Fair Value Measurements and Disclosures

12 Months Ended

Dec. 31, 2013

Fair Value Measurements and Disclosures [Abstract]

Fair Value Measurements and Disclosures

8. Fair Value Measurements and Disclosures

On October 1, 2012, the FASB issued ASU 2012-04, “Technical Corrections and Improvements”, which makes minor technical corrections and clarifications to ASC 820, “Fair Value Measurements and Disclosures”. When the FASB issued Statement 157 (codified in ASC 820), it conformed the use of the term “fair value” in certain pre-Codification standards but not others. ASU 2012-04 conforms the term’s use throughout the ASC “to fully reflect the fair value measurement and disclosure requirements” of ASC 820. The ASU also amends the requirements that must be met for an investment company to qualify for the exemption from presenting a statement of cash flows. Specifically, it eliminates the requirements that substantially all of an entity’s investments be carried at “market value” and that the investments be highly liquid. Instead, it requires substantially all of the entity’s investments to be carried at “fair value” and classified as Level 1 or Level 2 measurements under ASC 820.

Financial instruments are carried at fair value, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Assets and liabilities carried at fair value are classified and disclosed in the following three levels: Level 1 — unadjusted quoted market prices in active markets for identical assets and liabilities; Level 2 — inputs other than unadjusted quoted market prices that are observable for the asset or liability, either directly or indirectly (including unadjusted quoted market prices for similar investments, interest rates and credit risk); and Level 3 — unobservable inputs for the asset or liability (including the Partnerships’ own assumptions used in determining the fair value of investments).

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Partnerships’ assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and consideration of factors specific to the investment.

The Partnerships’ assets and liabilities measured at fair value on a recurring basis are summarized in the following tables by the type of inputs applicable to the fair value measurements.

Spectrum Currency

December 31, 2013	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Investment in Cambridge Master Fund		–		11,299,138		n/a		11,299,138
Investment in KR Master Fund		–		7,290,317		n/a		7,290,317
Total Assets		–		18,589,455		n/a		18,589,455

December 31, 2012	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Investment in KR Master Fund		–		10,109,603		n/a		10,109,603
Investment in Cambridge Master Fund		–		6,920,831		n/a		6,920,831
Forwards		–		105,849		n/a		105,849
Total Assets		–		17,136,283		n/a		17,136,283
Liabilities
Forwards		–		64,477		n/a		64,477
Total Liabilities		–		64,477		n/a		64,477
Unrealized currency gain								1,833
*Net fair value		–		17,071,806		n/a		17,073,639

* This amount comprises of the “Net unrealized gain on open contracts” and “Investment in Cambridge Master Fund and KR Master Fund” on the Statements of Financial Condition.

During the twelve months ended December 31, 2013 and 2012, there were no Level 3 assets and liabilities and there were no transfers of assets or liabilities between Level 1 and Level 2.

Spectrum Global Balanced

December 31, 2013	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Futures		511,577		–		n/a		511,577
Total Assets		511,577		–		n/a		511,577
Liabilities
Futures		200,698		–		n/a		200,698
Options Written		31,915		–				31,915
Total Liabilities		232,613		–		n/a		232,613
Unrealized currency gain								889,621
*Net fair value		278,964		–		n/a		1,168,585

December 31, 2012	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Futures		270,741		–		n/a		270,741
Forwards		–		70,236		n/a		70,236
Total Assets		270,741		70,236		n/a		340,977
Liabilities
Futures		195,393		–		n/a		195,393
Forwards		–		40,258		n/a		40,258
Options Written		22,859		–				22,859
Total Liabilities		218,252		40,258		n/a		258,510
Unrealized currency gain								876,453
*Net fair value		52,489		29,978		n/a		958,920

* This amount comprises of the “Total net unrealized gain on open contracts” and “Options written” on the Statements of Financial Condition.

During the twelve months ended December 31, 2013 and 2012, there were no Level 3 assets and liabilities and there were no transfers of assets or liabilities between Level 1 and Level 2.

Spectrum Select

December 31, 2013	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Futures		9,894,085		–		n/a		9,894,085
Forwards		–		528,063		n/a		528,063
Total Assets		9,894,085		528,063		n/a		10,422,148
Liabilities
Futures		3,011,012		–		n/a		3,011,012
Forwards		–		69,127		n/a		69,127
Total Liabilities		3,011,012		69,127		n/a		3,080,139
Unrealized currency loss								(689,577	)
*Net fair value		6,883,073		458,936		n/a		6,652,432

December 31, 2012	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Futures		7,876,474		–		n/a		7,876,474
Forwards		–		619,732		n/a		619,732
Total Assets		7,876,474		619,732		n/a		8,496,206
Liabilities
Futures		4,169,335		–		n/a		4,169,335
Forwards		–		571,652		n/a		571,652
Total Liabilities		4,169,335		571,652		n/a		4,740,987
Unrealized currency loss								(1,203,865	)
*Net fair value		3,707,139		48,080		n/a		2,551,354

* This amount comprises of the “Total net unrealized gain on open contracts” on the Statements of Financial Condition.

During the twelve months ended December 31, 2013 and 2012, there were no Level 3 assets and liabilities and there were no transfers of assets or liabilities between Level 1 and Level 2.

Spectrum Strategic

December 31, 2013	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Investment in BHM I, LLC		–		46,985,018		n/a		46,985,018
Investment in PGR Master Fund		–		3,327,454		n/a		3,327,454
Investment in MB Master Fund		–		4,183,031		n/a		4,183,031
Total Assets		–		54,495,503		n/a		54,495,503

December 31, 2012	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Investment in BHM I, LLC		–		63,045,391		n/a		63,045,391
Investment in PGR Master Fund		–		5,021,111		n/a		5,021,111
Investment in MB Master Fund		–		8,142,971		n/a		8,142,971
Total Assets		–		76,209,473		n/a		76,209,473

During the twelve months ended December 31, 2013 and 2012, there were no Level 3 assets and liabilities and there were no transfers of assets or liabilities between Level 1 and Level 2.

Spectrum Technical

December 31, 2013	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Unobservable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Investment in Blackwater Master Fund		–		33,548,272		n/a		33,548,272
Futures		5,404,721		–		n/a		5,404,721
Forwards		–		728,738		n/a		728,738
Total Assets		5,404,721		34,277,010		n/a		39,681,731
Liabilities
Futures		1,139,524		–		n/a		1,139,524
Forwards		–		320,514		n/a		320,514
Total Liabilities		1,139,524		320,514		n/a		1,460,038
Unrealized currency loss								(3,447,831	)
*Net fair value		4,265,197		33,956,496		n/a		34,773,862

December 31, 2012	Unadjusted Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Unobservable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
	$		$		$		$
Assets
Investment in Blackwater Master Fund		–		43,685,685		n/a		43,685,685
Futures		4,081,355		–		n/a		4,081,355
Forwards		–		1,275,053		n/a		1,275,053
Total Assets		4,081,355		44,960,738		n/a		49,042,093
Liabilities
Futures		2,249,281		–		n/a		2,249,281
Forwards		–		665,520		n/a		665,520
Total Liabilities		2,249,281		665,520		n/a		2,914,801
Unrealized currency loss								(3,483,151	)
*Net fair value		1,832,074		44,295,218		n/a		42,644,141

* This amount comprises of the “Total net unrealized gain on open contracts” and “Investment in Blackwater Master Fund” on the Statements of Financial Condition.

During the twelve months ended December 31, 2013 and 2012, there were no Level 3 assets and liabilities and there were no transfers of assets or liabilities between Level 1 and Level 2.