest, fees and costs. The Company may be entitled to an offset for interest received by the plaintiff prior to a judgment.
On September 2, 2011, the Federal Housing Finance Agency (“FHFA”), as conservator for Fannie Mae and Freddie Mac, filed 17 complaints against numerous financial services companies, including the Company. A complaint against the Company and other defendants was filed in the Supreme Court of NY, styledFederal Housing Finance Agency, as Conservator v. Morgan Stanley et al.The complaint alleges that defendants made untrue statements and material omissions in connection with the sale to Fannie Mae and Freddie Mac of residential mortgage pass-through certificates with an original unpaid balance of approximately $11 billion. The complaint raises claims under federal and state securities laws and common law and seeks, among other things, rescission and compensatory and punitive damages. On September 26, 2011, defendants removed the action to the United States District Court for the Southern District of New York. On July 13, 2012, the Company filed a motion to dismiss the complaint, which motion was denied in large part on November 19, 2012. Trial is currently scheduled to begin in January 2015. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $2.86 billion, and the certificates had incurred actual losses of approximately $59 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $2.86 billion unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company 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.
32
On April 25, 2012, Metropolitan Life Insurance Company and certain affiliates filed a complaint against the Company and certain affiliates in the Supreme Court of NY styledMetropolitan Life Insurance Company, et al. v. Morgan Stanley, et al.An amended complaint was filed on June 29, 2012 and alleges that defendants made untrue statements and material omissions in the sale to 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 the Company was approximately $758 million. The amended complaint raises common law claims of fraud, fraudulent inducement, and aiding and abetting fraud and seeks, among other things, rescission, compensatory and/or rescissionary damages, as well as punitive damages, associated with plaintiffs’ purchases of such certificates. On September 21, 2012, the Company filed a motion to dismiss the amended complaint, which was granted in part and denied in part on July 16, 2013. Following that decision, the total amount of certificates allegedly sponsored, underwritten and/or sold by the Company was approximately $656 million. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates remaining at issue in this case was approximately $369 million, and the certificates incurred actual losses of approximately $28.3 million. Based on currently available information, the Company believes it could incur a loss up to the difference between the $369 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
On April 25, 2012, The Prudential Insurance Company of America and certain affiliates filed a complaint against the Company and certain affiliates in the Superior Court of the State of New Jersey styledThe Prudential Insurance Company of America, et al. v. Morgan Stanley, et al.The complaint alleges 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 the Company is approximately $1 billion. The complaint raises claims under the New Jersey Uniform Securities Law, as well as common law claims of negligent misrepresentation, fraud and tortious interference with contract and seeks, among other things, compensatory damages, punitive damages, rescission and rescissionary damages associated with plaintiffs’ purchases of such certificates. On October 16, 2012, plaintiffs filed an amended complaint which, among other things, increases the total amount of the certificates at issue by approximately $80 million, adds causes of action for fraudulent inducement, equitable fraud, aiding and abetting fraud, and violations of the New Jersey RICO statute, and includes a claim for treble damages. On March 15, 2013, defendants’ motion to dismiss was denied. At June 25, 2013, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $674 million, and the certificates had not yet incurred actual losses. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $674 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, plus pre- and post-judgment interest, fees and costs. The Company 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.
33
Item 1A. Risk Factors
There have been no material changes to the risk factors set forth under Part 1, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012 and under Part II, Item 1A. “Risk Factors” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2013.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
For the three months ended June 30, 2013, there were subscriptions for 10,672.0930 Redeemable Units of Class A totaling $12,291,653, subscriptions for 2,365.5160 Redeemable Units of Class D totaling $2,430,000 and subscriptions for 57.0880 Redeemable Units of Class Z totaling $60,623. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption the General Partner relied on the fact that the Redeemable units were purchased by accredited investors in a private offering.
Proceeds of net offering were used for the trading of commodity interests, including futures contracts, options and forwards contracts.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
| | | | | | | | | | | | | | | | | | | | | | |
Period | | (a) Total Class A of Number of Redeemable Units Purchased* | | | (b) Class A Average Price Paid per Redeemable Unit** | | | (c) Total Class Z of Number of Redeemable Units Purchased* | | | (d) Class Z Average Price Paid per Redeemable Unit** | | | (e) Total Number Redeemable Units Purchased as Part of Publicly Announced Plans or Programs | | | (f) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs |
April 1, 2013 April 30, 2013 | | | 2,660.1310 | | | | $1,188.82 | | | | — | | | | $1,061.93 | | | | N/A | | | N/A |
May 1, 2013 May 31, 2013 | | | 2,906.2300 | | | | $1,141.67 | | |
| —
|
| | | $1,022.70 | | | | N/A | | | N/A |
June 1, 2013 June 30, 2013 | | | 2,102.7670 | | | | $1,094.16 | | | | 56.0000 | | | | $982.91 | | | | N/A | | | N/A |
| | | 7,669.1280 | | | | $1,145.00 | | |
| 56.0000
|
| | | $982.91 | | | | | | | |
* 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 end of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.
Item 3. Defaults Upon Senior Securities – None
Item 4. Mine Safety Disclosures – Not Applicable
34
Item 5. Other Information
The General Partner is in the process of transferring the brokerage accounts of the Partnership and the Master from CGM to MS & Co., a registered futures commission merchant. It is anticipated that eventually all of the assets of the Partnership and the Master will be deposited in accounts at MS & Co. MS & Co. is owned by Morgan Stanley, which is also the ultimate parent company of Morgan Stanley Smith Barney LLC, currently doing business as Morgan Stanley Wealth Management (“MSWM”), and the General Partner. Morgan Stanley is a worldwide financial services firm with offices throughout the United States and foreign countries.
In connection with this transition, (i) the Partnership will cease paying a brokerage fee to CGM, (ii) CGM will no longer act as a selling agent for the Partnership, (iii) the Partnership will begin paying an ongoing selling agent fee to MSWM and (iv) the Partnership will begin indirectly paying service and transaction fees to MS & Co. through its investment in the Master.
Effective August 8, 2013, Walter Davis resigned his position as President and Chairman of the Board of Directors of the General Partner. Effective August 8, 2013, Alper Daglioglu was appointed President of the General Partner and Jeremy Beal was appointed Chairman of the Board of Directors of the General Partner. Also effective August 8, 2013, Douglas Ketterer resigned his position as Director of the General Partner.
Effective September 13, 2013, Damian George will be resigning his position as Chief Financial Officer and Director of the General Partner. Effective September 13, 2013, Alice Ng will be appointed Chief Financial Officer of the General Partner.
Business background descriptions for the newly appointed officers and director are included below.
Alper Daglioglu, age 36, has been a Director, and listed as a principal, of the General Partner since December 2010. He was appointed President of the General Partner in August 2013. Mr. Daglioglu was also appointed Deputy Chief Investment Officer for the Alternative Investments Group at Morgan Stanley Smith Barney LLC, a financial services firm, in August 2013. Since December 2010, Mr. Daglioglu has been employed by Morgan Stanley Smith Barney LLC where his responsibilities include serving as Executive Director and Chief Investment Officer for Morgan Stanley Smith Barney Managed Futures and serving on the Alternative Investments Product Review Committee of Morgan Stanley Smith Barney LLC’s Alternative Investments Group. From June 2009 through December 2010, Mr. Daglioglu was employed by Morgan Stanley Smith Barney LLC, where his responsibilities included serving as a Senior Analyst in the Product Origination Group. From December 2003 through June 2009, Mr. Daglioglu was employed by Morgan Stanley, a financial services firm, where his responsibilities included serving as a Senior Analyst in the Product Origination Group, and serving as the lead investment analyst for Global Macro and Managed Futures strategies within Morgan Stanley Graystone Research Group from February 2007 through June 2009. Mr. Daglioglu earned his Bachelor of Science degree in Industrial Engineering in June 2000 from Galatasaray University and his Master of Business Administration degree in Finance in May 2003 from the University of Massachusetts-Amherst’s Isenberg School of Management. Mr. Daglioglu was awarded a full merit scholarship and research assistantship at the Center for International Securities and Derivatives Markets during his graduate studies. In this capacity, he worked with various major financial institutions in performance monitoring, asset allocation and statistical analysis projects and specialized on alternative approaches to risk assessment for hedge funds and managed futures. Mr. Daglioglu wrote and published numerous research papers on alternative investments. Mr. Daglioglu is a Chartered Alternative Investment Analyst charter holder.
Jeremy Beal, age 38, has been Chairman of the Board of Directors of the General Partner since August 2013. Since May 2013, Mr. Beal has been employed by Morgan Stanley, a financial services firm, where his responsibilities include serving as the Head of Product Strategy and Development, Global Alternative Investments. Mr. Beal has been a Vice President and Director since June 2013, and listed as a principal since July 2013, of Morgan Stanley GWM Feeder Strategies LLC, which acts as a general partner to multiple alternative investment entities. Mr. Beal has also been a Vice President and Director since June 2013, and listed as a principal (pending) since July 2013, of Morgan Stanley HedgePremier GP LLC, which acts as a general partner and administrative agent to numerous hedge fund feeder funds. Since January 2013, each of Morgan Stanley GWM Feeder Strategies LLC and Morgan Stanley HedgePremier GP LLC has been registered as a commodity pool operator with the CFTC. Mr. Beal is responsible for general management and oversight with respect to such entities. Mr. Beal has also been employed by Morgan Stanley Smith Barney Private Management LLC, Morgan Stanley Smith Barney Private Management II LLC, and Morgan Stanley Smith Barney Venture Services LLC, each an investment management company, since June 2013, where his responsibilities include acting as Vice President and Director. From October 2012 through May 2013, he was employed by JE Moody & Company LLC (“JE Moody”), a hedge fund and commodity trading advisor, where his responsibilities included acting as the Chief Operating Officer. Prior to joining JE Moody, Mr. Beal was employed by Morgan Stanley Smith Barney LLC, where his responsibilities included serving as Chief Operating Officer, Global Alternative Investments from July 2009 through September 2012, and acting as Head of Product Development and Management, Alternative Investments for Morgan Stanley from May 2007 through July 2009. From March 2002 through May 2007, Mr. Beal was employed by Morgan Stanley, where his responsibilities included acting as Head of Product Development, Managed Futures for Morgan Stanley from May 2005 through May 2007, and acting as Senior Associate, Managed Futures from March 2002 through May 2005. Mr. Beal earned his Bachelor of Science degree in Business Administration in May 1997 from Pacific University and his Juris Doctor and Master of Business Administration degree in May 2001 from Willamette University.
Alice Ng, age 30, has been employed by Morgan Stanley Smith Barney LLC, a financial services firm, since July 2009, where her responsibilities have included serving as Vice President and managing the accounting, financial reporting and regulatory reporting of managed futures funds. Before joining Morgan Stanley Smith Barney LLC, Ms. Ng was employed by Citigroup Alternative Investments, a financial services firm, from September 2005 through July 2009, where her responsibilities included serving as Vice President responsible for the accounting, financial reporting and regulatory reporting of Citigroup Alternative Investments’ managed futures funds. From August 2004 through September 2005, Ms. Ng was employed by The Bank of New York, a financial services firm, where her responsibilities included performing mutual fund administration for financial services firms. Ms. Ng earned her Bachelor of Science in Finance in 2004 from the State University of New York at Binghamton.
35
Item 6. Exhibits
| | | | |
3.1 | | (a) | | Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York, dated November 1, 2005 (filed as Exhibit 3.1 to the Registration on Form10-12G filed on April 30, 2008 and incorporated herein by reference). |
| | |
| | (b) | | Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). |
| | |
| | (c) | | Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 29, 2009 and incorporated herein by reference). |
| | |
| | (d) | | Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 29, 2010 (filed as Exhibit 3.1(d) to the Form 8-K filed on June 30, 2010 and incorporated herein by reference). |
| | |
| | (e) | | Certificate of Amendment to Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Form 8-K filed on September 7, 2011 and incorporated herein by reference). |
| | |
| | (f) | | Certificate of Amendment to the Certificate of Limited Partnership dated August 7, 2013 (filed herewith). |
| | |
3.2 | | (a) | | Third Amended and Restated Agreement of Limited Partnership, dated March 1, 2011 (filed as Exhibit 3.3(a) to the Form 10-Q filed on May 16, 2011 and incorporated herein by reference). |
| | |
10.1 | | | | Customer Agreement between the Partnership, the General Partner and CGM, dated April 29, 2008 (filed as Exhibit 10.2 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference). |
| | |
10.2 | | (a) | | Amended and Restated Management Agreement between the Partnership, the General Partner and the Advisor, dated April 29, 2011 (filed as Exhibit 10.2 to the Form 8-K filed on May 2, 2011 and incorporated herein by reference). |
| | |
| | (b) | | Letter from the General Partner extending Management Agreement with the Advisor for 2012, dated June 1, 2012 (filed as Exhibit 10.2(c) to the Form 10-K filed on March 30, 2012 and incorporated herein by reference). |
| | |
10.3 | | | | Agency Agreement between the Partnership, the General Partner and CGM, dated May 27, 2007 (filed as Exhibit 10.3 to the Registration on Form 10-12G filed on April 30, 2008 and incorporated herein by reference). |
| | |
10.4 | | | | Form of Selling Agreement between the Partnership, Citigroup Managed Futures LLC, Citigroup Global Markets Inc. and Credit Suisse Securities, (USA) LLC, dated September 30, 2008 (filed as Exhibit 10.4 to the Form 10-Q, filed on November 14, 2011 and incorporated herein by reference). |
| | |
10.5 | | | | Form of Third Party Subscription Agreement (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). |
| | |
10.6 | | | | Form of Subscription Agreement (filed as Exhibit 10.6 to the Form 10-Q filed on November 14, 2012 and incorporated herein by reference). |
| | |
10.7 | | | | Joinder Agreement among the General Partner, CMF, and Morgan Stanley Smith Barney LLC dated as of June 1, 2009 (filed as Exhibit 10 to the Form 10-Q filed on August 14, 2009 and incorporated herein by reference). |
| | | | |
31.1 | | — | | Rule13a-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) (herewith). |
| | |
32.1 | | — | | Section 1350 Certification (Certification of President and Director) (herewith). |
| | |
32.2 | | — | | Section 1350 Certification (Certification of Chief Financial Officer and Director) (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. |
36
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.
MANAGED FUTURES PREMIER ABINGDON L.P.
| | |
By: | | Ceres Managed Futures LLC |
| | (General Partner) |
| |
By: | | /s/ Alper Daglioglu |
| | Alper Daglioglu |
| | President and Director |
|
Date: August 14, 2013 |
| |
By: | | /s/ Damian George |
| | Damian George |
| | Chief Financial Officer and Director (Principal Accounting Officer) |
|
Date: August 14, 2013 |