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 September 30, 2019, and the results of its operations and the changes in partners’ capital for the three and nine months ended September 30, 2019 and 2018. These financial statements present the results for 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 Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year . Use of Estimates The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates, and those differences could be material. Profit Allocation The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of its capital contributions and profits, if any, net of distributions, redemptions and losses, if any. Statement of Cash Flows The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “ Statement of Cash Flows.” Partnership’s Investment The Partnership carries its investment in the Master at fair value based on the Master’s net asset value per Redeemable Unit, as a practical expedient, as calculated by the Master. The valuation of the Master’s investments, including the classification within the fair value hierarchy of the investments held by the Master, are described in Note 5, “Fair Value Measurements 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 the trade date and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out Master’s Cash The Master’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co and/or JPMorgan, as applicable. At September 30, 2019 and December 31, 2018, the amount of cash held for margin requirements was $32,134,026 and $40,002,084, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Master’s restricted and unrestricted cash includes cash denominated in foreign currencies of $5,421,575 (cost of $5,463,508) and $2,271,393 (cost of $2,273,441) as of September 30, 2019 and December 31, 2018, respectively. Income Taxes Income Taxes “more-likely-than-not” more-likely-than-not . Investment Company Status 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” Net Income (Loss) per Redeemable Unit Net income (loss) per Redeemable Unit for each Class is calculated in accordance with ASC 946 “ Financial Services – Investment Companies “ Financial Highlights There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K The Master’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2019 and December 31, 2018 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and nine months ended September 30, 2019 and 2018 are presented below: CMF Winton Master L.P. Statements of Financial Condition September 30, (Unaudited) December 31, Assets: Equity in trading accounts: Unrestricted cash $ 187,349,751 $ 312,715,105 Restricted cash 32,134,026 40,002,084 Net unrealized appreciation on open futures contracts 3,086,357 - Net unrealized appreciation on open forward contracts 2,543,984 - Total equity in trading accounts 225,114,118 352,717,189 Subscription receivable - 261,448 Total assets $ 225,114,118 $ 352,978,637 Liabilities and Partners’ Capital: Liabilities: Net unrealized depreciation on open futures contracts $ - $ 5,670,226 Net unrealized depreciation on open forward contracts - 2,569,275 Accrued expenses: Professional fees 58,494 54,808 Redemptions payable 1,971,751 5,484,714 Total liabilities 2,030,245 13,779,023 Partners’ Capital: General Partner, 0.0000 Redeemable Units outstanding at September 30, 2019 and December 31, 2018 - - Limited Partners, 50,650.5653 and 83,051.1742 Redeemable Units outstanding at September 30, 2019 and December 31, 2018, respectively 223,083,873 339,199,614 Total partners’ capital (net asset value) 223,083,873 339,199,614 Total liabilities and partners’ capital $ 225,114,118 $ 352,978,637 Net asset value per Redeemable Unit $ 4,404.37 $ 4,084.22 CMF Winton Master L.P. Condensed Schedule of Investments September 30, 2019 (Unaudited) Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 802 $ (161,955) (0.07) % Energy 76 (223,240) (0.10) Grains 43 23,603 0.01 Indices 1,100 (169,960) (0.08) Interest Rates U.S. 824 (1,896,899) (0.85) Interest Rates Non-U.S. 10,101 3,343,086 1.50 Livestock 9 16,410 0.01 Metals 451 (2,164,140) (0.97) Softs 86 26,498 0.01 Total futures contracts purchased (1,206,597) (0.54) Futures Contracts Sold Currencies 1,841 2,587,066 1.16 Energy 1,002 2,251,943 1.01 Grains 1,162 (699,871) (0.31) Indices 378 994,756 0.45 Interest Rates U.S. 485 313,719 0.14 Livestock 173 (489,210) (0.22) Metals 86 (23,938) (0.01) Softs 1,328 (641,511) (0.30) Total futures contracts sold 4,292,954 1.92 Net unrealized appreciation on open futures contracts $ 3,086,357 1.38 % Unrealized Appreciation on Open Forward Contracts Currencies $ 103,069,545 $ 1,007,462 0.45 % Metals 771 3,218,682 1.44 Total unrealized appreciation on open forward contracts 4,226,144 1.89 Unrealized Depreciation on Open Forward Contracts Currencies $ 55,439,706 (474,156) (0.21) Metals 564 (1,208,004) (0.54) Total unrealized depreciation on open forward contracts (1,682,160) (0.75) Net unrealized appreciation on open forward contracts $ 2,543,984 1.14 % Ceres Abingdon L.P. Notes to Financial Statements (Unaudited) CMF Winton Master L.P. Condensed Schedule of Investments December 31, 2018 Notional ($)/ Fair Value % of Partners’ Futures Contracts Purchased Currencies 665 $ 498,240 0.15 % Energy 807 (7,683,693) (2.27) Grains 23 1,389 0.00 * Indices 598 (1,528,397) (0.45) Interest Rates U.S. 274 511,781 0.15 Interest Rates Non-U.S. 6,276 3,509,049 1.04 Livestock 24 10,030 0.00 * Metals 110 (167,968) (0.05) Softs 78 (275,765) (0.08) Total futures contracts purchased (5,125,334) (1.51) Futures Contracts Sold Currencies 2,903 (2,494,808) (0.74) Energy 833 3,839,606 1.13 Grains 1,819 698,944 0.21 Indices 459 721,056 0.21 Interest Rates U.S. 356 (418,226) (0.12) Interest Rates Non-U.S. 612 (946,029) (0.28) Livestock 182 119,878 0.04 Metals 602 (2,647,825) (0.78) Softs 1,888 582,512 0.17 Total futures contracts sold (544,892) (0.16) Net unrealized depreciation on open futures contracts $ (5,670,226) (1.67) % Unrealized Appreciation on Open Forward Contracts Currencies $ 77,973,985 $ 1,063,380 0.31 % Metals 754 1,571,426 0.46 Total unrealized appreciation on open forward contracts 2,634,806 0.77 Unrealized Depreciation on Open Forward Contracts Currencies $ 59,643,530 (813,774) (0.24) Metals 875 (4,390,307) (1.29) Total unrealized depreciation on open forward contracts (5,204,081) (1.53) Net unrealized depreciation on open forward contracts $ (2,569,275) (0.76) % * Due to rounding. Ceres 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 Nine Months Ended September 30, 2019 2018 2019 2018 Investment Income: Interest income $ 1,090,278 $ 1,679,291 $ 4,435,924 $ 4,321,432 Expenses: Clearing fees 122,086 139,512 331,631 379,163 Professional fees 15,750 17,000 47,250 51,195 Total expenses 137,836 156,512 378,881 430,358 Net investment income (loss) 952,442 1,522,779 4,057,043 3,891,074 Trading Results: Net gains (losses) on trading of commodity interests: Net realized gains (losses) on closed contracts 20,040,311 10,188,516 5,127,571 19,093,083 Net change in unrealized gains (losses) on open contracts (1,501,828) (5,094,858) 13,829,957 (10,389,816) Total trading results 18,538,483 5,093,658 18,957,528 8,703,267 Net income (loss) 19,490,925 6,616,437 23,014,571 12,594,341 Subscriptions - Limited Partners 3,557,318 6,677,129 4,564,935 16,119,957 Redemptions - Limited Partners (71,496,294) (6,502,039) (139,454,527) (50,000,530) Distribution of interest income to feeder funds (1,018,946) (1,568,242) (4,240,720) (3,927,544) Net increase (decrease) in Partners’ Capital (49,466,997) 5,223,285 (116,115,741) (25,213,776) Partners’ Capital, beginning of period 272,550,870 367,211,246 339,199,614 397,648,307 Partners’ Capital, end of period $ 223,083,873 $ 372,434,531 $ 223,083,873 $ 372,434,531 Net asset value per Redeemable Unit (50,650.5653 and 86,993.5300 Redeemable Units outstanding at September 30, 2019 and 2018, respectively) $ 4,404.37 $ 4,281.18 $ 4,404.37 $ 4,281.18 Net income (loss) per Redeemable Unit* $ 336.84 $ 76.26 $ 381.59 $ 126.35 Weighted average Redeemable Units outstanding 54,220.5443 87,200.3814 69,017.9863 88,973.5467 * Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder funds. |