Fair Value Measurements

12 Months Ended

Dec. 31, 2015

7.	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.

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

The Partnerships consider prices for exchange-traded commodity futures, forward, swap and option contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of U.S. Treasury bills, non-exchange-traded forward, swap and certain option contracts for which market quotations are not readily available are priced by broker quotes or pricing services that derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the years ended December 31, 2015 and 2014, the Partnerships did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3). Transfers between levels are recognized at the end of the reporting period. During the years ended December 31, 2015 and 2014, there were no transfers of assets or liabilities between Level 1 and Level 2.

There were no direct investments held by Spectrum Currency and Spectrum Strategic as of December 31, 2015 and 2014. For Spectrum Currency’s investment in Cambridge Master Fund, see Notes 2 and 5 of the attached Cambridge Master Fund’s financial statements for the determination of the fair value of Cambridge Master Fund’s investments and related disclosures, including the fair value hierarchy. The following tables present information about Spectrum Select’s and Spectrum Technical’s assets and liabilities measured at fair value as of December 31, 2015 and 2014:

Spectrum Select


December 31, 2015	Total		Level 1		Level 2		Level 3

Assets
U.S. Treasury Bills	$	55,493,206	$	-	$	55,493,206	$	-
* Futures		3,831,162		3,831,162		-		-
* Forwards		1,168,919		740,942		427,977		-


Total Assets	$	60,493,287	$	4,572,104	$	55,921,183	$	-


Liabilities
* Futures	$	2,431,726	$	2,431,726	$	-	$	-
* Forwards		1,125,088		954,788		170,300		-


Total Liabilities	$	3,556,814	$	3,386,514	$	170,300	$	-


Net fair value	$	56,936,473	$	1,185,590	$	55,750,883	$	-


December 31, 2014	Total		Level 1		Level 2		Level 3

Assets
* Futures	$	7,228,527	$	7,228,527	$	-	$	-
* Forwards		2,346,025		1,699,736		646,289		-


Total Assets	$	9,574,552	$	8,928,263	$	646,289	$	-


Liabilities
* Futures	$	1,519,724	$	1,519,724	$	-	$	-
* Forwards		1,592,346		1,441,911		150,435		-


Total Liabilities	$	3,112,070	$	2,961,635	$	150,435	$	-


Net fair value	$	6,462,482	$	5,966,628	$	495,854	$	-


Spectrum Technical

December 31, 2015	Total		Level 1		Level 2		Level 3

Assets
U.S. Treasury Bills	$	21,747,370	$	-	$	21,747,370	$	-
* Futures		1,246,261		1,246,261		-		-
* Forwards		1,901,957		156,179		1,745,778		-


Total Assets	$	24,895,588	$	1,402,440	$	23,493,148	$	-


Liabilities
* Futures	$	1,548,907	$	1,548,907	$	-	$	-
* Forwards		1,988,889		366,155		1,622,734		-


Total Liabilities	$	3,537,796	$	1,915,062	$	1,622,734	$	-


Net fair value	$	21,357,792	$	(512,622)	$	21,870,414	$	-


December 31, 2014	Total		Level 1		Level 2		Level 3

Assets
* Futures	$	4,533,559	$	4,533,559	$	-	$	-
* Forwards		2,011,895		274,957		1,736,938		-

Total Assets	$	6,545,454	$	4,808,516	$	1,736,938	$	-


Liabilities
* Futures	$	797,767	$	797,767	$	-	$	-
* Forwards		1,677,220		372,992		1,304,228		-


Total Liabilities	$	2,474,987	$	1,170,759	$	1,304,228	$	-


Net fair value	$	4,070,467	$	3,637,757	$	432,710	$	-

*	Included as a component of “Net unrealized gain (loss) on open contracts” in the respective Partnership’s Statements of Financial Condition.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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