New York | 13-3811113 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
Large accelerated filer |
Accelerated filer | Non-accelerated filer X | Smaller reporting company | |||
(Do not check if a smaller reporting company) |
Page | ||||||||
Number | ||||||||
3 | ||||||||
4 5 | ||||||||
6 | ||||||||
7 14 | ||||||||
15 17 | ||||||||
18 19 | ||||||||
20 | ||||||||
21 24 | ||||||||
Ex 31.1 Certification |
||||||||
Ex 31.2 Certification |
||||||||
Ex 32.1 Certification |
||||||||
Ex 32.2 Certification |
||||||||
EX-31.1 | ||||||||
EX-31.2 | ||||||||
EX-32.1 | ||||||||
EX-32.2 | ||||||||
EX-101 INSTANCE DOCUMENT | ||||||||
EX-101 SCHEMA DOCUMENT | ||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT | ||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
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. |
2
(Unaudited) | ||||||||
September 30, | December 31, | |||||||
2011 | 2010 | |||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Cash |
$ | 18,657,304 | $ | 25,519,706 | ||||
Cash margin |
5,204,835 | 10,943,883 | ||||||
Net unrealized appreciation on open futures contracts |
0 | 6,452,412 | ||||||
Total
trading equity |
23,862,139 | 42,916,001 | ||||||
Interest receivable |
| 2,566 | ||||||
Total assets |
$ | 23,862,139 | $ | 42,918,567 | ||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open futures contracts |
$ | 1,305,702 | $ | 0 | ||||
Net unrealized depreciation on open forward contracts |
154,863 | 56,461 | ||||||
Accrued expenses: |
||||||||
Brokerage fees |
93,340 | 232,170 | ||||||
Management fees |
37,078 | 70,888 | ||||||
Other |
61,147 | 97,200 | ||||||
Redemptions payable |
63,387 | 789,804 | ||||||
Total liabilities |
1,715,517 | 1,246,523 | ||||||
Partners Capital: |
||||||||
General Partner, 184.9703 and 281.2556 unit equivalents outstanding
at September 30, 2011 and December 31, 2010, respectively |
260,416 | 557,570 | ||||||
Limited Partners, 15,545.4614 and 20,739.3934 Redeemable Units
outstanding at September 30, 2011 and December 31, 2010, respectively |
21,886,206 | 41,114,474 | ||||||
Total partners capital |
22,146,622 | 41,672,044 | ||||||
Total liabilities and partners capital |
$ | 23,862,139 | $ | 42,918,567 | ||||
Net asset value per unit |
$ | 1,407.88 | $ | 1,982.43 | ||||
3
Number of | % of Partners | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
157 | $ | (242,230 | ) | (1.09 | )% | ||||||
Energy |
89 | (702,001 | ) | (3.17 | ) | |||||||
Grains |
112 | (511,875 | ) | (2.31 | ) | |||||||
Indices |
17 | (18,360 | ) | (0.08 | ) | |||||||
Interest Rates U.S. |
84 | 233,594 | 1.05 | |||||||||
Interest Rates Non-U.S. |
621 | 127,666 | 0.58 | |||||||||
Livestock |
19 | 43,650 | 0.20 | |||||||||
Metals |
19 | (68,500 | ) | (0.31 | ) | |||||||
Softs |
100 | (360,589 | ) | (1.63 | ) | |||||||
Total futures contracts purchased |
(1,498,645 | ) | (6.76 | ) | ||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
169 | 60,262 | 0.27 | |||||||||
Grains |
21 | 43,375 | 0.20 | |||||||||
Indices |
85 | 22,947 | 0.10 | |||||||||
Livestock |
27 | (52,400 | ) | (0.24 | ) | |||||||
Softs |
77 | 118,759 | 0.54 | |||||||||
Total futures contracts sold |
192,943 | 0.87 | ||||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||
Metals |
98 | 603,389 | 2.72 | |||||||||
Total unrealized appreciation on open forward contracts |
603,389 | 2.72 | ||||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Metals |
47 | (758,252 | ) | (3.42 | ) | |||||||
Total unrealized depreciation on open forward contracts |
(758,252 | ) | (3.42 | ) | ||||||||
Net fair value |
$ | (1,460,565 | ) | (6.59 | )% | |||||||
4
Number of | % of Partners | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures Contracts Purchased |
||||||||||||
Currencies |
251 | $ | 672,219 | 1.61 | % | |||||||
Energy |
239 | 200,124 | 0.48 | |||||||||
Grains |
562 | 2,286,361 | 5.49 | |||||||||
Indices |
782 | 392,394 | 0.94 | |||||||||
Interest Rates U.S. |
58 | (227,140 | ) | (0.54 | ) | |||||||
Interest Rates Non-U.S. |
700 | (2,789 | ) | (0.01 | ) | |||||||
Livestock |
201 | 421,367 | 1.01 | |||||||||
Metals |
57 | 749,650 | 1.80 | |||||||||
Softs |
353 | 1,766,647 | 4.24 | |||||||||
Total futures contracts purchased |
6,258,833 | 15.02 | ||||||||||
Futures Contracts Sold |
||||||||||||
Currencies |
238 | 718,098 | 1.72 | |||||||||
Indices |
2 | 6,214 | 0.02 | |||||||||
Interest Rates Non-U.S. |
92 | (14,145 | ) | (0.03 | ) | |||||||
Softs |
259 | (516,588 | ) | (1.24 | ) | |||||||
Total futures contracts sold |
193,579 | 0.47 | ||||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||
Metals |
133 | 1,063,713 | 2.55 | |||||||||
Total unrealized appreciation on open forward contracts |
1,063,713 | 2.55 | ||||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Metals |
121 | (1,120,174 | ) | (2.69 | ) | |||||||
Total unrealized depreciation on open forward contracts |
(1,120,174 | ) | (2.69 | ) | ||||||||
Net fair value |
$ | 6,395,951 | 15.35 | % | ||||||||
5
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment Income: |
||||||||||||||||
Interest income |
$ | 835 | $ | 8,649 | $ | 9,818 | $ | 24,847 | ||||||||
Expenses: |
||||||||||||||||
Brokerage
commissions including clearing fees |
352,119 | 552,382 | 1,406,518 | 2,021,226 | ||||||||||||
Management fees |
134,595 | 160,037 | 514,614 | 585,013 | ||||||||||||
Other expenses |
39,034 | 103,139 | 115,448 | 179,927 | ||||||||||||
Total expenses |
525,748 | 815,558 | 2,036,580 | 2,786,166 | ||||||||||||
Management fees waived |
0 | (53,970 | ) | 0 | (53,970 | ) | ||||||||||
Net expenses |
525,748 | 761,588 | 2,036,580 | 2,732,196 | ||||||||||||
Net investment income (loss) |
(524,913 | ) | (752,939 | ) | (2,026,762 | ) | (2,707,349 | ) | ||||||||
Trading Results |
||||||||||||||||
Net gains (losses) on trading of commodity
interests: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
(3,955,421 | ) | (5,430,516 | ) | 1,276,991 | (8,977,831 | ) | |||||||||
Change in
net unrealized gains (losses) on open
contracts |
(1,520,897 | ) | 7,908,748 | (7,856,516 | ) | (662,393 | ) | |||||||||
Total trading results |
(5,476,318 | ) | 2,478,232 | (6,579,525 | ) | (9,640,224 | ) | |||||||||
Net income (loss) |
(6,001,231 | ) | 1,725,293 | (8,606,287 | ) | (12,347,573 | ) | |||||||||
Subscriptions Limited Partners |
452,229 | 1,203,000 | 1,124,729 | 1,783,000 | ||||||||||||
Redemptions Limited Partners |
(521,278 | ) | (2,118,158 | ) | (11,843,864 | ) | (5,539,328 | ) | ||||||||
Redemptions General Partners |
0 | 0 | (200,000 | ) | (250,000 | ) | ||||||||||
Net
increase (decrease) in Partners Capital |
(6,070,280 | ) | 810,135 | (19,525,422 | ) | (16,353,901 | ) | |||||||||
Partners Capital, beginning of period |
28,216,902 | 32,564,615 | 41,672,044 | 49,728,651 | ||||||||||||
Partners Capital, end of period |
$ | 22,146,622 | $ | 33,374,750 | $ | 22,146,622 | $ | 33,374,750 | ||||||||
Net asset value per unit
(15,730.4317 and 22,003.9140 units outstanding
at September 30, 2011 and 2010, respectively) |
$ | 1,407.88 | $ | 1,516.76 | $ | 1,407.88 | $ | 1,516.76 | ||||||||
Net income (loss) per unit * |
$ | (380.86 | ) | $ | 80.67 | $ | (574.55 | ) | $ | (519.07 | ) | |||||
Weighted average units outstanding |
15,873.3636 | 22,692.1401 | 17,089.2039 | 23,422.4772 | ||||||||||||
* | Based on change in net asset value per unit. |
6
7
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net realized and unrealized gains (losses) * |
$ | (369.97 | ) | $ | 89.52 | $ | (538.18 | ) | $ | (489.84 | ) | |||||
Interest income |
0.05 | 0.39 | 0.54 | 1.08 | ||||||||||||
Expenses ** |
(10.94 | ) | (9.24 | ) | (36.91 | ) | (30.31 | ) | ||||||||
Increase
(decrease) for the period |
(380.86 | ) | 80.67 | (574.55 | ) | (519.07 | ) | |||||||||
Net asset value per unit, beginning of period |
1,788.74 | 1,436.09 | 1,982.43 | 2,035.83 | ||||||||||||
Net asset value per unit, end of period |
$ | 1,407.88 | $ | 1,516.76 | $ | 1,407.88 | $ | 1,516.76 | ||||||||
* | Includes brokerage fees. | |
** | Excludes brokerage fees. |
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Ratios to average net assets:*** |
||||||||||||||||
Net
investment income (loss) **** |
(7.7) | % | (9.5 | )% | (8.0) | % | (9.2 | )% | ||||||||
Operating
expenses |
7.7 | % | 9.6 | %***** | 8.1 | % | 9.3 | %***** | ||||||||
Incentive fees |
| % | | % | | % | | % | ||||||||
Total
expenses and incentive fee |
7.7 | % | 9.6 | % | 8.1 | % | 9.3 | % | ||||||||
Total return: |
||||||||||||||||
Total return before incentive fees |
(21.3) | % | 5.6 | % | (29.0) | % | (25.5 | )% | ||||||||
Incentive fees |
| % | | % | | % | | % | ||||||||
Total return after incentive fees |
(21.3) | % | 5.6 | % | (29.0) | % | (25.5 | )% | ||||||||
*** | Annualized (other than incentive fees). | |
**** | Interest income less total expenses. | |
***** | Percentages are after management fee waivers. For the period from August 1, 2010 through September 30, 2010, the Advisor temporarily reduced the management fee it receives from the Partnership from an annual rate of 2% of adjusted net assets to an annual rate of 1% of adjusted net assets. |
8
September 30, | ||||
2011 | ||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | 517,516 | ||
Grains |
70,737 | |||
Indices |
101,477 | |||
Interest Rates U.S. |
233,594 | |||
Interest Rates Non-U.S. |
234,815 | |||
Livestock |
43,650 | |||
Softs |
118,759 | |||
Total unrealized appreciation on open futures
contracts |
$ | 1,320,548 | ||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
$ | (699,484 | ) | |
Energy |
(702,001 | ) | ||
Grains |
(539,237 | ) | ||
Indices |
(96,890 | ) | ||
Interest Rates Non-U.S. |
(107,149 | ) | ||
Livestock |
(52,400 | ) | ||
Metals |
(68,500 | ) | ||
Softs |
(360,589 | ) | ||
Total unrealized depreciation on open futures
contracts |
$ | (2,626,250 | ) | |
Net unrealized depreciation on open futures
contracts |
$ | (1,305,702 | )* | |
September 30, | ||||
2011 | ||||
Assets |
||||
Futures Contracts |
||||
Metals |
$ | 603,389 | ||
Total unrealized appreciation on open forward
contracts |
$ | 603,389 | ||
Liabilitiies |
||||
Futures Contracts |
||||
Metals |
$ | (758,252 | ) | |
Total unrealized depreciation on open forward
contracts |
$ | (758,252 | ) | |
Net unrealized depreciation on open forward
contracts |
$ | (154,863 | )** | |
* | This amount is in Net unrealized depreciation on open futures contracts on the Statements of Financial Condition. | |
** | This amount is in Net unrealized depreciation on open forward contracts on the Statements of Financial Condition. |
9
December 31, 2010 | ||||
Assets |
||||
Futures Contracts |
||||
Currencies |
$ | 1,561,451 | ||
Energy |
296,607 | |||
Grains |
2,286,361 | |||
Indices |
538,181 | |||
Interest Rates Non-U.S. |
77,000 | |||
Livestock |
421,367 | |||
Metals |
749,650 | |||
Softs |
1,788,112 | |||
Total unrealized appreciation on open futures contracts |
$ | 7,718,729 | ||
Liabilities |
||||
Futures Contracts |
||||
Currencies |
$ | (171,134 | ) | |
Energy |
(96,483 | ) | ||
Indices |
(139,573 | ) | ||
Interest Rates U.S. |
(227,140 | ) | ||
Interest Rates Non-U.S. |
(93,934 | ) | ||
Softs |
(538,053 | ) | ||
Total unrealized depreciation on open futures contracts |
$ | (1,266,317 | ) | |
Net unrealized appreciation on open futures contracts |
$ | 6,452,412 | * | |
Assets |
||||
Forward Contracts |
||||
Metals |
$ | 1,063,713 | ||
Total unrealized appreciation on open forward contracts |
$ | 1,063,713 | ||
Liabilities |
||||
Forward Contracts |
||||
Metals |
$ | (1,120,174 | ) | |
Total unrealized depreciation on open forward contracts |
$ | (1,120,174 | ) | |
Net unrealized depreciation on open forward contracts |
$ | (56,461 | )** | |
* | This amount is in Net unrealized appreciation on open futures contracts on the Statements of Financial Condition. | |
** | This amount is in Net unrealized depreciation on open forward contracts on the Statements of Financial Condition. |
Three Months Ended | Three Months Ended | Nine Months Ended | Nine Months Ended | |||||||||||||
September 30, 2011 | September 30, 2010 | September 30, 2011 | September 30, 2010 | |||||||||||||
Sector | Gain (loss) from trading | Gain (loss) from trading | Gain (loss) from trading | Gain (loss) from trading | ||||||||||||
Currencies |
$ | (2,256,330 | ) | $ | 46,596 | $ | (744,996 | ) | $ | (1,099,088 | ) | |||||
Energy |
(789,081 | ) | 116,290 | 769,031 | (2,618,575 | ) | ||||||||||
Grains |
(704,236 | ) | (1,099,861 | ) | (2,138,665 | ) | (1,618,088 | ) | ||||||||
Indices |
(2,910,763 | ) | 1,803,244 | (3,014,293 | ) | (2,951,309 | ) | |||||||||
Interest Rates U.S. |
892,977 | 456,156 | 838,492 | 1,277,594 | ||||||||||||
Interest Rates Non-U.S. |
2,604,105 | 164,389 | 1,240,500 | 3,534,638 | ||||||||||||
Livestock |
(173,235 | ) | 78,272 | (1,232,627 | ) | (1,062,916 | ) | |||||||||
Metals |
(939,403 | ) | 1,272,060 | (478,067 | ) | (563,333 | ) | |||||||||
Softs |
(1,200,352 | ) | (358,914 | ) | (1,818,900 | ) | (4,539,147 | ) | ||||||||
Total |
$ | (5,476,318) | *** | $ | 2,478,232 | *** | $ | (6,579,525) | *** | $ | (9,640,224) | *** | ||||
*** | This amount is in Total trading results on the Statements of Income and Expenses and Changes in Partners Capital. |
10
Quoted Prices in | ||||||||||||||||
Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable Inputs | Unobservable | ||||||||||||||
09/30/2011 | Assets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures |
$ | 1,320,548 | $ | 1,320,548 | $ | | $ | | ||||||||
Forwards |
603,389 | 603,389 | | | ||||||||||||
Total assets |
1,923,937 | 1,923,937 | | | ||||||||||||
Liabilities |
||||||||||||||||
Futures |
2,626,250 | 2,626,250 | | | ||||||||||||
Forwards |
758,252 | 758,252 | | | ||||||||||||
Total liabilities |
3,384,502 | 3,384,502 | | | ||||||||||||
Net fair value |
$ | (1,460,565 | ) | $ | (1,460,565 | ) | $ | | $ | | ||||||
Quoted Prices in | ||||||||||||||||
Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable Inputs | Unobservable | ||||||||||||||
12/31/2010* | Assets (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures |
$ | 7,718,729 | $ | 7,718,729 | $ | | $ | | ||||||||
Forwards |
1,063,713 | 1,063,713 | | | ||||||||||||
Total assets |
8,782,442 | 8,782,442 | | | ||||||||||||
Liabilities |
||||||||||||||||
Futures |
1,266,317 | 1,266,317 | | | ||||||||||||
Forwards |
1,120,174 | 1,120,174 | | | ||||||||||||
Total liabilities |
2,386,491 | 2,386,491 | | | ||||||||||||
Net fair value |
$ | 6,395,951 | $ | 6,395,951 | $ | | $ | | ||||||||
* | The amounts have been reclassified from December 31, 2010 financial statements to conform to current year presentation. |
11
12
13
14
15
16
17
18
Three Months Ended September 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 1,026,674 | 4.64 | % | $ | 1,379,868 | $ | 999,083 | $ | 1,159,847 | ||||||||||
Energy |
541,704 | 2.45 | % | 728,508 | 541,704 | 615,173 | ||||||||||||||
Grains |
186,400 | 0.84 | % | 539,200 | 186,400 | 376,733 | ||||||||||||||
Indices |
558,991 | 2.52 | % | 1,854,551 | 295,731 | 950,936 | ||||||||||||||
Interest Rates U.S. |
166,900 | 0.75 | % | 166,900 | 78,000 | 140,950 | ||||||||||||||
Interest Rates Non-U.S. |
957,799 | 4.32 | % | 1,020,702 | 765,801 | 916,804 | ||||||||||||||
Livestock |
39,970 | 0.18 | % | 93,070 | 39,970 | 39,970 | ||||||||||||||
Metals |
369,061 | 1.67 | % | 813,138 | 360,549 | 631,445 | ||||||||||||||
Softs |
401,100 | 1.81 | % | 827,662 | 400,792 | 531,067 | ||||||||||||||
Total |
$ | 4,248,599 | 19.18 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
Twelve Months Ended December 31, 2010 | ||||||||||||||||||||
% of Total | High Value | Low Value | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | at Risk | at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 1,249,666 | 3.00 | % | $ | 2,057,069 | $ | 867,991 | $ | 1,472,045 | ||||||||||
Energy |
661,702 | 1.59 | % | 1,012,471 | 173,691 | 554,668 | ||||||||||||||
Grains |
1,104,950 | 2.65 | % | 1,637,000 | 163,960 | 815,322 | ||||||||||||||
Indices |
2,432,046 | 5.84 | % | 14,744,438 | 1,055,959 | 3,158,056 | ||||||||||||||
Interest Rates U.S. |
108,900 | 0.26 | % | 196,300 | 58,400 | 123,815 | ||||||||||||||
Interest Rates Non-U.S. |
697,780 | 1.67 | % | 1,302,981 | 634,429 | 888,963 | ||||||||||||||
Livestock |
208,500 | 0.50 | % | 495,950 | 23,373 | 257,388 | ||||||||||||||
Metals |
1,124,452 | 2.70 | % | 2,458,619 | 601,999 | 1,466,625 | ||||||||||||||
Softs |
1,513,817 | 3.63 | % | 2,103,301 | 309,772 | 1,229,004 | ||||||||||||||
Total |
$ | 9,101,813 | 21.84 | % | ||||||||||||||||
* | Annual average of month-end Values at Risk. |
19
| 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 Partnerships receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and | ||
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
20
21
(d) Maximum Number | |||||||||||||||||||||
(or Approximate | |||||||||||||||||||||
(c) Total Number | Dollar Value) of Shares | ||||||||||||||||||||
of Shares (or Units) | (or Units) that | ||||||||||||||||||||
(a) Total Number | (b) Average | Purchased as Part | May Yet Be | ||||||||||||||||||
of Shares | Price Paid per | of Publicly Announced | Purchased Under the | ||||||||||||||||||
Period | (or Units) Purchased* | Share (or Unit)** | Plans or Programs | Plans or Programs | |||||||||||||||||
July 1, 2011 - July 31, 2011 |
68.2632 | $ | 1,864.11 | N/A | N/A | ||||||||||||||||
August 1, 2011 - August 31, 2011 |
183.2433 | $ | 1,804.38 | N/A | N/A | ||||||||||||||||
September 1, 2011 - September 30, 2011 |
45.0228 | $ | 1,407.88 | N/A | N/A | ||||||||||||||||
296.5293 | $ | 1,757.93 | |||||||||||||||||||
* | 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 Partnerships business in connection with effecting redemptions for limited partners. | |
** | Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. |
22
3.1 |
Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |||
3.2
|
Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of the State of New York (filed as Exhibit 3.1 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |||
(a) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated February 26, 1999 (filed as Exhibit 3.1(a) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |||
(b) | Certificate of Change of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated January 31, 2000 (filed as Exhibit 3.2(g) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
(c) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated April 1, 2001 (filed as Exhibit 3.1(b) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |||
(d) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.2(c) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
(e) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(c) to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |||
(f) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
(g) | Certificate of Amendment of the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 30, 2009 (filed as Exhibit 99.1(a) to the current report on Form 8-K filed on September 30, 2009 and incorporated herein by reference). | |||
(h) | Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.2(h) to the current report on Form 8-K filed on July 2, 2010 and incorporated herein by reference). | |||
(i) | Certificate of Amendment of the Certificate of Limited Partnership dated September 2, 2011 (filed as Exhibit 3.1 to the current report on Form 8-K filed on September 17, 2011 and incorporated herein by reference). | |||
10.1
|
Amended and Restated Management Agreement among the Partnership, the General Partner and Chesapeake Capital Corporation (filed as Exhibit 10.1 to the current report on Form 8-K filed on September 16, 2010 and incorporated herein by reference). | |||
10.1(a)
|
Letter extending the Management Agreement between the General Partner and Chesapeake Capital Corporation (filed as Exhibit 10.1 (c) to the annual report on Form 10-K, filed March 31, 2011 and incorporated herein by reference). | |||
10.2
|
Second Amended and Restated Customer Agreement between the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10.2 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |||
10.3
|
Amended and Restated Agency Agreement between the Partnership, Smith Barney Futures Management LLC and Salomon Smith Barney Inc. (filed as Exhibit 10.3 to the general form for registration of securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |||
10.4
|
Form of Subscription Agreement (filed as Exhibit 10.4 to the quarterly report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
10.5
|
Joinder Agreement among Citigroup Managed Futures LLC (the former name of the General Partner), Citigroup Global Markets Inc. and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the quarterly report on Form 10-Q filed on August 14, 2009 and in corporated herein by reference). |
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. |
23
TIDEWATER FUTURES FUND L.P. By: Ceres Managed Futures LLC (General Partner) |
||||
By: | /s/ Walter Davis | |||
Walter Davis | ||||
President and Director | ||||
Date: November 14, 2011 |
||||
By: | /s/ Brian Centner | |||
Brian Centner | ||||
Chief Financial Officer
(Principal Accounting Officer) |
24
1. | I have reviewed this Quarterly Report on Form 10-Q of Tidewater Futures Fund L.P. (the registrant); | |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and | ||
d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and | |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ Walter Davis | ||||
Walter Davis | ||||
Ceres Managed Futures LLC
President and Director |
1. | I have reviewed this Quarterly Report on Form 10-Q of Tidewater Futures Fund L.P. (the registrant); | |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and | ||
d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and | ||
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ Brian Centner | ||||
Brian Centner | ||||
Ceres Managed Futures LLC Chief Financial Officer |
(1) | The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | ||
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership. |
/s/ Walter Davis | ||||
Walter Davis | ||||
Ceres Managed Futures LLC President and Director |
||||
(1) | The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | ||
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership. |
/s/ Brian Centner | |||
Brian Centner | |||
Ceres Managed Futures LLC Chief Financial Officer |
Statements of Financial Condition (Parenthetical) | Sep. 30, 2011 | Dec. 31, 2010 |
---|---|---|
Partners' Capital: | ||
General Partner, unit equivalents outstanding | 184.9703 | 281.2556 |
Limited Partners, Redeemable Units outstanding | 15,545.4614 | 20,739.3934 |
Document and Entity Information (USD $) | 9 Months Ended | |
---|---|---|
Sep. 30, 2011 | Feb. 28, 2011 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | TIDEWATER FUTURES FUND LP | |
Entity Central Index Key | 0001140509 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2011 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2011 | |
Document Fiscal Period Focus | Q3 | |
Current Fiscal Year End Date | --12-31 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Public Float | $ 38,124,904 |
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Critical Accounting Policies | 9 Months Ended |
---|---|
Sep. 30, 2011 | |
Critical Accounting Policies [Abstract] | |
Critical Accounting Policies |
6. Critical Accounting Policies:
Use of Estimates. The preparation of financial statements and accompanying notes in conformity
with GAAP requires management to make estimates and assumptions that affect the reported amounts of
assets and liabilities, income and expenses, and related disclosures of contingent assets and
liabilities in the financial statements and accompanying notes.
As a result, actual results could differ from these estimates.
Partnership’s Investments. All commodity interests (including derivative financial instruments
and derivative commodity instruments) are held for trading purposes. The commodity interests are
recorded on trade date and open contracts are recorded at fair value (as described below) at the
measurement date. Investments in commodity interests denominated in foreign currencies are
translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or
losses are realized when contracts are
liquidated. Unrealized gains or losses on open contracts are included as a component of equity
in trading account on the Statements of Financial Condition. Net realized gains or losses and any
change in net unrealized gains or losses from the preceding period are reported in the Statements
of Income and Expenses and Changes in Partners’ Capital.
Partnership’s Fair Value Measurements. Fair value is defined as the price that would be
received to sell an asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date under current market conditions. The fair value hierarchy
gives the highest priority to unadjusted quoted prices in active markets for identical assets or
liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs
(Level 3). The level in the fair value hierarchy within which the fair value measurement in its
entirety falls shall be determined based on the lowest level input that is significant to the fair
value measurement in its entirety. GAAP also requires the need to use judgment in determining if a
formerly active market has become inactive and in determining fair values when the market has
become inactive. Management has concluded that based on available information in the marketplace,
the Partnership’s Level 1 assets and liabilities are actively traded.
The Partnership will separately present purchases, sales, issuances and settlements in its
reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis
rather than on a net basis), and make disclosures regarding the level of disaggregation and the
inputs and valuation techniques used to measure fair value for measurements that fall within either
Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership considers prices for exchange-traded commodity futures, forwards and options
contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1).
The values of non exchange-traded forwards, swaps and certain options contracts for which market
quotations are not readily available are priced by broker-dealers who derive fair values for those
assets from observable inputs (Level 2). As of and for the periods
ended September 30, 2011 and
December 31, 2010, the Partnership did not hold any derivative instruments for which market
quotations were not readily available and that were priced by broker-dealers who derive fair values
for those assets from observable inputs (Level 2) or that were priced at fair value using
unobservable inputs through the application of management’s assumptions and internal valuation
pricing models (Level 3).
Futures Contracts. The Partnership trades futures contracts. A futures contract is a firm
commitment to buy or sell a specified quantity of investments, currency or a standardized amount of
a deliverable grade commodity, at a specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity is something where physical delivery
cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments
(“variation margin”) may be made or received by the Partnership 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 Partnership. When the contract is closed, the Partnership 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 directly with
the exchange on which the contracts are traded. Net realized gains (losses) and changes in net
unrealized gains (losses) on futures contracts are included in the Statements of Income and
Expenses and Changes in Partners’ Capital.
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange
(“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Partnership are cash settled based on prompt dates
published by the LME. Payments (“variation margin”) may be made or received by the Partnership 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 Partnership. A contract is considered offset when all
long positions have been matched with a like number of short positions settling on the same prompt
date. When the contract is closed at the prompt date, the Partnership records a realized gain or
loss equal to the difference between the value of the contract at the time it was opened and the
value at the time it was closed. Transactions in LME contracts require participants to make both
initial margin deposits of cash or other assets and variation margin deposits, through the broker,
directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on
metal contracts are included in the Statements of Income and Expenses and Changes in Partners’
Capital.
Income Taxes. Income taxes have not been provided as each partner is individually liable for
the taxes, if any, on its share of the Partnership’s income and expenses.
GAAP provides guidance for how uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements and requires the evaluation of tax positions
taken or expected to be taken in the course of preparing the Partnership’s financial statements to
determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable
tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the
“more-likely-than-not” threshold would be recorded
as a tax benefit or expense in the current year. The General Partner concluded that no
provision for income tax is required in the Partnership’s financial statements.
The Partnership files U.S. federal and various state and local tax returns. No income tax
returns are currently under examination. Generally, the 2008 through 2010 tax years remain subject
to examination by U.S. federal and most state tax authorities. Management does not believe that
there are any uncertain tax positions that require recognition of a tax liability.
Subsequent
Events. The General Partner evaluates events that occur after the balance
sheet date but before financial statements are filed. The General Partner has assessed the subsequent events
through the date of filing and determined that there were no subsequent events requiring adjustment
of or disclosure in the financial statements.
Recent
Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board
(“FASB”) issued Accounting Standards Update (“ASU ”) 2011-04, “Amendments to Achieve Common Fair
Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting
Standards” (“IFRS”). The amendments within this ASU change the wording used to describe many of
the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair
value measurements to eliminate unnecessary wording differences
between U.S. GAAP and IFRS. However,
some of the amendments clarify the FASB’s intent about the application of existing fair value
measurement requirements and other amendments change a particular principle or requirement for
measuring fair value or for disclosing information about fair value measurements. The ASU is
effective for annual and interim periods beginning after December 15, 2011 for public entities.
This new guidance is not expected to have a material impact on the Partnership’s financial
statements.
In October 2011,
FASB issued a proposed
ASU intended to improve and converge financial reporting by
setting forth consistent criteria for determining whether an entity is an investment
company. Under longstanding U.S. GAAP,
investment companies carry all of their investments at fair value, even if they hold a
controlling interest in another company. The primary changes being proposed by the
FASB relate to which entities would be considered investment companies as well as
certain disclosure and presentation requirements. In addition to the changes to the criteria
for determining whether an entity is an investment company, the FASB also proposes that
an investment company consolidate another investment company if it holds a controlling
financial interest in the entity. The Partnership is currently evaluating the impact that this
proposed update would have on the financial statements.
Net Income (Loss) per Unit. Net income (loss) per unit is calculated in accordance with
investment company guidance. See Note 2, “Financial Highlights.”
|
Financial Highlights | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2011 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights |
2. Financial Highlights:
Changes
in the net asset value per unit for the three and nine months ended September 30, 2011 and 2010 were as
follows:
The above ratios may vary for individual investors based on the timing of capital transactions
during the period. Additionally, these ratios are calculated for the limited partner class using
the limited partners’ share of income, expenses and average net assets.
|
Statement of Income and Expenses and Partner's Capital (Unaudited) (Parenthetical) | Sep. 30, 2011 | Sep. 30, 2010 |
---|---|---|
Statement of Income and Expenses and Partners' Capital [Abstract] | ||
Net asset value units outstanding | 15,730.4317 | 22,003.9140 |
Trading Activities | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2011 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading Activities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading Activities |
3. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity
interests, including derivative financial instruments and derivative commodity instruments. The
results of the Partnership’s trading activities are shown in the Statements of Income and Expenses
and Changes in Partners’ Capital.
The customer agreement between the Partnership and CGM gives the Partnership the legal right
to net unrealized gains and losses on open futures and open forward contracts. The Partnership nets, for
financial reporting purposes, the unrealized gains and losses on open futures and on open forward
contracts on the Statements of Financial Condition.
All of the commodity interests owned by the Partnership are held for trading purposes. The
monthly average number of futures contracts traded during the three months ended September 30, 2011 and
2010 were 2,002 and 3,392, respectively. The average number of
futures contracts traded during the nine months ended September 30, 2011
and 2010 were 2,786 and 4,209, respectively. The monthly average number of metals forward contracts
traded during the three months ended September 30, 2011 and 2010
were 98 and 180, respectively. The average number of
metal forward contracts traded during the nine months ended
September 30, 2011 and 2010 were 122 and 271, respectively.
Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on
the last day of each month and are affected by trading performance, subscriptions and redemptions.
The following tables indicate the gross fair values of derivative instruments of futures and
forward contracts as separate assets and liabilities as of September 30, 2011 and December 31, 2010.
The following table indicates the trading gains and losses, by market sector, on derivative
instruments for the three and nine months ended September 30, 2011 and 2010.
|
Fair Value Measurements | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2011 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurements |
4. Fair Value Measurements:
Partnership’s Investments. All commodity interests (including derivative financial instruments
and derivative commodity instruments) are held for trading purposes. The commodity interests are
recorded on trade date and open contracts are recorded at fair value (as described below) at the
measurement date. Investments in commodity interests denominated in foreign currencies are
translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or
losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are
included as a component of equity in trading account on the Statements of Financial Condition. Net
realized gains or losses and any change in net unrealized gains or losses from the preceding period
are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.
Partnership’s Fair Value Measurements. Fair value is defined as the price that would be
received to sell an asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date under current market conditions. The fair value hierarchy
gives the highest priority to unadjusted quoted prices in active markets for identical assets or
liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs
(Level 3). The level in the fair value hierarchy within which the fair value measurement in its
entirety falls shall be determined based on the lowest level input that is significant to the fair
value measurement in its entirety. GAAP also requires the need to use judgment in determining if a
formerly active market has become inactive and in determining fair values when the market has
become inactive. Management has concluded that based on available information in the marketplace,
the Partnership’s Level 1 assets and liabilities are actively traded.
The
Partnership will separately present purchases, sales, issuances and
settlements in its
reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis
rather than on a net basis), and make disclosures regarding the level of disaggregation and the
inputs and valuation techniques used to measure fair value for measurements that fall within either
Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership considers prices for exchange-traded commodity futures, forwards and options
contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1).
The values of non exchange-traded forwards, swaps and certain options contracts for which market
quotations are not readily available are priced by broker-dealers who derive fair values for those
assets from observable inputs (Level 2). As of and for the periods
ended September 30, 2011 and
December 31, 2010, the Partnership did not hold any derivative instruments for which market
quotations were not readily available and that were priced by broker-dealers who derive fair values
for those assets from observable inputs (Level 2 ) or that were priced at fair value using
unobservable inputs through the application of management’s assumptions and internal valuation
pricing models (Level 3).
|
Financial Instrument Risks | 9 Months Ended |
---|---|
Sep. 30, 2011 | |
Financial Instrument Risks [Abstract] | |
Financial Instrument Risks |
5. Financial Instrument Risks:
In the normal course of business, the Partnership 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, or to purchase or sell other financial
instruments at specified terms on 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 or
over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and
certain forwards and option contracts. OTC contracts are negotiated between contracting parties and
include swaps and certain forwards 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 risk to the limited partners that have purchased interests in the Partnership is limited
to the amount of their capital contributions to the Partnership and their share of the
Partnership’s assets and undistributed profits. This limited liability is a result of the
organization of the Partnership as a limited partnership under New York law.
Market risk is the potential for changes in the value of the financial instruments traded by
the Partnership due to market changes, including interest and foreign exchange rate movements and
fluctuations in commodity or security prices. Market risk is directly impacted by the volatility
and liquidity in the markets in which the related underlying assets are traded. The Partnership is
exposed to a market risk equal to the value of futures and forward contracts purchased 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 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 risk of loss is reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership to offset unrealized gains and losses
and other assets and liabilities with such counterparties upon the occurrence of certain events.
The Partnership has credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with
respect to the Partnership’s assets. Credit risk with respect to
exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s
counterparty is an exchange or clearing organization.
The General Partner monitors and attempts to control the Partnership’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 may be subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with risk-adjusted performance indicators
and correlation statistics. In addition, online monitoring systems provide account analysis of
futures, forwards and options positions by sector, margin requirements, gain and loss transactions
and collateral positions.
The majority of these instruments mature within one year of the inception date. However, due
to the nature of the Partnership’s business, these instruments may not be held to maturity.
|
Statement of Income and Expenses and Partner's Capital (Unaudited) (USD $) | 3 Months Ended | 9 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2011 | Sep. 30, 2010 | Sep. 30, 2011 | Sep. 30, 2010 | |||||||
Investment Income: | ||||||||||
Interest income | $ 835 | $ 8,649 | $ 9,818 | $ 24,847 | ||||||
Expenses: | ||||||||||
Brokerage commissions and clearing fees | 352,119 | 552,382 | 1,406,518 | 2,021,226 | ||||||
Management fees | 134,595 | 160,037 | 514,614 | 585,013 | ||||||
Other expenses | 39,034 | 103,139 | 115,448 | 179,927 | ||||||
Total expenses | 525,748 | 815,558 | 2,036,580 | 2,786,166 | ||||||
Management fees waived | 0 | (53,970) | 0 | (53,970) | ||||||
Net expenses | 525,748 | 761,588 | 2,036,580 | 2,732,196 | ||||||
Net investment income (loss) | (524,913) | (752,939) | (2,026,762) | (2,707,349) | ||||||
Net gains (losses) on trading of commodity interests: | ||||||||||
Net realized gains (losses) on closed contracts | (3,955,421) | (5,430,516) | 1,276,991 | (8,977,831) | ||||||
Change in unrealized losses on open contracts | (1,520,897) | 7,908,748 | (7,856,516) | (662,393) | ||||||
Total trading results | (5,476,318) | 2,478,232 | (6,579,525) | (9,640,224) | ||||||
Net income (loss) | (6,001,231) | 1,725,293 | (8,606,287) | (12,347,573) | ||||||
Subscriptions - Limited Partners | 452,229 | 1,203,000 | 1,124,729 | 1,783,000 | ||||||
Redemptions - Limited Partners | (521,278) | (2,118,158) | (11,843,864) | (5,539,328) | ||||||
Redemptions - General Partners | 0 | 0 | (200,000) | (250,000) | ||||||
Net increase (decrease) in Partners capital | (6,070,280) | 810,135 | (19,525,422) | (16,353,901) | ||||||
Partners' capital, beginning of period | 28,216,902 | 32,564,615 | 41,672,044 | 49,728,651 | ||||||
Partners' capital, end of period | $ 22,146,622 | $ 33,374,750 | $ 22,146,622 | $ 33,374,750 | ||||||
Net Asset Value per Unit (15,730.4317 and 22,003.9140 Units outstanding at September 30, 2011 and 2010, respectively) | $ 1,407.88 | $ 1,516.76 | $ 1,407.88 | $ 1,516.76 | ||||||
Net income (loss) per unit | $ (380.86) | [1] | $ 80.67 | [1] | $ (574.55) | [1] | $ (519.07) | [1] | ||
Weighted average units outstanding | 15,873.3636 | 22,692.1401 | 17,089.2039 | 23,422.4772 | ||||||
|
General | 9 Months Ended |
---|---|
Sep. 30, 2011 | |
General [Abstract] | |
General |
1. General:
Tidewater Futures Fund L.P. (the “Partnership”) is a limited partnership organized on February
23, 1995 under the partnership laws of the State of New York to engage, directly or indirectly, in
the speculative trading of a diversified portfolio of commodity interests including futures
contracts, options, swaps and forward contracts. The sectors traded include currencies, energy,
grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The
commodity interests that are traded by the Partnership are volatile and involve a high degree of
market risk. The Partnership privately and continuously offers redeemable units of
limited partnership interest (“Redeemable Units”) in the Partnership to qualified investors. There
is no maximum number of Redeemable Units that may be sold by the Partnership.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner
(the “General Partner”) and commodity pool operator of the Partnership. The General Partner is
wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley,
indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup
Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a
minority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various
subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became
its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly
owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.
As of September 30, 2011, all trading decisions for the Partnership are made by Chesapeake Capital
Corporation (the “Advisor”). The Partnership’s trading of futures, forwards and options contracts,
if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. It engages
in such trading through a commodity brokerage account maintained with CGM.
The General Partner and each limited partner share in the profits and losses of the
Partnership in proportion to the amount of Partnership interest owned by each, except that no
limited partner shall be liable for obligations of the Partnership in
excess of its capital
contribution and profits, if any, net of distributions.
The accompanying financial statements
and accompanying notes are unaudited but, in the opinion of management, include
all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of
the Partnership’s financial condition at September 30, 2011 and December 31, 2010 and the results of
its operations and changes in partners’ capital for the three
and nine months ended September 30, 2011 and 2010.
These financial statements present the results of interim periods and do not include all
disclosures normally provided in annual financial statements. You should read these financial
statements together with the financial statements and notes included in the Partnership’s annual
report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year
ended December 31, 2010.
The preparation of financial statements and accompanying notes in conformity with accounting
principles generally accepted in the United States of America (“GAAP”) requires management to make
estimates and assumptions that affect the reported amounts of assets and liabilities, income and
expenses, and related disclosures of contingent assets and liabilities in the financial statements
and accompanying notes. As a result, actual results could differ from these estimates.
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.
|
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