10-Q

10-Q 1 d671416d10q.htm 10-Q 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2018

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to .

Commission File Number 000-30455

GLOBAL DIVERSIFIED FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)


New York		13-4015586
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(Registrant’s telephone number, including area code)

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 ☑ No ☐

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

Yes ☑ No ☐

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


Large accelerated filer ☐	Accelerated filer ☐	Non-accelerated filer ☑

Smaller reporting company ☐	Emerging growth company ☐

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

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

Yes ☐ No ☑

As of July 31, 2018, 4,770.5198 Limited Partnership Redeemable Units were outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Global Diversified Futures Fund L.P.

Statements of Financial Condition


	June 30, 2018		December 31, 2017
	(Unaudited)

Assets:

Investment in the Fund ⁽¹⁾, at fair value	$	5,638,028	$	4,935,174

Redemptions receivable from the Fund		113,317		1,670,178

Cash at MS&Co.		101,592		98,346

Cash at bank		-		436


Total assets	$	5,852,937	$	6,704,134


Liabilities and Partners’ Capital:

Liabilities:

Accrued expenses:

Ongoing selling agent fees	$	9,755	$	11,174

Management fees		5,977		6,521

General Partner fees		4,303		4,941

Professional fees		105,513		105,207

Redemptions payable to Limited Partners		82,557		106,055


Total liabilities		208,105		233,898


Partners’ Capital:

General Partner, 54.4194 and 66.6154 Redeemable Units outstanding at June 30, 2018 and December 31, 2017, respectively		63,160		82,234

Limited Partners, 4,809.2278 and 5,174.7408 Redeemable Units outstanding at June 30, 2018 and December 31, 2017, respectively		5,581,672		6,388,002


Total partners’ capital (net asset value)		5,644,832		6,470,236


Total liabilities and partners’ capital	$	5,852,937	$	6,704,134


Net asset value per Redeemable Unit	$	1,160.62	$	1,234.46

⁽¹⁾ Defined in Note 1.

See accompanying notes to financial statements.

Global Diversified Futures Fund L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)


	Three Months Ended June 30,				Six Months Ended June 30,
	2018		2017		2018		2017
Investment Income:
Interest income allocated from the Fund(s)	$	17,246	$	11,236	$	34,657	$	19,952

Expenses:
Expenses allocated from the Fund(s)		11,750		15,148		23,884		29,061
Ongoing selling agent fees		30,186		38,372		63,330		81,895
Management fees		18,479		21,909		38,804		46,851
General Partner fees		13,305		16,918		27,939		36,150
Professional fees		32,305		31,881		64,972		64,104

Total expenses		106,025		124,228		218,929		258,061

Net investment loss		(88,779)		(112,992)		(184,272)		(238,109)

Trading Results:
Net gains (losses) on investment in the Fund(s):
Net realized gains (losses) on closed contracts allocated from the Fund(s)		(349,406)		(263,988)		(348,803)		(467,397)
Net change in net unrealized gains (losses) on open contracts allocated from the Fund(s)		98,526		(213,701)		184,124		(337,394)

Total trading results		(250,880)		(477,689)		(164,679)		(804,791)

Net income (loss)		(339,659)		(590,681)		(348,951)		(1,042,900)
Redemptions - General Partner		-		(10,001)		(15,000)		(10,001)
Redemptions - Limited Partners		(176,558)		(372,174)		(461,453)		(930,909)

Net increase (decrease) in Partners’ Capital		(516,217)		(972,856)		(825,404)		(1,983,810)
Partners’ Capital, beginning of period		6,161,049		8,000,734		6,470,236		9,011,688

Partners’ Capital, end of period	$	5,644,832	$	7,027,878	$	5,644,832	$	7,027,878


Net asset value per Redeemable Unit (4,863.6472 and 6,106.2322 Redeemable Units outstanding at June 30, 2018 and 2017, respectively)	$	1,160.62	$	1,150.94	$	1,160.62	$	1,150.94


Net income (loss) per Redeemable Unit*	$	(69.30)	$	(93.87)	$	(73.84)	$	(161.84)


Weighted average Redeemable Units outstanding		4,960.2919		6,311.5779		5,045.8225		6,509.2532

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

See accompanying notes to financial statements.

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

1.	Organization:

Global Diversified Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on June 15, 1998, to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, indices, metals, softs, U.S. and non-U.S. interest rates and livestock. The commodity interests that are traded by the Partnership, through its investment in the Funds (as defined below), are volatile and involve a high degree of market risk. The Partnership commenced trading on February 2, 1999. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets, directly or indirectly through its investment in the Fund (as defined below), in United States (“U.S.”) Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates. The Partnership was authorized to sell up to 100,000 redeemable units of limited partnership interest (“Redeemable Units”) during its initial offering period. The Partnership no longer offers Redeemable Units for sale.

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 a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD Holdings is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses.

At June 30, 2018, all trading decisions for the Partnership are made by Aspect Capital Limited (“Aspect”) (the “Advisor”), which is a registered commodity trading advisor. The Partnership invests its assets indirectly through its investment in the Funds. Effective December 31, 2017, PGR Capital LLP (“PGR”) ceased to act as a commodity trading advisor to the Partnership. References herein to Advisor shall also include PGR, as appropriate.

During the reporting periods ended June 30, 2018 and 2017, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward counterparty for certain Funds. During prior periods included in this report, the Partnership/Funds also deposited a portion of their cash in non-trading bank accounts at JPMorgan.

As of June 30, 2018, the Partnership owned approximately 38.2% of the Fund. Prior to the close of business on December 31, 2017, the Partnership owned approximately 15.9% of the Fund. It is the Partnership’s intention to continue to invest substantially all of its assets in the Fund. The performance of the Partnership is directly affected by the performance of the Fund.

The Fund’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Fund engages in such trading through a commodity brokerage account maintained with MS&Co. The Fund’s Statements of Financial Condition, Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Partners’ Capital are included herein.

CMF Aspect Master Fund L.P. (“Aspect Master” or the “Fund”) has entered into a futures brokerage account agreement with MS&Co. Aspect Master entered into a foreign exchange brokerage account agreement with MS&Co. Prior to its liquidation as of the close of business on December 31, 2017, PGR Master Fund L.P. (“PGR Master”) also entered into a futures brokerage agreement with MS&Co. References herein to the “Funds” shall include PGR Master, as appropriate. The Partnership has also entered into a futures brokerage account agreement with MS&Co. The Partnership, through its investment in the Fund, pays MS&Co. (or will reimburse MS&Co. if previously paid) its allocable share of all trading fees for the clearing and, where applicable, execution of transactions as well as exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”).

The Partnership has also entered into a selling agreement with Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, Morgan Stanley Wealth Management receives a monthly ongoing selling agent fee equal to 2.0% per year of adjusted month-end net assets. The ongoing selling agent fee received by Morgan Stanley Wealth Management is shared with the properly registered/exempted financial advisers of Morgan Stanley Wealth Management who sell Redeemable Units in the Partnership.

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

Effective July 12, 2017, Aspect Master entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of Aspect Master and, indirectly, the Partnership. These agreements include a foreign exchange and bullion authorization agreement (“FX Agreement”), an International Swap Dealers Association, Inc. master agreement (“Master Agreement”), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. Under the FX Agreement, JPMorgan will charge a fee on the aggregate foreign currency transactions entered into on behalf of Aspect Master during a month.

In July 2015, the General Partner delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.

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

The 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, 2018, and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2018 and 2017. These financial statements present the results for interim periods and do not include all of the disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2017. The December 31, 2017 information has been derived from the audited financial statements as of and for the year ended December 31, 2017.

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 of the Partnership 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 shall be liable for obligations of the Partnership in excess of its capital contributions and profits, if any, or net of distributions or redemptions and losses, if any.

Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.” The Statements of Income and Expenses and Changes in Partners’ Capital is included herein, and as of and for the periods ended June 30, 2018 and 2017, the Partnership carried no debt and all of the Partnership’s investments were carried at fair value and classified as Level 1 or Level 2 measurements.

Partnership’s Investment. The Partnership carries its investment in the Fund at fair value based on the Fund’s net asset value per Redeemable Unit as calculated by the Fund.

Funds’ Investments. All commodity interests of Aspect Master, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. Prior to its termination on December 31, 2017, all commodity interests of PGR Master, including derivative financial instruments and derivative commodity instruments, were held for trading purposes. The commodity interests in Aspect Master are, and in PGR Master were, recorded on trade date and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the first-in, first-out method. Unrealized gains or losses

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

on open contracts are/were included as a component of equity in the trading account on the Fund’s Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are reported in the Partnership/Fund’s Statements of Income and Expenses. Aspect Master does not, and PGR Master did not, isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in total trading results in each Fund’s Statements of Income and Expenses.

Fund’s Cash. The Fund’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At June 30, 2018 and December 31, 2017, the amount of cash held for margin requirements was $2,728,785 and $4,297,134, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Fund’s restricted and unrestricted cash includes cash denominated in foreign currencies of $(195,642) (proceeds of $195,702) and $287,256 (cost of $284,558) as of June 30, 2018 and December 31, 2017, respectively.

Income Taxes. Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740, “Income Taxes,” which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable taxing authority. Tax positions determined not to meet the more-likely-than-not threshold would be recorded as a tax benefit or liability in the Partnership’s Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Statements of Income and Expenses and Changes in Partners’ Capital in the period in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2014 through 2017 tax years remain subject to examination by U.S. federal and most state tax authorities.

Investment Company Status. Effective January 1, 2014, the Partnership adopted Accounting Standards Update 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2017.

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

Aspect Master’s Statements of Financial Condition and Condensed Schedules of Investments as of June 30, 2018 and December 31, 2017 and Statements of Income and Expenses and Changes in Partners’ Capital for the three and six months ended June 30, 2018 and 2017 are presented below:

CMF Aspect Master Fund L.P.

Statements of Financial Condition


	June 30, 2018		December 31, 2017
	(Unaudited)
Assets:
Equity in trading account:
Unrestricted cash	$	11,664,723	$	26,880,632
Restricted cash		2,728,785		4,297,134
Net unrealized appreciation on open futures contracts		356,759		32,846
Net unrealized appreciation on open forward contracts		228,293		54,106

Total equity in trading account		14,978,560		31,264,718
Cash at bank		-		384


Total assets	$	14,978,560	$	31,265,102


Liabilities and Partners’ Capital:
Liabilities:
Accrued expenses:
Professional fees	$	50,773	$	46,418
Redemptions payable		152,960		16,521,773

Total liabilities		203,733		16,568,191

Partners’ Capital:
General Partner, 0.0000 Redeemable Units outstanding at June 30, 2018 and December 31, 2017		-		-
Limited Partners, 5,152.6898 and 4,952.2118 Redeemable Units outstanding at June 30, 2018 and December 31, 2017, respectively		14,774,827		14,696,911

Total partners’ capital (net asset value)		14,774,827		14,696,911

Total liabilities and partners’ capital	$	14,978,560	$	31,265,102


Net asset value per Redeemable Unit	$	2,867.40	$	2,967.75

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

CMF Aspect Master Fund L.P.

Condensed Schedule of Investments

June 30, 2018

(Unaudited)


	Notional ($)/ Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Purchased
Energy		78	$	258,749		1.75	%
Grains		9		685		0.00	*
Indices		162		(103,802)		(0.70)
Interest Rates Non-U.S.		356		75,345		0.51
Livestock		4		5,188		0.04
Metals		4		(3,955)		(0.03)
Softs		31		(9,014)		(0.06)

Total futures contracts purchased				223,196		1.51


Futures Contracts Sold
Currencies		10		5,845		0.04
Energy		2		(5,620)		(0.04)
Grains		120		85,067		0.58
Indices		44		(11,189)		(0.08)
Interest Rates U.S.		68		(6,445)		(0.04)
Interest Rates Non-U.S.		231		(15,201)		(0.10)
Livestock		26		(9,811)		(0.07)
Metals		32		74,401		0.50
Softs		36		16,516		0.11

Total futures contracts sold				133,563		0.90

Net unrealized appreciation on open futures contracts			$	356,759		2.41	%


Unrealized Appreciation on Open Forward Contracts
Currencies	$	40,680,280	$	518,140		3.51	%
Metals		28		107,551		0.73

Total unrealized appreciation on open forward contracts				625,691		4.24


Unrealized Depreciation on Open Forward Contracts
Currencies	$	24,683,097		(293,183)		(1.98)
Metals		24		(104,215)		(0.71)

Total unrealized depreciation on open forward contracts				(397,398)		(2.69)

Net unrealized appreciation on open forward contracts			$	228,293		1.55	%

*	Due to rounding

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

CMF Aspect Master Fund L.P.

Condensed Schedule of Investments

December 31, 2017


	Notional ($)/ Number of Contracts		Fair Value		% of Partners’ Capital
Futures Contracts Purchased
Energy		86	$	288,488		1.96	%
Grains		2		(2,437)		(0.02)
Indices		218		80,993		0.55
Interest Rates U.S.		2		(2,032)		(0.01)
Interest Rates Non-U.S.		448		(348,421)		(2.37)
Livestock		3		755		0.01
Metals		27		78,338		0.53
Softs		16		22,739		0.16

Total futures contracts purchased				118,423		0.81


Futures Contracts Sold
Currencies		2		(2,006)		(0.01)
Energy		53		(120,995)		(0.82)
Grains		180		29,947		0.20
Indices		29		(3,165)		(0.02)
Interest Rates U.S.		156		(7,351)		(0.05)
Interest Rates Non-U.S.		310		36,276		0.25
Metals		4		(19,017)		(0.13)
Softs		57		734		(0.01)

Total futures contracts sold				(85,577)		(0.59)

Net unrealized appreciation on open futures contracts			$	32,846		0.22	%


Unrealized Appreciation on Open Forward Contracts
Currencies	$	89,105,772	$	1,100,324		7.48	%
Metals		61		367,024		2.50

Total unrealized appreciation on open forward contracts				1,467,348		9.98


Unrealized Depreciation on Open Forward Contracts
Currencies	$	89,761,562		(1,172,261)		(7.97)
Metals		44		(240,981)		(1.64)

Total unrealized depreciation on open forward contracts				(1,413,242)		(9.61)

Net unrealized appreciation on open forward contracts			$	54,106		0.37	%

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

CMF Aspect Master Fund L.P.

Statements of Income and Expenses and Changes in Partners’ Capital

(Unaudited)


	Three Months Ended June 30,				Six Months Ended June 30,
	2018		2017		2018		2017
Investment Income:
Interest income	$	44,921	$	67,220	$	91,403	$	118,343

Expenses:
Clearing fees		13,597		27,607		28,789		53,794
Professional fees		17,000		15,947		34,195		31,892

Total expenses		30,597		43,554		62,984		85,686

Net investment income (loss)		14,324		23,666		28,419		32,657

Trading Results:
Net gains (losses) on trading of commodity interests:
Net realized gains (losses) on closed contracts		(906,149)		(929,222)		(890,003)		(965,852)
Net change in unrealized gains (losses) on open contracts		260,870		(919,405)		495,462		(1,686,682)

Total trading results		(645,279)		(1,848,627)		(394,541)		(2,652,534)

Net income (loss)		(630,955)		(1,824,961)		(366,122)		(2,619,877)
Subscriptions—Limited Partners		-		-		2,793,227		250,000
Redemptions—Limited Partners		(686,066)		(3,583,689)		(2,281,674)		(11,574,309)
Distribution of interest income to feeder funds		(32,190)		(67,220)		(67,515)		(117,239)

Net increase (decrease) in Partners’ Capital		(1,349,211)		(5,475,870)		77,916		(14,061,425)
Partners’ Capital, beginning of period		16,124,038		45,043,813		14,696,911		53,629,368

Partners’ Capital, end of period	$	14,774,827	$	39,567,943	$	14,774,827	$	39,567,943

Net asset value per Redeemable Unit
(5,152.6898 and 14,499.0105 Redeemable Units outstanding at June 30, 2018 and 2017, respectively)	$	2,867.40	$	2,729.01	$	2,867.40	$	2,729.01

Net income (loss) per Redeemable Unit*	$	(123.44)	$	(123.74)	$	(88.01)	$	(173.77)

Weighted average Redeemable Units outstanding		5,272.7207		15,043.1559		5,469.4314		15,731.0467

*	Represents the change in net asset value per Redeemable Unit during the period before distribution of interest income to feeder funds.

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

3.	Financial Highlights:

Financial highlights for the limited partner class as a whole for the three and six months ended June 30, 2018 and 2017 were as follows:


	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	(51.40)		$	(75.97)		$	(37.32)		$	(125.26)
Net investment loss		(17.90)			(17.90)			(36.52)			(36.58)

Increase (decrease) for the period		(69.30)			(93.87)			(73.84)			(161.84)
Net asset value per Redeemable Unit, beginning of period		1,229.92			1,244.81			1,234.46			1,312.78

Net asset value per Redeemable Unit, end of period	$	1,160.62		$	1,150.94		$	1,160.62		$	1,150.94


	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Ratios to Average Limited Partners’ Capital:**
Net investment loss***		(6.0)	%		(6.0)	%		(6.0)	%		(6.0)	%


Operating expenses		7.2	%		6.6	%		7.2	%		6.5	%
Incentive fees		-	%		-	%		-	%		-	%

Total expenses		7.2	%		6.6	%		7.2	%		6.5	%


Total return:
Total return before incentive fees		(5.6)	%		(7.5)	%		(6.0)	%		(12.3)	%
Incentive fees		-	%		-	%		-	%		-	%

Total return after incentive fees		(5.6)	%		(7.5)	%		(6.0)	%		(12.3)	%

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

**	Annualized (except for incentive fees).

***	Interest income allocated from Aspect Master less total expenses.

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

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

Financial Highlights of Aspect Master:

Financial highlights for the limited partner class as a whole for the three and six months ended June 30, 2018 and 2017 were as follows:


	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
Net realized and unrealized gains (losses)	$	(126.16)		$	(125.31)		$	(93.21)		$	(175.85)
Net investment income (loss)		2.72			1.57			5.20			2.08

Increase (decrease) for the period		(123.44)			(123.74)			(88.01)			(173.77)
Distribution of interest income to feeder funds		(6.11)			(4.47)			(12.34)			(7.45)
Net asset value per Redeemable Unit, beginning of period		2,996.95			2,857.22			2,967.75			2,910.23

Net asset value per Redeemable Unit, end of period	$	2,867.40		$	2,729.01		$	2,867.40		$	2,729.01


	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Ratios to Average Limited Partners’ Capital:**
Net investment income (loss)***		0.4	%		0.2	%		0.4	%		0.1	%

Operating expenses		0.8	%		0.4	%		0.8	%		0.4	%

Total return		(4.1)	%		(4.3)	%		(3.0)	%		(6.0)	%

**	Annualized.

***	Interest income less total expenses.

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

4.	Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity interests. The Partnership invests substantially all of its assets through a “master/feeder” structure. The Partnership’s pro-rata share of the results of the Funds’ trading activities is shown in the Statements of Income and Expenses and Changes in Partners’ Capital.

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

Trading and transaction fees are based on the number of trades executed by the Advisor for the Funds’ and the Partnership’s percentage ownership of the Funds’. All clearing fees paid to MS&Co. are borne by the Funds’ and allocated to the limited partners, including the Partnership.

All of the commodity interests owned by the Funds’ are held for trading purposes. The monthly average number of futures contracts traded during the three months ended June 30, 2018 and 2017 were 1,380 and 2,534, respectively. The monthly average number of futures contracts traded during the six months ended June 30, 2018 and 2017 were 1,404 and 2,574, respectively. The monthly average number of metals forward contracts traded during the three months ended June 30, 2018 and 2017 were 94 and 211, respectively. The monthly average number of metals forward contracts traded during the six months ended June 30, 2018 and 2017 were 122 and 240, respectively. The monthly average notional values of currency forward contracts traded during the three months ended June 30, 2018 and 2017 were $96,825,873 and $200,891,029, respectively. The monthly average notional values of currency forward contracts traded during the six months ended June 30, 2018 and 2017 were $142,369,506 and $201,298,553, respectively.

The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Fund’s derivatives and their offsetting subject to master netting arrangements or similar agreements as of June 30, 2018 and December 31, 2017, respectively.


June 30, 2018	Gross Amounts Recognized		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
June 30, 2018	Gross Amounts Recognized						Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets

MS&Co.
Futures	$	612,108	$	(255,349)	$	356,759	$	-	$	-	$	356,759
Forwards		107,954		(104,762)		3,192		-		-		3,192

		720,062		(360,111)		359,951		-		-		359,951

JPMorgan
Forwards		517,737		(292,636)		225,101		-		-		225,101

Total assets	$	1,237,799	$	(652,747)	$	585,052	$	-	$	-	$	585,052


Liabilities

MS&Co.
Futures	$	(255,349)	$	255,349	$	-	$	-	$	-	$	-
Forwards		(104,762)		104,762		-		-		-		-

		(360,111)		360,111		-		-		-		-

JPMorgan
Forwards		(292,636)		292,636		-		-		-		-

Total liabilities	$	(652,747)	$	652,747	$	-	$	-	$	-	$	-

Net fair value											$	585,052	*

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)


December 31, 2017	Gross Amounts Recognized		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition				Net Amount
December 31, 2017	Gross Amounts Recognized						Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets

MS&Co.
Futures	$	644,619	$	(611,773)	$	32,846	$	-	$	-	$	32,846
Forwards		367,024		(240,981)		126,043		-		-		126,043

		1,011,643		(852,754)		158,889		-		-		158,889

JPMorgan
Forwards		1,100,324		(1,100,324)		-		-		-		-

Total assets	$	2,111,967	$	(1,953,078)	$	158,889	$	-	$	-	$	158,889


Liabilities

MS&Co.
Futures	$	(611,773)	$	611,773	$	-	$	-	$	-	$	-
Forwards		(240,981)		240,981		-		-		-		-

		(852,754)		852,754		-		-		-		-

JPMorgan
Forwards		(1,172,261)		1,100,324		(71,937)		-		-		(71,937)

Total liabilities	$	(2,025,015)	$	1,953,078	$	(71,937)	$	-	$	-	$	(71,937)

Net fair value											$	86,952	*

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

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

The following tables indicate the Fund’s gross fair values of derivative instruments of futures and forward contracts as separate assets and liabilities as of June 30, 2018 and December 31, 2017, respectively.


	June 30, 2018
Assets
Futures Contracts
Currencies	$	6,510
Energy		263,115
Grains		97,357
Indices		33,550
Interest Rates U.S.		13,133
Interest Rates Non-U.S.		93,770
Livestock		9,868
Metals		75,346
Softs		19,459

Total unrealized appreciation on open futures contracts		612,108


Liabilities
Futures Contracts
Currencies		(665)
Energy		(9,986)
Grains		(11,605)
Indices		(148,541)
Interest Rates U.S.		(19,578)
Interest Rates Non-U.S.		(33,626)
Livestock		(14,491)
Metals		(4,900)
Softs		(11,957)

Total unrealized depreciation on open futures contracts		(255,349)


Net unrealized appreciation on open futures contracts	$	356,759	*


Assets
Forward Contracts
Currencies	$	518,140
Metals		107,551

Total unrealized appreciation on open forward contracts		625,691


Liabilities
Forward Contracts
Currencies		(293,183)
Metals		(104,215)

Total unrealized depreciation on open forward contracts		(397,398)


Net unrealized appreciation on open forward contracts	$	228,293	**

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

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

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)


	December 31, 2017
Assets
Futures Contracts
Energy	$	289,627
Grains		40,422
Indices		121,365
Interest Rates U.S.		20,164
Interest Rates Non-U.S.		58,131
Livestock		755
Metals		78,338
Softs		35,817

Total unrealized appreciation on open futures contracts		644,619


Liabilities
Futures Contracts
Currencies		(2,006)
Energy		(122,134)
Grains		(12,912)
Indices		(43,537)
Interest Rates U.S.		(29,547)
Interest Rates Non-U.S.		(370,276)
Metals		(19,017)
Softs		(12,344)

Total unrealized depreciation on open futures contracts		(611,773)


Net unrealized appreciation on open futures contracts	$	32,846	*


Assets
Forward Contracts
Currencies	$	1,100,324
Metals		367,024

Total unrealized appreciation on open forward contracts		1,467,348


Liabilities
Forward Contracts
Currencies		(1,172,261)
Metals		(240,981)

Total unrealized depreciation on open forward contracts		(1,413,242)


Net unrealized appreciation on open forward contracts	$	54,106	**

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

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

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

The following table indicates the Fund’s trading gains and losses, by market sector, on derivative instruments for the three and six months ended June 30, 2018 and 2017, respectively.


	Three Months Ended June 30,						Six Months Ended June 30,
Sector	2018			2017			2018			2017
Currencies	$	(148,992)		$	(1,060,368)		$	(79,874)		$	(1,608,547)
Energy		514,531			(699,702)			590,407			(1,382,914)
Grains		(9,395)			(153,019)			(185,436)			(396,769)
Indices		(33,155)			612,526			(524,476)			2,455,287
Interest Rates U.S.		(169,750)			(123,017)			329,890			(423,534)
Interest Rates Non-U.S.		(711,444)			(1,042,494)			(301,079)			(2,006,452)
Livestock		(29,040)			278,928			(17,122)			311,331
Metals		(17,493)			(317,853)			(234,158)			(219,595)
Softs		(40,541)			656,372			27,307			618,659

Total	$	(645,279)	***	$	(1,848,627)	***	$	(394,541)	***	$	(2,652,534)	***

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

5.	Fair Value Measurements:

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

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

Aspect Master considers, and PGR Master considered, prices for commodity futures, swap and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain options contracts for which market quotations are not readily available are priced by pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of June 30, 2018 and December 31, 2017 and for the periods ended June 30, 2018 and 2017, the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the beginning of the reporting period.

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)


June 30, 2018	Total		Level 1		Level 2		Level 3

Assets
Futures	$	612,108	$	612,108	$	-	$	-
Forwards		625,691		-		625,691		-

Total assets	$	1,237,799	$	612,108	$	625,691	$	-


Liabilities
Futures	$	255,349	$	255,349	$	-	$	-
Forwards		397,398		-		397,398		-

Total liabilities	$	652,747	$	255,349	$	397,398	$	-


December 31, 2017*	Total		Level 1		Level 2		Level 3

Assets
Futures	$	644,619	$	644,619	$	-	$	-
Forwards		1,467,348		-		1,467,348		-

Total assets	$	2,111,967	$	644,619	$	1,467,348	$	-


Liabilities
Futures	$	611,773	$	611,773	$	-	$	-
Forwards		1,413,242		-		1,413,242		-

Total liabilities	$	2,025,015	$	611,773	$	1,413,242	$	-

$138,928 of assets and $548,617 of liabilities were transferred from Level 1 to Level 2 during the year ended December 31, 2017. The General Partner believes that for London Metal Exchange (“LME”) forward contracts, the inputs are derived from an exchange and not actively quoted prices, which is more representative of a Level 2 security.

6.	Investment in the Fund:

On March 1, 2005, the assets allocated to Aspect for trading were invested in Aspect Master, a limited partnership organized under the partnership laws of the State of New York. Aspect Master permits accounts managed by Aspect using Aspect’s Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process.

On September 1, 2016, the assets allocated to PGR for trading were invested in PGR Master, a limited partnership organized under the partnership laws of the State of Delaware. PGR Master permitted accounts managed by PGR using its Mayfair Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner was also the general partner of PGR Master. Individual and pooled accounts managed by PGR, including the Partnership, were permitted to be limited partners of PGR Master. The General Partner and PGR believed that trading through this structure would promote efficiency and economy in the trading process. Effective the close of business on December 31, 2017, the Partnership fully redeemed its investment in PGR Master.

The General Partner is not aware of any other material changes to any of the trading programs discussed above or in Note 1, “Organization” during the fiscal quarter ended June 30, 2018.

The Fund’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Fund engaged in such trading through commodity brokerage accounts maintained with MS&Co.

Generally, a limited partner in the Fund withdraws all or part of its capital contribution and undistributed profits, if any, from the Fund as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner elects to redeem and informs the Fund. However, a limited partner may request a withdrawal as of the end of any day if such request is received by the General Partner at least three days in advance of the proposed withdrawal day.

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

Management fees, General Partner fees, ongoing selling agent fees and incentive fees are charged at the Partnership level. All clearing fees are borne by the Fund and allocated to the Fund’s limited partners including the Partnership. Professional fees are borne by the Fund and allocated to the Partnership, and also charged directly at the Partnership level.

Expenses to investors as a result of the investment in the Fund are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected.

Summarized information reflecting the total assets, liabilities and partners’ capital of the Fund(s) is/are shown in the following tables:


	June 30, 2018

	Total Assets		Total Liabilities		Total Partners’ Capital
Aspect Master	$	14,978,560	$	203,733	$	14,774,827

	December 31, 2017

	Total Assets		Total Liabilities		Total Partners’ Capital
Aspect Master	$	31,265,102	$	16,568,191	$	14,696,911
PGR Master		7,502,405		7,502,405		-

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


	For the three months ended June 30, 2018

	Net Investment Income (Loss)		Total Trading Results		Net Income (Loss)
Aspect Master	$	14,324	$	(645,279)	$	(630,955)

	For the six months ended June 30, 2018

	Net Investment Income (Loss)		Total Trading Results		Net Income (Loss)
Aspect Master	$	28,419	$	(394,541)	$	(366,122)

	For the three months ended June 30, 2017

	Net Investment Income (Loss)		Total Trading Results		Net Income (Loss)
Aspect Master	$	23,666	$	(1,848,627)	$	(1,824,961)
PGR Master		(9,619)		(1,196,807)		(1,206,426)

	For the six months ended June 30, 2017

	Net Investment Income (Loss)		Total Trading Results		Net Income (Loss)
Aspect Master	$	32,657	$	(2,652,534)	$	(2,619,877)
PGR Master		(20,213)		(2,415,171)		(2,435,384)

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

Summarized information reflecting the Partnership’s investment in and the Partnership’s pro-rata share of the results of operations of the Fund(s) is/are shown in the following tables:


	June 30, 2018				For the three months ended June 30, 2018
	% of						Expenses				Net
	Partners’		Fair		Income		Clearing		Professional		Income		Investment	Redemptions
Fund	Capital		Value		(Loss)		Fees		Fees		(Loss)		Objective	Permitted
Aspect Master		99.88%	$	5,638,028	$	(233,634)	$	5,223	$	6,527	$	(245,384)	Commodity Portfolio		Monthly

Total			$	5,638,028	$	(233,634)	$	5,223	$	6,527	$	(245,384)


	June 30, 2018				For the six months ended June 30, 2018
	% of						Expenses				Net
	Partners’		Fair		Income		Clearing		Professional		Income		Investment	Redemptions
Fund	Capital		Value		(Loss)		Fees		Fees		(Loss)		Objective	Permitted
Aspect Master		99.88%	$	5,638,028	$	(130,022)	$	10,913	$	12,971	$	(153,906)	Commodity Portfolio		Monthly

Total			$	5,638,028	$	(130,022)	$	10,913	$	12,971	$	(153,906)


	December 31, 2017				For the three months ended June 30, 2017
	% of						Expenses				Net
	Partners’		Fair		Income		Clearing		Professional		Income		Investment	Redemptions
Funds	Capital		Value		(Loss)		Fees		Fees		(Loss)		Objective	Permitted
Aspect Master		76.28%	$	4,935,174	$	(213,970)	$	3,278	$	1,892	$	(219,140)	Commodity Portfolio		Monthly
PGR Master		-		-		(252,483)		6,777		3,201		(262,461)	Commodity Portfolio		Monthly

Total			$	4,935,174	$	(466,453)	$	10,055	$	5,093	$	(481,601)


	December 31, 2017				For the six months ended June 30, 2017
	% of						Expenses				Net
	Partners’		Fair		Income		Clearing		Professional		Income		Investment	Redemptions
Funds	Capital		Value		(Loss)		Fees		Fees		(Loss)		Objective	Permitted
Aspect Master		76.28%	$	4,935,174	$	(299,533)	$	6,427	$	3,808	$	(309,768)	Commodity Portfolio		Monthly
PGR Master		-		-		(485,306)		12,750		6,076		(504,132)	Commodity Portfolio		Monthly

Total			$	4,935,174	$	(784,839)	$	19,177	$	9,884	$	(813,900)

7.	Financial Instrument Risks:

In the normal course of business, the Partnership, indirectly through its investment in the Fund, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, swap-execution facility or over-the-counter (“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain standardized forward, swap and option contracts. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 30.0% to 42.0% of the Fund’s contracts are traded OTC.

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

Futures Contracts. Aspect Master trades, and PGR Master traded, futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Fund 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 Fund. When the contract is closed, the Fund 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 net change in unrealized gains (losses) on futures contracts are included in the Fund’s Statements of Income and Expenses and Changes in Partners’ Capital.

Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily, and the Fund’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 Fund’s Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Fund’s Statements of Income and Expenses and Changes in Partners’ Capital.

London Metals Exchange Forward Contracts. Metal contracts traded on the 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 Fund are cash settled based on prompt dates published by the LME. Variation margin may be made or received by the Fund 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 Fund. 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 Fund 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 net change in unrealized gains (losses) on metal contracts are included in the Fund’s Statements of Income and Expenses and Changes in Partners’ Capital.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund 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/Fund are exposed to a market risk equal to the value of the futures and forward contracts held and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Fund’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/Fund’s risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Fund to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Fund have credit risk and concentration risk, as MS&Co., an MS&Co. affiliate or JPMorgan are counterparties or brokers with respect to the Partnership’s/Fund’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s/Fund’s counterparty is an exchange or clearing organization.

The General Partner monitors and attempts to mitigate the Partnership’s/Fund’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/Fund 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, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

Global Diversified Futures Fund L.P.

Notes to Financial Statements

(Unaudited)

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

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

In the ordinary course of business, the Fund enters into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Fund. The Fund considers the risk of any future obligation relating to these indemnifications to be remote.

8.	Subsequent Events:

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

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

Liquidity and Capital Resources

The Partnership does not have, nor does it expect to have, any capital assets. The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Fund, redemptions receivable from the Fund and cash. The Master’s only assets are its cash at bank and equity in trading account, consisting of unrestricted cash, restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts and investment in U.S. Treasury bills at fair value, if applicable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the second quarter of 2018.

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

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

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

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

For the six months ended June 30, 2018, the Partnership’s capital decreased 12.8% from $6,470,236 to $5,644,832. This decrease was attributable to a net loss of $348,951, coupled with redemptions of 365.5130 limited partner Redeemable Units totaling $461,453 and 12.1960 General Partner Redeemable Units totaling $15,000. Future redemptions can impact the amount of funds available for investment in the Fund in subsequent periods.

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

For the six months ended June 30, 2018, the Fund’s capital increased 0.5% from $14,696,911 to $14,774,827. This increase was attributable to subscriptions totaling $2,793,227 which was partially offset by net loss of $366,122 and redemptions totaling $2,281,674 and distribution of interest income to feeder funds, including the Partnership, totaling $67,515. Future redemptions can impact the amount of funds available for investment in commodity contract positions in subsequent periods.

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

Off-Balance Sheet Arrangements and Contractual Obligations

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

Critical Accounting Policies

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

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

Results of Operations

During the Partnership’s second quarter of 2018, the net asset value per Redeemable Unit decreased 5.6% from $1,229.92 to $1,160.62 as compared to a decrease of 7.5% in the second quarter of 2017. The Partnership experienced a net trading loss before fees and expenses in the second quarter of 2018 of $250,880. Losses were primarily attributable to the Fund’s trading of commodity futures in currencies, grains, indices, U.S. and non-U.S. interest rates, livestock, metals and softs and were partially offset by gains in energy. The Partnership experienced a net trading loss before fees and expenses in the second quarter of 2017 of $477,689. Losses were primarily attributable to the Funds’ trading of commodity futures in currencies, grains, energy, U.S. and non-U.S. interest rates and metals and were partially offset by gains in livestock, softs and indices.

The most notable losses were incurred during May from short positions in U.S. and European fixed income futures as bond prices surged amid growing populist tensions in Europe. In the currencies, losses were experienced during April and May as a strengthening U.S. dollar negatively impacted the Partnership’s currency futures positions. Losses in the agricultural markets were experienced amid falling cocoa prices during May and a decline in grain prices during April and May. Trade tensions between the U.S. and China resulted in losses from Asian equity index futures during May and June. During April, short positions in aluminum futures recorded losses as prices soared amid the possibility of sanctions against Russia metals exports. A portion of the Partnership’s losses was offset by gains achieved within the energy sector during April and May from long positions in crude oil and its refined products as global supply shortfalls pushed prices higher.

During the Partnership’s six months ended June 30, 2018, the net asset value per Redeemable Unit decreased 6.0% from $1,234.46 to $1,160.62 as compared to a decrease of 12.3% during the six months ended June 30, 2017. The Partnership experienced a net trading loss before fees and expenses during the six months ended June 30, 2018 of $164,679. Losses were primarily attributable to the Fund’s trading of commodity futures in currencies, grains, indices, non-U.S. interest rates, livestock and metals and were partially offset by gains in energy, U.S. interest rates and softs. The Partnership experienced a net trading loss before fees and expenses during the six months ended June 30, 2017 of $804,791. Losses were primarily attributable to the Funds’ trading of commodity futures in currencies, grains, energy, U.S. and non-U.S. interest rates and metals and were partially offset by gains in livestock, softs and indices.

The most notable losses were incurred during February from long positions in global stock indices as prices reversed sharply lower early in the month after previously trending higher for several months. Smaller losses in equity indices were experienced during March, May, and June. In the metals, losses were recorded from positions in the industrial metals during March and April. During May, long positions in cocoa futures incurred losses as prices fell dramatically. Additional losses in the agricultural markets were experienced due to grains trading in January, April, and May. Losses in the currency sector were experience during February, April, and May as the U.S. dollar strengthened. The most notable losses within the global interest rate sector were incurred during May from short positions in U.S. and European fixed income futures as bond prices spiked. A portion of the Partnership’s losses during the first six months of the year was offset by gains achieved during January, March, April, and May from long positions in crude oil and its refined products as global supply shortfalls and geopolitical tensions in the Middle East and Russia pushed prices higher.

Commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the Fund 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 relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisor is able to identify them, the Fund expects to increase capital through operations.

Interest income on 80% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Fund’s) brokerage account during each month is earned at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. For the avoidance of doubt, the Partnership/Fund will not receive interest on amounts in the futures brokerage account that are committed to margin. Any interest earned on the Partnership’s and/or the Fund’s account in excess of the amounts described above, if any, will be retained by MS&Co. and/or shared with the General Partner. All interest earned on U.S. Treasury bills and money market mutual fund securities will be retained by the Partnership and/or the Fund, as applicable. Any interest income earned on collateral or excess cash deposited by the Fund and held by JPMorgan in its capacity as the Fund’s forward foreign currency counterparty will be retained by the Fund, and the Partnership will receive its allocable portion of such interest from the Fund. Interest income for the three and six months ended June 30, 2018 increased by $6,010 and $14,705, respectively, as compared to the corresponding periods in 2017. The increase in interest income was primarily due to higher 4-week U.S. Treasury bill discount rates along with additional interest income earned on U.S. Treasury bills during the three and six months ended June 30, 2018 as compared to the corresponding periods in 2017. The amount of interest income earned by the Partnership/Fund depends on (1) the average daily equity maintained in cash in the Partnership’s/Fund’s accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Fund and (3) interest rates over which none of the Partnership, the Fund, MS&Co. or JPMorgan has control.

Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Ongoing selling agent fees for the three and six months ended June 30, 2018 decreased by $8,186 and $18,565, respectively, as compared to the corresponding periods in 2017. The decrease in ongoing selling agent fees is due to lower average net assets during the three and six months ended June 30, 2018 as compared to the corresponding periods in 2017.

Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Management fees for the three and six months ended June 30, 2018 decreased by $3,430 and $8,047, respectively, as compared to the corresponding periods in 2017. The decrease in the management fees was due to lower average net assets during the three and six months ended June 30, 2018 as compared to the corresponding periods in 2017.

General Partner fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisors and (ii) monitoring the activities of the commodity trading advisors. These fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance and redemptions. Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values. General Partner fees for the three and six months ended June 30, 2018 decreased by $3,613 and $8,211, respectively, as compared to the corresponding periods in 2017. The decrease in General Partner fees was due to lower average net assets during the three and six months ended June 30, 2018 as compared to the corresponding periods in 2017.

Incentive fees are based on the new trading profits generated by the Advisor as defined in the management agreement among the Partnership, the General Partner and the Advisor and are payable annually. There were no incentive fees paid for the three and six months ended June 30, 2018 and 2017. To the extent the Advisor incurs a loss for the Partnership, the Advisor will not be paid incentive fees until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.

In allocating substantially all of the assets of the Partnership to the Advisor, the General Partner considers, among other factors, 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 and allocate assets to additional advisors at any time.

Item 3. Quantitative and Qualitative Disclosures about Market Risk.

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

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

Market movements result in frequent changes in the fair value of the Partnership’s/Fund’s open contracts and, consequently in their earnings and cash balances. The Partnership’s/Fund’s market risks are 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 of the Partnership’s/Fund’s open contracts and the liquidity of the markets in which they trade.

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

Quantifying the Fund’s Trading Value at Risk

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

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

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

“Value at Risk” is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experiences 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 Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risks.

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

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The Advisor currently trades the Partnership’s assets indirectly in master fund managed accounts established in the name of the Fund over which they have been granted limited authority to make trading decisions. The following tables indicate the trading Value at Risk associated with the Fund’s open positions by market category as of June 30, 2018 and December 31, 2017, and the highest, lowest and average value during the three months ended June 30, 2018 and during the twelve months ended December 31, 2017. All open position trading risk exposures of the Fund 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 Form 10-K for the year ended December 31, 2017.

As of June 30, 2018, Aspect Master’s total capitalization was $14,774,827. The Partnership owned approximately 38.2% of Aspect Master. As of June 30, 2018, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

June 30, 2018


						Three Months Ended June 30, 2018
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	945,683		6.40	%	$	1,337,816	$	787,895	$	1,105,819
Energy		201,744		1.36			349,140		193,836		275,132
Grains		135,686		0.92			135,686		57,421		89,063
Indices		704,620		4.77			1,117,569		393,663		799,534
Interest Rates U.S.		136,554		0.92			310,937		105,788		199,612
Interest Rates Non-U.S.		281,541		1.91			722,184		223,110		456,750
Livestock		34,889		0.24			42,900		23,119		36,026
Metals		174,450		1.18			207,300		127,730		163,277
Softs		110,296		0.75			147,105		68,301		119,569

Total	$	2,725,463		18.45	%

*	Average of month-end Values at Risk.

Prior to the close of business on December 31, 2017, Aspect Master’s total capitalization was $31,218,684. The Partnership owned approximately 15.9% of Aspect Master. Prior to the close of business December 31, 2017, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:

December 31, 2017


						Twelve Months Ended December 31, 2017
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	1,837,893		5.89	%	$	6,170,736	$	165,409	$	3,911,657
Energy		382,027		1.22			705,685		148,355		391,313
Grains		150,058		0.48			517,162		113,163		280,860
Indices		778,476		2.49			2,393,315		717,283		1,742,652
Interest Rates U.S.		210,106		0.67			409,866		17,734		118,732
Interest Rates Non-U.S.		538,671		1.73			1,683,359		308,848		908,862
Livestock		7,480		0.02			192,005		6,724		89,618
Metals		305,177		0.98			1,042,528		274,140		564,920
Softs		114,422		0.37			570,247		104,140		352,100

Total	$	4,324,310		13.85	%

*	Annual average of month-end Values at Risk.

Item 4. Controls and Procedures.

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the President 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) and 15d-15(e) under the Exchange Act) as of June 30, 2018 and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

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

•

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

•

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

•

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

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended June 30, 2018 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings.

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

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

MS&Co. is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Exchange Act, which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including MS&Co. As a consolidated subsidiary of Morgan Stanley, MS&Co. does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, please refer to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2017, 2016, 2015, 2014, and 2013. In addition, MS&Co. annually prepares an Audited, Consolidated Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at www.morganstanley.com. Please refer to the Commitments, Guarantees and Contingencies – Legal section of MS&Co.’s 2017 Audited Financial.

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

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

Regulatory and Governmental Matters.

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

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

On January 13, 2015, the New York Attorney General’s Office (“NYAG”), which is also a member of the RMBS Working Group, indicated that it intended to file a lawsuit related to approximately 30 subprime securitizations sponsored by MS&Co. NYAG indicated that the lawsuit would allege that MS&Co. misrepresented or omitted material information related to the due diligence, underwriting and valuation of the loans in the

securitizations and the properties securing them and indicated that its lawsuit would be brought under the Martin Act. MS&Co. and NYAG reached an agreement to resolve the matter on February 10, 2016.

On June 5, 2012, MS&Co. 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, MS&Co. violated Section 4c(a) of the Commodity Exchange Act and CFTC 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 MS&Co. 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 Commodity Exchange Act and CFTC Regulations. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. 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. MS&Co. entered into corresponding and related settlements with the CME and CBOT in which the CME found that MS&Co. violated CME Rules 432.Q and 538 and fined MS&Co. $750,000 and CBOT found that MS&Co. violated CBOT Rules 432.Q and 538 and fined MS&Co. $1,000,000.

On July 23, 2014, the SEC approved a settlement by MS&Co. and certain affiliates to resolve an investigation related to certain subprime RMBS transactions sponsored and underwritten by those entities in 2007. Pursuant to the settlement, MS&Co. and certain affiliates were charged with violating Sections 17(a)(2) and 17(a)(3) of the Securities Act of 1933, as amended, agreed to pay disgorgement and penalties in an amount of $275 million and neither admitted nor denied the SEC’s findings.

On April 21, 2015, the Chicago Board Options Exchange, Incorporated (“CBOE”) and the CBOE Futures Exchange, LLC (“CFE”) filed statements of charges against MS&Co. in connection with trading by one of MS&Co.’s former traders of EEM options contracts that allegedly disrupted the final settlement price of the November 2012 VXEM futures. CBOE alleged that MS&Co. violated CBOE Rules 4.1, 4.2 and 4.7, Sections 9(a) and 10(b) of the Exchange Act, and Rule 10b-5 thereunder. CFE alleged that MS&Co. violated CFE Rules 608, 609 and 620. The matters were resolved on June 28, 2016 without any findings of fraud.

On June 18, 2015, MS&Co. entered into a settlement with the SEC and paid a fine of $500,000 as part of the Municipalities Continuing Disclosure Cooperation Initiative to resolve allegations that MS&Co. failed to form a reasonable basis through adequate due diligence for believing the truthfulness of the assertions by issuers and/or obligors regarding their compliance with previous continuing disclosure undertakings pursuant to Rule 15c2-12 under the Exchange Act in connection with offerings in which MS&Co. acted as senior or sole underwriter.

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

On December 20, 2016, MS&Co. consented to and became the subject of an order by the SEC in connection with allegations that MS&Co. willfully violated Sections 15(c)(3) and 17(a)(1) of the Exchange Act and Rules 15c3-3(e), 17a-5(a), and 17a-5(d) thereunder, by inaccurately calculating its Reserve Account requirement under Rule 15c3-3 by including margin loans to an affiliate in its calculations, which resulted in making inaccurate records and submitting inaccurate reports to the SEC. Without admitting or denying the underlying allegations and without adjudication of any issue of law or fact, MS&Co. consented to a cease and desist order, a censure, and a civil monetary penalty of $7,500,000.

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

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

Civil Litigation

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against MS&Co., styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., which is pending in the Supreme Court of the State of New York, New York County (“Supreme Court of NY”). The complaint relates to a $275 million credit default swap referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserts claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that MS&Co. misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that MS&Co. knew that the assets backing the CDO were of poor quality when it entered into the 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 denied MS&Co.’s motion to dismiss the complaint. On June 27, 2018, the Firm filed a motion for summary judgment and spoliation sanctions against CDIB. Based on currently available information, MS&Co. 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 MS&Co. and other defendants in the Circuit Court of the State of Illinois, styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al. A corrected amended complaint was filed on April 8, 2011, which alleges that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by MS&Co. at issue in the action was approximately $203 million. The complaint seeks, among other things, to rescind the plaintiff’s purchase of such certificates. The defendants filed a motion to dismiss the corrected amended complaint on May 27, 2011, which was denied on September 19, 2012. On December 13, 2013, the court entered an order dismissing all claims related to one of the securitizations at issue. On January 18, 2017, the court entered an order dismissing all claims related to an additional securitization at issue. After those dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $65 million. At June 25, 2018, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $37 million, and the certificates had not yet incurred actual losses. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $37 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On May 17, 2013, plaintiff in IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al. filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY. The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $133 million. The complaint alleges causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, among other things, compensatory and punitive damages. On October 29, 2014, the court granted in part and denied in part MS&Co.’s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $116 million. On August 11, 2016, the Appellate Division, First Department affirmed the trial court’s decision denying in part MS&Co.’s motion to dismiss the complaint. At June 25, 2018, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $24 million, and the certificates had incurred actual losses of $58 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $24 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus pre- and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

On April 1, 2016, the California Attorney General’s Office filed an action against MS&Co. in California state court styled California v. Morgan Stanley, et al., on behalf of California investors, including the California Public Employees’ Retirement System and the California Teachers’ Retirement System. The complaint alleges that MS&Co. made misrepresentations and omissions regarding residential mortgage-backed securities and notes issued by the Cheyne SIV (defined below), and asserts violations of the California False Claims Act and other state laws and seeks treble damages, civil penalties, disgorgement, and injunctive relief. On September 30, 2016, the court granted MS&Co.’s demurrer, with leave to replead. On October 21, 2016, the California Attorney General filed an amended complaint. On January 25, 2017, the court denied MS&Co.’s demurrer with respect to the amended complaint.

Settled Civil Litigation

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

On March 15, 2010, the Federal Home Loan Bank of San Francisco filed a complaint against MS&Co. and other defendants in the Superior Court of the State of California styled Federal Home Loan Bank of San Francisco v. Credit Suisse Securities (USA) LLC, et al. An amended complaint filed on June 10, 2010 alleged that defendants made untrue statements and material omissions in connection with the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly sold to plaintiff by MS&Co. was approximately $704 million. The complaint raised claims under both the federal securities laws and California law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On January 26, 2015, as a result of a settlement with certain other defendants, the plaintiff requested and the court subsequently entered a dismissal with prejudice of certain of the plaintiff’s claims, including all remaining claims against MS&Co.

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

On July 9, 2010 and February 11, 2011, Cambridge Place Investment Management Inc. filed two separate complaints against MS&Co. and/or its affiliates and other defendants in the Superior Court of the Commonwealth of Massachusetts, both styled Cambridge Place Investment Management Inc. v. Morgan Stanley & Co., Inc., et al. The complaints asserted claims on behalf of certain clients of plaintiff’s affiliates and alleged 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 MS&Co. and/or its affiliates or sold to plaintiff’s affiliates’ clients by MS&Co. and/or its affiliates in the two matters was approximately $263 million. On February 11, 2014, the parties entered into an agreement to settle the litigation. On February 20, 2014, the court dismissed the action.

On October 25, 2010, MS&Co., certain affiliates and Pinnacle Performance Limited, a special purpose vehicle (“SPV”), were named as defendants in a purported class action in the United States District Court for the Southern District of New York (“SDNY”), styled Ge Dandong, et al. v. Pinnacle Performance Ltd., et al. On January 31, 2014, the plaintiffs in the action, which related to securities issued by the SPV in Singapore, filed a second amended complaint, which asserted common law claims of fraud, aiding and abetting fraud, fraudulent inducement, aiding and abetting fraudulent inducement, and breach of the implied covenant of good faith and fair dealing. On July 17, 2014, the parties reached an agreement to settle the litigation, which received final court approval on July 2, 2015.

On July 5, 2011, Allstate Insurance Company and certain of its affiliated entities filed a complaint against MS&Co. in the Supreme Court of NY, styled Allstate Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on September 9, 2011, and alleged that the defendants made untrue statements and material omissions in the sale to the plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly issued and/or sold to the plaintiffs by MS&Co. was approximately $104 million. The complaint raised common law claims of fraud, fraudulent inducement, aiding and abetting fraud, and negligent misrepresentation and seeks, among other things, compensatory and/or recessionary damages associated with the plaintiffs’ purchases of such certificates. On January 16, 2015, the parties reached an agreement to settle the litigation.

On July 18, 2011, the Western and Southern Life Insurance Company and certain affiliated companies filed a complaint against MS&Co. and other defendants in the Court of Common Pleas in Ohio, styled Western 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 alleged 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 MS&Co. was approximately $153 million. On June 8, 2015, the parties reached an agreement to settle the litigation.

On September 2, 2011, the Federal Housing Finance Agency, as conservator for Fannie Mae and Freddie Mac, filed 17 complaints against numerous financial services companies, including MS&Co. and certain affiliates. A complaint against MS&Co. and certain affiliates and other defendants was filed in the Supreme Court of NY, styled Federal Housing Finance Agency, as Conservator v. Morgan Stanley et al. The complaint alleged 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 raised claims under federal and state securities laws and common law and sought, among other things, rescission and compensatory and punitive damages. On February 7, 2014, the parties entered into an agreement to settle the litigation. On February 20, 2014, the court dismissed the action.

On April 25, 2012, Metropolitan Life Insurance Company and certain affiliates filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY, styled Metropolitan Life Insurance Company, et al. v. Morgan Stanley, et al. An amended complaint was filed on June 29, 2012, and alleged that the defendants made untrue statements and material omissions in the sale to the plaintiffs of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten, and/or sold by MS&Co. was approximately $758 million. The amended complaint raised common law claims of fraud, fraudulent inducement, and aiding and abetting fraud and sought, among other things, rescission, compensatory, and/or rescissionary damages, as well as punitive damages, associated with the plaintiffs’ purchases of such certificates. On April 11, 2014, the parties entered into a settlement agreement.

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

In re Morgan Stanley Mortgage Pass-Through Certificates Litigation, which had been pending in the SDNY, was a putative class action involving allegations that, among other things, the registration statements and offering documents related to the offerings of certain mortgage pass-through certificates in 2006 and 2007 contained false and misleading information concerning the pools of residential loans that backed these securitizations. On December 18, 2014, the parties’ agreement to settle the litigation received final court approval, and on December 19, 2014, the court entered an order dismissing the action.

On November 4, 2011, the Federal Deposit Insurance Corporation, as receiver for Franklin Bank S.S.B, filed two complaints against MS&Co. in the District Court of the State of Texas. Each was styled Federal Deposit Insurance Corporation as Receiver for Franklin Bank, S.S.B v. Morgan Stanley & Company LLC F/K/A Morgan Stanley & Co. Inc. and alleged that MS&Co. made untrue statements and material omissions in connection with the sale to plaintiff of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The amount of certificates allegedly underwritten and sold to plaintiff by MS&Co. in these cases was approximately $67 million and $35 million, respectively. On July 2, 2015, the parties reached an agreement to settle the litigation.

On February 14, 2013, Bank Hapoalim B.M. filed a complaint against MS&Co. and certain affiliates in the Supreme Court of NY, styled Bank Hapoalim B.M. v. Morgan Stanley et al. The complaint alleged that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $141 million. On July 28, 2015, the

parties reached an agreement to settle the litigation, and on August 12, 2015, the plaintiff filed a stipulation of discontinuance with prejudice.

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

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

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

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

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

Item lA. Risk Factors.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors.” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2017 and under Part II, Item 1A. “Risk Factors.” in the Partnership’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2018.

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

The Partnership no longer offers Redeemable Units for sale.

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

Period

(a) Total Number
of

Redeemable
Units Purchased*

(b) Average
Price Paid per
Redeemable
Unit**

(d) Maximum Number
(or Approximate

Dollar Value) of
Redeemable Units that
May Yet Be

Purchased Under the
Plans or Programs

April 1, 2018 - April 30, 2018

72.5380

$1,264.35

N/A

May 1, 2018 - May 31, 2018

2.0000

$1,143.84

N/A

June 1, 2018 - June 30, 2018

71.1320

$1,160.62

N/A

145.6700

$1,212.04

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.

Item 5. Other Information. — None.

Item 6. Exhibits.

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

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

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

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

101.INS

XBRL Instance Document.

101.SCH

XBRL Taxonomy Extension Schema Document.

101.CAL

XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB

XBRL Taxonomy Extension Label Linkbase Document.

101.PRE

XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF

XBRL Taxonomy Extension Definition Linkbase Document.

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.


GLOBAL DIVERSIFIED FUTURES FUND L.P.

By:		Ceres Managed Futures LLC
		(General Partner)

By:		/s/ Patrick T. Egan
		Patrick T. Egan
		President and Director

Date:		August 9, 2018

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

Date:		August 9, 2018

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