Basis of Presentation and Summary of Significant Accounting Policies | 2. Basis of Presentation and Summary of Significant Accounting Policies: The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition at June 30, 2016, the results of its operations for the three and six months ended June 30, 2016 and 2015 and changes in partners’ capital for the six months ended June 30, 2016 and 2015. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2015. The December 31, 2015 information has been derived from the audited financial statements as of and for the year ended December 31, 2015. Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year. Use of Estimates Statement of Cash Flows: Partnership’s Investment Master’s Investments Master’s Fair Value of Financial Instruments Financial Instruments Master’s Cash Income Taxes Investment Company Status “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” Net Income (Loss) per Redeemable Unit “Financial Services – Investment Companies.” Recent Accounting Pronouncement Recognition and Measurement of Financial Assets and Financial Liabilities There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2015. The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2016 and December 31, 2015 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2016 and 2015 are presented below: CMF Winton Master L.P. Statements of Financial Condition (Unaudited) June 30, 2016 December 31, 2015 Assets: Equity in trading account: Investment in U.S. Treasury bills, at fair value (amortized cost $456,737,623 and $472,872,074 at June 30, 2016 and December 31, 2015, respectively) $ 456,892,688 $ 472,950,344 Cash at MS&Co. 12,764,389 25,746,373 Cash margin 63,688,189 99,262,577 Net unrealized appreciation on open futures contracts 39,683,773 5,389,377 Net unrealized appreciation on open forward contracts 4,105,053 - Total equity in trading account 577,134,092 603,348,671 Cash at bank 607 - Total assets $ 577,134,699 $ 603,348,671 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open forward contracts $ - $ 269,234 Accrued expenses: Professional fees 45,523 38,067 Total liabilities 45,523 307,301 Partners’ Capital: General Partner, 0.0000 Redeemable Units outstanding at June 30, 2016 and December 31, 2015 - - Limited Partners, 144,872.0830 and 161,976.6460 Redeemable Units outstanding at June 30, 2016 and December 31, 2015, respectively 577,089,176 603,041,370 Total liabilities and partners’ capital $ 577,134,699 $ 603,348,671 Net asset value per Redeemable Unit $ 3,983.44 $ 3,723.01 Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) CMF Winton Master L.P. Condensed Schedule of Investments June 30, 2016 (Unaudited) Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 1,150 $ 2,809,789 0.49 % Grains 736 1,134,183 0.20 Indices 1,645 1,524,288 0.26 Interest Rates U.S. 1,712 9,769,086 1.69 Interest Rates Non-U.S. 20,163 15,905,199 2.76 Livestock 221 42,290 0.01 Metals 527 2,783,845 0.48 Softs 393 342,689 0.06 Total futures contracts purchased 34,311,369 5.95 Futures Contracts Sold Currencies 2,161 6,848,931 1.19 Energy 497 (483,582) (0.08) Grains 705 1,366,670 0.23 Indices 696 (585,430) (0.10) Interest Rates U.S. 920 (1,393,282) (0.24) Interest Rates Non-U.S. 142 (17,466) (0.00) * Livestock 290 107,378 0.02 Metals 62 (158,905) (0.03) Softs 429 (311,910) (0.06) Total futures contracts sold 5,372,404 0.93 Net unrealized appreciation on open futures contracts $ 39,683,773 6.88 % Unrealized Appreciation on Open Forward Contracts Currencies $ 307,886,860 $ 8,990,284 1.55 % Metals 482 1,189,365 0.21 Total unrealized appreciation on open forward contracts 10,179,649 1.76 Unrealized Depreciation on Open Forward Contracts Currencies $ 226,275,721 (3,862,879) (0.67) Metals 740 (2,211,717) (0.38) Total unrealized depreciation on open forward contracts (6,074,596) (1.05) Net unrealized appreciation on open forward contracts $ 4,105,053 0.71 % U.S. Government Securities Face Amount Maturity Date Description Fair Value % of Partners’ Capital U.S. Treasury bills, 0.205% $ 27,000,000 7/7/2016 (Amortized cost of $26,992,159) $ 26,999,696 4.68 % U.S. Treasury bills, 0.265% $ 140,000,000 8/11/2016 (Amortized cost of $139,926,831) 139,969,306 24.25 U.S. Treasury bills, 0.29% $ 260,000,000 8/11/2016 (Amortized cost of $259,836,633) 259,942,998 45.04 U.S. Treasury bills, 0.24% $ 30,000,000 9/29/2016 (Amortized cost of $29,982,000) 29,980,688 5.20 Total U.S. Government Securities $ 456,892,688 79.17 % * Due to rounding. Managed Futures Premier Abingdon L.P. Notes to Financial Statements (Unaudited) CMF Winton Master L.P. Condensed Schedule of Investments December 31, 2015 Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 510 $ 30,126 0.01 % Energy 75 (7,647) (0.00) * Grains 95 (17,551) (0.00) * Indices 2,628 1,099,760 0.18 Interest Rates U.S. 614 (610,774) (0.10) Interest Rates Non-U.S. 19,410 (3,062,521) (0.51) Livestock 3 160 0.00 * Softs 311 64,286 0.01 Total futures contracts purchased (2,504,161) (0.41) Futures Contracts Sold Currencies 4,548 3,922,263 0.65 Energy 2,317 1,273,340 0.21 Grains 2,492 2,035,524 0.34 Indices 1,710 (453,830) (0.08) Interest Rates U.S. 122 (3,016) (0.00) * Interest Rates Non-U.S. 556 (29,705) (0.00) * Livestock 394 (660,400) (0.11) Metals 1,441 2,011,420 0.33 Softs 544 (202,058) (0.03) Total futures contracts sold 7,893,538 1.31 Net unrealized appreciation on open futures contracts $ 5,389,377 0.90 % Unrealized Appreciation on Open Forward Contracts Currencies $ 285,098,551 $ 3,394,312 0.56 % Metals 492 1,854,557 0.31 Total unrealized appreciation on open forward contracts 5,248,869 0.87 Unrealized Depreciation on Open Forward Contracts Currencies $ 245,182,550 (4,880,125) (0.81) Metals 353 (637,978) (0.11) Total unrealized depreciation on open forward contracts (5,518,103) (0.92) Net unrealized depreciation on open forward contracts $ (269,234) (0.05)% U.S. Government Securities Face Amount Maturity Date Description Fair Value % of Partners’ U.S. Treasury bills, 0.19% $ 128,000,000 1/21/2016 (Amortized cost of $127,981,084) $ 127,991,600 21.23 % U.S. Treasury bills, 0.125% $ 345,000,000 2/11/2016 (Amortized cost of $344,890,990) 344,958,744 57.20 Total U.S. Government Securities $ 472,950,344 78.43 % * Due to rounding. Managed Futures Premier Abingdon L.P. Notes to Financial Statements (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, 2016 2015 2016 2015 Investment Income: Interest income $ 319,721 $ 11,695 $ 661,185 $ 26,025 Expenses: Clearing fees 161,803 219,450 328,664 412,402 Professional fees 20,520 27,027 41,043 65,102 Total expenses 182,323 246,477 369,707 477,504 Net investment income (loss) 137,398 (234,782) 291,478 (451,479) Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts (20,269,506) (38,258,932) 778,811 27,666,900 Net change in unrealized gains (losses) on open contracts 37,319,590 (25,643,607) 38,776,362 (28,325,645) Total trading results 17,050,084 (63,902,539) 39,555,173 (658,745) Net income (loss) 17,187,482 (64,137,321) 39,846,651 (1,110,224) Subscriptions - Limited Partners 12,010,492 21,423,134 20,730,949 38,306,707 Redemptions - Limited Partners (28,701,797) (41,897,509) (86,405,119) (108,157,378) Distribution of interest income to feeder funds (48,263) (11,695) (124,675) (26,025) Net increase (decrease) in Partners’ Capital 447,914 (84,623,391) (25,952,194) (70,986,920) Partners’ Capital, beginning of period 576,641,262 711,438,283 603,041,370 697,801,812 Partners’ Capital, end of period $ 577,089,176 $ 626,814,892 $ 577,089,176 $ 626,814,892 Net asset value per Redeemable Unit (144,872.0830 and 176,513.8464 Redeemable Units outstanding at June 30, 2016 and 2015, respectively) $ 3,983.44 $ 3,551.08 $ 3,983.44 $ 3,551.08 Net income (loss) per Redeemable Unit* $ 120.39 $ (360.86) $ 261.27 $ (19.06) Weighted average Redeemable Units outstanding 145,876.3773 181,548.6669 148,983.3565 185,758.8999 * Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder funds. |