e10vq
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 September 30, 2011
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 0-50271
ORION FUTURES FUND L.P.
(Exact name of registrant as specified in its charter)
|
|
|
New York
|
|
22-3644546
|
|
(State or other jurisdiction of
incorporation or organization)
|
|
(I.R.S. Employer
Identification No.)
|
c/o Ceres
Managed Futures LLC
522 Fifth Avenue – 14th Floor
New York, New York 10036
(Address of principal executive offices) (Zip Code)
(212) 296-1999
(Registrant’s telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed
all reports required to be filed by Section 13 or 15(d) of
the Securities Exchange Act of 1934 during the preceding
12 months (or for such shorter period that the registrant
was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes X No
Indicate by check mark whether the registrant has
submitted electronically and posted on its corporate
Web site, if any, every Interactive Data File required
to be submitted and posted pursuant to Rule 405 of
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 X No
Indicate by check mark whether the registrant is a large
accelerated filer, an accelerated filer, a non-accelerated
filer, or a smaller reporting company. See the definitions of
“large accelerated filer”, “accelerated
filer” and “smaller reporting company” in
Rule 12b-2
of the Exchange Act. (Check one):
|
|
|
|
Large accelerated filer |
Accelerated filer |
Non-accelerated filer X |
Smaller reporting company |
Indicate by check mark whether the registrant is a shell company
(as defined in
Rule 12b-2
of the Exchange Act).
Yes No X
As of October 31, 2011, 468,945.6549 Limited Partnership
Redeemable Units of Class A were outstanding and 1,134.5959 Limited Partnership Redeemable Units of
Class Z were outstanding.
ORION FUTURES FUND L.P.
FORM 10-Q
INDEX
101.INS XBRL Instance Document.
101.SCH XBRL Taxonomy Extension Schema Document.
101.CAL XBRL Taxonomy Extension Calcutaion Linkbase Document.
101.LAB
XBRL Taxonomy Extension Label Linkbase Document.
101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.
2
PART I
Item 1. Financial Statements
|
|
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|
|
|
|
|
|
|
|
(Unaudited)
September 30, |
|
|
December 31,
|
|
|
|
2011 |
|
|
2010 |
|
|
|
Assets: |
|
|
|
|
|
|
|
|
Investment in Funds, at fair value |
|
$ |
1,321,289,585 |
|
|
$ |
981,904,411 |
|
Equity in trading account: |
|
|
|
|
|
|
|
|
Cash |
|
|
271,177 |
|
|
|
172,054,703 |
|
Cash margin |
|
|
4,850,189 |
|
|
|
22,755,878 |
|
Net unrealized appreciation on open forward contracts |
|
|
0 |
|
|
|
13,090,568 |
|
Options
purchased, at fair value (cost $0 and $2,992,890 at
September 30, 2011 and
December 31, 2010, respectively) |
|
|
0 |
|
|
|
5,335,173 |
|
|
|
|
|
|
|
|
Total trading equity |
|
|
1,326,410,951 |
|
|
|
1,195,140,733 |
|
Interest receivable |
|
|
0 |
|
|
|
15,672 |
|
|
|
|
|
|
|
|
Total assets |
|
$ |
1,326,410,951 |
|
|
$ |
1,195,156,405 |
|
|
|
|
|
|
|
|
Liabilities and Partners’ Capital: |
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
Options premium received, at fair value (premium $0 and $45,720 at September 30, 2011 and December 31, 2010, respectively) |
|
$ |
0 |
|
|
$ |
14,130 |
|
Net unrealized depreciation on open futures contracts |
|
|
0 |
|
|
|
5,247,768 |
|
Net unrealized depreciation on open forward contracts |
|
|
4,850,189 |
|
|
|
0 |
|
Accrued expenses: |
|
|
|
|
|
|
|
|
Brokerage commissions |
|
|
2,981,689 |
|
|
|
2,109,769 |
|
Management fees |
|
|
1,327,804 |
|
|
|
1,751,605 |
|
Administrative fees |
|
|
549,309 |
|
|
|
494,865 |
|
Incentive fees |
|
|
5,368,914 |
|
|
|
4,494,823 |
|
Other |
|
|
89,361 |
|
|
|
109,373 |
|
Redemptions payable |
|
|
8,197,005 |
|
|
|
11,368,337 |
|
|
|
|
|
|
|
|
Total liabilities |
|
|
23,364,271 |
|
|
|
25,590,670 |
|
|
|
|
|
|
|
|
Partners’ Capital: |
|
|
|
|
|
|
|
|
General
Partner, Class A, (4,832.1591 and 4,276.0755 unit equivalents outstanding at
September 30, 2011 and December 31, 2010, respectively) |
|
|
13,344,394 |
|
|
|
11,777,980 |
|
General
Partner, Class Z, (0.0000 units equivalents outstanding at September 30, 2011 and December 31, 2010) |
|
|
0 |
|
|
|
0 |
|
Limited
Partners, Class A, (466,765.8600 and 420,343.0232 Redeemable Units
outstanding at September 30, 2011 and December 31, 2010,
respectively) |
|
|
1,289,010,254 |
|
|
|
1,157,787,755 |
|
Limited
Partners, Class Z, (700.3039 and 0.0000 Redeemable
Units outstanding at
September 30, 2011 and December 31, 2010, respectively) |
|
|
692,032 |
|
|
|
0 |
|
Total partners’ capital |
|
|
1,303,046,680 |
|
|
|
1,169,565,735 |
|
|
|
|
|
|
|
|
Total liabilities and partners’ capital |
|
$ |
1,326,410,951 |
|
|
$ |
1,195,156,405 |
|
|
|
|
|
|
|
|
Net asset value per unit: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
|
$ |
2,761.58 |
|
|
$ |
2,754.39 |
|
|
|
|
|
|
|
|
Class Z |
|
$ |
988.19 |
|
|
$ |
0 |
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
3
|
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Number of |
|
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|
|
|
|
% of Partners’ |
|
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|
Contracts |
|
|
Fair Value |
|
|
Capital |
|
Unrealized Appreciation on Open Forward Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
Metals |
|
|
600 |
|
|
$ |
14,384,375 |
|
|
|
1.10 |
% |
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts |
|
|
|
|
|
|
14,384,375 |
|
|
|
1.10 |
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
Metals |
|
|
640 |
|
|
|
(19,234,564 |
) |
|
|
(1.48 |
) |
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts |
|
|
|
|
|
|
(19,234,564 |
) |
|
|
(1.48 |
) |
|
|
|
|
|
|
|
|
|
|
|
Investment in Funds |
|
|
|
|
|
|
|
|
|
|
|
|
AAA Master Fund LLC |
|
|
|
|
|
|
383,200,905 |
|
|
|
29.41 |
|
CMF Winton Master Fund LP |
|
|
|
|
|
|
553,873,965 |
|
|
|
42.51 |
|
Morgan
Stanley Smith Barney TT II, LLC |
|
|
|
|
|
|
384,214,715 |
|
|
|
29.49 |
|
|
|
|
|
|
|
|
|
|
|
|
Total investment in Funds |
|
|
|
|
|
|
1,321,289,585 |
|
|
|
101.41 |
|
|
|
|
|
|
|
|
|
|
|
|
Net fair value |
|
|
|
|
|
$ |
1,316,439,396 |
|
|
|
101.03 |
% |
|
|
|
|
|
|
|
|
|
|
|
See
accompanying notes to financial statements.
4
Orion Futures
Fund L.P.
Condensed Schedule of Investments
December 31, 2010
|
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Notional ($)/
|
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|
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|
% of Partners’
|
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|
|
Number of Contracts
|
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|
Fair Value
|
|
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Capital
|
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
520
|
|
|
$
|
953,808
|
|
|
|
0.08
|
%
|
Energy
|
|
|
407
|
|
|
|
1,063,222
|
|
|
|
0.09
|
|
Grains
|
|
|
1,143
|
|
|
|
2,154,944
|
|
|
|
0.18
|
|
Interest Rates U.S.
|
|
|
380
|
|
|
|
35,017
|
|
|
|
0.00
|
*
|
Interest Rates
Non-U.S.
|
|
|
238
|
|
|
|
8,350
|
|
|
|
0.00
|
*
|
Livestock
|
|
|
111
|
|
|
|
95,380
|
|
|
|
0.01
|
|
Metals
|
|
|
390
|
|
|
|
3,589,090
|
|
|
|
0.31
|
|
Softs
|
|
|
518
|
|
|
|
2,648,939
|
|
|
|
0.23
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts purchased
|
|
|
|
|
|
|
10,548,750
|
|
|
|
0.90
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Sold
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
|
95
|
|
|
|
26,292
|
|
|
|
0.00
|
*
|
Grains
|
|
|
240
|
|
|
|
(123,200
|
)
|
|
|
(0.01
|
)
|
Interest Rates U.S.
|
|
|
12
|
|
|
|
(6,375
|
)
|
|
|
(0.00
|
)*
|
Interest Rates
Non-U.S.
|
|
|
95
|
|
|
|
102,828
|
|
|
|
0.01
|
|
Metals
|
|
|
1,428
|
|
|
|
(15,796,063
|
)
|
|
|
(1.35
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total futures contracts sold
|
|
|
|
|
|
|
(15,796,518
|
)
|
|
|
(1.35
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
3,976
|
|
|
|
67,511,368
|
|
|
|
5.77
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
|
|
|
|
|
67,511,368
|
|
|
|
5.77
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Depreciation on Open Forward Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
Currencies
|
|
$
|
75,375
|
|
|
|
(313
|
)
|
|
|
0.00
|
*
|
Metals
|
|
|
3,256
|
|
|
|
(54,420,487
|
)
|
|
|
(4.65
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
|
|
|
|
|
(54,420,800
|
)
|
|
|
(4.65
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
|
|
|
|
|
|
|
|
|
|
Grains
|
|
|
200
|
|
|
|
55,000
|
|
|
|
0.00
|
*
|
Metals
|
|
|
225
|
|
|
|
5,280,173
|
|
|
|
0.45
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options purchased
|
|
|
|
|
|
|
5,335,173
|
|
|
|
0.45
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options Premium Received
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals
|
|
|
60
|
|
|
|
(14,130
|
)
|
|
|
(0.00
|
)*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total options premium received
|
|
|
|
|
|
|
(14,130
|
)
|
|
|
(0.00
|
)*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in Funds
|
|
|
|
|
|
|
|
|
|
|
|
|
AAA Master Fund LLC
|
|
|
|
|
|
|
283,238,250
|
|
|
|
24.22
|
|
CMF Willowbridge Argo Master Fund LP
|
|
|
|
|
|
|
151,432,714
|
|
|
|
12.95
|
|
CMF Winton Master Fund LP
|
|
|
|
|
|
|
547,233,447
|
|
|
|
46.79
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment in Funds
|
|
|
|
|
|
|
981,904,411
|
|
|
|
83.96
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net fair value
|
|
|
|
|
|
$
|
995,068,254
|
|
|
|
85.08
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
|
Nine Months Ended |
|
|
|
September 30, |
|
|
September 30, |
|
|
|
2011 |
|
|
2010 |
|
|
2011 |
|
|
2010 |
|
Investment Income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income |
|
$ |
199 |
|
|
$ |
66,476 |
|
|
$ |
53,981 |
|
|
$ |
139,740
|
|
Interest income from investment in Funds |
|
|
24,742 |
|
|
|
263,509
|
|
|
|
304,088 |
|
|
|
605,235
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment income |
|
|
24,941 |
|
|
|
329,985
|
|
|
|
358,069 |
|
|
|
744,975
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Brokerage commissions including clearing fees |
|
|
4,402,696 |
|
|
|
2,943,794
|
|
|
|
11,517,150 |
|
|
|
9,197,994
|
|
Management fees |
|
|
5,703,113 |
|
|
|
4,798,415
|
|
|
|
16,738,405 |
|
|
|
13,327,364
|
|
Administrative fees |
|
|
1,651,697 |
|
|
|
1,342,505
|
|
|
|
4,788,950 |
|
|
|
3,711,971
|
|
Incentive fees |
|
|
5,368,913 |
|
|
|
2,506,281
|
|
|
|
7,504,897 |
|
|
|
4,395,222
|
|
Other |
|
|
168,228 |
|
|
|
185,478
|
|
|
|
654,738 |
|
|
|
624,841
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
17,294,647 |
|
|
|
11,776,473
|
|
|
|
41,204,140 |
|
|
|
31,257,392
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
|
(17,269,706 |
) |
|
|
(11,446,488 |
) |
|
|
(40,846,071 |
) |
|
|
(30,512,417 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Results: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) on trading of commodity interests and
investment in Funds: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains (losses) on closed contracts |
|
|
(1,438,435 |
) |
|
|
4,805,257
|
|
|
|
16,663,530 |
|
|
|
(5,657,154 |
) |
Net realized gains (losses) on investment in Funds |
|
|
25,217,187 |
|
|
|
4,857,297
|
|
|
|
44,471,691 |
|
|
|
(2,120,921 |
) |
Change in net unrealized gains (losses) on open contracts |
|
|
1,438,435 |
|
|
|
6,187,480
|
|
|
|
(15,066,862 |
) |
|
|
7,003,584
|
|
Change in net unrealized gains (losses) on investment
in Funds |
|
|
11,613,696 |
|
|
|
11,659,900
|
|
|
|
(3,242,142 |
) |
|
|
16,884,531
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total trading results |
|
|
36,830,883 |
|
|
|
27,509,934
|
|
|
|
42,826,217 |
|
|
|
16,110,040
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) |
|
$ |
19,561,177 |
|
|
$ |
16,063,446 |
|
|
$ |
1,980,146 |
|
|
$ |
(14,402,377 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income
(loss) allocation by class: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
|
$ |
19,566,516 |
|
|
$ |
16,063,446 |
|
|
$ |
1,985,485 |
|
|
$ |
(14,402,377 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Class Z |
|
$ |
(5,339 |
) |
|
$ |
0 |
|
|
$ |
(5,339 |
) |
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset
value per redeemable unit: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A
(471,598.0191 and 410,331.2069 units
outstanding at September 30, 2011 and 2010, respectively) |
|
$ |
2,761.58 |
|
|
$ |
2,642.21 |
|
|
$ |
2,761.58 |
|
|
$ |
2,642.21 |
|
|
|
, |
|
|
|
|
|
|
|
|
|
|
Class Z
(700.3039 and 0 units outstanding at September 30, 2011
and 2010, respectively) |
|
$ |
988.19 |
|
|
$ |
0 |
|
|
$ |
988.19 |
|
|
$ |
0 |
|
|
|
, |
|
|
|
|
|
|
|
|
|
|
Net income
(loss) per unit: * |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
|
$ |
41.75 |
|
|
$ |
39.10 |
|
|
$ |
7.19 |
|
|
$ |
(50.97 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Class Z |
|
$ |
(11.81 |
) |
|
$ |
0 |
|
|
$ |
(11.81 |
) |
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted
average units outstanding: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
|
|
472,737.9748 |
|
|
|
408,058.2249 |
|
|
|
456,813.7306 |
|
|
|
376,423.8169 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class Z |
|
|
400.4765 |
|
|
|
0.0000 |
|
|
|
400.4765 |
|
|
|
0.0000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Based on change in net asset value per unit. |
See accompanying notes to financial statements.
6
Orion Futures Fund L.P.
Statements of Changes in Partners’ Capital
For the Nine Months Ended September 30, 2011 and 2010
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
|
|
Class Z |
|
|
Total |
|
|
|
Amount |
|
|
Units |
|
|
Amount |
|
|
Units |
|
|
Amount |
|
|
Units |
|
Partners’ Capital December 31, 2010 |
|
$ |
1,169,565,735 |
|
|
$ |
424,619.0987 |
|
|
$ |
0 |
|
|
|
0 |
|
|
$ |
1,169,565,735 |
|
|
|
424,619.0987 |
|
Subscriptions — Limited Partners |
|
|
250,841,018 |
|
|
|
90,175.1521 |
|
|
|
697,371 |
|
|
|
700.3039 |
|
|
|
251,538,389 |
|
|
|
90,875.4560 |
|
Subscriptions — General Partner |
|
|
1,550,000 |
|
|
|
556.0836 |
|
|
|
0 |
|
|
|
0 |
|
|
|
1,550,000 |
|
|
|
556.0836 |
|
Net income (loss) |
|
|
1,985,485 |
|
|
|
0 |
|
|
|
(5,339 |
) |
|
|
0 |
|
|
|
1,980,146 |
|
|
|
0 |
|
Redemptions — Limited Partners |
|
|
(121,587,590 |
) |
|
|
(43,752.3153 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(121,587,590 |
) |
|
|
(43,752.3153 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners’ Capital September 30, 2011 |
|
$ |
1,302,354,648 |
|
|
|
471,598.0191 |
|
|
$ |
692,032 |
|
|
|
700.3039 |
|
|
$ |
1,303,046,680 |
|
|
|
472,298.3230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
|
|
Class Z |
|
|
Total |
|
|
|
Amount |
|
|
Units |
|
|
Amount |
|
|
Units |
|
|
Amount |
|
|
Units |
|
Partners’ Capital December 31, 2009 |
|
$ |
815,786,554 |
|
|
|
302,908.4228 |
|
|
$ |
0 |
|
|
|
0 |
|
|
$ |
815,786,554 |
|
|
|
302,908.4228 |
|
Subscriptions — Limited Partners |
|
|
364,108,030 |
|
|
|
138,427.6992 |
|
|
|
0 |
|
|
|
0 |
|
|
|
364,108,030 |
|
|
|
138,427.6992 |
|
Subscriptions — General Partner |
|
|
2,975,000 |
|
|
|
1,134.0389 |
|
|
|
0 |
|
|
|
0 |
|
|
|
2,975,000 |
|
|
|
1,134.0389 |
|
Net income (loss) |
|
|
(14,402,377 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
0 |
|
|
|
(14,402,377 |
) |
|
|
0 |
|
Redemptions — Limited Partners |
|
|
(84,284,242 |
) |
|
|
(32,138.9540 |
) |
|
|
0 |
|
|
|
0 |
|
|
|
(84,284,242 |
) |
|
|
(32,138.9540 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partners’ Capital September 30, 2010 |
|
$ |
1,084,182,965 |
|
|
|
410,331.2069 |
|
|
$ |
0 |
|
|
|
0 |
|
|
$ |
1,084,182,965 |
|
|
|
410,331.2069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
7
Orion Futures Fund L.P. (the
“Partnership”), is a limited partnership
organized on March 22, 1999 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, livestock, indices, U.S. and non-U.S. interest rates, softs
and metals. The commodity interests that are traded by the
Partnership and the Funds (as defined in Note 5 “Investment in
Funds”) are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999.
The Partnership privately and continuously offers 600,000 redeemable
units of limited partnership interest (“Redeemable Units”)
to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool
operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith
Barney Holdings LLC (“MSSB Holdings”). 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 are made for the Partnership by
Transtrend B.V. (“Transtrend”), Winton
Capital Management Limited (“Winton”) and AAA Capital
Management Advisors, Ltd. (“AAA”) (each an “Advisor”
and, collectively, the “Advisors”), each of which is a
registered commodity trading advisor.
On June 1, 2011, the units offered pursuant to the offering memorandum were deemed “Class A” units. The rights, powers, duties and obligations associated with
investment in Class A units were not changed. Beginning August 1, 2011, Class Z units
were offered to certain employees of Morgan Stanley Smith Barney and its affiliates
(and their family members). Class A and Class Z will each be referred to as a “Class” and
collectively referred to as the “Classes”. The Class of
Redeemable Units that a Limited Partner
receives upon a subscription will generally depend upon the amount invested in the
Partnership, although the General Partner may determine to offer
Redeemable Units to investors at its
discretion.
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 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.
8
Orion
Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Changes in the net asset value per unit for Class A for the three and nine
months ended
September 30, 2011 and 2010 and changes in the net asset value per unit for Class Z for the period were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period |
|
|
|
|
|
|
|
|
|
|
For the period |
|
|
|
|
|
|
|
|
|
|
August 1, 2011 |
|
|
|
|
|
|
|
|
|
|
August 1, 2011 |
|
|
|
|
|
|
|
|
|
|
(commencement of |
|
|
|
|
|
|
|
|
|
|
(commencement of |
|
|
|
|
|
|
Three Months Ended |
|
|
operations) to |
|
|
Three Months Ended |
|
|
Nine Months Ended |
|
|
operations) to |
|
|
Nine Months Ended |
|
|
|
September 30, 2011 |
|
|
September 30, 2011 |
|
|
September 30, 2010 |
|
|
September 30, 2011 |
|
|
September 30, 2011 |
|
|
September 30, 2010 |
|
|
|
Class A |
|
|
Class Z |
|
|
Class A |
|
|
Class A |
|
|
Class Z |
|
|
Class A |
|
Net realized and unrealized gains (losses) * |
|
$ |
68.98 |
|
|
$ |
(6.17 |
) |
|
$ |
59.91 |
|
|
$ |
71.44 |
|
|
$ |
(6.17 |
) |
|
$ |
5.10 |
|
Interest income |
|
|
0.06 |
|
|
|
0.01 |
|
|
|
0.81 |
|
|
|
0.82 |
|
|
|
0.01 |
|
|
|
1.94 |
|
Expenses ** |
|
|
(27.29 |
) |
|
|
(5.65 |
) |
|
|
(21.62 |
) |
|
|
(65.07 |
) |
|
|
(5.65 |
) |
|
|
(58.01 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase (decrease) for the period |
|
|
41.75 |
|
|
|
(11.81 |
) |
|
|
39.10 |
|
|
|
7.19 |
|
|
|
(11.81 |
) |
|
|
(50.97 |
) |
Net asset value per unit, beginning of period |
|
|
2,719.83 |
|
|
|
1,000.00 |
|
|
|
2,603.11 |
|
|
|
2,754.39 |
|
|
|
1,000.00 |
|
|
|
2,693.18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per unit, end of period |
|
$ |
2,761.58 |
|
|
$ |
988.19 |
|
|
$ |
2,642.21 |
|
|
$ |
2,761.58 |
|
|
$ |
988.19 |
|
|
$ |
2,642.21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Includes brokerage commissions |
|
** Excludes brokerage commissions |
|
|
|
|
|
|
|
For the period |
|
|
|
|
|
|
|
|
|
|
For the period |
|
|
|
|
|
|
|
|
|
|
August 1, 2011 |
|
|
|
|
|
|
|
|
|
|
August 1, 2011 |
|
|
|
|
|
|
|
|
|
|
(commencement of |
|
|
|
|
|
|
|
|
|
|
(commencement of |
|
|
|
|
|
|
Three Months Ended |
|
|
operations) to |
|
|
Three Months Ended |
|
|
Nine Months Ended |
|
|
operations) to |
|
|
Nine Months Ended |
|
|
|
September 30, 2011 |
|
|
September 30, 2011 |
|
|
September 30, 2010 |
|
|
September 30, 2011 |
|
|
September 30, 2011 |
|
|
September 30, 2010 |
|
Ratios to average net assets:*** |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment loss before incentive fees**** |
|
|
(3.7) |
% |
|
|
(3.2 |
)% |
|
|
(3.4 |
)% |
|
|
(3.6 |
)% |
|
|
(3.2 |
)% |
|
|
(3.6 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expense |
|
|
3.7 |
% |
|
|
3.2 |
% |
|
|
3.5 |
% |
|
|
3.6 |
% |
|
|
3.2 |
% |
|
|
3.7 |
% |
Incentive fees |
|
|
0.4 |
% |
|
|
0.1 |
% |
|
|
0.2 |
% |
|
|
0.6 |
% |
|
|
0.1 |
% |
|
|
0.5 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
4.1 |
% |
|
|
3.3 |
% |
|
|
3.7 |
% |
|
|
4.2 |
% |
|
|
3.3 |
% |
|
|
4.2 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return before incentive fees |
|
|
2.0 |
% |
|
|
(1.1 |
)% |
|
|
1.7 |
% |
|
|
0.8 |
% |
|
|
(1.1 |
)% |
|
|
(1.5 |
)% |
Incentive fees |
|
|
(0.5 |
)% |
|
|
(0.1 |
)% |
|
|
(0.2 |
)% |
|
|
(0.5 |
)% |
|
|
(0.1 |
)% |
|
|
(0.4 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return after incentive fees |
|
|
1.5 |
% |
|
|
(1.2 |
)% |
|
|
1.5 |
% |
|
|
0.3 |
% |
|
|
(1.2 |
)% |
|
|
(1.9 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** |
|
Annualized (other than incentive fees) |
|
**** |
|
Interest income less total expenses (exclusive of incentive fees) |
The above ratios may vary for individual investors based on the
timing of capital transactions during the period. Additionally,
these ratios are calculated for the limited partner Classes using
the limited partners’ share of income, expenses and average
net assets.
9
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
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 agreements between the Partnership and CGM and the Funds
and CGM or Morgan Stanley & Co. LLC (“MS & Co”) or Morgan Stanley & Co. International PLC (“MSIP”)
as applicable, give the
Partnership and the Funds, respectively, the legal right to net unrealized gains and losses
on open futures, exchange — cleared swaps and open forward contracts. The Partnership and the
Funds net, for financial reporting purposes, the unrealized gains and losses
on open futures and open forward contracts on the Statements of Financial Condition.
All of the commodity interests owned by the Partnership and the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership, during the
three months ended September 30, 2011 and 2010 were 0 and 6,949, respectively. The monthly
average number of futures contracts traded directly by the Partnership, during the nine months ended
September 30, 2011 and 2010 were 2,101 and 5,408, respectively. The monthly average number of metal
forward contracts traded directly by the Partnership, during the three months ended September 30, 2011
and 2010 were 1,727 and 5,869, respectively. The monthly average number of metal forward
contracts traded directly by the Partnership, during the nine months ended September 30, 2011 and 2010
were 6,053 and 3,969, respectively. The monthly average number of option contracts traded
directly by the Partnership, during the three months ended
September 30, 2011 and 2010 were 0 and
777, respectively. The monthly average number of option contracts traded directly by the
Partnership, during the nine months ended September 30, 2011 and
2010 were 152 and 386, respectively.
The monthly average notional value of currency forward contracts, held directly by the Partnership,
during the three months ended September 30, 2011 and 2010 were
$0 and $24,207,
respectively. The monthly average notional value of currency forward contracts, held directly by
the Partnership, during the nine months ended September 30, 2011
and 2010 were $8,588,266 and
$25,789,844, respectively.
Brokerage commissions are based on the number of trades executed
by the Advisors for the Partnership and the Funds.
The following tables indicate the gross fair values of derivative
instruments of futures, forward and options contracts traded directly
by the Partnership as separate assets and liabilities as of September 30,
2011 and December 31, 2010.
|
|
|
|
|
|
|
September 30, 2011 |
|
Assets |
|
|
|
|
Forward Contracts |
|
|
|
|
Metals |
|
$ |
14,384,375 |
|
|
|
|
|
Total unrealized appreciation on
open forward contracts |
|
$ |
14,384,375 |
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
Forward Contracts |
|
|
|
|
Metals |
|
$ |
(19,234,564 |
) |
|
|
|
|
Total unrealized depreciation on
open forward contracts |
|
$ |
(19,234,564 |
) |
|
|
|
|
Net unrealized depreciation on
open forward contracts |
|
$ |
(4,850,189) |
* |
|
|
|
|
|
|
|
* |
|
This amount is in “Net unrealized
depreciation on open forward contracts” on the Statements of Financial Condition. |
|
10
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
|
|
|
|
|
|
|
December 31,
|
|
|
|
2010
|
|
|
Assets
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
1,023,400
|
|
Energy
|
|
|
1,076,962
|
|
Grains
|
|
|
2,158,741
|
|
Interest Rates U.S.
|
|
|
35,017
|
|
Interest Rates
Non-U.S.
|
|
|
113,936
|
|
Livestock
|
|
|
95,380
|
|
Metals
|
|
|
3,589,089
|
|
Softs
|
|
|
2,714,932
|
|
|
|
|
|
|
Total unrealized appreciation on open futures contracts
|
|
$
|
10,807,457
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Currencies
|
|
$
|
(43,300
|
)
|
Energy
|
|
|
(13,740
|
)
|
Grains
|
|
|
(126,997
|
)
|
Interest Rates U.S.
|
|
|
(6,375
|
)
|
Interest Rates
Non-U.S.
|
|
|
(2,758
|
)
|
Metals
|
|
|
(15,796,062
|
)
|
Softs
|
|
|
(65,993
|
)
|
|
|
|
|
|
Total unrealized depreciation on open futures contracts
|
|
$
|
(16,055,225
|
)
|
|
|
|
|
|
Net unrealized depreciation on open futures contracts
|
|
$
|
(5,247,768
|
)*
|
|
|
|
|
|
|
|
|
* |
|
This amount is in “Net unrealized depreciation on open
futures contracts” on the Statements of Financial Condition. |
|
|
|
|
|
|
|
December 31,
|
|
|
|
2010
|
|
|
Assets
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Metals
|
|
$
|
67,511,368
|
|
|
|
|
|
|
Total unrealized appreciation on open forward contracts
|
|
$
|
67,511,368
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Forward Contracts
|
|
|
|
|
Currencies
|
|
$
|
(313
|
)
|
Metals
|
|
|
(54,420,487
|
)
|
|
|
|
|
|
Total unrealized depreciation on open forward contracts
|
|
$
|
(54,420,800
|
)
|
|
|
|
|
|
Net unrealized appreciation on open forward contracts
|
|
$
|
13,090,568
|
**
|
|
|
|
|
|
Assets
|
|
|
|
|
Options Purchased
|
|
|
|
|
Grains
|
|
$
|
55,000
|
|
Metals
|
|
|
5,280,173
|
|
|
|
|
|
|
Total options purchased
|
|
$
|
5,335,173
|
***
|
|
|
|
|
|
Liabilities
|
|
|
|
|
Options Premium Received
|
|
|
|
|
Metals
|
|
$
|
(14,130
|
)
|
|
|
|
|
|
Total options premium received
|
|
$
|
(14,130
|
)****
|
|
|
|
|
|
|
|
|
** |
|
This amount is in “Net unrealized appreciation on open
forward contracts” on the Statements of Financial Condition. |
|
*** |
|
This amount is in “Options purchased, at fair value”
on the Statements of Financial Condition. |
|
**** |
|
This amount is in “Options premium received, at fair
value” on the Statements of Financial Condition. |
11
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
The
following tables indicate the Partnership’s trading results, by market sector, on
derivative instruments traded directly by the Partnership for the
three and nine months ended September 30, 2011 and 2010.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
Total trading results |
|
|
Gain (loss) from trading |
|
|
Total trading results |
|
Currencies |
|
$ |
— |
|
|
$ |
5,945,510 |
|
|
$ |
(1,297,551 |
) |
|
$ |
7,830,169 |
|
Energy |
|
|
— |
|
|
|
(9,037,904 |
) |
|
|
2,902,797 |
|
|
|
(19,387,924 |
) |
Grains |
|
|
— |
|
|
|
8,711,776 |
|
|
|
(4,633,963 |
) |
|
|
5,713,050 |
|
Indices |
|
|
— |
|
|
|
(60,251 |
) |
|
|
(29,043 |
) |
|
|
(55,528 |
) |
Interest Rates U.S. |
|
|
— |
|
|
|
1,057,562 |
|
|
|
(1,476,338 |
) |
|
|
2,266,651 |
|
Interest Rates Non-U.S. |
|
|
— |
|
|
|
622,283 |
|
|
|
248,513 |
|
|
|
5,324,703 |
|
Livestock |
|
|
— |
|
|
|
87,970 |
|
|
|
(435,160 |
) |
|
|
(429,080 |
) |
Metals |
|
|
— |
|
|
|
3,411,538 |
|
|
|
4,745,428 |
|
|
|
(1,189,164 |
) |
Softs |
|
|
— |
|
|
|
254,253 |
|
|
|
1,571,985 |
|
|
|
1,273,553 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
— |
|
|
$ |
10,992,737 |
|
|
$ |
1,596,668 |
|
|
$ |
1,346,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4.
|
Fair
Value Measurements:
|
Partnership’s and the Funds’ Investments. All commodity interests
held by the Partnership and the Funds (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
and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the measurement date under current market conditions. The fair
value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or
liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3).
The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall
be determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Management has concluded that based on available information
in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.
GAAP also requires the need to use
judgment in determining if a formerly active market has become inactive and in determining fair values when the
markets become inactive. Management has concluded that based on available information in the marketplace,
there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’
Level 2 assets and liabilities.
The Partnership and the Funds will separately present purchases, sales,
issuances and settlements in their reconciliation of
Level 3 fair value measurements (i.e., to present such items
on a gross basis rather than on a net basis), and make
disclosures regarding the level of disaggregation and the
inputs and valuation techniques used to measure fair value for
measurements that fall within either Level 2 or
Level 3 of the fair value hierarchy as required by GAAP.
12
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
The Partnership and the Funds consider prices for exchange-traded commodity futures, forward and options contracts to be
based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded forward,
swaps and certain options contracts for which market quotations are not readily available, are priced by broker-dealers that
derive fair values for those assets from observable inputs (Level 2). Investments in funds (other commodity
pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced
based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds
reflects its proportional interest in the Funds. As of and for the periods ended September 30, 2011 and December 31, 2010, the Partnership and the Funds did not
hold any derivative instruments that were priced at fair value using unobservable inputs through the application of
management’s assumptions and internal valuation pricing models (Level 3).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
September 30, 2011
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards |
|
$ |
14,384,375 |
|
|
$ |
14,384,375 |
|
|
$ |
— |
|
|
$ |
— |
|
Investment in Funds |
|
|
1,321,289,585 |
|
|
|
— |
|
|
|
1,321,289,585 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets |
|
$ |
1,335,673,960 |
|
|
$ |
14,384,375 |
|
|
$ |
1,321,289,585 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forwards |
|
$ |
19,234,564 |
|
|
$ |
19,234,564 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
liabilities |
|
$ |
19,234,564 |
|
|
$ |
19,234,564 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net fair value |
|
$ |
1,316,439,396 |
|
|
$ |
(4,850,189 |
) |
|
$ |
1,321,289,585 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
for Identical
|
|
|
Observable Inputs
|
|
|
Unobservable
|
|
|
|
December 31,
2010*
|
|
|
Assets (Level 1)
|
|
|
(Level 2)
|
|
|
Inputs (Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options purchased
|
|
$
|
5,335,173
|
|
|
$
|
5,335,173
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Futures
|
|
|
10,807,457
|
|
|
|
10,807,457
|
|
|
|
—
|
|
|
|
—
|
|
Forwards
|
|
|
67,511,368 |
|
|
|
67,511,368 |
|
|
|
—
|
|
|
|
—
|
|
Investment in Funds
|
|
|
981,904,411
|
|
|
|
—
|
|
|
|
981,904,411
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
1,065,558,409 |
|
|
$
|
83,653,998 |
|
|
$
|
981,904,411
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures
|
|
$
|
16,055,225 |
|
|
$
|
16,055,225 |
|
|
$
|
—
|
|
|
$
|
—
|
|
Forwards
|
|
|
54,420,800 |
|
|
|
54,420,487 |
|
|
|
313
|
|
|
|
—
|
|
Options premium received
|
|
|
14,130
|
|
|
|
14,130
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
70,490,155 |
|
|
|
70,489,842 |
|
|
|
313
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net fair value
|
|
$
|
995,068,254
|
|
|
$
|
13,164,156
|
|
|
$
|
981,904,098
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* The amounts
have been reclassified from the December 31, 2010 prior year financial statements to conform to current
year presentation.
13
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
On September 1, 2001, the assets allocated to AAA for
trading were invested in AAA Master Fund LLC, (“AAA
Master”), a limited liability company organized
under the limited liability company laws of the State of New
York. The Partnership purchased 5,173.4381 units of AAA
Master with cash equal to $5,173,438. AAA Master was formed in
order to permit accounts managed now or in the future by AAA
using the Energy Program – Futures and Swaps, a proprietary, discretionary trading system, to
invest together in one trading vehicle. The General Partner is
also the managing member of AAA Master. Individual and pooled
accounts currently managed by AAA, including the Partnership,
are permitted to be non-managing members of AAA Master. The
General Partner and AAA believe that trading through this
structure should promote efficiency and economy in the trading
process.
On November 1, 2004, the assets allocated to Winton for
trading were invested in CMF Winton Master L.P. (“Winton
Master”), a limited partnership organized under the
partnership laws of the State of New York. The Partnership
purchased 35,389.8399 units of Winton Master with cash equal
to
$33,594,083 and a contribution of open commodity futures and
forward contracts with a fair value of $1,795,757. Winton Master
was formed in order to permit accounts managed now or in the
future by Winton using the Diversified Program, a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also the
general partner of Winton Master. Individual and pooled accounts
currently managed by Winton, including the Partnership, are
permitted to be limited partners of Winton Master. The General
Partner and Winton believe that trading through this structure
should promote efficiency and economy in the trading process.
On July 1, 2005, a portion of the assets allocated to Willowbridge
for trading were invested in CMF Willowbridge Argo Master
Fund L.P. (“Willowbridge Master”), a limited
partnership organized under the partnership laws of the State of
New York. The Partnership purchased 33,529.1186 units of
Willowbridge Master with cash equal to $29,866,194 and a contribution
of open commodity futures and forward contracts with a fair
value of $3,662,925. Willowbridge Master was formed in order to
permit accounts managed now or in the future by Willowbridge
using the Argo Trading System, a proprietary, systematic trading system, to invest together in one trading
vehicle. The Partnership fully redeemed its investment in
Willowbridge Master on May 31, 2011 for cash equal to $97,339,043.
On June 1, 2011, the Partnership allocated a portion of its assets, with cash equal to
$384,387,625 to Morgan Stanley Smith Barney TT II, LLC, (“Transtrend Master”), a
limited liability company organized under the partnership laws of the
State of Delaware.
Transtrend Master was formed in order to permit accounts managed now or in the future
by Transtrend using the Diversified Trend Program-Enhanced Risk Portfolio (US Dollar), a proprietary, systematic trading system, to invest
together in one trading vehicle. The General Partner is also the managing member of
Transtrend Master. Individual and pooled accounts managed by Transtrend, including the
Partnership are permitted to be a non managing member of Transtrend Master. The General
Partner and Transtrend believe that trading through this structure should promote
efficiency and economy in the trading process.
The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended September 30, 2011.
AAA Master’s, Transtrend Master’s and Winton
Master’s (collectively, the “Funds”) and the Partnership’s trading of futures,
forwards, swaps and options contracts, if applicable, on
commodities is done primarily on U.S.
commodity exchanges and foreign commodity exchanges. The Funds and the Partnership
engage in such trading through commodity brokerage accounts
maintained with CGM, except for Transtrend Master which trades
through MS & Co. and MSIP, the
commodity broker.
A limited partner/non-managing member may withdraw all or part
of its capital contribution and undistributed profits, if any,
from the Funds in multiples of the net asset value per
unit
14
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
as of the end of any day (the “Redemption Date”) after a request for
redemption has been made to the general partner/managing member
at least three days in advance of the Redemption Date. The units
are classified as a liability when the limited partner/non-managing
member elects to redeem and informs the Funds.
Management, administrative and incentive fees are charged at the
Partnership level, except for fees payable to Transtrend which are
charged at the Transtrend Master level. All exchange, clearing, user,
give-up,
floor brokerage and National Futures Association fees
(collectively the “clearing fees”) are borne by the Partnership directly and through its investments in the Funds. All other fees, including CGM’s direct
brokerage commission, are charged at the Partnership level.
At September 30, 2011, the Partnership owned approximately 40.6% of AAA
Master, 91.7% of Transtrend Master and 66.7% of Winton Master. At
December 31, 2010, the Partnership owned
approximately 28.7% of AAA Master, 70.0% of Willowbridge
Master and 61.9% of Winton Master.
It is
the Partnership’s intention to continue to
invest in the Funds. The
performance of the Partnership is directly affected by the
performance of the Funds.
Expenses to investors as a result of the investment in
the Funds are approximately the same and redemption rights are
not affected.
Summarized information reflecting the Total Assets, Liabilities
and Capital for the Funds are shown in the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2011 |
|
|
|
Total Assets |
|
|
Total Liabilities |
|
|
Total Capital |
|
AAA Master |
|
$ |
1,182,343,740 |
|
|
$ |
237,749,412 |
|
|
$ |
944,594,328 |
|
Transtrend Master |
|
|
419,583,945 |
|
|
|
646,370 |
|
|
|
418,937,575 |
|
Winton Master |
|
|
830,305,813 |
|
|
|
289,479 |
|
|
|
830,016,334 |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
2,432,233,498 |
|
|
$ |
238,685,261 |
|
|
$ |
2,193,548,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2010 |
|
|
|
Total Assets |
|
|
Total Liabilities |
|
|
Total Capital |
|
AAA Master |
|
$ |
1,234,677,140 |
|
|
$ |
254,307,502 |
|
|
$ |
980,369,638 |
|
Willowbridge Master |
|
|
216,360,362 |
|
|
|
61,729 |
|
|
|
216,298,633 |
|
Winton Master |
|
|
883,842,483 |
|
|
|
122,612 |
|
|
|
883,719,871 |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
2,334,879,985 |
|
|
$ |
254,491,843 |
|
|
$ |
2,080,388,142 |
|
|
|
|
|
|
|
|
|
|
|
|
Summarized information reflecting the net investment income
(loss) from trading, total trading results
and net income (loss) for the Funds are shown in
the following tables.
|
|
|
|
For the three months ended September 30, 2011 |
|
|
|
Net Investment |
|
|
Total Trading |
|
|
|
|
|
|
Income (Loss) |
|
|
Results |
|
|
Net income (Loss) |
|
AAA Master |
|
$ |
(608,827 |
) |
|
$ |
20,925,811 |
|
|
$ |
20,316,984 |
|
Transtrend Master |
|
|
(2,263,834 |
) |
|
|
(14,676,082 |
) |
|
|
(16,939,916 |
) |
Winton Master |
|
|
(115,599 |
) |
|
|
65,557,693 |
|
|
|
65,442,094 |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
(2,988,260 |
) |
|
$ |
71,807,422 |
|
|
$ |
68,819,162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the nine months ended September 30, 2011 |
|
|
|
Net Investment |
|
|
Total Trading |
|
|
|
|
|
|
Income (Loss) |
|
|
Results |
|
|
Net income (Loss) |
|
AAA Master |
|
$ |
(1,998,001 |
) |
|
$ |
16,706,074 |
|
|
$ |
14,708,073 |
|
Transtrend Master |
|
|
(3,661,569 |
) |
|
|
(28,176,397 |
) |
|
|
(31,837,966 |
) |
Winton Master |
|
|
(172,947 |
) |
|
|
76,099,292 |
|
|
|
75,926,345 |
|
Willowbridge Master (a) |
|
|
(58,428 |
) |
|
|
18,287,865 |
|
|
|
18,229,437 |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
(5,890,945 |
) |
|
$ |
82,916,834 |
|
|
$ |
77,025,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
|
From January 1, 2011 through May 31, 2011, the date Willowbridge Master was terminated. |
15
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the three months ended September 30, 2010 |
|
|
|
Net Investment |
|
|
Total Trading |
|
|
|
|
|
|
Income (Loss) |
|
|
Results |
|
|
Net income (Loss) |
|
AAA Master |
|
$ |
(596,513 |
) |
|
$ |
9,489,985 |
|
|
$ |
8,893,472 |
|
Willowbridge Master |
|
|
(28,204 |
) |
|
|
(2,263,514 |
) |
|
|
(2,291,718 |
) |
Winton Master |
|
|
63,386 |
|
|
|
26,050,805 |
|
|
|
26,114,191 |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
(561,331 |
) |
|
$ |
33,277,276 |
|
|
$ |
32,715,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the nine months ended September 30, 2010 |
|
|
|
Net Investment |
|
|
Total Trading |
|
|
|
|
|
|
Income (Loss) |
|
|
Results |
|
|
Net income (Loss) |
|
AAA Master |
|
$ |
(2,428,159 |
) |
|
$ |
(34,508,985 |
) |
|
$ |
(36,937,144 |
) |
Willowbridge Master |
|
|
(146,867 |
) |
|
|
(36,147,175 |
) |
|
|
(36,294,042 |
) |
Winton Master |
|
|
(46,631 |
) |
|
|
80,520,886 |
|
|
|
80,474,255 |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
(2,621,657 |
) |
|
$ |
9,864,726 |
|
|
$ |
7,243,069 |
|
|
|
|
|
|
|
|
|
|
|
Summarized information reflecting the Partnership’s
investments in, and the operations of, the Funds are as shown in
the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2011 |
|
|
For the three months ended September 30, 2011 |
|
|
|
|
|
|
|
% of |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partnership’s |
|
|
Fair |
|
|
Income |
|
|
Expenses |
|
|
Management |
|
|
Net |
|
|
Investment |
|
Redemptions |
Investment |
|
Net Assets |
|
|
Value |
|
|
(Loss) |
|
|
Commissions |
|
|
Other |
|
|
Fee |
|
|
Income (Loss) |
|
|
Objective |
|
Permitted |
AAA Master |
|
|
29.41 |
% |
|
$ |
383,200,905 |
|
|
$ |
8,381,422 |
|
|
$ |
202,731 |
|
|
$ |
51,907 |
|
|
$ |
— |
|
|
$ |
8,126,784 |
|
|
Energy Markets |
|
Monthly |
Transtrend Master |
|
|
29.49 |
% |
|
|
384,214,715 |
|
|
|
(13,395,345 |
) |
|
|
313,596 |
|
|
|
0 |
|
|
|
1,738,778 |
|
|
|
(15,447,719 |
) |
|
Commodity Portfolio |
|
Monthly |
Winton Master |
|
|
42.51 |
% |
|
|
553,873,965 |
|
|
|
41,869,548 |
|
|
|
79,876 |
|
|
|
13,907 |
|
|
|
— |
|
|
|
41,775,765 |
|
|
Commodity Portfolio |
|
Monthly |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
$ |
1,321,289,585 |
|
|
$ |
36,855,625 |
|
|
$ |
596,203 |
|
|
$ |
65,814 |
|
|
$ |
1,738,778 |
|
|
$ |
34,454.830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2011 |
|
|
For the nine months ended September 30, 2011 |
|
|
|
|
|
|
|
% of |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partnership’s |
|
|
Fair |
|
|
Income |
|
|
Expenses |
|
|
Management |
|
|
Net |
|
|
Investment |
|
Redemptions |
Investment |
|
Net Assets |
|
|
Value |
|
|
(Loss) |
|
|
Commissions |
|
|
Other |
|
|
Fee |
|
|
Income (Loss) |
|
|
Objective |
|
Permitted |
AAA Master |
|
|
29.41 |
% |
|
$ |
383,200,905 |
|
|
$ |
5,140,821 |
|
|
$ |
643,899 |
|
|
$ |
176,910 |
|
|
$ |
— |
|
|
$ |
4,320,012 |
|
|
Energy Markets |
|
Monthly |
Transtrend Master |
|
|
29.49 |
% |
|
|
384,214,715 |
|
|
|
(24,781,090 |
) |
|
|
453,128 |
|
|
|
112,108 |
|
|
|
2,299,318 |
|
|
|
(27,645,644 |
) |
|
Commodity Portfolio |
|
Monthly |
Willowbridge Master |
|
|
0.00 |
% |
|
$ |
— |
|
|
|
13,236,598 |
|
|
|
47,521 |
|
|
|
27,695 |
|
|
|
— |
|
|
|
13,161,382 |
|
|
Commodity Portfolio |
|
Monthly |
Winton Master |
|
|
42.51 |
% |
|
|
553,873,965 |
|
|
|
47,937,308 |
|
|
|
240,927 |
|
|
|
44,179 |
|
|
|
— |
|
|
|
47,652,202 |
|
|
Commodity Portfolio |
|
Monthly |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
$ |
1,321,289,585 |
|
|
$ |
41,533,637 |
|
|
$ |
1,385,475 |
|
|
$ |
360,892 |
|
|
$ |
2,299,318 |
|
|
$ |
37,487,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2010 |
|
|
For the three months ended September 30, 2010 |
|
|
|
|
|
|
|
% of |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partnership’s |
|
|
Fair |
|
|
Income |
|
|
Expenses |
|
|
Net |
|
|
Investment |
|
Redemptions |
Investment |
|
Net Assets |
|
|
Value |
|
|
(Loss) |
|
|
Commissions |
|
|
Other |
|
|
Income (Loss) |
|
|
Objective |
|
Permitted |
AAA Master |
|
|
24.22 |
% |
|
$ |
283,238,250 |
|
|
$ |
2,523,600 |
|
|
$ |
161,584 |
|
|
$ |
48,436 |
|
|
$ |
2,313,580 |
|
|
Energy Markets |
|
Monthly |
Willowbridge
Master |
|
|
12.95 |
% |
|
|
151,432,714 |
|
|
|
(1,413,593 |
) |
|
|
47,967 |
|
|
|
16,136 |
|
|
|
(1,477,696 |
) |
|
Commodity Portfolio |
|
Monthly |
Winton
Master |
|
|
46.79 |
% |
|
|
547,233,447 |
|
|
|
15,670,699 |
|
|
|
87,075 |
|
|
|
16,606 |
|
|
|
15,567,018 |
|
|
Commodity Portfolio |
|
Monthly |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
$ |
981,904,411 |
|
|
$ |
16,780,706 |
|
|
$ |
296,626 |
|
|
$ |
81,178 |
|
|
$ |
16,402,902 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2010 |
|
|
For the nine months ended September 30, 2010 |
|
|
|
|
|
|
|
% of |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Partnership’s |
|
|
Fair |
|
|
Income |
|
|
Expenses |
|
|
Net |
|
|
Investment |
|
Redemptions |
Investment |
|
Net Assets |
|
|
Value |
|
|
(Loss) |
|
|
Commissions |
|
|
Other |
|
|
Income (Loss) |
|
|
Objective |
|
Permitted |
AAA Master |
|
|
24.22 |
% |
|
$ |
283,238,250 |
|
|
$ |
(8,424,424 |
) |
|
$ |
611,829 |
|
|
$ |
137,958 |
|
|
$ |
(9,174,211 |
) |
|
Energy Markets |
|
Monthly |
Willowbridge
Master |
|
|
12.95 |
% |
|
|
151,432,714 |
|
|
|
(22,466,180 |
) |
|
|
160,329 |
|
|
|
42,223 |
|
|
|
(22,668,732 |
) |
|
Commodity Portfolio |
|
Monthly |
Winton
Master |
|
|
46.79 |
% |
|
|
547,233,447 |
|
|
|
46,259,449 |
|
|
|
284,257 |
|
|
|
45,968 |
|
|
|
45,929,224 |
|
|
Commodity Portfolio |
|
Monthly |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
$ |
981,904,411 |
|
|
$ |
15,368,845 |
|
|
$ |
1,056,415 |
|
|
$ |
226,149 |
|
|
$ |
14,086,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
6. Financial Instrument Risks:
In the normal course of business, the Partnership and the Funds are parties 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
on 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 or over-the-counter (“OTC”).
Exchange-traded instruments are standardized and include futures, forwards and option contracts. OTC contracts are negotiated
between contracting parties and include swaps and certain forward and options contracts.
Specific market movements of commodities or futures contracts underlying an option cannot be accurately predicted.
Each of these instruments is subject to various risks
similar to those related 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/Funds
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/Funds are 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/Funds’ 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/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the
Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the
occurrence of certain events. The Partnership/Funds have credit risk and concentration risk because the sole counterparty or broker with respect
to the Partnership’s/Funds’ assets is MS & Co., MSIP, CGM or a CGM affiliate. Credit risk with respect to
exchange-traded instruments is reduced to the extent that, through MS & Co. and CGM, the
Partnership’s/Funds’ counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Partnership/Funds pay or
receive a premium at the outset and then bear the risk of
unfavorable changes in the price of the contract underlying the
option. Written options expose the Partnership/Funds to potentially
unlimited liability; for purchased options, the risk of loss is
limited to the premiums paid. Certain written put options permit
cash settlement and do not require the option holder to own the
reference asset. The Partnership/Funds do not consider these
contracts to be guarantees.
The General Partner/managing member monitors and attempts to control the Partnership’s/Funds’
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/Funds may be subject. These monitoring systems
generally
allow the General Partner/managing member to statistically analyze actual
trading results with risk-adjusted performance indicators and
correlation statistics. In addition, online monitoring systems
provide account analysis of futures, exchange-cleared swaps 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/Funds’ businesses, these
instruments may not be held to maturity.
17
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
7. 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 and the Funds’ Investments. All commodity interests held by the Partnership and the Funds
(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
and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the measurement date under current market conditions. The fair
value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or
liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3).
The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall
be determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Management has concluded that based on available information
in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.
GAAP also requires the need to
use judgment in determining if a formerly active market has become inactive and in determining fair values
when the markets become inactive. Management has concluded that based on available information in the
marketplace, there has not been a significant decrease in the volume and level of activity in the
Partnership’s and the Funds’ Level 2 assets and liabilities.
The Partnership and the Funds will
separately present purchases, sales, issuances and settlements in their reconciliation of
Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make
disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for
measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership and the
Funds consider 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). Investments in funds (other commodity pools) where
there are no other rights or obligations inherent within the ownership interest held by the
Partnership are priced based on the end of the day net asset value (Level 2). The value of the
Partnership’s investments in the Funds reflects its proportional interest in the Funds.
As of and for the periods ended September 30, 2011 and December 31, 2010, the Partnership and the Funds did not hold any
derivative instruments that were priced at fair value using unobservable inputs through the
application of management’s assumptions and internal valuation pricing models (Level 3).
18
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
Futures Contracts. The Partnership and the
Funds trade futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures.
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 and the Funds 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 and Funds. When the contract is closed, the Partnership and
the Funds record a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and
the value at the time it was closed. Transactions in
futures contracts require participants to make both initial
margin deposits of cash or other assets and variation margin
deposits, through the futures broker, directly with the exchange
on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses)
on futures contracts are included in the Statements of Income and
Expenses.
Forward Foreign Currency Contracts. Forward foreign currency contracts are those
contracts where the Partnership and the Funds agree to receive
or deliver a fixed quantity of foreign currency for an agreed-upon
price on an agreed future date. Forward foreign currency contracts are valued daily, and
the Partnership’s and the Funds’ net equity therein, representing unrealized gain
or loss on the contracts as measured by the difference between the forward
foreign exchange rates at the dates of entry into the contracts and the
forward rates at the reporting date, is included in
the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains
(losses) on foreign currency contracts are recognized in the period in which the
contract is closed or the changes occur, respectively, and are included
in the Statements of Income and Expenses.
The Partnership and the Funds do not isolate the portion of the results of operations arising from the
effect of changes in foreign exchange rates on investments from fluctuations from
changes in market prices of investments held. Such fluctuations are included in net gain
(loss) on investments in the Statements of Income and Expenses.
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 and
the Funds are cash settled based on prompt dates published by
the LME. Payments (“variation margin”) may be made or
received by the Partnership and the Funds 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 and the Funds. 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 and the Funds record a realized gain or loss
equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
Transactions in LME contracts require participants to
make both initial margin deposits of cash or other assets and
variation margin deposits, through the broker, directly with the
LME. Net realized gains (losses) and
changes in net unrealized gains (losses) on metal contracts are
included in the Statements of Income and Expenses and Changes in Partners’ Capital.
Options. The Partnership and Funds may
purchase and write (sell) both exchange-listed and
OTC options on commodities or financial
instruments. An option is a contract allowing, but not
requiring, its holder to buy (call) or sell (put) a specific or
standard commodity or financial instrument at a specified price
during a specified time period. The option premium is the total
price paid or received for the option contract. When the
Partnership and the Funds write an option, the premium received is
recorded as a liability in the Statements of Financial Condition
and marked to market daily. When the Partnership and the Funds
purchase an option, the premium paid is recorded as an asset in
the Statements of Financial Condition and marked to market
daily. Net realized gains (losses) and changes in net unrealized gains
(losses) on options contracts are included in the Statements of
Income and Expenses.
Brokerage Commissions. Commission charges to
open and close futures and exchange-traded swap contracts are
expensed at the time the positions are opened. Commission
charges on option contracts are expensed at the time the
position is established and when the option contract is closed.
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.
19
Orion Futures Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
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 Partners 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 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”.
20
|
|
Item 2. |
Management’s
Discussion and Analysis of Financial Condition and Results of
Operations.
|
Liquidity
and Capital Resources
The Partnership does not engage in sales of goods or services.
The Partnership’s assets are its (i) investment in
Funds, and
(ii) equity in its trading account, consisting
of cash and cash equivalents and net unrealized depreciation on open
forward contracts. 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 in the third quarter of 2011.
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,
subscriptions and
redemptions of Redeemable Units and distributions of profits, if
any.
For the nine months ended September 30, 2011, Partnership capital
increased 11.4% from $1,169,565,735 to $1,303,046,680. This increase
was attributable to the subscriptions of 90,175.1521 Redeemable
Units of Class A totaling $250,841,018, subscriptions of 700.3039
Redeemable Units of Class Z totaling $697,371 and 556.0836 Class A General
Partner unit equivalents totaling $1,550,000, coupled with a net income from operations of
$1,980,146, which was partially offset by the redemptions of 43,752.3153 Redeemable
Units of Class A totaling $121,587,590. Future redemptions can impact the amount of funds
available for investment in commodity contract positions in
subsequent periods.
Critical
Accounting Policies
The preparation of
financial statements in conformity with GAAP requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported
amounts of income and expense during the reporting period. Management believes
that the estimates utilized in preparing the financial statements
are reasonable. Actual results could differ from those estimates. The
Partnership’s significant accounting policies are described in detail in
Note 7 of the Financial Statements.
The
Partnership/Funds records
all investments at fair value in its financial
statements, with changes in fair value reported as a component of net
realized gains (losses) and change in net unrealized gains (losses) in the
Statements of Income and Expenses and Changes in Partners’ Capital.
Results
of Operations
During the Partnership’s
third quarter of 2011, the net asset value per unit for Class A increased 1.5% from $2,719.83 to $2,761.58 as compared to an increase of 1.5% in the third quarter of 2010.
During the Partnership’s third quarter
of 2011, the net asset value per unit for Class Z decreased 1.2% from
$1,000.00 to $988.19 from August 1, 2011 to September 30, 2011. The Partnership experienced a net trading gain before brokerage commissions and related fees in the
third quarter of 2011 of $36,830,883. Gains were primarily
attributable to the Partnership’s/Funds’
trading of commodity futures in energy, U.S. and non-U.S. interest
rates, metals and softs,
and were partially offset by losses in currencies, grains,
livestock and indices. The Partnership experienced a net
trading gain before brokerage commissions and related fees in the
third quarter of 2010 of $27,509,934.
Gains were primarily attributable to the
Partnership’s/Funds’ trading of commodity futures in
currencies, grains, livestock, metals, U.S. and non-U.S. interest
rates and softs and were partially offset by
losses in energy and indices.
During July, long futures positions in U.S. Treasury
bonds, U.S. Treasury notes, and the Eurobund profited as investors sought “flight to
quality” assets after concerns over a slowing global economy and the inability of the U.S.
debt ceiling issue to be resolved saw investors seek “safe haven” assets. Further gains
were recorded in currencies as long Swiss franc and Japanese yen versus short U.S. dollar
positions made a profit for the Partnership as investors perceived these currencies to be
“safe haven” assets. Additional gains were recorded in the energy markets in July came from
long futures positions in Brent crude oil and WTI crude oil as oil prices moved higher. The
Partnership also profited from long futures positions in gold and silver as prices rallied
amidst concerns over a slowing global economy. Lastly, long futures positions in sugar
recorded gains in July as prices rose on renewed concerns that the crop in Brazil may
decline. The Partnership’s gains in July were offset by losses in August and September.
Long Australian dollar, Canadian dollar and euro positions versus short U.S. dollar incurred
losses as concerns over slowing global demand for commodities weighed on the value of
currencies. Further losses were incurred in August from long futures positions in global
stock indices as prices declined after a Standard & Poor’s downgrade of the United States’
sovereign credit rating, as well as concerns about the European debt crisis. Long futures
positions in corn and soybeans incurred losses as grains prices declined on a more favorable
United States Department of Agriculture report citing better-than-expected yields. Lastly,
short futures positions in coffee incurred losses as prices rallied in August.
21
During the Partnership’s nine months ended September 30, 2011,
the net asset value per unit for Class A increased 0.3% from $2,754.39 to
$2,761.58 as compared to a decrease of 1.9% for the nine months
ended September 30, 2010. The Partnership experienced a net
trading gain before brokerage commissions and related fees for the
nine months ended September 30, 2011 of $42,826,217. Gains were
primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, U.S. and non U.S. interest rates, metals and
softs, and were partially offset by losses in currencies, grains, livestock and indices. The
Partnership experienced a net trading gain before brokerage
commissions and related fees for the nine months ended
September 30, 2010 of $16,110,040. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity
futures in currencies, grains, U.S. and non-U.S.
interest rates and softs and were partially offset by losses in livestock, energy, metals and indices.
During the first quarter, long futures positions in WTI crude oil and Brent crude
oil performed well as prices generally appreciated given confidence in the continued growth
of China, as well as that of the broader global economy. Additional upward price pressure
resulted from political tensions in the Middle East and North Africa. Further gains were
recorded from long futures positions in heating oil as a colder-than-expected winter in the
United States helped to drive prices higher throughout February and March. Gains were also
experienced in the metals complex during February from long futures positions in gold,
silver, nickel, and zinc profited from prices trending higher. Further gains were recorded
during March and April in the metals complex as long futures positions in gold and silver as
prices strengthened continuing their upward trend from February. Further gains in April
were recorded in the energy markets from long futures positions in WTI crude oil, as well as
in RBOB gasoline, gasoil, and heating oil as oil prices rose during the month. Lastly,
gains were recorded from long positions in the currency markets during April as the British
pound, euro, Australian dollar, Swiss franc and Canadian dollar all strengthened against the
U.S. dollar. Performance in July also benefited the Partnership as long futures positions
in U.S. Treasury bonds and U.S. Treasury notes profited as investors sought out “flight to
quality” assets given a weaker global economic outlook and continued concerns about the U.S.
debt ceiling. Further gains in July were recorded in currencies as long positions in the
Swiss franc and Japanese yen versus the U.S. dollar benefited the Partnership as these
currencies were viewed as “safe haven” assets by investors. Additional gains were recorded
in the metals complex in July as long futures positions in gold and silver benefited from
rising prices. A portion of the Partnership’s gains during the first nine months of the
year was offset by trading losses in January as short futures positions in U.S. and European
interest rates detracted from performance as prices increased over concerns about the unrest
in the Middle East, which spurred demand for the relative “safety” of government debt.
Further losses in February came in currencies as long Australian dollar, Swiss franc,
Japanese yen, and Canadian dollar positions weakened against the U.S. dollar as renewed
optimism about the U.S. economic recovery was aided by better-than-expected U.S. factory
data. The Partnership incurred additional losses in May and June as a sharp reversal lower
in energy prices negatively impacted long futures positions in WTI crude oil, RBOB gasoline,
gasoil, heating oil and natural gas. Further losses in May came from long futures positions
in the metals markets as gold and silver prices reversed sharply lower, as did palladium,
platinum and copper prices. Losses were also recorded in the agricultural commodities in
May and June as the prices of corn, soybeans and wheat futures all traded lower, thus
negatively impacting long positions in these markets. The Partnership also incurred losses
in global stock indices as prices continued to decline throughout May
and June amidst fears the crisis in Greece and Portugal would spread to other European
countries. Additional losses came from the currency markets in August and September as long
Australian dollar, Canadian dollar and euro positions versus the U.S. dollar were negatively
impacted as concerns over slowing global demand for commodities and the European debt crisis
pushed the values of these currencies lower. Further losses were incurred in August from
long futures positions in global stock indices as prices declined after a Standard & Poor’s
downgrade of the United States’ sovereign credit rating. Long futures positions
in corn and
soybeans also incurred further losses in August and September as grains prices declined on
better-than-expected yields in the United States.
22
Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation
increases the risks involved
in commodity trading, but also increases the possibility for
profit. The profitability of the Partnership/Funds depends on
the existence of major price trends and the ability of the
Advisors 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
Advisors are able to identify them, the Partnership expects to
increase capital through operations.
Interest income is earned on 100% of the Partnership’s average daily equity maintained
in cash in the Partnership’s (or the Partnership’s
allocable portion of the AAA Master or Winton Master) brokerage account
at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the
average non-competitive yield on 3-month U.S. Treasury bills
maturing in 30 days.
MS & Co. and MSIP credits Transtrend Master at each month-end
with interest income on the assets on deposit with MS & Co. and
MSIP. Interest
income earned by the Partnership for the three and nine months ended
September 30, 2011 decreased by $305,044 and $386,906, respectively, as compared to the
corresponding periods in 2010. The decrease in interest income is primarily due to lower U.S. Treasury bill rates for the
Partnership during the three and nine months ended September 30, 2011, as compared to the corresponding periods in 2010.
Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned
by the Partnership depends on the average daily equity in the Partnership’s and the Funds’
accounts and upon interest rates over which neither the Partnership/Funds
nor CGM/MS & Co. has control.
Brokerage commissions are based on the number of trades executed
by the Advisors. Accordingly, they must be compared in relation
to the number of trades executed during the period. Brokerage
commissions and fees for the three and nine months ended September 30, 2011 increased by
$1,458,902 and $2,319,156, respectively, as compared to the corresponding
periods in 2010. The increase in brokerage commissions and fees
is primarily due to an increase in the number of trades during
the three and nine months ended September 30, 2011, as compared to
the corresponding periods in 2010.
Management fees, except fees payable to Transtrend, 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, subscriptions and
redemptions. Management fees payable to Transtrend are charged at Transtrend Master level
and are affected by trading performance, subscriptions and redemptions of Transtrend Master. Management fees for the three and nine months ended
September 30, 2011 increased by $904,698 and $3,411,041, respectively, as compared to the corresponding periods in
2010.
The increase in management fees is due to higher average
adjusted net assets during the three and nine months ended September 30, 2011,
as compared to the corresponding periods in 2010.
Administrative fees are paid to the General Partner for
administering the business and affairs of the Partnership. These
fees are calculated as a percentage of the Partnership’s
adjusted net asset value as of the end of each month and are affected by
trading performance, subscriptions and redemptions. Administrative
fees for the three and nine months ended September 30, 2011 increased by
$309,192 and $1,076,979, respectively, as compared to
the corresponding periods in 2010. The increase in
administrative fees is due to higher average adjusted net assets during
the three and nine months ended September 30, 2011, as compared to
the corresponding periods in 2010.
Incentive fees paid by the Partnership are based on the new
trading profits generated by each Advisor at the end of the
quarter, as defined in each management agreement among the
Partnership, the General Partner and each Advisor.
Trading
performance for the three and nine months ended September 30, 2011 resulted in
incentive fees of $5,368,913 and $7,504,897, respectively. Trading
performance for the three and nine months ended September 30, 2010
resulted in incentive fees of $2,506,281 and $4,395,222, respectively.
In allocating the assets of the Partnership among the trading Advisors, the General Partner
considers each Advisors past performance, trading style, volatility of markets traded and fee requirements. The
General Partner may modify or terminate the allocation of assets among trading advisors and may
allocate assets to additional advisors at any time.
23
|
|
Item 3. |
Quantitative
and Qualitative Disclosures about Market Risk |
The Partnership/Funds are speculative commodity pools.
The market sensitive instruments held by the Partnership/Funds are acquired for speculative trading purposes, and all or
substantially all of the Partnership’s/Funds’
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 Partnership’s/Funds’ main line of business.
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 movements result in frequent changes in the fair value of
the Partnership’s/Funds’ open contracts and,
consequently, in their earnings and cash balances. The
Partnership’s/Funds’ market risk is influenced
by a wide variety of factors, including the level and volatility
of interest rates, exchange rates, equity price levels, the market
value of financial instruments and contracts, the
diversification effects among the Partnership’s/Funds’
open contracts and the liquidity of the markets in which they trade.
The Partnership/Funds 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/Funds’ past performances
are not necessarily indicative of their future results.
“Value at Risk” is a measure of the maximum amount which the
Partnership/Funds could reasonably be expected to lose
in a given market sector. However, the inherent uncertainty of
the Partnership’s/Funds’ speculative trading
and the recurrence in the markets traded by the Partnership/Funds
of market movements far exceeding expectations could
result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Partnership’s/Funds’ experience to date (i.e., “risk of ruin”).
In light of the foregoing, as well as the risks and
uncertainties intrinsic to all future projections, the inclusion
of the quantification in this section should not be considered
to constitute any assurance or representation that the
Partnership’s/Funds’ losses in any market sector will be limited to Value at Risk or by the
Partnership’s/Funds’ attempts to manage their
market risk.
Exchange maintenance margin requirements have been used by the
Partnership/Funds as the measure of their Value at Risk.
Maintenance margin requirements are set by exchanges to equal or
exceed the maximum losses reasonably expected to be incurred in
the fair value of any given contract in 95%-99% of any
one-day
interval. Maintenance margin has been used rather than the more
generally available initial margin, because initial margin
includes a credit risk component, which is not relevant to Value
at Risk.
Value at Risk tables represent a probabilistic assessment of
the risk of loss in market risk sensitive instruments. The
Advisors currently trade the Partnership’s assets indirectly in master
fund managed accounts over which they have been granted limited authority
to make trading decisions. Through May 31, 2011.
Willowbridge directly traded managed accounts in the
Partnership’s name. Willowbridge was terminated as an Advisor to
the Partnership effective May 31, 2011.
The first two trading Value at Risk tables reflect
the market sensitive instruments held by the Partnership indirectly, through its
investments in the Funds.
The remaining trading Value at Risk tables reflect the market sensitive instruments held by each Fund separately. 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, 2010.
The
following tables indicate the trading Value
at Risk associated with the Partnership’s
open positions by market category as of September 30, 2011 and December 31, 2010. As of
September 30, 2011, the Partnership’s total capitalization was
$1,303,046,680.
September 30, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
Commodities |
|
$ |
40,643,915 |
|
|
|
3.12 |
% |
Currencies |
|
|
11,316,872 |
|
|
|
0.87 |
% |
Indices |
|
|
6,399,580 |
|
|
|
0.49 |
% |
Interest Rates |
|
|
14,803,842 |
|
|
|
1.13 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
73,164,209 |
|
|
|
5.61 |
% |
|
|
|
|
|
|
|
24
As of December 31, 2010, the
Partnership’s total capitalization was $1,169,565,735.
December 31, 2010
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% of Total |
|
Market Sector |
|
Value at Risk |
|
|
Capitalization |
|
Currencies |
|
$ |
8,784,775 |
|
|
|
0.75
|
% |
Energy |
|
|
20,307,536
|
|
|
|
1.74
|
% |
Grains |
|
|
5,909,516
|
|
|
|
0.50 |
% |
Indices |
|
|
9,896,381
|
|
|
|
0.85 |
% |
Interest Rates U.S. |
|
|
1,998,797
|
|
|
|
0.17 |
% |
Interest Rates Non-U.S. |
|
|
4,235,023
|
|
|
|
0.36 |
% |
Livestock |
|
|
358,716
|
|
|
|
0.03 |
% |
Lumber |
|
|
26,863 |
|
|
|
0.00 |
%* |
Metals |
|
|
21,262,991
|
|
|
|
1.82 |
% |
Softs |
|
|
4,072,438
|
|
|
|
0.35 |
% |
|
|
|
|
|
|
|
Total |
|
$ |
76,853,036 |
|
|
|
6.57 |
% |
|
|
|
|
|
|
|
* Due to
rounding.
The following tables
indicate the trading Value at Risk associated with the
Partnership’s investments in the Funds by market category as of September 30, 2011 and
December 31, 2010, and the highest,
lowest and average values at any point during the three months ended
September 30, 2011 and for the twelve months ended December 31, 2010. All open positions trading risk exposures have
been included in calculating the figures set forth below.
25
As of September 30, 2011, AAA Master’s total capitalization
was $944,594,328. The Partnership owned approximately 40.6% of AAA Master.
As of September 30, 2011, AAA Master’s Value at Risk for its assets (including the
portion of the Partnership’s assets allocated to AAA for trading) was
as follows:
September 30, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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* |
|
Energy |
|
$ |
66,869,289 |
|
|
|
7.08 |
% |
|
$ |
70,499,917 |
|
|
$ |
46,927,837 |
|
|
$ |
65,683,069 |
|
Grains |
|
|
135,214 |
|
|
|
0.01 |
|
|
|
254,707 |
|
|
|
61,250 |
|
|
|
122,947 |
|
Lumber |
|
|
89,500 |
|
|
|
0.01 |
|
|
|
156,000 |
|
|
|
11,000 |
|
|
|
88,333 |
|
Softs |
|
|
634,837 |
|
|
|
0.07 |
|
|
|
1,625,000 |
|
|
|
330,000 |
|
|
|
899,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
67,728,840 |
|
|
|
7.17 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Average of month-end Values at Risk. |
As of December 31, 2010, AAA Master’s
total capitalization was $980,369,638. The Partnership owned
approximately 28.7% of AAA Master.
As of December 31, 2010, AAA Master’s Value at Risk for its assets
(including the portion of the Partnership’s assets allocated to AAA for trading) was as follows:
December 31, 2010
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Twelve months ended December 31, 2010
|
|
|
|
Value at |
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Average |
|
Market Sector |
|
Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
Value at Risk* |
|
Energy |
|
$ |
51,518,525 |
|
|
|
5.26 |
% |
|
$ |
143,609,109 |
|
|
$ |
51,518,525 |
|
|
$ |
94,568,057 |
|
Lumber |
|
|
93,600 |
|
|
|
0.01 |
% |
|
|
126,800 |
|
|
|
22,200 |
|
|
|
57,792 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
51,612,125 |
|
|
|
5.27 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Values at Risk. |
26
As of September 30, 2011, Winton Master’s total
capitalization was $830,016,334. The Partnership owned approximately
66.7% of Winton Master.
As of September 30, 2011, Winton Master’s Value at Risk for its assets (including the
portion of the Partnership’s assets allocated to Winton for trading)
was as follows:
September 30, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
$ |
6,398,762 |
|
|
|
0.77 |
% |
|
$ |
17,770,593 |
|
|
$ |
6,398,762 |
|
|
$ |
12,628,909 |
|
Energy |
|
|
2,254,997 |
|
|
|
0.27 |
% |
|
|
3,682,308 |
|
|
|
1,861,063 |
|
|
|
2,726,371 |
|
Grains |
|
|
760,796 |
|
|
|
0.09 |
% |
|
|
1,916,355 |
|
|
|
540,481 |
|
|
|
1,325,661 |
|
Indices |
|
|
5,146,585 |
|
|
|
0.62 |
% |
|
|
11,849,454 |
|
|
|
5,146,585 |
|
|
|
8,662,893 |
|
Interest Rates U.S. |
|
|
5,172,100 |
|
|
|
0.63 |
% |
|
|
8,420,650 |
|
|
|
5,172,100 |
|
|
|
6,643,483 |
|
Interest Rates Non-U.S. |
|
|
9,204,700 |
|
|
|
1.11 |
% |
|
|
15,134,879 |
|
|
|
9,204,700 |
|
|
|
11,303,280 |
|
Livestock |
|
|
197,650 |
|
|
|
0.03 |
% |
|
|
287,050 |
|
|
|
171,300 |
|
|
|
236,217 |
|
Metals |
|
|
4,588,241 |
|
|
|
0.55 |
% |
|
|
6,271,309 |
|
|
|
3,994,864 |
|
|
|
5,107,472 |
|
Softs |
|
|
1,023,363 |
|
|
|
0.12 |
% |
|
|
2,456,982 |
|
|
|
826,937 |
|
|
|
1,463,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
34,747,194 |
|
|
|
4.19 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Average of month-end Values at Risk. |
As of December 31, 2010, Winton Master’s
Value total capitalization was $883,719,871. The Partnership owned approximately 61.9% of Winton Master.
As of December 31, 2010, Winton’s Master’s Value at Risk for its assets
(including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:
December 31, 2010
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Twelve months ended December 31, 2010
|
|
|
|
Value at |
|
|
% of Total |
|
|
High |
|
|
Low |
|
|
Average Value |
|
Market Sector |
|
Risk |
|
|
Capitalization |
|
|
Value at Risk |
|
|
Value at Risk |
|
|
at Risk* |
|
Currencies |
|
$ |
8,969,665 |
|
|
|
1.01 |
% |
|
$ |
13,529,797 |
|
|
$ |
3,127,432 |
|
|
$ |
9,858,603 |
|
Energy |
|
|
3,277,769 |
|
|
|
0.37 |
% |
|
|
4,944,082 |
|
|
|
236,988 |
|
|
|
2,213,508 |
|
Grains |
|
|
3,992,796 |
|
|
|
0.45 |
% |
|
|
4,064,389 |
|
|
|
556,164 |
|
|
|
2,285,359 |
|
Indices |
|
|
15,987,691 |
|
|
|
1.81 |
% |
|
|
22,020,780 |
|
|
|
2,382,812 |
|
|
|
12,021,182 |
|
Interest Rates U.S. |
|
|
1,387,025 |
|
|
|
0.16 |
% |
|
|
10,348,050 |
|
|
|
275,672 |
|
|
|
5,195,958 |
|
Interest Rates Non-U.S. |
|
|
3,521,207 |
|
|
|
0.40 |
% |
|
|
13,490,861 |
|
|
|
1,949,046 |
|
|
|
7,347,287 |
|
Livestock |
|
|
268,200 |
|
|
|
0.03 |
% |
|
|
437,350 |
|
|
|
158,080 |
|
|
|
263,226 |
|
Metals |
|
|
6,416,979 |
|
|
|
0.73 |
% |
|
|
8,963,451 |
|
|
|
3,939,668 |
|
|
|
5,989,765 |
|
Softs |
|
|
1,393,632 |
|
|
|
0.16 |
% |
|
|
2,071,953 |
|
|
|
538,916 |
|
|
|
1,029,710 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
45,214,964 |
|
|
|
5.12 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Annual average of month-end Value at Risk. |
As of September 30, 2011, Transtrend Master’s total capitalization was $418,937,575. The Partnership owned approximately
91.7% of Transtrend Master. As of September 30, 2011 Transtrend Master’s Value at Risk for its assets (including the portion
of the Partnership’s assets allocated to Transtrend for trading) was as follows:
September 30, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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* |
Commodities |
|
$ |
8,256,922 |
|
|
|
1.97 |
% |
|
$ |
26,711,030 |
|
|
$ |
7,742,656 |
|
|
$ |
16,758,176 |
|
Currencies |
|
|
5,685,937 |
|
|
|
1.36 |
% |
|
|
22,372,356 |
|
|
|
3,660,330 |
|
|
|
13,443,197 |
|
Indices |
|
|
3,235,024 |
|
|
|
0.77 |
% |
|
|
9,307,243 |
|
|
|
1,321,801 |
|
|
|
5,048,513 |
|
Interest Rates |
|
|
7,686,157 |
|
|
|
1.83 |
% |
|
|
10,161,497 |
|
|
|
3,032,740 |
|
|
|
5,588,026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL |
|
$ |
24,864,040 |
|
|
|
5.93 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
Average of month-end Values at Risk. |
27
The Partnership’s disclosure controls and procedures are
designed to ensure that information required to be disclosed
by the Partnership on the reports that it files or submits under the Securities Exchange Act of
1934, as amended (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 Chief Executive Officer (the “CEO”) and Chief Financial
Officer (the “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 CEO 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 September 30, 2011 and, based on
that evaluation, the General Partner’s CEO 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 CEO 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 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 the financial reporting process during the fiscal quarter ended
September 30, 2011 that materially affected, or are reasonably
likely to materially affect, the Partnership’s internal
control over financial reporting.
28
|
|
Item 1.
|
Legal
Proceedings.
|
The following information supplements and amends the discussion set forth under Part I,
Item 3 “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year
ended December 31, 2010, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the
quarters ended March 31, 2011 and June 30, 2011.
Subprime-Mortgage Related Actions
On October 19, 2011, the SEC and Citigroup announced a settlement, subject to judicial approval, in
connection with the SEC’s investigation into the structuring and sale of CDOs. Pursuant to the
proposed settlement, CGM agreed to pay $160 million in disgorgement, $30 million in prejudgment
interest, and a civil penalty of $95 million relating to CGM’s role in the structuring and sale of
the Class V Funding III CDO transaction. Additional information relating to this matter is publicly
available in court filings under the docket number 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.).
29
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, 2010, and under Part II, Item 1A, “Risk
Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2011 and June 30, 2011.
|
|
Item 2.
|
Unregistered
Sales of Equity Securities and Use of Proceeds.
|
For the three months ended September 30, 2011 there were subscriptions of 26,531.9655 Redeemable
Units totaling $72,086,242 and 161.0110 General Partner unit equivalents totaling $450,000.
The
Redeemable Units were issued in reliance upon applicable
exemptions from registration under Section 4(2) of the
Securities Act of 1933, as amended, and Section 506 of
Regulation D promulgated thereunder. These Redeemable Units were purchased by accredited investors as defined in
Regulation D.
Proceeds of net offering were used
in the trading of commodity interests including futures
contracts, options, forwards and swap contracts.
The following chart sets forth the purchases
of Redeemable Units by the Partnership.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(d) Maximum Number
|
|
|
|
|
|
|
|
|
|
|
|
|
(c) Total Number of
|
|
|
|
(or Approximate
|
|
|
|
|
|
|
|
|
Class A
|
|
|
|
Redeemable
|
|
|
|
Dollar Value) of
|
|
|
|
|
Class A
|
|
|
|
(b) Average
|
|
|
|
Units Purchased
|
|
|
|
Redeemable Units
|
|
|
|
|
(a) Total Number of
|
|
|
|
Price Paid per
|
|
|
|
as Part of
|
|
|
|
that May Yet Be
|
|
|
|
|
Redeemable
|
|
|
|
Redeemable
|
|
|
|
Publicly Announced
|
|
|
|
Purchased Under the
|
|
Period
|
|
|
Units Purchased*
|
|
|
|
Unit**
|
|
|
|
Plans or Programs
|
|
|
|
Plans or Programs
|
|
July 1, 2011 –
July 31, 2011
|
|
|
|
5,626.5062 |
|
|
|
$
|
2,799.14 |
|
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
August 1, 2011 –
August 31, 2011 |
|
|
|
7,091.1172 |
|
|
|
$
|
2,783.72 |
|
|
|
|
N/A
|
|
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 1, 2011 –
September 30, 2011
|
|
|
|
2,968.2300 |
|
|
|
$
|
2,761.58 |
|
|
|
|
N/A
|
|
|
|
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N/A
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Total
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15,685.8534 |
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$
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2,785.06 |
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* Generally, Limited Partners are permitted to redeem their
Redeemable Units as of the last day 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
last day of each month at the net asset value per Redeemable
Unit as of that day. No fee will be charged for redemptions.
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Item 3.
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Defaults
Upon Senior Securities. None.
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Item 4.
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[Removed and
Reserved]
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Item 5.
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Other
Information. None.
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30
3.1 |
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Third Amendment and Restated Agreement of Limited Partnership, dated June 1, 2011 (filed as Exhibit 3.1 to the Form 10-Q filed on August 15, 2011) and incorporated herein by reference. |
|
3.2 |
|
Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.1
to current report on Form 8-K/A filed on December 28, 2009) and incorporated herein by reference. |
|
3.3 |
|
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.(I) to
the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference. |
|
(a) |
|
1st Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated April 3, 2001 (filed as Exhibit 3.(I) to the general form for
registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference. |
|
|
(b) |
|
2nd Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated May 21, 2003 (filed as Exhibit 3.2(b) to the Form 10-Q filed on
November 16, 2009) and incorporated herein by reference. |
|
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(c) |
|
3rd Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 21, 2005 (filed as Exhibit 3.2(c) to the Form 10-Q filed on
November 16, 2009) and incorporated herein by reference. |
|
|
(d) |
|
4th Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated August 27, 2008 (filed as Exhibit 99.1 to current report on Form 8-K
filed on September 2, 2008) and incorporated herein by reference. |
|
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(e) |
|
5th Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 19, 2008 (filed as Exhibit 3.2(e) to the Form 10-Q filed on
November 16, 2009) and incorporated herein by reference. |
|
|
(f) |
|
6th Certificate of Amendment to the Certificate of Limited
Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 30, 2009 (filed as Exhibit 99.1(a) to current report on Form
8-K filed on September 30, 2009) and incorporated herein by reference. |
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(g) |
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1st Certificate of Change to 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 Form 10-Q filed on
November 16, 2009) and incorporated herein by reference. |
|
|
(h) |
|
Certificate of Amendment of the Certificate of Limited
Partnership of the Partnership as filed in the office of the Secretary of State of the State of New
York, dated June 29, 2010 (filed as exhibit 3.1(h) to the Form 8-K filed on
July 2, 2010) and incorporated herein by reference. |
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(i) |
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Certificate of Amendment to the Certificate of Limited
Partnership of the Partnership as filed in the office of the Secretary of State of the State of New
York, dated September 2, 2011 (filed as Exhibit 31 to the
Form 8-K filed on
September 7, 2011 and incorporated herein by reference). |
10.1 |
|
Management Agreement among the Partnership, Smith Barney Futures Management
Inc., SFG Global Investments, Inc. and AAA Capital Management Inc. (filed as Exhibit 10
to the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference. |
|
(a) |
|
First Amendment to the Management Agreement among the Partnership,
Smith Barney Futures Management Inc., SFG Global Investments, Inc. and AAA Capital
Management Inc. (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003) and incorporated herein by reference. |
31
|
(b) |
|
Second Amendment to the Management Agreement among Citigroup Managed
Futures LLC and AAA Capital Management Inc. (filed as Exhibit 33 to the quarterly
report on Form 10-Q filed on August 14, 2006) and incorporated herein by reference. |
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(c) |
|
Letter extending the Management Agreements between the General Partner
and AAA Capital Management Inc. from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.1(c) to the annual
report on Form 10-K filed on March 31, 2011) and incorporated herein by reference. |
10.2 |
|
Management Agreement among the Partnership, Smith Barney Futures Management
Inc., SFG Global Investments, Inc. and Willowbridge Associates Inc. (filed as Exhibit
10 to the general form for registration of securities on Form 10 filed on May 1, 2003) and incorporated herein by reference. |
|
(a) |
|
First Amendment to the Management Agreement among the Partnership,
Smith Barney Futures Management Inc., SFG Global Investments, Inc. and Willowbridge
Associates Inc. (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003) and incorporated herein by reference. |
|
|
(b) |
|
Letter extending the Management Agreement between the General Partner
and Willowbridge Associates Inc. from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.2(b) to the annual
report on Form 10-K filed on March 31, 2011) and incorporated herein by reference. |
10.3 |
|
Management Agreement among the Partnership, Citigroup Managed Futures LLC and
Winton Capital Management Limited (filed as Exhibit 10 to the annual report on Form
10-K filed on March 15, 2004) and incorporated herein by reference. |
|
(a) |
|
Letter extending the Management Agreement between the General Partner
and Winton Capital Management Limited from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.3(b) to the
annual report on Form 10-K filed on March 31, 2011) and incorporated herein by reference. |
10.4 |
|
Amended and Restated Customer Agreement between the Partnership and Salomon
Smith Barney Inc. (filed as Exhibit 10 to the general form for registration of
securities on Form 10 filed on May 1, 2003) and incorporated herein by reference. |
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10.5 |
|
Second Amended and Restated Agency Agreement between the Partnership, Ceres
Managed Futures LLC, Morgan Stanley Smith Barney LLC and CGM Inc. (filed as Exhibit
10.5 to the Form 10-Q filed on November 16, 2009) and incorporated herein by reference. |
|
10.6 |
|
Selling Agreement among the Partnership, the General Partner,
CGM and Credit Suisse Securities (USA) LLC (filed herein). |
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10.7 |
|
Form of Subscription Agreement (filed as Exhibit 10.5 to the Form 10-Q filed on
November 16, 2009) and incorporated herein by reference. |
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10.8 |
|
Form of Third-Party Subscription Agreement (filed as Exhibit 10.5 to the Form
10-Q filed on November 16, 2009) and incorporated herein by reference. |
|
10.9 |
|
Joinder Agreement among Citigroup Managed Futures LLC, CGM 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 incorporated herein by reference. |
Exhibit 31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and
Director)
Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial
Officer)
Exhibit 32.1 — Section 1350 Certification (Certification of President and Director)
Exhibit 32.2 — Section 1350 Certification (Certification of Chief Financial Officer)
101.INS XBRL Instance Document.
101.SCH XBRL Taxonomy Extension Schema Document.
101.CAL XBRL Taxonomy Extension Calcutaion Linkbase Document.
101.LAB
XBRL Taxonomy Extension Label Linkbase Document.
101.PRE XBRL Taxonomy Extension Presentation Linkbase Document.
32
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.
ORION FUTURES FUND L.P.
|
|
By: |
Ceres Managed Futures LLC
|
(General Partner)
Walter Davis
President and Director
Brian Centner
Chief Financial Officer
(Principal Accounting Officer)
33