EDGAR 10-K Filing

Company CIK: 1227265
Filing Year: 2024
Filename: 1227265_10-K_2024_0001193125-24-074726.json

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ITEM 1. BUSINESS
Item 1. Business.
(a) General development of business. Ceres Orion 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, option, swap and forward contracts. The sectors traded include currencies, energy, grains, livestock, indices, United States (“U.S.”) and non-U.S. interest rates, softs and metals. The commodity interests that are traded by the Partnership, directly and indirectly through its investment in the Funds (as defined below), are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers 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. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets (directly or indirectly through its investment in the Funds) in U.S. Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates.
During the initial offering period (March 31, 1999 through June 10, 1999) the Partnership sold 10,499 Redeemable Units at $1,000 per Redeemable Unit. The Partnership commenced trading activities on June 10, 1999.
Subscriptions and redemptions of Redeemable Units and General Partner contributions and redemptions for the years ended December 31, 2023, 2022 and 2021 are reported in the Statements of Changes in Partners’ Capital under “Item 8. Consolidated Financial Statements and Supplementary Data.”
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership and is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below), NL Master (as defined below) and Drakewood Master (as defined below). The General Partner is a wholly-owned subsidiary of Morgan Stanley Capital Management LLC (“MSCM”). MSCM is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses.
As of December 31, 2023, all trading decisions were made for the Partnership by Transtrend B.V. (“Transtrend”), John Street Capital Limited (“JSCL”), Northlander Commodity Advisors LLP (“Northlander”), Quantica Capital AG (“Quantica”), Breakout Funds LLC (“Breakout”) and Drakewood Capital Management Limited (“Drakewood”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. Effective October 31, 2022, Pan Capital Management L.P. (“Pan”) ceased to act as a commodity trading advisor to the Partnership. Effective January 31, 2022, Greenwave Capital Management LLC (“Greenwave”) ceased to act as a commodity trading advisor to the Partnership. On October 31, 2021, the Partnership fully redeemed its investment in CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”). Also effective October 31, 2021, FORT L.P. (“FORT”) ceased to act as a commodity trading advisor to the Partnership. References herein to the “Advisors” may include, as relevant, FORT, Greenwave and Pan. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors either directly, through a managed account in the Partnership’s name, or indirectly, through its investment in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional non-major trading advisors (i.e., commodity trading advisors intended to be allocated less than 10% of the Partnership’s assets). Information about advisors allocated less than 10% of the Partnership’s assets may not be disclosed.
Effective July 1, 2021, Breakout directly trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Breakout’s Propeller Program. The General Partner and Breakout have agreed that Breakout will trade the Partnership’s assets allocated to Breakout at 1.5 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future, subject to certain restrictions.
Effective October 1, 2020, Quantica directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Quantica Managed Futures Program. As of December 31, 2021, the General Partner and Quantica had agreed that Quantica would trade the Partnership’s assets allocated to Quantica at 1.25 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future.
JSCL directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Systematic Strategy Program. The General Partner and JSCL have agreed that JSCL will trade the Partnership’s assets allocated to it at a level that is up to 2 times the amount of assets allocated to it; provided that if the assets allocated to JSCL are $80 million or less, JSCL will trade the Partnership’s assets allocated to it at the level that is up to 1.5 times the amount of assets allocated to it. The amount of leverage may be increased or decreased in the future.
Prior to its termination effective January 31, 2022, Greenwave directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Greenwave’s Flagship Plus 2X Program. The General Partner and Greenwave had agreed that Greenwave would trade the Partnership’s assets allocated to Greenwave at a level that was up to 2 times the amount of the assets allocated.
Prior to its termination effective October 31, 2022, Pan directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Pan’s Energy Trading Program.
On June 1, 2011, the Partnership began offering “Class A” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to June 1, 2011 were deemed Class A Redeemable Units. The rights, powers, duties and obligations associated with investment in Class A Redeemable Units were not changed. Class A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions and non-U.S. investors. Class Z Redeemable Units were first issued on August 1, 2011. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) and certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class A Redeemable Units and Class Z Redeemable Units 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 status of the limited partner, although the General Partner may determine to offer a particular Class of Redeemable Units to investors at its discretion.
During the years ended December 31, 2023, 2022 and 2021, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward contract counterparty for certain Funds.
The Partnership and CMF TT II, LLC (“Transtrend Master”) have entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. CMF NL Master Fund LLC (“NL Master”) and CMF Drakewood Master Fund LLC (“Drakewood Master”) have, and prior to its full redemption, FORT Contrarian Master had, entered into futures brokerage account agreements with MS&Co. Transtrend Master, NL Master and Drakewood Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, FORT Contrarian Master.
Transtrend Master entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of the referenced Funds and indirectly, the Partnership. These agreements include a foreign exchange and bullion authorization agreement (“FX Agreement”), an International Swap Dealers Association, Inc. master agreement (“Master Agreement”), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. Under each FX Agreement, JPMorgan charges a fee on the aggregate foreign currency transactions entered into on behalf of the respective Fund during a month.
The Partnership, directly and indirectly through its investment in the Funds, pays MS&Co. trading fees for the clearing, and where applicable, the execution of transactions.
The Partnership will be liquidated upon the first to occur of the following: December 31, 2055; the net asset value per Redeemable Unit of any Class decreases to less than $400 as of the close of any business day; or under certain other circumstances as set forth in the limited partnership agreement of the Partnership, as may be amended from time to time (the “Limited Partnership Agreement”). In addition, the General Partner may, in its sole discretion, cause the Partnership to dissolve if the aggregate net assets of the Partnership decline to less than $1,000,000.
On June 1, 2011, the Partnership allocated a portion of its assets to Transtrend Master, a limited liability company organized under the limited liability company laws of the State of Delaware. Transtrend Master permits accounts managed by Transtrend using the Diversified Trend Program-Enhanced Risk Profile (US Dollar), a proprietary, systematic trading system, to invest together in one trading vehicle. Transtrend generally trades its Enhanced Risk Profile (US Dollar) using 1.5 times the leverage employed by the Standard Risk Profile. The General Partner is also the Trading Manager of Transtrend Master. Individual and pooled accounts managed by Transtrend, including the Partnership, are permitted to be members of Transtrend Master. The Trading Manager and Transtrend believe that trading through this structure promotes efficiency and economy in the trading process.
On April 1, 2019, the assets allocated to Northlander for trading were invested in NL Master, a limited liability company organized under the limited liability company laws of the State of Delaware. NL Master permits accounts managed by Northlander using the Northlander Commodity Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of NL Master. Individual and pooled accounts currently managed by Northlander, including the Partnership, are permitted to be members of NL Master. The Trading Manager and Northlander believe that trading through this structure promotes efficiency and economy in the trading process.
On May 1, 2022, the Partnership allocated a portion of its assets to Drakewood Master, a limited liability company organized under the limited liability company laws of the State of Delaware. Drakewood Master permits accounts managed by Drakewood using the Drakewood Prospect Fund Strategy, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of Drakewood Master. Individual and pooled accounts managed by Drakewood, including the Partnership, are permitted to be members of Drakewood Master. The Trading Manager and Drakewood believe that trading through this structure promotes efficiency and economy in the trading process.
On February 1, 2018, the assets allocated to FORT for trading were invested in FORT Contrarian Master, a limited liability company organized under the limited liability company laws of the State of Delaware. The Partnership fully redeemed its investment in FORT Contrarian Master on October 31, 2021.
The General Partner is not aware of any material changes to any of the trading programs discussed above during the year ended December 31, 2023.
The Funds’ and the Partnership’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with MS&Co.
Generally, a limited partner/member in the Funds withdraws all or part of its capital contribution and undistributed profits, if any, from the Funds as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner/Trading Manager at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner/member elects to redeem and informs the Funds. However, a limited partner/member may request a withdrawal as of the end of any day if such request is received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day.
Management fees, ongoing selling agent fees, the General Partner fee and incentive fees are charged at the Partnership level, except for management and incentive fees payable to Transtrend, which are charged at the Transtrend Master level. Clearing fees are borne by the Funds and allocated to the Funds’ limited partners/members, including the Partnership. Clearing fees are also borne by the Partnership directly. Professional fees are borne by the Funds and allocated to the Partnership and are also charged directly at the Partnership level.
The General Partner fee, management fees, incentive fees and professional fees of the Partnership are allocated proportionally to each Class based on the net asset value of the Class.
For the period January 1, 2023 through December 31, 2023, the approximate average market sector distribution for the Partnership was as follows:
At December 31, 2023, the Partnership owned 100.0% of Transtrend Master, approximately 71.7% of NL Master and approximately 64.5% of Drakewood Master. At December 31, 2022, the Partnership owned 100.0% of Transtrend Master, approximately 71.4% of NL Master and approximately 68.2% of Drakewood 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 limited partners as a result of investment in the Funds are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected.
The General Partner administers the business and affairs of the Partnership, including selecting one or more advisors to make trading decisions for the Partnership. The Partnership pays the General Partner a monthly fee (the “General Partner fee”) equal to 1/12 of 0.75% (0.75% per year) of month-end net assets. Month-end net assets, for the purpose of calculating the General Partner fee, are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current month’s incentive fee accruals, the monthly management fees, the General Partner fee and any redemptions or distributions as of the end of such month.
The General Partner, on behalf of the Partnership, has entered into management agreements (each, a “Management Agreement”) with the Advisors. The Advisors are not affiliated with one another, the General Partner or MS&Co., and are not responsible for the organization or operation of the Partnership.
Effective May 1, 2022, Drakewood receives a monthly management fee equal to 1.5% per year of the month-end net assets allocated to Drakewood. Effective July 1, 2021, Breakout receives a monthly management fee equal to 1% per year of month-end net assets allocated to Breakout. Effective October 1, 2020, Quantica receives a monthly management fee equal to 0.60% per year of month-end net assets allocated to Quantica. To the extent that the month-end net assets allocated to Quantica are less than $50 million, Quantica will receive a management fee equal to 0.75% per year of month-end net assets allocated to Quantica. Effective April 1, 2019, Northlander receives a monthly management fee equal to 1.25% per year of month-end net assets allocated to Northlander. Effective February 1, 2019, JSCL receives a monthly management fee of 1.35% per year of month-end net assets allocated to JSCL. To the extent that the month-end net assets allocated to JSCL are less than $80 million, JSCL will receive a monthly management fee equal to 1.5% per year of month-end net assets allocated to JSCL. From February 1, 2020 until its termination on October 31, 2022, Pan received a monthly management fee equal to 1.25% per year of month-end net assets allocated to Pan. Prior to its termination on January 31, 2022, Greenwave received a monthly management fee equal to 0.75% per year of month-end net assets allocated to Greenwave. From February 1, 2018 until its termination on October 31, 2021, FORT received a monthly management fee equal to 1.15% per year of month-end net assets allocated to FORT. Month-end net assets, for the purpose of calculating management fees, are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current month’s incentive fee accruals, the monthly management fees, the General Partner fee and any redemptions or distributions as of the end of such month.
Transtrend Master pays Transtrend a monthly management fee of 0.85% per year on the aggregate net assets of Transtrend Master as of the first day of each month. The management fee paid by Transtrend Master is allocated to the Partnership based on its proportionate ownership interest of Transtrend Master.
In addition, as of December 31, 2022, the Partnership is obligated to pay Breakout an incentive fee, payable quarterly, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned by Breakout, respectively, for the Partnership during
each calendar quarter. The Partnership is obligated to pay Quantica, Northlander and Drakewood an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned by Quantica, Northlander and Drakewood, respectively, for the Partnership during each calendar year. The Partnership is obligated to pay JSCL an incentive fee, payable quarterly, equal to 22.5% of the New Trading Profits, as defined in its Management Agreement, earned by JSCL for the Partnership during each calendar quarter. To the extent that the month-end net assets allocated to JSCL are less than $80 million, the Partnership will be obligated to pay JSCL an incentive fee, payable quarterly, equal to 20% of the New Trading Profits, as defined in the Management Agreement, earned by JSCL for the Partnership during each calendar quarter. Prior to their respective terminations effective October 31, 2022 and January 31, 2022, Pan and Greenwave were each eligible to receive an incentive fee, payable quarterly, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned by Pan and Greenwave, for the Partnership during each calendar quarter. Prior to its termination effective October 31, 2021, FORT was eligible to receive an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in its Management Agreement, earned by FORT for the Partnership. Effective January 1, 2021, Transtrend is eligible to receive an incentive fee equal to 16% of the New Trading Profits, as defined in its Management Agreement, earned by Transtrend Master and payable at the end of each calendar half year. Only the incentive fees paid by Transtrend Master for New Trading Profits, as defined in its Management Agreement, earned for the Partnership are allocated to the Partnership. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.
Each Management Agreement may be terminated upon notice by either party.
In allocating the assets of the Partnership among the Advisors, the General Partner considers, among other factors, each Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisors and may allocate the assets to additional advisors at any time.
The Partnership has entered into a futures brokerage account agreement with MS&Co. (the “Partnership Customer Agreement”). Under the Partnership Customer Agreement and the foreign exchange brokerage account agreement, the Partnership pays MS&Co. (or will reimburse MS&Co. if previously paid) its allocable share of trading fees for the clearing and, where applicable, the execution of transactions, as well as its allocable share of exchange, user, give-up and National Futures Association (“NFA”) fees (collectively, “clearing fees”) directly and indirectly through its investment in the Funds. Clearing fees are allocated to the Partnership based on its proportionate ownership interest of each Fund. The Partnership’s assets available for trading in commodity interests not held in the Funds’ brokerage accounts at MS&Co. and JPMorgan are deposited in the Partnership’s brokerage account at MS&Co. The Partnership’s cash deposited with MS&Co. is held in segregated bank accounts to the extent required by Commodity Futures Trading Commission (“CFTC”) regulations. The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At December 31, 2023 and 2022, the amount of cash held by the Partnership for margin requirements was $64,815,574 and $37,622,333, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. MS&Co. has agreed to pay the Partnership interest on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Funds’, except for Transtrend Master’s) brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. has agreed to pay Transtrend Master interest on 100% of the average daily equity maintained in cash in Transtrend Master’s brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero. When the effective rate is less than zero, no interest is earned. For purposes of these interest credits, daily funds do not include monies due to Transtrend Master on or with respect to futures, forward, or option contracts that have not been received. The Partnership Customer Agreement may generally be terminated upon notice by either party.
The Partnership has entered into a selling agent agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee at a flat annual rate equal to 0.75% per year of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 0.75% and dividing the result thereof by 12). Class Z Redeemable Units are not subject to an ongoing selling agent fee. The Partnership may pay an ongoing selling agent fee to other properly licensed and/or registered selling agents who sell Class A Redeemable Units, and such additional selling agents may share all or a substantial portion of such fees with their properly registered or exempted financial advisors who have sold Class A Redeemable Units.
As of November 1, 2018, the Partnership entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. (“MSDI”), and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a non-exclusive selling agent and sub-selling agent, respectively, of the Partnership for the purpose of finding eligible investors for Redeemable Units through offerings that are exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”), pursuant to Section 4(a)(2) thereof and Rule 506 of Regulation D promulgated thereunder and for Harbor to serve as an investment advisor to its customers investing in one or more of the partnerships party to the Harbor Selling Agreement; provided, that, included within such appointment, Harbor will provide certain services to
certain holders of Redeemable Units of the Partnership, who had acquired such Redeemable Units prior to such holders becoming clients of Harbor. The Harbor Selling Agreement continues in effect until September 30, 2024 unless terminated in certain circumstances as set forth in the Harbor Selling Agreement, including by any party on thirty days’ prior written notice, after which the General Partner or the Partnership may, in its sole discretion, renew the Harbor Selling Agreement for additional one-year periods. Pursuant to the Harbor Selling Agreement, the Partnership pays Harbor a monthly ongoing selling agent fee at a flat annual rate equal to 0.75% per year of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 0.75% and dividing the result thereof by 12).
The General Partner has delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.
(b) Financial Information about Segments. The Partnership’s business consists of only one segment, speculative trading of commodity interests. The Partnership does not engage in sales of goods or services. The Partnership’s capital as of December 31, 2023 was $329,200,714.
(c) Narrative Description of Business. See Paragraphs (a) and (b) above.
(i) through (xii) - Not applicable.
(xiii) - The Partnership has no employees.
(d) Financial Information About Geographic Areas. The Partnership does not engage in sales of goods or services or own any long-lived assets, and therefore this item is not applicable.
(e) Available Information. The Partnership does not have an Internet address. The Partnership will provide paper copies of its Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and any amendments to these reports free of charge upon request.
(f) Reports to Security Holders. Not applicable.
(g) Enforceability of Civil Liabilities Against Foreign Persons. Not applicable.
(h) Smaller Reporting Companies. Not applicable.

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ITEM 1A. RISK FACTORS
Item 1A. Risk Factors.
Risks Relating to our Business
As a result of leverage, small changes in the price of the Partnership’s positions may result in major losses.
The trading of commodity interests is speculative, volatile and involves a high degree of leverage. A small change in the market price of a commodity interest contract can produce major losses for the Partnership. Market prices can be influenced by, among other things, changing supply and demand relationships, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events, weather and climate conditions, insects and plant disease, purchases and sales by foreign countries, changing interest rates, pandemics, epidemics and other public health crises.
An investor may lose all of their investment.
Due to the speculative nature of trading commodity interests, an investor could lose all of their investment in the Partnership.
The Partnership will pay substantial fees and expenses regardless of profitability.
Regardless of its trading performance, the Partnership will incur fees and expenses, including, but not limited to, ongoing selling agent fees, clearing fees, management fees, and the General Partner fee. Substantial incentive fees may be paid to one or more of the Advisors even if the Partnership experiences a net loss for the full year.
An investor’s ability to redeem or transfer Redeemable Units is limited.
An investor’s ability to redeem Redeemable Units is limited and no market exists for the Redeemable Units.
Conflicts of interest exist.
The Partnership is subject to numerous conflicts of interest including those that arise from the fact that:
1. The General Partner and the Partnership’s/Funds’ commodity broker are affiliates;
2. Each of the Advisors, the Partnership’s/Funds’ commodity broker, the General Partner, and their respective principals and affiliates may trade in commodity interests for their own accounts;
3. An investor’s financial advisor will receive ongoing compensation for providing services to the investor’s account with respect to Class A Redeemable Units; and
4. The General Partner, on behalf of the Partnership, may purchase shares from money market mutual funds affiliated and/or unaffiliated with the General Partner.
Investing in Redeemable Units may not provide the desired diversification of an investor’s overall portfolio.
One of the Partnership’s objectives is to add an element of diversification to a traditional stock and bond portfolio, but any benefit of portfolio diversification is dependent upon the Partnership/Funds achieving positive returns and such returns being independent of stock and bond market returns.
Past performance is no assurance of future results.
The Advisors’ trading strategies may not perform as they have performed in the past, and past performance does not necessarily predict future returns. The Advisors have from time to time incurred substantial losses in trading on behalf of clients.
An investor’s tax liability may exceed cash distributions.
Investors are taxed on their share of the Partnership’s income, even though the Partnership does not intend to make any distributions.
The General Partner may allocate the Partnership’s assets to undisclosed advisors.
The General Partner at any time may select and allocate the Partnership’s assets to undisclosed advisors. Investors may not be advised of such changes in advance, or at all. Investors must rely on the ability of the General Partner to select commodity trading advisors and allocate assets among them.
Regulatory changes could restrict the Partnership’s operations and increase its operational costs.
Regulatory changes could adversely affect the Partnership by restricting its markets or activities, limiting its trading and/or increasing the costs or taxes to which investors are subject. Pursuant to the mandate of the Dodd-Frank Wall Street Reform and Consumer Protection Act, signed into law on July 21, 2010, the CFTC and the Securities and Exchange Commission (the “SEC”) have promulgated rules to regulate trading in swaps and swap dealers and to mandate additional reporting and disclosure requirements and continue to promulgate rules regarding capital and margin requirements, to require that certain swaps be traded on an exchange or a swap execution facility, and to require that derivatives (such as those traded by the Partnership) be moved into central clearinghouses. The CFTC and the prudential regulators that oversee swap dealers have adopted rules regarding margin requirements for certain derivatives. In addition, the CFTC and such prudential regulators have adopted rules regarding capital requirements for swap dealers. These rules may negatively impact the manner in which swap contracts are traded and/or settled, increase the cost of such trading, and limit trading by speculators (such as the Partnership) in futures and over-the-counter (“OTC”) markets.
Speculative position and trading limits may reduce profitability.
The CFTC and U.S. exchanges have established speculative position limits on the maximum net long or net short positions which any person or a group of persons may hold or control in particular futures and options on futures. In January 2021, the CFTC finalized new rules that impose position limits on certain futures and option contracts and physical commodity swaps that are “economically equivalent” to such contracts. In addition to speculative position limits, most commodity exchanges also limit fluctuations in futures contract prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Such regulations could have an adverse effect on an Advisor’s trading for the Partnership/Funds. The trading instructions of an Advisor may have to be modified, and positions held by the Partnership/Funds may have to be liquidated, in order to avoid exceeding these limits. Such modification or liquidation could adversely affect the operations and profitability of the Partnership/Funds by increasing transaction costs to liquidate positions and limiting potential profits on liquidated positions.
The General Partner, the Partnership or the Funds and their respective service providers (including the Advisors) and operations are potentially vulnerable to cyber-security attacks or incidents.
Like other business enterprises, the use of the internet and other electronic media and technology exposes the General Partner, the Partnership, the Funds and their respective service providers and operations, to potential risks from cyber-security attacks or incidents (collectively, “cyber events”). Cyber events may include, for example, unauthorized access to systems, networks or devices, infection from computer viruses or other malicious software code, mishandling or misuse of information and attacks which shut down, disable, slow or otherwise disrupt operations, business processes or website access or functionality. In addition to intentional cyber events, unintentional cyber events can occur. Unintentional cyber events may include, for example, the inadvertent release of confidential information, the mishandling or misuse of information and/or technological limitations or hardware failures (in the markets or otherwise) that constrain the Partnership’s and/or the Funds’ ability to gather, process and communicate information efficiently and securely, without interruption.
Any cyber event could adversely affect the Partnership’s and/or the Funds’ business, financial condition or results of operations and cause the Partnership and/or the Funds to incur financial loss and expense, as well as face exposure to regulatory penalties or legal claims, reputational damage and additional costs associated with corrective measures. A cyber-security breach could also jeopardize a limited partner’s personal, confidential, proprietary or other information processed and stored in, and transmitted through, the General Partner’s or a service provider’s computer systems. A cyber event may cause the Partnership, the Funds or their respective service providers to lose proprietary information, suffer data corruption, lose operational capacity (such as, for example, the loss of the ability to process transactions, calculate the Partnership’s net asset value, or allow investors to transact business) and/or fail to comply with applicable privacy and other laws. Among other potentially harmful effects, cyber events also may result in theft, unauthorized monitoring and failures in the physical infrastructure or operating systems that support the Partnership, the Funds or their respective service providers.
The nature of malicious cyber-attacks is becoming increasingly sophisticated and none of the General Partner, the Partnership nor the Funds can control whether a cyber event will adversely affect the cyber systems of the Advisors or other third-party service providers.
Tax Laws are subject to change at any time.
Tax laws and court and Internal Revenue Service (“IRS”) interpretations thereof are subject to change at any time, possibly with retroactive effect.
Prospective investors are urged to consult with their tax advisors with respect to regulatory or administrative developments and proposals, and their potential effects on them based on their unique circumstances.
The continuing spread of a new strain of coronavirus, which causes the viral disease known as COVID-19, may adversely affect our investments and operations.
Beginning in February 2022, the United States, the United Kingdom, the European Union, and a number of other nations imposed sanctions against Russia in response to Russia’s invasion of Ukraine, and these and other governments around the world may impose additional sanctions in the future as the conflict develops. In addition, on October 7, 2023, Hamas militants and members of other terrorist organizations infiltrated Israel’s southern border from the Gaza Strip and conducted a series of terror attacks on civilian and military targets. Shortly following the attack, Israel’s security cabinet declared war against Hamas. These conflicts and subsequent sanctions have created volatility in the price of various commodities and may lead to a deterioration in the political and trade relationships that exist between the countries involved and have a negative impact on business activity globally, and therefore could affect the performance of the Partnership’s/Funds’ investments. Furthermore, uncertainties regarding these conflicts and the varying involvement of the United States and other countries preclude prediction as to the ultimate impact on global economic and market conditions, and, as a result, presents material uncertainty and risk with respect to the Partnership/Funds and the performance of its investments or operations, and the ability of the Partnership/Funds to achieve its investment objectives. Additionally, to the extent that investors, service providers and/or other third parties have material operations or assets in Russia, Belarus, Ukraine or Israel, they may have their operations disrupted and/or suffer adverse consequences related to the ongoing conflicts.

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ITEM 1B. UNRESOLVED STAFF COMMENTS

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ITEM 2. PROPERTIES
Item 2. Properties.
The Partnership does not own or lease any properties. The General Partner operates from facilities provided by Morgan Stanley and/or one of its subsidiaries.

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ITEM 3. LEGAL PROCEEDINGS
Item 3. Legal Proceedings.
This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which Morgan Stanley & Co. LLC or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.
On June 1, 2011, Morgan Stanley & Co. Incorporated converted from a Delaware corporation to a Delaware limited liability company. As a result of that conversion, Morgan Stanley & Co. Incorporated is now named Morgan Stanley & Co. LLC (“MS&Co.” or “the Company”).
The Company is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Securities Exchange Act of 1934, as amended (the “Exchange Act”) which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including the Company. As a consolidated subsidiary of Morgan Stanley, the Company does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, we refer you to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2023, 2022, 2021, 2020, and 2019. In addition, the Company annually prepares an Audited, Consolidated Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at www.morganstanley.com. We refer you to the Commitments, Guarantees and Contingencies - Legal section of the Company’s 2023 Audited Financial Statement.
In addition to the matters described in those filings, in the normal course of business, each of Morgan Stanley and the Company has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions, and other litigation, arising in connection with its activities as a global diversified financial services institution. Certain of the actual or threatened legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages. In some cases, the third-party entities that are, or would otherwise be, the primary defendants in such cases are bankrupt, in financial distress, or may not honor applicable indemnification obligations. These actions have included, but are not limited to, antitrust claims, claims under various false claims act statutes, and matters arising from our sales and trading businesses and our activities in the capital markets.
Each of Morgan Stanley and the Company is also involved, from time to time, in other reviews, investigations and proceedings (both formal and informal) by governmental and self-regulatory agencies regarding the Company’s business and involving, among other matters, sales, trading, financing, prime brokerage, market-making activities, investment banking advisory services, capital market activities, financial products or offerings sponsored, underwritten, or sold by the Company, wealth and investment management services, and accounting and operational matters, certain of which may result in adverse judgments, settlements, fines, penalties, disgorgement, restitution, forfeiture, injunctions, limitations on our ability to conduct certain business, or other relief.
The Company is a Delaware limited liability company with its main business office located at 1585 Broadway, New York, New York 10036. Among other registrations and memberships, the Company is registered as a futures commission merchant and is a member of the National Futures Association.
During the preceding five years, the following administrative, civil, or criminal actions pending, on appeal or concluded against the Company or any of its principals are material within the meaning of CFTC Rule 4.24(l)(2) or 4.34(k)(2):
Regulatory and Governmental Matters
On January 12, 2024, the U.S. Attorney’s Office for the Southern District of New York (“USAO”) and the SEC announced they had reached settlement agreements with the Company in connection with their investigations into the Company’s blocks business. Specifically, the Company entered into a three-year non-prosecution agreement (“NPA”) with the USAO that included the payment of forfeiture, restitution, and a criminal fine for making false statements in connection with the sale of certain block trades from 2018 through August 2021. The NPA required the Company to admit responsibility for certain acts of its employees and to continue to cooperate with and provide certain information to the USAO for the term of the agreement. Additionally, the SEC charged the Company with violations of Section 10(b) of the Exchange Act and Rule 10b-5(b) thereunder for the disclosure of confidential information about block trades and also violations of Section 15(g) of the Exchange Act for the failure to enforce its policies concerning the misuse of material non-public information related to block trades. As part of the SEC agreement, the Company paid disgorgement and a civil penalty. After the agreed-upon credits were applied, the Company paid a total amount of approximately $249 million under both settlements. The Company also faces potential civil liability arising from claims that have been or may be asserted by, among others, block transaction participants who contend they were harmed or disadvantaged including, among other things, as a result of a share price decline allegedly caused by the activities of the Company and/or its employees, or as a result of the Company’s and/or its employees’ failure to adhere to applicable laws and regulations. In addition, the Company has responded to demands from shareholders under Section 220 of the Delaware General Corporation Law for books and records concerning the investigations.
On September 30, 2020, the SEC entered into a settlement order with the Company settling an administrative action which relates to the Company’s violations of the order marking requirements of Regulation SHO of the Exchange Act resulting from its improper use of aggregation units in structuring the Firm’s equity swaps business. The order found that the Company improperly operated its equity swaps business without netting certain “long” and “short” positions as required by Rule 200(c) of Regulation SHO. The order found that the long exposure to an equity security (the “Long Unit”) and the short exposure to an equity security (the “Short Unit”) were not independent from one another and did not have separate trading strategies or objectives without regard to each other, and that the Long and Short Units were not eligible for the exception in Rule 200(f) of Regulation SHO. The order found that the Company willfully violated Section 200(g) of Regulation SHO. The Company consented, without admitting or denying the findings and without adjudication of any issue of law or fact, to a censure; to cease and desist from committing or causing future violations; to pay a civil penalty of $5 million; and to comply with the undertaking enumerated in the order.
The Firm has reached agreements in principle with two regulatory agencies-the SEC for $125 million and the CFTC for $75 million- to resolve record-keeping related investigations by those agencies relating to business communications on messaging platforms that had not been approved by the Firm. The Company was one of the entities involved in these investigations, and has recognized a provision of $63 million in anticipation of concluding the settlement with the SEC. On September 27, 2022, the Firm’s settlements with the SEC and the CFTC became effective.
Civil Litigation
On August 18, 2009, Relators Roger Hayes and C. Talbot Heppenstall, Jr., filed a qui tam action in New Jersey state court styled State of New Jersey ex. rel. Hayes v. Bank of America Corp., et al. The complaint, filed under seal pursuant to the New Jersey False Claims Act, alleged that the Company and several other underwriters of municipal bonds had defrauded New Jersey issuers by misrepresenting that they would achieve the best price or lowest cost of capital in connection with certain municipal bond issuances. On March 17, 2016, the court entered an order unsealing the complaint. On November 17, 2017, Relators filed an amended complaint to allege the Company mispriced certain bonds issued in twenty-three bond offerings between 2008 and 2017, having a total par amount of $6,900 million. The complaint seeks, among other relief, treble damages. On February 22, 2018, the Company moved to dismiss the amended complaint, and on July 17, 2018, the court denied the Company’s motion. On October 13, 2021, following a series of voluntary and involuntary dismissals, Relators limited their claims to certain bonds issued in five offerings the Company underwrote between 2008 and 2011, having a total par amount of $3,900 million. On August 22, 2023, the Firm reached an agreement in principle to settle the litigation.
On May 17, 2013, plaintiff in IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al. filed a complaint against the Company and certain affiliates in the Supreme Court of the State of New York, New York County (“Supreme Court of NY”). The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by the Company to plaintiff was approximately $133 million. The complaint alleges causes of action against the Company for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, among other things, compensatory and punitive damages. On October 29, 2014, the court granted in part and denied in part the Company’s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by the Company or sold to plaintiff by the Company was approximately $116 million. On August 11, 2016, the Appellate Division, First Department (“First Department”) affirmed the trial court’s decision denying in part the Company’s motion to dismiss the complaint. On July 15, 2022, the Company filed a motion for summary judgment. On March 1, 2023, the court granted in part and denied in part the Company’s motion for summary judgment, narrowing the alleged misrepresentations at issue in the case. On March 14, 2023, the Company filed its notice of appeal, and on March 21, 2023, plaintiffs filed their notice of cross appeal. As of December 25, 2019, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $22 million, and the certificates had incurred actual losses of $58 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $22 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, or upon sale, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
Beginning in February of 2016, the Company was named as a defendant in multiple purported antitrust actions now consolidated into a single proceeding in the United States District Court for the Southern District of New York (“SDNY”) styled In Re: Interest Rate Swaps Antitrust Litigation. Plaintiffs allege, inter alia, that the Company, together with a number of other financial institution defendants violated U.S. and New York state antitrust laws from 2008 through December of 2016 in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for interest rate swaps trading. Complaints were filed both on behalf of a purported class of investors who purchased interest rate swaps from defendants, as well as on behalf of three operators of swap execution facilities that allegedly were thwarted by the defendants in their efforts to develop such platforms. The consolidated complaints seek, among other relief, certification of the investor class of plaintiffs and treble damages. On July 28, 2017, the court granted in part and denied in part the defendants’ motion to dismiss the complaints. On December 15, 2023, the court denied the class plaintiffs’ motion for class certification. On December 29, 2023, the class plaintiffs petitioned the United States Court of Appeals for the Second Circuit for leave to appeal that decision.
On August 13, 2021, the plaintiff in Camelot Event Driven Fund, a Series of Frank Funds Trust v. Morgan Stanley & Co. LLC, et al. filed in the Supreme Court of NY a purported class action complaint alleging violations of the federal securities laws against ViacomCBS (“Viacom”), certain of its officers and directors, and the underwriters, including the Company, of two March 2021 Viacom offerings: a $1,700 million Viacom Class B Common Stock offering and a $1,000 million offering of 5.75% Series A Mandatory Convertible Preferred Stock (collectively, the “Offerings”). The complaint alleges, inter alia, that the Viacom offering documents for both issuances contained material omissions because they did not disclose that certain of the underwriters, including the Company, had prime brokerage relationships and served as counterparties to certain derivative transactions with Archegos Capital Management LP, (“Archegos”), a fund with significant exposure to Viacom securities across multiple prime brokers. The complaint, which seeks, among other things, unspecified compensatory damages, alleges that the offering documents did not adequately disclose the risks associated with Archegos’s concentrated Viacom positions at the various prime brokers, including that the unwind of those positions could have a deleterious impact on the stock price of Viacom. On November 5, 2021, the complaint was amended to add allegations that defendants failed to disclose that certain underwriters, including the Company, had intended to unwind Archegos’s Viacom positions while simultaneously distributing the Offerings. On February 6, 2023, the court issued a decision denying the motions to dismiss as to the Company and the other underwriters, but granted the motion to dismiss as to Viacom and the Viacom individual defendants. On February 15, 2023, the underwriters, including the Firm, filed their notices of appeal of the denial of their motions to dismiss. On March 10, 2023, the plaintiff filed a Notice of Appeal of the dismissal of Viacom and the individual Viacom defendants. On January 4, 2024, the court granted the plaintiff’s motion for class certification. On February 14, 2024, the defendants filed their notice of appeal.
Settled Civil Litigation
On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against the Company, styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., in the Supreme Court of NY. The complaint related to a $275 million credit default swap (“CDS”) referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserted claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that the Company misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that the Company knew that the assets backing the CDO were of poor quality when it entered into the CDS with CDIB. On March 22, 2021, the parties entered into a settlement agreement. On April 16, 2021, the court entered a stipulation of voluntary discontinuance, with prejudice.
On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against the Company and other defendants in the Circuit Court of the State of Illinois, styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al. A corrected amended complaint was filed on April 8, 2011, which alleged that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by the Company at issue in the action was approximately $203 million. The complaint sought, among other things, to rescind the plaintiff’s purchase of such certificates. On November 4, 2021, the Firm entered into an agreement to settle the litigation.
On April 1, 2016, the California Attorney General’s Office filed an action against the Company in California state court styled California v. Morgan Stanley, et al., on behalf of California investors, including the California Public Employees’ Retirement System and the California Teachers’ Retirement System. The complaint alleged that the Company made misrepresentations and omissions regarding residential mortgage-backed securities and notes issued by the Cheyne SIV, and asserted violations of the California False Claims Act and other state laws and sought treble damages, civil penalties, disgorgement, and injunctive relief. On April 24, 2019, the parties reached an agreement to settle the litigation.
In August of 2017, the Company was named as a defendant in a purported antitrust class action in the United States District Court for the SDNY styled Iowa Public Employees’ Retirement System et al. v. Bank of America Corporation et al. Plaintiffs allege, inter alia, that the Company, together with a number of other financial institution defendants, violated U.S. antitrust laws and New York state law in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for securities lending. The class action complaint was filed on behalf of a purported class of borrowers and lenders who entered into stock loan transactions with the defendants. The class action complaint seeks, among other relief, certification of the class of plaintiffs and treble damages. On September 27, 2018, the court denied the defendants’ motion to dismiss the class action complaint. Plaintiffs’ motion for class certification was referred by the District Court to a magistrate judge who, on June 30, 2022, issued a report and recommendation that the District Court certify a class. The motion for class certification and the parties’ objections to the report and recommendation are pending before the District Court. On May 20, 2023, the Firm reached an agreement in principle to settle the litigation. On September 1, 2023, the court granted preliminary approval of the settlement.
Beginning on March 25, 2019, the Company was named as a defendant in a series of putative class action complaints filed in the United States District Court for the SDNY, the first of which is styled Alaska Electrical Pension Fund v. BofA Secs., Inc., et al. Each complaint alleged a conspiracy to fix prices and restrain competition in the market for unsecured bonds issued by the following Government-Sponsored Enterprises: the Federal National Mortgage Association; the Federal Home Loan Mortgage Corporation; the Federal Farm Credit Banks Funding Corporation; and the Federal Home Loan Banks. The purported class period for each suit is from January 1, 2012 to June 1, 2018. Each complaint raised a claim under Section 1 of the Sherman Act and sought, among other things, injunctive relief and treble compensatory damages. On May 23, 2019, plaintiffs filed a consolidated amended class action complaint styled In re GSE Bonds Antitrust Litigation, with a purported class period from January 1, 2009 to January 1, 2016. On June 13, 2019, the defendants filed a joint motion to dismiss the consolidated amended complaint. On August 29, 2019, the court denied the Company’s motion to dismiss. On December 15, 2019, the Company and certain other defendants entered into a stipulation of settlement to resolve the action as against each of them in its entirety. On June 16, 2020, the court granted final approval of the settlement.
Additional lawsuits containing claims similar to those described above may be filed in the future. In the course of its business, the Company, as a major futures commission merchant, is party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of the Company. The Company may establish reserves from time to time in connections with such actions.

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ITEM 4. MINE SAFETY DISCLOSURE
Item 4. Mine Safety Disclosures. Not Applicable.
PART II

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ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY
Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.
(a) Market Information. The Partnership has issued no stock. There is no public market for the Redeemable Units.
(b) Holders. The number of holders of Redeemable Units as of February 29, 2024 was 2,438 for Class A Redeemable Units and 45 for Class Z Redeemable Units.
(c) Dividends. The Partnership did not declare any distributions in 2023 or 2022. The Partnership does not intend to declare distributions in the foreseeable future.
(d) Securities Authorized for Issuance Under Equity Compensation Plans. None. (e) Performance Graph. Not applicable.
(f) Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities. For the twelve months ended December 31, 2023, there were subscriptions of 3,537.2660 Redeemable Units of Class A totaling $12,751,279 and 329.3770 Redeemable Units of Class Z totaling $495,000. For the twelve months ended December 31, 2022, there were subscriptions of 5,048.2520 Redeemable Units of Class A totaling $18,407,264 and 1,419.3580 Redeemable Units of Class Z totaling $2,155,000. For the twelve months ended December 31, 2021, there were subscriptions of 2,047.8500 Redeemable Units of Class A totaling $6,021,943 and 256.7220 Redeemable Units of Class Z totaling $309,685. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Securities Act, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as described in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.
  Proceeds of net offering were used for the trading of commodity interests including futures, option and forward contracts and any other interests pertaining thereto, including interests in commodity pools.
(g) Purchases of Equity Securities by the Issuer and Affiliated Purchasers.
The following chart sets forth the purchases of Redeemable Units for each Class by the Partnership.
Period
Class A
(a) Total Number of
Redeemable
Units Purchased*
Class A
(b) Average
Price Paid per
Redeemable
Unit**
 (c) Total Number of 
 Redeemable 
 Units Purchased 
 as Part of 
 Publicly 
 Announced 
 Plans or Programs 
(d) Maximum Number
(or Approximate
Dollar Value) of
Redeemable Units
that May Yet Be
Purchased Under the
Plans or Programs
October 1, 2023 - October 31, 2023
530.2280
$ 3,522.33
N/A
N/A
November 1, 2023 - November 30, 2023
1,370.3110
$ 3,395.80
N/A
N/A
December 1, 2023 - December 31, 2023
2,982.5770
$ 3,346.39
N/A
N/A
4,883.1160
$    3,379.36
* Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner may compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.
** Redemptions of Redeemable Units are effected as of the end of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions.

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ITEM 6. SELECTED FINANCIAL DATA
Item 6. Reserved.

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ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Overview
The Partnership seeks to achieve substantial capital appreciation through speculative trading, directly or indirectly through its investment in the Funds, in U.S. and international markets for currencies, interest rates, stock indices, agricultural and energy products and precious and base metals. The Partnership/Funds may employ futures, options on futures and forward contracts in those markets. The Partnership/Funds may also engage in swap transactions and other derivative transactions with the approval of the General Partner/Trading Manager.
The General Partner/Trading Manager manages all business of the Partnership/Funds. The General Partner has delegated its responsibility for the investment of the Partnership’s capital to the Advisors. The General Partner/Trading Manager engages a team of approximately 9 professionals whose primary emphasis is on attempting to maintain quality control among the Advisors to the funds operated or managed by the General Partner/Trading Manager. A full-time staff of due diligence professionals use proprietary technology and on-site evaluations to monitor new and existing futures money managers. The accounting and operations staff provide processing of subscriptions and redemptions and reporting to limited partners and regulatory authorities. The General Partner also engages staff involved in marketing and sales support.
Responsibilities of the General Partner include:
•
due diligence examinations of the Advisors;
•
selection, appointment and termination of the Advisors;
•
negotiation of the Management Agreements; and
•
monitoring the activity of the Advisors.
In addition, the General Partner/Trading Manager will prepare, or will assist the Administrator in preparing, the books and records and will provide, or will assist the Administrator in providing, the administrative and compliance services that are required by law or regulation, from time to time, in connection with the operation of the Partnership/Funds. While the Partnership and the Funds have the right to seek lower commission rates from other commodity brokers at any time, the General Partner/Trading Manager believes that the customer agreements and other arrangements with the commodity broker are fair, reasonable, and competitive.
The programs traded by each Advisor on behalf of the Partnership are: Drakewood - Drakewood Prospect Fund Strategy; Breakout - an enhanced version of Breakout’s Propeller Program; Quantica - Quantica Managed Futures Program; Transtrend - Diversified Trend Program - Enhanced Risk Portfolio (US Dollar); Northlander - Northlander Commodity Program; JSCL - Systematic Strategy Program; prior to its termination effective October 31, 2022, Pan - Energy Trading Program; prior to its termination effective January 31, 2022, Greenwave - an enhanced version of the Flagship Plus 2X Program; prior to its termination effective October 31, 2021, FORT - Global Contrarian Program. As of December 31, 2023 and September 30, 2023, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:
Advisor
December 31, 2023
December 31, 2023
(percentage of Partners’ Capital)
September 30, 2023
September 30, 2023
(percentage of Partners’ Capital)
Transtrend
$ 68,745,632
%
$ 76,522,642
%
Northlander
$ 29,341,124
%
$ 30,327,772
%
Drakewood
$ 30,347,552
%
$ 32,363,544
%
JSCL
$   120,018,705
%
$   133,166,351
%
Quantica
$ 46,903,179
%
$ 52,566,564
%
Breakout
$ 23,050,030
%
$ 25,651,732
%
Unallocated
$ 10,794,492
%
$ 19,674,914
%
Breakout Funds, LLC
The portion of the Partnership’s assets that are allocated to Breakout are traded directly in a managed account in the name of the Partnership pursuant to an enhanced version of Breakout’s Propeller Program.
The Propeller Program is a discretionary global macro strategy that utilizes both fundamental and quantitative methods to identify market opportunities. Breakout aims to improve upon the traditional global macro strategy by using more of a tactical approach, with a shorter-term time horizon. At any given time, Breakout develops and monitors 1 to 7 high conviction themes, with a time horizon of 1 to 10 days. Independent of trade conviction, the portfolio manager will not engage in a trade without a minimum of a three to one expected reward/risk ratio. Key differentiators include low downside volatility and low historical drawdowns. In order to control downside volatility, Breakout engages in rigorous risk management with a focus on liquid markets and defined risk. The returns are uncorrelated to actively managed macro, CTA, and equity strategies.
Quantica Capital AG
The portion of the Partnership’s assets that are allocated to Quantica are traded directly in a managed account in the name of the Partnership pursuant to the Quantica Managed Futures Program. The Quantica Managed Futures Program is a fully systematic investment program that aims to detect medium-term trend-following market inefficiencies in a diversified, liquid investment universe. Quantica’s investment philosophy centers on the belief that quality risk-adjusted returns can be systematically captured from liquid markets by statistically analyzing risk-adjusted outperformance of one market versus other markets in the investment universe. The goal of the investment philosophy is to generate optimized long-term risk-adjusted compounded returns that are largely uncorrelated to traditional asset classes such as stocks and bonds. To achieve this goal, Quantica employs a unique and proprietary, fully systematic approach to medium term trend-following that is based on risk-adjusted, relative trend identification that delivers style-consistent trend-following returns with the ability to enhance efficiency and diversification.
Drakewood Capital Management Limited
Drakewood trades the Partnership’s assets allocated to it pursuant to the Drakewood Prospect Fund Strategy. Pursuant to the Drakewood Prospect Fund Strategy, Drakewood invests the Partnership’s assets primarily in a portfolio of risk positions in precious, non-ferrous and ferrous metal futures, forward contracts and related options, and derivative instruments. Other commodities may be traded from time to time, and may also invest in LME warrants, although these instruments are expected to constitute a relatively minor part of the portfolio. Investments made pursuant to the Drakewood Prospect Fund Strategy investments are expected to be concentrated in precious, non-ferrous and ferrous metal strategies and the Program’s investments are not expected to be diversified.
The Drakewood Prospect Fund Strategy is designed to gain exposure to opportunities in the majority of actively traded metals while limiting exposure in any one particular metal. The intent of this strategy is to increase opportunities for gain, while managing risk in order to provide more consistent returns.
Based on the fundamentally driven investment approach of the Drakewood Prospect Fund Strategy, Drakewood will often hold generally directional positions - either predominantly long or short depending on price drivers for each individual metal. The Drakewood Prospect Fund Strategy is expected to be neither long nor short biased through the cycle but rather to take a fundamental view over a one, two, five and ten year time frame and take positions accordingly. Long long-term core positions will be augmented by shorter shorter-term trading positions around each core position to manage short short-term price risk. In normal circumstances there may be daily trading activity on the portfolio even though the core fundamental view will persist for a year or more. Due to the nature of commodities futures trading, gross exposures may be much higher than net asset value due to the nature of having numerous offsetting positions, such as calendar spreads.
Transtrend B.V.
The portion of the Partnership’s assets that are currently allocated to Transtrend for trading are not invested in commodity interests directly. Transtrend’s allocation of the Partnership’s assets is currently invested in Transtrend Master. Transtrend trades Transtrend Master’s assets, and thereby the Partnership’s assets, in accordance with its Diversified Trend Program-Enhanced Risk Profile (US Dollar), a proprietary, systematic trading system. Transtrend generally trades its Enhanced Risk Profile using 1.5 times the leverage employed by the Standard Risk Profile.
Transtrend Master currently trades Financial Instruments (i.e., futures, options, options on futures, swaps, swaps on futures, forward contracts on foreign exchange, interest rates, interest rates instruments, commodities and equity related indices and instruments and other indices) on U.S. and non-U.S. exchanges, other venues and/or OTC markets. One of the potential strengths of the program is the disciplined, systematic and dynamic nature of market participation. The overall performance is determined by the entirety of all markets and all trades. In a systematic market approach, the disciplined application by Transtrend and a consistent participation by the client are both essential to realize the pursued returns over the course of time, although profitability cannot be guaranteed and clients may incur substantial losses on their investment.
Transtrend’s market approach attempts to benefit from directional price moves in outright Financial Instruments and in intra-market and inter-market combinations of Financial Instruments.
Under the Diversified Trend Program’s Standard Risk Profile, Transtrend generally commits an average of approximately 16% of the assets in a client’s account as margin or a premium for Financial Instruments positions. Such percentage has varied, however, and is affected by various factors including, without limitation, nominal account size, market conditions, traded markets or the level of margins set by brokers and clearing houses. The Diversified Trend Program’s Enhanced Risk Profile generally includes 1.5 times the leverage, and as such the average margin commitments, of the Standard Risk Profile.
Northlander Commodity Advisors LLP
The portion of the Partnership’s assets that are allocated to Northlander for trading are not invested in commodity interests directly. Northlander’s allocation of the Partnership’s assets is currently invested in NL Master. Northlander trades the Partnership’s assets allocated to it pursuant to its Northlander Commodity Program. The Northlander Commodity Program is a commodity focused trading program which invests in energy products globally, but with an emphasis on European power, European gas, European emissions, and international coal markets. The program is an absolute return strategy which seeks to identify value in mispriced markets through careful fundamental analysis by focusing on market dynamics and market structure and then expressing its thesis through its proprietary portfolio construction and risk management procedures.
John Street Capital Limited/John Street Capital LLP
The portion of the Partnership’s assets that are allocated to JSCL (and prior to the JSCL Novation Agreement, John Street) are traded directly in a managed account in the name of the Partnership pursuant to JSCL’s/John Street’s Systematic Strategy Program. The Systematic Strategy Program seeks to profit from price movements in global markets and employs a systematic approach to trading. This means that the vast majority of the Systematic Strategy Program’s trades will be made without discretion, based on the orders generated by the advisor’s proprietary trading system. The Systematic Strategy Program employs a multi-model approach, applying different trading methods across different time horizons with the goal of having a diversified mix of potential return drivers within the strategy.
The Systematic Strategy Program trades exchange-traded futures and OTC derivatives. The exchange-traded futures represent a wide range of underlying asset classes, including, but not limited to, equities, bonds, interest rates, currencies, energies, metals and agricultural products.
Pan Capital Management LP
The portion of the Partnership’s assets that were allocated to Pan were traded directly in a managed account in the name of the Partnership pursuant to Pan’s Energy Trading Program, a proprietary, discretionary trading program. The Energy Trading Program’s primary objective was to produce absolute returns through active trading of the U.S. energy markets, while offering investors an opportunity to diversify their overall portfolios. The Energy Trading Program also strived to minimize the risk of capital loss.
Pan traded listed exchange-traded futures and options on futures in the U.S. natural gas market and, with the consent of the General Partner, other liquid U.S. energy markets, including, but not limited to, electricity and crude oil. With the General Partner’s consent Pan may have also traded swaps on behalf of the Partnership. Pan based energy trading on fundamental analysis rather than market timing and seeked to structure trades with asymmetric risk return.
Pan firmly believes solid and thorough fundamental analysis, rigorous risk management and deep understanding of energy markets are required to achieve the Energy Trading Program’s investment objectives.
Greenwave Capital Management LLC
The portion of the Partnership’s assets that were allocated to Greenwave were traded directly in a managed account in the name of the Partnership pursuant to an enhanced version of Greenwave’s Flagship Plus 2X Program. Greenwave’s Flagship Plus 2X Program employed a discretionary global macro approach with an emphasis on G20 currencies. Greenwave incorporated a two-step investment process. It began with top down, macroeconomic analysis to determine the fundamental themes in which to engage. The goal was to identify the dominant drivers in the current market environment with a focus on central bank activity, political trends and geopolitical events. From this, Greenwave developed fundamental themes typically looking six to twelve months forward.
In the second step, Greenwave employed a multi-layered quantitative process to identify the optimal timing and trade location at which to deploy risk in these themes. While themes were typically six to twelve months in duration, Greenwave would tactically trade around these core exposures. In addition, Greenwave would take shorter term tactical trades based purely on technical analysis when the opportunity presented itself.
Finally, as part of the enhancement agreed upon with the General Partner, Greenwave could have from time to time increased or decreased exposures on a discretionary basis with the goal of exploiting potential opportunities created during market stress or episodes of volatility.
FORT L.P.
The portion of the Partnership’s assets that were allocated to FORT for trading were not invested in commodity interests directly. FORT’s allocation of the Partnership’s assets was invested in FORT Contrarian Master. FORT traded the Partnership’s assets allocated to it pursuant to its Global Contrarian Program, a systematic, technical, trend-anticipating futures trading strategy.
The Global Contrarian Trading Program attempted to profit from emerging trends by identifying price behaviors that signaled possible turning points. Rather than attempting to identify existing trends, the Global Contrarian Trading Program attempted to anticipate trends before they occurred. Trading decisions were based primarily on an analysis of market prices, volume and volatility; factors external to the trading markets were incorporated only in rare cases. The Global Contrarian Trading Program generally operated on the theory that market prices reflect all known factors affecting supply and demand of a particular financial instrument.
The Global Contrarian Trading Program was designed to incorporate concepts akin to “channels,” which FORT defined using systematic, mathematical tools. The Global Contrarian Trading Program estimated a large number of channels and identified a confluence of channels to find resistance and support points. FORT believed that this style was markedly different from most trend-following strategies, which were generally late to enter and exit a trend. In contrast, the Global Contrarian Trading Program was designed to enter and exit a trend early. The Global Contrarian Trading Program generally sought to anticipate and capitalize on short to intermediate-term trends. Because the Global Contrarian Trading Program sought to anticipate trends in market prices, it had the potential to perform well even in what standard trend-following systems perceived as directionless periods.
The Global Contrarian Trading Program took positions while a market was moving against one of its signals. As a result, its performance could have been much more volatile than traditional trend-following models, but the potential for diversification was much greater. In an attempt to reduce the volatility of returns, the allocation of the Global Contrarian Trading Program’s capital was geographically diversified across Asia, Europe, Australia and North America. This diversification also provided the Global Contrarian Trading Program with opportunities to seek profits in a variety of market environments.
Total risk was measured primarily by using the margin-to-equity ratio, which was targeted not to exceed 14% for a fully funded account, although FORT could have adjusted the foregoing target from time to time. The margin-to-equity ratio was monitored systematically as well as by FORT’s trading principals.
Specific Fund level performance information is included in Note 6 to the Partnership’s consolidated financial statements included in “Item 8. Consolidated Financial Statements and Supplementary Data.”
For the period January 1, 2023 through December 31, 2023, the average allocation by commodity market sector for each of the Funds was as follows:
Transtrend Master
Currencies
29.3 %
Energy
7.5 %
Grains
11.6 %
Indices
17.6 %
Interest Rates U.S.
7.1 %
Interest Rates Non-U.S.
12.5 %
Livestock
1.7 %
Metals
5.1 %
Softs
7.6 %
NL Master
Energy
100.0 %
Drakewood Master
Currencies
4.6 %
Metals
95.4 %
(a) Liquidity.
The Partnership does not engage in sales of goods or services. Its assets are its (i) investment in the Funds, (ii) redemptions receivable from the Funds, (iii) equity in trading account, consisting of unrestricted and restricted cash, net unrealized appreciation on open futures contracts, net unrealized appreciation on open forward contracts, options purchased at fair value and investment in U.S. Treasury bills at fair value, if applicable, and (iv) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Funds and direct investments. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the year ended December 31, 2023.
To minimize the risk relating to low margin deposits, the Partnership and Funds follow certain trading policies, including:
(i) The Partnership/Funds invest their assets only in commodity interests that an Advisor believes are traded in sufficient volume to permit ease of taking and liquidating positions. Sufficient volume, in this context, refers to a level of liquidity that an Advisor believes will permit it to enter and exit trades without noticeably moving the market.
(ii) An Advisor will not initiate additional positions in any commodity if these positions would result in aggregate positions requiring a margin of more than 66 2/3% of the Partnership’s net assets allocated to that Advisor.
(iii) The Partnership/Funds may occasionally accept delivery of a commodity. Unless such delivery is disposed of promptly by retendering the warehouse receipt representing the delivery to the appropriate clearinghouse, the physical commodity position is fully hedged.
(iv) The Partnership/Funds do not employ the trading technique commonly known as “pyramiding,” in which the speculator uses unrealized profits on existing positions as margin for the purchase or sale of additional positions in the same or related commodities.
(v) The Partnership/Funds do not utilize borrowings other than short-term borrowings if the Partnership/Funds take delivery of any cash commodities.
(vi) The Advisors may, from time to time, employ trading strategies such as spreads or straddles on behalf of the Partnership/Funds. “Spreads” and “straddles” describe commodity futures trading strategies involving the simultaneous buying and selling of futures contracts on the same commodity but involving different delivery dates or markets.
(vii) The Partnership/Funds will not permit the churning of their commodity trading accounts. The term “churning” refers to the practice of entering and exiting trades with a frequency unwarranted by legitimate efforts to profit from the trades, driven by the desire to generate commission income.
From January 1, 2023 through December 31, 2023, the Partnership’s average margin to equity ratio (i.e., the percentage of assets on deposit required for margin) was approximately 17.8%. The foregoing margin to equity ratio takes into account cash held in the Partnership’s name, as well as the allocable value of the positions and cash held on behalf of the Partnership in the name of the Funds.
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 at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or OTC. Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.4% to 3.0% of the Partnership’s/Funds’ contracts are traded OTC.
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 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 due to changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership’s/Funds’ Statements of Income and Expenses.
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 and the Funds are exposed to market risk equal to the value of the futures and forward contracts held and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Partnership’s/Funds’ 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 as MS&Co. or an MS&Co. affiliate are counterparties or brokers with respect to the Partnership’s and the Funds’ assets. For certain OTC contracts traded by certain Funds, JPMorgan is the counterparty with respect to those assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.
The General Partner/Trading Manager monitors and attempts to mitigate 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/Trading Manager 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, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions. (See also “Item 8. Consolidated Financial Statements and Supplementary Data.” for further information on financial instrument risk included in the notes to consolidated financial statements.)
The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’ business, these instruments may not be held to maturity.
The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.
Other than the risks inherent in U.S. Treasury bills, money market mutual fund securities, commodity futures, forward, option and swap contracts, the Partnership and the Funds know of no trends, demands, commitments, events or uncertainties which will result in or which are reasonably likely to result in the Partnership’s/Funds’ liquidity increasing or decreasing in any material way. The Limited Partnership Agreement provides that the Partnership shall terminate under certain circumstances including a decrease in net asset value per Redeemable Unit to less than $400 as of the close of business on any business day. In addition, the General Partner may, in its sole discretion, cause the Partnership to dissolve if the Partnership’s aggregate net assets decline to less than $1,000,000.
(b) Capital Resources.
(i) The Partnership has made no material commitments for capital expenditures.
(ii) The Partnership’s capital consists of the capital contributions of the partners, as increased or decreased by net income or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any. Gains or losses on trading cannot be predicted. Market movements in commodities are dependent upon fundamental and technical factors which the Advisors may or may not be able to identify, such as changing supply and demand relationships, pandemics, epidemics and other public health crises, weather, government, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. Partnership expenses consist of, among other things, clearing fees, ongoing selling agent fees, management fees, the General Partner fee and expenses allocated from Funds. The level of these expenses is dependent upon trading performance and the level of net assets maintained. In addition, the amount of interest income earned by the Partnership/Funds is dependent upon (1) the average daily equity maintained in cash in the Partnership’s and/or the Funds’ accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Funds and (3) interest rates over which none of the Partnership, the Funds, MS&Co. or JPMorgan has control.
No forecast can be made as to the level of redemptions in any given period. A limited partner may require the Partnership to redeem some or all of their Redeemable Units at the net asset value per Redeemable Unit as of the end of each month on three business days’ notice to the General Partner. There is no fee charged to limited partners in connection with redemptions. Redemptions are generally funded out of the Partnership’s cash holdings and/or redemptions from the Funds. For the year ended December 31, 2023, 10,668.0200 limited partner Redeemable Units of Class A were redeemed totaling $37,489,122, 1,047.3910 limited partner Redeemable Units of Class Z were redeemed totaling $1,566,196 and 178.3530 General Partner Redeemable Units of Class Z were redeemed totaling $250,016. For the year ended December 31, 2022, 11,595.8130 limited partner Redeemable Units of Class A were redeemed totaling $42,915,882, 1,143.3990 limited partner Redeemable Units of Class Z were redeemed totaling $1,579,926 and 332.3780 General Partner Redeemable Units of Class Z were redeemed totaling $500,000. For the year ended December 31, 2021, 18,931.4120 limited partner Redeemable Units of Class A were redeemed totaling $55,866,712, 563.8280 limited partner Redeemable Units of Class Z were redeemed totaling $688,845 and 753.5340 General Partner Redeemable Units of Class Z were redeemed totaling $925,001.
The Partnership continues to offer Redeemable Units at the net asset value per Redeemable Unit as of the end of each month. For the year ended December 31, 2023, there were subscriptions of 3,537.2660 limited partner Redeemable Units of Class A totaling $12,751,279 and 329.3770 limited partner Redeemable Units of Class Z totaling $495,000. For the year ended December 31, 2022, there were subscriptions of 5,048.2520 limited partner Redeemable Units of Class A totaling $18,407,264 and 1,419.3580 limited partner Redeemable Units of Class Z totaling $2,155,000. For the year ended December 31, 2021, there were subscriptions of 2,047.8500 limited partner Redeemable Units of Class A totaling $6,021,943 and 256.7220 limited partner Redeemable Units of Class Z totaling $309,685.
(c) Results of Operations.
For the year ended December 31, 2023, the net asset value per Redeemable Unit for Class A decreased 7.5% from $3,618.20 to $3,346.39. For the year ended December 31, 2023, the net asset value per Redeemable Unit for Class Z decreased 6.8% from $1,504.31 to $1,401.81. For the year ended December 31, 2022, the net asset value per Redeemable Unit for Class A increased 12.4% from $3,219.06 to $3,618.20. For the year ended December 31, 2022, the net asset value per Redeemable Unit for Class Z increased 13.3% from $1,328.23 to $1,504.31. For the year ended December 31, 2021, the net asset value per Redeemable Unit for Class A increased 16.2% from $2,769.71 to $3,219.06. For the year ended December 31, 2021, the net asset value per Redeemable Unit for Class Z increased 17.1% from $1,134.16 to $1,328.23.
The Partnership experienced a net trading loss of $28,197,799 before fees and expenses in 2023. Losses were primarily attributable to the Partnership’s/Funds’ trading in energy, grains, metals, U.S. and non-U.S. interest rates and were partially offset by gains in currencies, indices, livestock, and softs.
During the first quarter of 2023, the Partnership’s largest losses were experienced within the global fixed income markets during January and March. In January, losses were recorded from short positions in European and U.S. fixed income futures as an apparent slowing of inflation growth boosted bond prices. During March, further losses were recorded from short European and U.S. fixed income positions as bond buying surged in a “flight-to-quality” amid contagion concerns following the collapse of two regional banks in the U.S. Additional losses during the first quarter were recorded in the energy markets during March primarily from long futures positions in Brent crude oil as prices fell amid fears of a global economic slowdown. In the metals, losses for the first quarter were recorded from positions in copper futures during February and March as copper prices remained range-bound. A portion of the Partnership’s overall losses for the first quarter was offset by gains recorded during February in the global stock index sector from long positions in European equity index futures and short futures positions in U.S. indices as investor appetites for risk assets differed in the two regions. Further profits were achieved in the currency markets from long positions in the Mexican peso as the value of the peso rallied against the U.S. dollar. Smaller gains were also recorded from long positions in freight index futures as prices trended higher throughout much of the quarter.
During the second quarter of 2023, the Partnership’s largest gains for the quarter were recorded in the currency markets from short positions in the Japanese yen as the value of the yen declined against the U.S. dollar on expectations the Bank of Japan would support its dovish monetary policy. In global stock indices, long futures positions in Asian equity indices profited during May and June as prices rose amid economic data supporting investors’ “risk-on” stance. In global fixed income, short positions in European fixed income futures achieved gains as prices dropped throughout a majority of the quarter on expectations the European Central Bank would need to maintain its hawkish interest rate policy to combat inflation. Smaller gains were recorded in the energy sector from short futures positions in natural gas and European electricity. A portion of the gains for the second quarter was offset by losses incurred from long positions in gold and platinum futures as precious metals prices reversed lower during May on the U.S. dollar’s broader strength. Losses were also experienced from long positions in copper futures as prices reversed lower in April.
During the third quarter of 2023, the Partnership’s most notable losses for the third quarter were experienced in global stock indices from short positions in U.S. equity index futures during July as stock prices climbed higher on stronger-than-expected corporate earnings and economic data suggesting the rate of U.S. inflation was slowing. In the metals markets, long positioning in gold resulted in losses during August and September as prices were forced lower by strength in the U.S. dollar. In currencies, losses were incurred during July from crossrate positions in the euro and British pound against several of their European counterparts. Smaller losses for the quarter were recorded from short positions in Baltic freight index futures during September. A portion of the Partnership’s trading losses for the third quarter was offset by gains recorded in the agricultural markets from long positions in sugar and cocoa as prices climbed to new multi-year highs numerous times throughout the quarter amid ongoing reports of tight supplies. In global fixed income, short positions in U.S. government debt futures profited during September as prices dropped. In the energies, gains were achieved during September from long positions in crude oil and several of its refined products as prices rose amid announcements of supply cuts by Saudi Arabia and Russia.
During the fourth quarter of 2023, the Partnership’s most significant losses were incurred in the currencies during November and December from short positions in the Japanese yen and euro versus the U.S. dollar as the relative value of the dollar declined amid speculation the Fed would start cutting interest rates in 2024. In the energies, losses were recorded during October from long positions in crude oil and its refined products as prices fell amid a glut of global energy supplies. Further losses were experienced during November and December from short positions in U.S. fixed income futures as prices rose and interest rates declined during this period. Additional losses were incurred during November from short positions in U.S. equity index futures as positive investor sentiment pushed stock prices higher. Smaller losses were experienced within the metals markets during December as losses from positions in silver, gold, and palladium were partially offset by gains from long positions in iron ore futures. During the quarter, overall trading results within the agricultural complex were relatively flat and had no material impact on the Partnership’s performance.
The Partnership experienced a net trading gain of $68,379,601 before fees and expenses in 2022. Gains were primarily attributable to the Partnership’s/Funds’ trading in currencies, energy, grains, indices, U.S. and non-U.S. interest rates and were partially offset by losses in livestock, metals and softs.
During the first quarter of 2022, the most notable gains were achieved within the energy markets during January, February, and March from long positions in natural gas, European electrical power, Brent crude oil, and coal futures as energy prices surged on the combination of the impact of the Russian invasion of Ukraine on global energy supplies and growing consumption demand. Additional gains were recorded within the global fixed income sector during March from short positions in U.S. Treasury note futures as prices declined amid an outlook for the U.S. Federal Reserve to be aggressive in raising interest rates in its efforts to combat inflation. Gains in the agricultural markets were experienced during February from long positions in wheat, corn, and soybean futures as prices rallied amid concern Russia’s invasion of Ukraine would curtail grain exports from those countries. Within the metals markets, gains were achieved during February and March from long positions in gold futures as investor demand for safe-haven assets boosted gold prices. Further gains were recorded during February within the global stock index sector from short positions in U.S. equity index futures as stock prices declined. Gains within the currency markets were achieved during March from short positions in the euro versus the U.S. dollar as the value of the European currency weakened against the dollar amid the war in Ukraine.
During the second quarter of 2022, the Partnership’s most significant gains were achieved within the energies during April and May from long positions in a variety of energy products as high global demand continued amid widespread supply shortfalls. Further gains were achieved within the global stock index sector during April and June from short positions in U.S. equity index futures as stock prices continued to decline. Within global fixed income, gains were recorded during April and June from short positions in U.S. and European fixed income futures as global central banks stepped up measures to battle decades-high inflation. Gains in the currencies were recorded during April and June from short positions in the euro and Japanese yen versus the U.S. dollar as the relative value of the dollar strengthened. A portion of the Partnership’s gains for the second quarter was offset by losses incurred in the metals markets from long positions in gold futures as a strengthening U.S. dollar throughout the quarter diminished demand for precious metals. Additional losses were experienced within the agricultural markets during June from long positions in grains and soft commodities.
During the third quarter of 2022, Partnership’s most significant gains were achieved within the currency sector during August and September from long positions in the U.S. dollar versus the euro, Japanese yen, and British pound as the value of the dollar continued to rally amid signs of rising interest rates. Further gains were recorded in the global fixed income markets during August and September from short positions in U.S. Treasury note and European bond futures. In the energies, gains were achieved during July and August from long positions in U.S. and European natural gas and European electrical power futures as heatwaves in both the U.S. and Europe pushed prices higher. Additional gains were recorded within the global stock index markets during September from long positions in U.S., Asian, and European equity indices. A portion of the Partnership’s gains for the third quarter was offset by losses incurred within the agricultural complex throughout the quarter from long futures positions in livestock, grains and soft commodities as agricultural commodity prices reversed lower. Within the metals sector, losses were experienced during July from long positions in gold and silver futures as precious metals prices declined amid a strengthening U.S. dollar.
During the fourth quarter of 2022, the Partnership’s most significant losses were incurred in the global stock index markets from short futures positions in global equity indices in October and November and from long futures positions in Asian and European indices during December as investor appetite for risk assets shifted. During November and December additional losses were recorded from short positions in the Japanese yen and euro versus the U.S. dollar as the relative value of the dollar fell amid speculation the Fed would be less aggressive in raising interest rates. Losses were also recorded from short positions in global fixed income futures during November and December. Long positions in agricultural futures recorded losses during November. In the metals, losses were incurred during November from short positions in gold futures as demand for precious metals increased amid the weakening U.S. dollar. Smaller losses were experienced in the energy sector as gains from long positions in several global energy products were more than offset by losses recorded during November and December.
The results of operations for the twelve months ended 2021 is discussed under “Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations.” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2021.
Interest income is earned on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s, except for Transtrend Master’s) brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate. MS&Co. will pay monthly interest to Transtrend Master on 100% of the average daily equity maintained in cash in Transtrend Master’s brokerage account during each month at the rate equal to the monthly average of the 4-week U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero. When the effective rate is less than zero, no interest is earned. For the avoidance of doubt, the Partnership/Funds will not receive interest on amounts in the futures brokerage account that are committed to margin. Any interest earned on the Partnership’s and/or each Fund’s cash account in excess of the amounts described above, if any, will be retained by MS&Co. and/or shared with the General Partner. All interest earned on U.S. Treasury bills and money market mutual fund securities will be retained by the Partnership and/or the Funds, as applicable. Any interest income earned on collateral or excess cash deposited by certain of the Funds and held by JPMorgan in its capacity as such Funds’ forward foreign currency counterparty will be retained by such Funds, and the Partnership will receive its allocable portion of such interest from the applicable Fund. Interest income earned by the Partnership for the three and twelve months ended December 31, 2023 increased by $770,804 and $9,508,262, respectively, as compared to the corresponding periods in 2022. The increase in interest income is primarily due to higher interest rates during the three and twelve months ended December 31, 2023 as compared to the corresponding periods in 2022. 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 (1) the average daily equity maintained in cash in the Partnership’s and/or the Funds’ accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Funds and (3) interest rates over which none of the Partnership, the Funds, MS&Co. or JPMorgan has control.
Certain clearing fees are based on the number of trades executed by the Advisors for the Partnership/Funds. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees related to direct investments for the three and twelve months ended December 31, 2023 increased by $63,824 and $598,925, respectively, as compared to the corresponding periods in 2022. The increase in these clearing fees is primarily due to an increase in the number of direct trades made by the Partnership during the three and twelve months ended December 31, 2023, as compared to the corresponding periods in 2022.
Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value for Class A Redeemable Units as of the end of each month and are affected by trading performance, subscriptions and redemptions. Ongoing selling agent fees for the three and twelve months ended December 31, 2023 decreased by $103,251 and $257,527, respectively, as compared to the corresponding periods in 2022. The decrease in ongoing selling agent fees is primarily due to lower average adjusted net assets during the three and twelve months ended December 31, 2023 as compared to the corresponding periods in 2022.
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. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Management fees payable to Transtrend are charged at the Transtrend Master level and are affected by trading performance, subscriptions and redemptions of Transtrend Master. Management fees for the three and twelve months ended December 31, 2023 decreased by $136,577 and $100,483, respectively, as compared to the corresponding periods in 2022. The decrease in management fees is due to lower average adjusted net assets during the three and twelve months ended December 31, 2023 as compared to the corresponding periods in 2022.
Fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisors, (ii) allocating and reallocating the Partnership’s assets among the commodity trading advisors and (iii) monitoring the activities of the commodity trading advisors. These fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. The General Partner fee for the three and twelve months ended December 31, 2023 decreased by $108,156 and $263,796, respectively, as compared to the corresponding periods in 2022. The decrease in the General Partner fee is due to lower average adjusted net assets during the three and twelve months ended December 31, 2023 as compared to the corresponding periods in 2022.
Incentive fees paid by the Partnership are based on the New Trading Profits, as defined in the respective Management Agreements among the Partnership, the General Partner and each Advisor, generated by each Advisor at the end of the quarter, calendar half year or annually, as applicable. Trading performance for the three and twelve months ended December 31, 2023 resulted in incentive fees of $0 and $576,080, respectively. Trading performance for the three and twelve months ended December 31, 2022 resulted in a reversal of incentive fees of $2,288,656 and incentive fees of $14,168,615, respectively. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid an incentive fee until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.
The Partnership pays professional fees, which generally include legal, accounting expenses, administrative, filing, reporting and data processing fees. Professional fees for the years ended December 31, 2023 and 2022 were $850,814 and $926,706, respectively.
In the General Partner’s opinion, the Partnership’s Advisors continue to employ trading methods consistent with the objectives of the Partnership. The General Partner monitors the Advisors’ performance on a daily, weekly, monthly and annual basis to assure these objectives are met.
Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility of profit. The profitability of the 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, pandemics, epidemics, and other health crises, 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 Funds and the Partnership expect to increase capital through operations.
In allocating the assets of the Partnership among the Advisors, the General Partner considers, among other factors, each Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets among the Advisors and may allocate assets to additional advisors at any time. Each Advisor’s percentage allocation and trading program is described in the “Overview” section of this Item 7.
(d) Off-balance Sheet Arrangements. None.
(e) Contractual Obligations. None.
(f) Operational Risk.
The Partnership, directly or indirectly through its investment in the Funds, is exposed to market risk and credit risk, which arise in the normal course of its business activities. Slightly less direct, but of critical importance, are risks pertaining to operational and back office support. This is particularly the case in a rapidly changing and increasingly global environment with increasing transaction volumes and an expansion in the number and complexity of products in the marketplace.
Such risks include:
Operational/Settlement Risk - the risk of financial and opportunity loss and legal liability attributable to operational problems, such as inaccurate pricing of transactions, untimely trade execution, clearance and/or settlement, or the inability to process large volumes of transactions. The Partnership/Funds are subject to increased risks with respect to their trading activities in emerging market instruments, where clearance, settlement, and/or custodial risks are often greater than in more established markets.
Technological Risk - the risk of loss attributable to technological limitations or hardware failure that constrain the Partnership’s/Funds’ ability to gather, process, and communicate information efficiently and securely, without interruption, to customers and in the markets where the Partnership/Funds participate. Additionally, the General Partner’s computer systems may be vulnerable to unauthorized access, mishandling or misuse, computer viruses or malware, cyber-attacks and other events that could have a security impact on such systems. If one or more of such events occur, this potentially could jeopardize a limited partner’s personal, confidential, proprietary or other information processed and stored in, and transmitted through, the General Partner’s
computer systems, and adversely affect the Partnership’s business, financial condition or results of operations.
Legal/Documentation Risk - the risk of loss attributable to deficiencies in the documentation of transactions (such as trade confirmations) and customer relationships (such as master netting agreements) or errors that result in non-compliance with applicable legal and regulatory requirements.
Financial Control Risk - the risk of loss attributable to limitations in financial systems and controls. Strong financial systems and controls ensure that assets are safeguarded, that transactions are executed in accordance with the General Partner’s authorization, and that financial information utilized by the General Partner and communicated to external parties, including the Partnership’s Redeemable Unit holders, creditors, and regulators, is free of material errors.
(g) Critical Accounting Policies.
The preparation of consolidated financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. As a result, actual results could differ from these estimates. A summary of the Partnership’s significant accounting policies is described in Note 2 to the Partnership’s consolidated financial statements included in “Item 8. Consolidated Financial Statements and Supplementary Data.”
The Partnership’s most significant accounting policy is the valuation of its investment in the Funds and in futures, option and forward contracts and U.S. Treasury bills, as applicable. As of and for the year ended December 31, 2023, the Partnership carries its investment in NL Master and Drakewood Master based on the Partnership’s (1) net contributions to NL Master and Drakewood Master and (2) its allocated share of the undistributed profit and losses, including realized gains (losses) and net change in unrealized gains (losses), NL Master and Drakewood Master. As of and for the year ended December 31, 2022, the Partnership carries its investment in Transtrend Master, NL Master and Drakewood Master based on the Partnership’s (1) net contributions to Transtrend Master, NL Master and Drakewood Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of Transtrend Master, NL Master and Drakewood Master. The Partnership carried its investment in FORT Contrarian Master based on the Partnership’s (1) net contributions to FORT Contrarian Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of Fort Contrarian. 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 inputs 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.

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ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Item 7A. 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 limited partners will not be liable for losses exceeding the current net asset value of their investment. 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. These primarily include factors which affect energy price levels, including supply factors and weather conditions, but could also include 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 is 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.
Materiality as used in this section is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of the Partnership’s/Funds’ market sensitive instruments.
Quantifying the Partnership’s Trading Value at Risk
The following quantitative disclosures regarding the Partnership’s/Funds’ market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor except for statements of historical fact (such as the terms of particular contracts and the number of market risk sensitive instruments held during or at the end of the reporting period).
The Partnership’s/Funds’ risk exposure in the various market sectors traded by the Advisors is quantified below in terms of Value at Risk. Due to the Partnership’s/Funds’ mark-to-market accounting, any loss in the fair value of the Partnership’s/Funds’ open positions, including investment in the Funds, is directly reflected in the Partnership’s earnings (realized or unrealized) and cash balances.
Exchange margin requirements have been used by the Partnership/Funds as the measure of their Value at Risk. Margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. The margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Partnership/Funds), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.
The fair value of the Partnership’s/Funds’ futures and forward positions does not have any optionality component. However, the Advisors do trade commodity options. Where this instrument is a futures contract, the futures margin has been used, and where this instrument is a physical commodity, the futures-equivalent margin has been used. This calculation is conservative in that it assumes that the fair value of an option will decline by the same amount as the fair value of the underlying instrument, whereas, in fact, the fair values of the options traded by the Partnership/Funds in almost all cases fluctuate to a lesser extent than those of the underlying instruments.
In quantifying the Partnership’s/Funds’ Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been added to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Partnership’s/Funds’ positions are rarely, if ever, 100% positively correlated have not been reflected.
The Partnership’s and the Funds’ Trading Value at Risk in Different Market Sectors
Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. As of December 31, 2023, JSCL, Quantica and Breakout directly traded managed accounts in the name of the Partnership. Transtrend, Northlander and Drakewood trade the Partnership’s assets indirectly in master fund managed accounts established in the name of the master funds over which they have been granted limited authority to make trading decisions. The first two trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly and through its investment in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e. in the managed accounts in the Partnership’s name traded by JSCL, Quantica and Breakout, as applicable) and indirectly by each Fund separately as of December 31, 2023 and 2022.
The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of December 31, 2023 and 2022. As of December 31, 2023, the Partnership’s total capitalization was $329,200,714.
December 31, 2023
Market Sector     
Value at Risk
 % of Total 
 Capitalization 
Currencies
 $ 8,417,014
2.56  %
Energy
20,046,438
6.09 
Grains
5,169,656
1.57 
Indices
14,118,622
4.29 
Interest Rates U.S.
3,341,889
1.02 
Interest Rates Non-U.S.
5,382,386
1.63 
Livestock
669,653
0.20 
Metals
9,288,466
2.82 
Softs
2,654,922
0.81 
Total
 $    69,089,046
   20.99  %
As of December 31, 2022, the Partnership’s total capitalization was $383,024,982.
December 31, 2022
Market Sector     
Value at Risk
 % of Total 
 Capitalization 
Currencies
 $ 8,017,784
2.09  %
Energy
17,436,644
4.55 
Grains
3,938,540
1.03 
Indices
10,050,993
2.62 
Interest Rates U.S.
1,998,659
0.52 
Interest Rates Non-U.S.
5,408,905
1.41 
Livestock
1,056,578
0.28 
Metals
4,165,258
1.09 
Softs
3,597,942
0.94 
Total
 $    55,671,303
   14.53  %
The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market category as of December 31, 2023 and 2022, the highest and lowest at any point and average value during the years. All open position trading risk exposures have been included in calculating the figures set forth below.
As of December 31, 2023 and 2022, the Partnership’s Value at Risk for the portion of its assets that were traded directly was as follows:
December 31, 2023
   Twelve Months Ended December 31, 2023   
Market Sector    
Value at Risk
% of Total
Capitalization
High
Value at Risk
Low
Value at Risk
Average
Value at Risk*
Currencies
 $ 3,685,615 
1.12  %
$ 9,642,187
$ 3,145,564
$ 5,387,331
Energy
16,471,138 
5.00 
 17,355,253
 4,908,703
 9,738,993
Grains
1,761,099 
0.53 
4,524,557
1,276,438
2,559,094
Indices
10,022,931 
3.04 
19,578,791
3,769,917
8,061,401
Interest Rates U.S.
1,779,309 
0.54 
5,873,265
373,928
2,414,140
Interest Rates Non-U.S.
2,460,006 
0.75 
6,606,019
1,029,342
2,929,148
Livestock
269,170 
0.08 
1,044,560
156,478
651,607
Metals
4,634,724 
1.41 
8,601,091
1,558,883
4,065,094
Softs
1,443,017 
0.44 
4,281,104
1,353,582
2,083,574
Total
 $  42,527,009 
   12.91  %
* Annual average of daily Values at Risk.
December 31, 2022
   Twelve Months Ended December 31, 2022   
Market Sector    
Value at Risk
% of Total
Capitalization
High
Value at Risk
Low
Value at Risk
Average
Value at Risk*
Currencies
 $ 4,469,550 
1.17  %
$ 8,629,060
$ 956,385
$ 3,783,452
Energy
13,756,601 
3.59 
 26,951,155
 4,613,383
 12,487,069
Grains
2,482,093 
0.65 
3,495,526
541,089
1,594,920
Indices
6,844,757 
1.79 
9,976,229
1,641,275
4,732,340
Interest Rates U.S.
960,055 
0.25 
3,641,550
287,060
1,285,637
Interest Rates Non-U.S.
3,939,176 
1.03 
3,939,176
530,837
1,993,174
Livestock
499,263 
0.13 
806,383
120,794
386,962
Metals
2,147,046 
0.56 
4,483,481
709,979
2,159,177
Softs
2,030,653 
0.53 
2,162,649
468,817
1,303,570
Total
 $  37,129,194 
   9.70  %
* Annual average of daily Values at Risk.
At December 31, 2023, Transtrend Master’s total capitalization was $68,745,931 and the Partnership owned 100.0% of Transtrend Master. As of December 31, 2023, 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:
December 31, 2023
   Twelve Months Ended December 31, 2023  
Market Sector    
Value at Risk
% of Total
Capitalization
High
Value at Risk
Low
Value at Risk
Average
Value at Risk*
Currencies
 $ 4,632,920 
6.74  %
$ 7,669,295
$ 3,414,047
$ 5,796,343
Energy
1,942,649 
2.83 
 2,464,257
506,523
1,480,316
Grains
3,408,557 
4.96 
3,547,377
735,363
2,311,443
Indices
4,095,691 
5.96 
4,404,360
 2,369,487
 3,442,180
Interest Rates U.S.
1,562,580 
2.27 
2,803,620
608,998
1,397,228
Interest Rates Non-U.S.
2,922,380 
4.25 
4,004,932
1,453,313
2,486,104
Livestock
400,483 
0.58 
612,425
207,433
335,917
Metals
1,280,032 
1.86 
1,533,528
382,213
1,016,166
Softs
1,211,905 
1.76 
1,988,310
982,191
1,489,521
Total
 $  21,457,197 
   31.21  %
* Annual average of daily Values at Risk.
At December 31, 2022, Transtrend Master’s total capitalization was $71,102,465 and the Partnership owned 100.0% of Transtrend Master. As of December 31, 2022, 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:
December 31, 2022
   Twelve Months Ended December 31, 2022  
Market Sector    
Value at Risk
% of Total
Capitalization
High
Value at Risk
Low
Value at Risk
Average
Value at Risk*
Currencies
 $ 3,413,881
4.80  %
$ 8,876,351
$  3,049,192
$  6,252,833
Energy
426,925
0.60 
3,249,261
426,925
1,811,285
Grains
1,456,447
2.05 
2,576,615
481,929
1,651,590
Indices
3,206,236
4.51 
4,276,625
629,548
2,406,308
Interest Rates U.S.
1,038,604
1.46 
2,315,190
463,902
1,228,588
Interest Rates Non-U.S.
1,469,729
2.07 
 3,889,469
763,706
2,016,596
Livestock
557,315
0.78 
950,455
42,020
498,589
Metals
382,213
0.54 
2,208,645
256,124
1,053,948
Softs
1,567,289
2.20 
1,865,217
468,210
1,225,958
Total
 $  13,518,639
   19.01  %
* Annual average of daily Values at Risk.
At December 31, 2023, NL Master’s total capitalization was $40,737,626 and the Partnership owned approximately 71.7% of NL Master. As of December 31, 2023, NL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Northlander for trading) was as follows:
December 31, 2023
   Twelve Months Ended December 31, 2023   
Market Sector    
Value at Risk
% of Total
Capitalization
High
Value at Risk
Low
Value at Risk
Average
Value at Risk*
Energy
 $ 2,277,059
5.59  %
$  4,647,914
$  832,520
$  2,281,544
Total
 $  2,277,059
   5.59  %
* Annual average of daily Values at Risk.
At December 31, 2022, NL Master’s total capitalization was $45,265,820 and the Partnership owned approximately 71.4% of NL Master. As of December 31, 2022, NL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Northlander for trading) was as follows:
December 31, 2022
   Twelve Months Ended December 31, 2022   
Market Sector    
Value at Risk
% of Total
Capitalization
High
Value at Risk
Low
Value at Risk
Average
Value at Risk*
Energy
 $ 4,556,188
10.07  %
$  12,485,381
$  2,176,917
$  6,028,438
Total
 $  4,556,188
   10.07  %
* Annual average of daily Values at Risk.
At December 31, 2023, Drakewood Master’s total capitalization was $46,153,273 and the Partnership owned 64.5% of Drakewood Master. As of December 31, 2023, Drakewood Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drakewood for trading) was as follows:
December 31, 2023
   Twelve Months Ended December 31, 2023   
Market Sector    
Value at Risk
% of Total
Capitalization
High
Value at Risk
Low
Value at Risk
Average
Value at Risk*
Currencies
 $ 152,680
0.33  %
$ 355,410
$ 108,130
$ 205,414
Metals
5,230,558
11.33 
 7,224,155
 2,376,417
 4,343,085
Total
 $  5,383,238
   11.66  %
* Annual average of daily Values at Risk.
At December 31, 2022, Drakewood Master’s total capitalization was $43,497,389 and the Partnership owned 68.2% of Drakewood Master. As of December 31, 2022, Drakewood Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drakewood for trading) was as follows:
December 31, 2022
   Twelve Months Ended December 31, 2022   
Market Sector    
Value at Risk
% of Total
Capitalization
High
Value at Risk
Low
Value at Risk
Average
Value at Risk*
Currencies
 $ 196,999
0.45  %
$ 343,915
$ - 
$ 209,170
Metals
2,398,825
5.51 
 5,048,668
36,300
 3,087,344
Total
 $  2,595,824
   5.96  %
* Annual average of daily Values at Risk.
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Partnership/Funds is typically many times the applicable maintenance margin requirement (margin requirements generally range between 1% and 15% of contract face value, although an exchange may increase margin requirements on short notice) as well as many times the capitalization of the Partnership/Funds. The magnitude of the Partnership’s/Funds’ open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of the Partnership’s/Funds’ positions, certain market conditions-unusual, but historically recurring from time to time -could cause the Partnership/Funds to incur severe losses over a short period of time. The foregoing Value at Risk tables-as well as the past performance of the Partnership/Funds-give no indication of this “risk of ruin.”
Non-Trading Risk
The Partnership/Funds have non-trading market risk on their foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.
A decline in short-term interest rates would result in a decline in the Partnership’s cash management income. This cash flow risk is not considered to be material.
Materiality, as used throughout this section, is based on an assessment of reasonably possible market movements and any associated potential losses, taking into account the leverage, optionality and multiplier features of the Partnership’s/Funds’ market-sensitive instruments, in relation to the Partnership’s/Funds’ net assets.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnership’s/Funds’ market risk exposures - except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership/Funds manage their primary market risk exposures- constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. The Partnership’s/Funds’ primary market risk exposures, as well as the strategies used and to be used by the General Partner and the Advisors for managing such exposures, are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Partnership’s/Funds’ risk control to differ materially from the objectives of such strategies. Government interventions, pandemics, epidemics, and other public health crises, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the management strategies of the Partnership/Funds. There can be no assurance that the Partnership’s/Funds’ current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short or long term. Investors must be prepared to lose all or substantially all of their investment in the Partnership.
The following were the primary trading risk exposures of the Partnership/Funds on December 31, 2023, by market sector. It may be anticipated, however, that these market exposures will vary materially over time.
Currencies. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The General Partner does not anticipate that the risk profile of the Partnership’s currency sector will change significantly in the future.
Equities. The Partnership’s primary equity exposure is to equity price risk in the G20 countries. The stock index futures traded by the Partnership are limited to futures on broadly based indices. As of December 31, 2023, the Partnership’s primary exposures were in the CBOE VIX Volatility Index (U.S.), DAX (Germany), Dow Jones 30 Industrial Average (U.S.), NASDAQ 100 (U.S.), CAC 40 (France), SPI 200 (Australia), and FTSE China A50 (China) stock indices. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major European, U.S., and Pacific Rim indices, as well as in global emerging markets. Static markets would not cause major market changes but would make it difficult for the Partnership to avoid being “whipsawed” into numerous small losses.
Interest Rates. Interest rate movements directly affect the price of the futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially affect the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G7 countries. However, the Partnership may also take futures positions on the government debt of smaller economies - e.g., Australia and New Zealand.
Commodities:
Grains. The Partnership’s trading risk exposure in the grains is primarily to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Wheat, corn, canola, and the soybean complex accounted for the majority of the Partnership’s grain exposure as of December 31, 2023.
Metals. The Partnership’s primary metal market exposure as of December 31, 2023, was to fluctuations in the prices of gold, silver, copper, nickel, iron ore, and palladium.
Softs. The Partnership’s trading risk exposure in the soft commodities is to agricultural-related price movements, which are often directly affected by severe or unexpected weather conditions. Cocoa, coffee, cotton, and sugar accounted for the majority of the Partnership’s soft commodities exposure as of December 31, 2023.
Energy. The Partnership’s primary energy market exposure is to oil and natural gas price movements, often resulting from political developments in the Middle East, weather conditions, and other factors contributing to supply and demand. Further energy market exposure is to the carbon emission, European electric power, and coal markets which are subject to price movements driven by geopolitical events, climate related regulation, and supply and demand related factors. Energy prices can be volatile and substantial profits and losses, which have been experienced in the past, are expected to continue to be experienced in these markets in the future.
Livestock. The Partnership’s primary risk exposure in livestock is to fluctuations in cattle and hog prices.
Freight and Shipping. The Partnership’s primary risk exposure in freight and shipping is to changes in the costs involved in the transportation of raw materials, as well as geopolitical events that may affect access to shipping routes.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following was the only non-trading risk exposure of the Partnership/Funds as of December 31, 2023.
Foreign Currency Balances. The Partnership/Funds may hold various foreign currency balances. The Advisors regularly convert foreign currency balances to U.S. dollars in an attempt to control the Partnership’s/Funds’ non-trading risk.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The General Partner/Trading Manager monitors and attempts to mitigate 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.
The General Partner/Trading Manager monitors the Partnership’s/Funds’ performance and the concentration of their open positions, and consults with the Advisors concerning the Partnership’s/Funds’ overall risk profile. If the General Partner/Trading Manager felt it necessary to do so, the General Partner/Trading Manager could require the Advisors to close out positions as well as enter positions traded on behalf of the Partnership/Funds. However, any such intervention would be a highly unusual event. The General Partner/Trading Manager primarily relies on the Advisors’ own risk control policies while maintaining a general supervisory overview of the Partnership’s/Funds’ market risk exposures.
The Advisors apply their own risk management policies to their trading. The Advisors often follow diversification guidelines, margin limits and stop loss points to exit a position. The Advisors’ research of risk management often suggests ongoing modifications to their trading programs.
As part of the General Partner’s risk management, the General Partner periodically meets with each Advisor to discuss its risk management and to look for any material changes to the Advisor’s portfolio balance and trading techniques. Each Advisor is required to notify the General Partner of any material changes to its programs.
0.0040.0302020 2021 2022 2023

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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
Item 8. Consolidated Financial Statements and Supplementary Data
.
CERES ORION L.P.
The following consolidated financial statements and related items of the Partnership are filed under this Item 8: Oath or Affirmation, Management’s Report on Internal Control over Financial Reporting, Report of Independent Registered Public Accounting Firm (Ernst & Young LLP, Boston, MA, PCAOB ID: 42), for the years ended December 31, 2023, 2022, and 2021; Consolidated Statement of Financial Condition at December 31, 2023; Statement of Financial Condition December 31, 2022; Consolidated and Condensed Schedule of Investments at December 31, 2023; Condensed Schedule of Investments at December 31, 2022; Consolidated Statement of Income and Expenses for the year ended December 31, 2023; Statement of Income and Expenses for the years ended December 31, 2022 and 2021; Consolidated Statement of Changes in Partners’ Capital for the year ended December 31, 2023; Statements of Changes in Partners’ Capital for the year ended December 31, 2022 and 2021; and Notes to Consolidated Financial Statements. Additional financial information has been filed as Exhibits to this Form 10-K.
To the Limited Partners of
Ceres Orion L.P.
To the best of the knowledge and belief of the undersigned, the information contained herein is accurate and complete.
By:
Patrick T. Egan
President and Director
Ceres Managed Futures LLC
General Partner,
Ceres Orion L.P.
Ceres Managed Futures LLC
1585 Broadway, 29th Floor
New York, NY 10036
(855) 672-4468
Management’s Report on Internal Control Over Financial Reporting
The management of Ceres Orion L.P. (the “Partnership”), Ceres Managed Futures LLC, is responsible for establishing and maintaining adequate internal control over financial reporting as defined in Rules 13a - 15(f) and 15d - 15(f) under the Securities Exchange Act of 1934, as amended, and for our assessment of internal control over financial reporting. The Partnership’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of consolidated financial statements for external purposes in accordance with accounting principles generally accepted in the United States of America. The Partnership’s internal control over financial reporting includes those policies and procedures that:
(i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;
(ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States of America, and that receipts and expenditures of the Partnership are being made only in accordance with authorizations of management and directors of the Partnership; and
(iii) provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
The management of Ceres Orion L.P. has assessed the effectiveness of the Partnership’s internal control over financial reporting as of December 31, 2023. In making this assessment, management used the criteria set forth in the Internal Control-Integrated Framework (2013)
issued by the Committee of Sponsoring Organizations of the Treadway Commission. Based on our assessment, management concluded that the Partnership maintained effective internal control over financial reporting as of December 31, 2023 based on the criteria referred to above.
Patrick T. Egan
Brooke Lambert
President and Director
Chief Financial Officer
Ceres Managed Futures LLC
Ceres Managed Futures LLC
General Partner,
General Partner,
Ceres Orion L.P.
Ceres Orion L.P.
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Tel: +1 617 266 2000
Fax: +1 617 266 5843
www.ey.com
Report of Independent Registered Public Accounting Firm
To the Partners of Ceres Orion L.P.,
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of financial condition of Ceres Orion L.P. (the Partnership), including the consolidated condensed schedule of investments, as of December 31, 2023, the related consolidated statements of income and expenses and changes in partners’ capital for the year ended December 31, 2023, the accompanying statement of financial condition, including the condensed schedule of investments, as of December 31, 2022, the related statements of income and expenses, and changes in partners’ capital for each of the two years in the period ended December 31, 2022, and the related notes (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Partnership at December 31, 2023 and 2022, and the results of its operations and changes in its partners’ capital for each of the three years in the period ended December 31, 2023, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on the Partnership’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Partnership in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
Critical Audit Matters
Critical audit matters are matters arising from the current period audit of the financial statements that were communicated or required to be communicated to those charged with governance and that: (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective or complex judgments. We determined that there are no critical audit matters.
We have served as the auditor of the Partnership since 2017.
Boston, MA
March 15, 2024
Ceres Orion L.P.
Consolidated Statements of Financial Condition
December 31, 2023 and 2022
December 31,
December 31,
2022(1)
Assets:
Investment in the Funds(2)
, at fair value (Note 6)
 $ 59,188,572
 $ 133,277,060
Redemptions receivable from the Funds
2,158,223
1,922,587
Equity in trading account:
Unrestricted cash (Note 3c)
208,419,594
209,145,471
Restricted cash (Note 3c)
64,815,574
37,622,333
Foreign cash (cost $2,604,289 and $5,698,305 at December 31, 2023 and 2022, respectively)
2,662,887
5,747,177
Net unrealized appreciation on open futures contracts
2,110,733
1,995,748
Net unrealized appreciation on open forward contracts
-   
49,574
Options purchased, at fair value (premiums paid $683,600 and $0 at December 31, 2023 and 2022, respectivel
y)
378,388
-   
Total equity in trading account
278,387,176
254,560,303
Interest receivable (Note 3c)
923,536
701,528
Total assets
 $ 340,657,507
 $ 390,461,478
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts
 $ 233,618
 $ -   
Accrued expenses:
Ongoing selling agent fees (Note 3d and 3e)
207,655
237,488
Management fees (Note 3b)
299,507
278,003
General Partner fees (Note 3a)
212,433
243,662
Incentive fees (Note 3b)
-   
3,199,117
Professional fees
272,698
364,387
Redemptions payable to General Partner (Note 7)
250,017
500,000
Redemptions payable to Limited Partners (Note 7)
9,980,865
2,613,839
Total liabilities
11,456,793
7,436,496
Partners’ Capital (Notes 1 and 7):
General Partner, Class Z, 2,560.0223 and 2,738.3753 Redeemable Units outstanding at December 31, 2023 and 2022, respectively
3,588,668
4,119,374
Limited Partners, Class A, 96,034.0188 and 103,164.7728 Redeemable Units outstanding at December 31, 2023 and 2022, respectively
321,367,518
373,270,601
Limited Partners, Class Z, 3,027.8882 and 3,745.9022 Redeemable Units outstanding at December 31, 2023 and 2022, respectively
4,244,528
5,635,007
Total partners’ capital (net asset value)
329,200,714
383,024,982
Total liabilities and partners’ capital
 $  340,657,507
 $  390,461,478
Net asset value per Redeemable Unit:
Class A
 $ 3,346.39
 $ 3,618.20
Class Z
 $ 1,401.81
 $ 1,504.31
(1)
Not consolidate
d
.
(2)
Defined in Note 1.
See accompanying notes to consolidated financial statements.
Ceres Orion L.P.
Consolidated Condensed Schedule of Investments
December 31, 2023
Number of
 % of Partners’ 
  Contracts  
  Fair Value  
Capital
Futures Contracts Purchased
Currencies
3,439
 $ 2,144,339 
0.65   %
Energy
1,520
(1,597,104)
(0.49)
Grains
2,911
 
506,533 
0.15  
Indices
3,021
2,519,712 
 
0.77  
Interest Rates U.S.
660,773 
0.20  
Interest Rates Non-U.S.
2,805
4,015,473 
1.22  
Livestock
325,008 
0.10  
Metals
1,414
288,673 
0.09  
Softs
1,202
1,421,084 
0.43  
Total futures contracts purchased
10,284,491 
3.12  
Futures Contracts Sold
Currencies
2,311
(2,357,099)
(0.72)
Energy
2,358
1,666,534 
0.51  
Grains
1,761
(285,982)
(0.09)
Indices
2,841
(1,897,511)
(0.58)
Interest Rates U.S.
1,304
(3,439,919)
(1.03)
Interest Rates Non-U.S.
1,589
(1,245,634)
(0.38)
Livestock
(131,264)
(0.04)
Metals
(527,980)
(0.16)
Softs
45,097 
0.01  
Total futures contracts sold
(8,173,758)
(2.48)
Net unrealized appreciation on open futures contracts
 $ 2,110,733 
0.64   %
Unrealized Appreciation on Open Forward Contracts
Currencies
$8,493,343
 $ 85,262 
0.03   %
Metals
142,636 
0.04  
Total unrealized appreciation on open forward contracts
227,898 
0.07  
Unrealized Depreciation on Open Forward Contracts
Currencies
$19,124,083
(241,558)
(0.07)
Metals
(219,958)
(0.07)
Total unrealized depreciation on open forward contracts
(461,516)
(0.14)
Net unrealized depreciation on open forward contracts
 $ (233,618)
(0.07) %
Options Purchased
Puts
Indices
 $ 378,388 
0.11   %
Total options purchased (premiums paid $683,600)
 $ 378,388 
0.11   %
Investment in the Funds
CMF NL Master Fund LLC
 $ 29,341,020 
8.91   %
CMF Drakewood Master Fund LLC
29,847,552 
9.07  
Total investment in the Funds
 $   59,188,572 
17.98   %
See accompanying notes to consolidated financial statements.
Ceres Orion L.P.
Condensed Schedule of Investments
December 31, 2022
Number of
 % of Partners’ 
  Contracts  
  Fair Value  
Capital
Futures Contracts Purchased
Currencies
2,131
 
 $ 199,196 
 
0.05   %
Energy
1,924,555 
0.50  
Grains
1,260
1,108,877 
0.29  
Indices
1,377
(872,628)
(0.23)
Interest Rates U.S.
(113,906)
(0.03)
Interest Rates Non-U.S.
(658,176)
(0.17)
Livestock
170,938 
0.05  
Metals
661,615 
0.17  
Softs
2,237
324,444 
0.09  
Total futures contracts purchased
2,744,915 
0.72  
Futures Contracts Sold
Currencies
(568,583)
(0.15)
Energy
1,386
(992,198)
(0.26)
Grains
(533,655)
(0.14)
Indices
85,823 
0.02  
Interest Rates U.S.
64,450 
0.02 
Interest Rates Non-U.S.
1,613
1,536,668 
0.40  
Livestock
(23,430)
(0.01)
Metals
(20,300)
(0.00) *
Softs
1,386
(297,942)
(0.08)
Total futures contracts sold
(749,167)
(0.20)
Net unrealized appreciation on open futures contracts
 $ 1,995,748 
0.52   %
Unrealized Appreciation on Open Forward Contracts
Metals
 $ 95,123 
0.02   %
Total unrealized appreciation on open forward contracts
95,123 
0.02  
Unrealized Depreciation on Open Forward Contracts
Metals
 $ (45,549)
(0.01)
%
Total unrealized depreciation on open forward contracts
(45,549)
(0.01)
Net unrealized appreciation on open forward contracts
 $ 49,574 
0.01   %
Investment in the Funds
CMF TT II, LLC
 $ 71,102,465 
18.56   %
CMF NL Master Fund LLC
32,422,644 
8.47  
CMF Drakewood Master Fund LLC
29,751,951 
7.77  
Total investment in the Funds
 $   133,277,060 
34.80   %
* Due to rounding.
See accompanying notes to consolidated financial statements.
Ceres Orion L.P.
Consolidated Statements of Income and Expenses
For the Years Ended December 31, 2023, 2022 and 2021
(1)
(1)
Investment Income:
Interest income
 $ 10,444,442
 $ 3,579,282
 $ 75,635
Interest income allocated from the Funds
4,225,113
1,582,011
20,010
Total investment income
14,669,555
5,161,293
95,645
Expenses:
Expenses allocated from the Funds
1,637,215
4,803,663
4,653,637
Clearing fees related to direct investments (Note 3c)
2,533,617
1,934,692
2,330,487
Ongoing selling agent fees (Notes 3d and 3e)
2,750,424
3,007,951
2,689,795
Management fees (Note 3b)
3,479,226
3,359,126
3,099,562
General Partner fees (Note 3a)
2,813,461
3,077,257
2,752,823
Incentive fees (Note 3b)
172,212
10,831,003
10,462,247
Professional fees
850,814
926,706
1,005,392
Total expenses
14,236,969
27,940,398
26,993,943
Net investment income (loss)
432,586
(22,779,105 )
(26,898,298 )
Trading Results:
Net gains (losses) on trading of commodity interests and investment in the Funds:
Net realized gains (losses) on closed contracts
(26,368,556 )
49,169,137
41,538,947
Net realized gains (losses) on closed contracts allocated from the Funds
3,189,998
18,021,474
45,478,864
Net change in unrealized gains (losses) on open contracts
(5,680,608 )
(2,767,149 )
(2,459,393 )
Net change in unrealized gains (losses) on open contracts allocated from
the Funds
661,367
3,956,139
(3,907,905 )
Total trading results
(28,197,799 )
68,379,601
80,650,513
Net income (loss)
 $ (27,765,213 )
 $ 45,600,496
 $ 53,752,215
Net income (loss) per Redeemable Unit* (Note 8):
Class A
 $ (271.81 )
 $ 399.14
 $ 449.35
Class Z
 $ (102.50 )
 $ 176.08
 $ 194.07
Weighted average Redeemable Units outstand
ing:
Class A
102,310.8158
107,989.8677
115,137.0873
Class Z
6,011.6022
6,390.2226
6,985.6753
(1)
Not consolidated.
* Represents the change in net asset value per Redeemable Unit.
See accompanying notes to consolidated financial statements.
Ceres Orion L.P.
Consolidated Statements of Changes in Partners’ Capital
For the Years Ended December 31, 2023, 2022 and 2021
Class A
Class Z
Total
Amount
Redeemable Units
Amount
Redeemable Units
Amount
Redeemable Units
Partners’ Capital, December 31, 2020(1)
 $ 350,633,583
126,595.8958
 $ 8,621,162
7,601.3365
 $ 359,254,745
134,197.2323
Subscriptions - Limited Partners
6,021,943
2,047.8500
309,685
256.7220
6,331,628
2,304.5720
Redemptions - General Partner
-   
-   
(925,001 )
(753.5340 )
(925,001 )
(753.5340 )
Redemptions - Limited Partners
(55,866,712 )
(18,931.4120 )
(688,845 )
(563.8280 )
(56,555,557 )
(19,495.2400 )
Net income (loss)
52,381,697
-   
1,370,518
-   
53,752,215
-   
Partners’ Capital, December 31, 2021(1)
353,170,511
109,712.3338
8,687,519
6,540.6965
361,858,030
116,253.0303
Subscriptions - Limited Partners
18,407,264
5,048.2520
2,155,000
1,419.3580
20,562,264
6,467.6100
Redemptions - General Partner
-   
-   
(500,000 )
(332.3780 )
(500,000 )
(332.3780 )
Redemptions - Limited Partners
(42,915,882 )
(11,595.8130 )
(1,579,926 )
(1,143.3990 )
(44,495,808 )
(12,739.2120 )
Net income (loss)
44,608,708
-   
991,788
-   
45,600,496
-   
Partners’ Capital, December 31, 2022(1)
373,270,601
103,164.7728
9,754,381
6,484.2775
383,024,982
109,649.0503
Subscriptions - Limited Partners
12,751,279
3,537.2660
495,000
329.3770
13,246,279
3,866.6430
Redemptions - General Partner
-   
-   
(250,016 )
(178.3530 )
(250,016 )
(178.3530 )
Redemptions - Limited Partner
s
(37,489,122 )
(10,668.0200 )
(1,566,196 )
(1,047.3910 )
(39,055,318 )
(11,715.4110 )
Net income (loss)
(27,165,240 )
-   
(599,973 )
-   
(27,765,213 )
-   
Partners’ Capital, December 31, 2023
 $  321,367,518
96,034.0188
 $  7,833,196
5,587.9105
 $  329,200,714
101,621.9293
Net asset value per Redeemable Unit
:
  Class A  
  Class Z  
 $ 3,219.06 
 $ 1,328.23 
 $ 3,618.20 
 $ 1,504.31 
 $ 3,346.39 
 $ 1,401.81 
(1)
Not consolidated.
See accompanying notes to consolidated financial statements.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
1.
Organization:
Ceres Orion 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, option, swap and forward contracts. The sectors traded include currencies, energy, grains, livestock, indices, United States (“U.S.”) and non-U.S.
interest rates, softs and metals. The commodity interests that are traded by the Partnership, directly and indirectly through its investment in the Funds (as defined below), are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers 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. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets (directly or indirectly through its investment in the Funds) in U.S. Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership, is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below), NL Master (as defined below) and Drakewood Master (as defined below) and was the trading manager of FORT Contrarian Master (defined below). The General Partner is a wholly-owned subsidiary of Morgan Stanley Capital Management LLC (“MSCM”). MSCM is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses.
As of December 31, 2023, all trading decisions were made for the Partnership by Transtrend B.V. (“Transtrend”), John Street Capital Limited (“JSCL”), Northlander Commodity Advisors LLP (“Northlander”), Quantica Capital AG (“Quantica”), Breakout Funds LLC (“Breakout”) and Drakewood Capital Management Limited (“Drakewood”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. Effective October 31, 2022, Pan Capital Management L.P. (“Pan”) ceased to act as a commodity trading advisor to the Partnership. Effective January 31, 2022, Greenwave Capital Management LLC (“Greenwave”) ceased to act as a commodity trading advisor to the Partnership. On October 31, 2021, the Partnership fully redeemed its investment from CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”). Also effective October 31, 2021, FORT L.P. (“FORT”) ceased to act as a commodity trading advisor to the Partnership. References herein to the “Advisors” may include, as relevant, FORT, Greenwave and Pan. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors either directly, through a managed account in the Partnership’s name, or indirectly, through its investment in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional non-major
trading advisors (i.e., commodity trading advisors intended to be allocated less than 10% of the Partnership’s assets). Information about advisors allocated less
than
10%
of the Partnership’s assets may not be disclosed.
Effective July 1, 2021, Breakout directly trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Breakout’s Propeller Program. The General Partner and Breakout have agreed that Breakout will trade the Partnership’s assets allocated to Breakout at 1.5 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future, subject to certain restrictions.
Effective October 1, 2020, Quantica directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Quantica Managed Futures Program. The General Partner and Quantica have agreed that Quantica will trade the Partnership’s assets allocated to Quantica at 1.25 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
JSCL directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Systematic Strategy Program. The General Partner and JSCl have agreed that JSCL will trade the Partnership’s assets allocated to it at a level that is up to 2 times the amount of assets allocated to it; provided that if the assets allocated to JSCL are $80 million or less, JSCL will trade the Partnership’s assets allocated to it at the level that is up to 1.5 times the amount of assets allocated to it. The amount of leverage may be increased or decreased in the future.
Prior to its termination effective January 31, 2022, Greenwave directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Greenwave’s Flagship Plus 2X Program. The General Partner and Greenwave had agreed that Greenwave would trade the Partnership’s assets allocated to Greenwave at a level that was up to 2 times the amount of the assets allocated.
Prior to its termination effective October 31, 2022, Pan directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Pan’s Energy Trading Program.
On June 1, 2011, the Partnership began offering “Class A” Redeemable Units and “Class Z” Redeemable Units pursuant to the offering memorandum. All Redeemable Units issued prior to June 1, 2011 were deemed Class A Redeemable Units. The rights, powers, duties and obligations associated with investment in Class A Redeemable Units were not changed. Class A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions and non-U.S.
investors. Class Z Redeemable Units were first issued on August 1, 2011. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) and certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class A Redeemable Units and Class Z Redeemable Units 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 status of the limited partner, although the General Partner may determine to offer a particular Class of Redeemable Units to investors at its discretion.
During the periods covered by this report, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward contract counterparty for certain Funds.
The Partnership and CMF TT II, LLC (“Transtrend Master”) have entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. CMF NL Master Fund LLC (“NL Master”) and CMF Drakewood Master Fund LLC (“Drakewood Master”) have, and prior to its full redemption, FORT Contrarian Master had, entered into futures brokerage account agreements with MS&Co. Transtrend Master, NL Master and Drakewood Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, FORT Contrarian Master.
Transtrend Master entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of the referenced Funds and indirectly, the Partnership. These agreements include a foreign exchange and bullion authorization agreement (“FX Agreement”), an International Swap Dealers Association, Inc. master agreement (“Master Agreement”), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. Under each FX Agreement, JPMorgan charges or charged a fee on the aggregate foreign currency transactions entered into on behalf of the respective Fund during a month.
The Partnership will be liquidated upon the first to occur of the following: December 31, 2055; the net asset value per Redeemable Unit of any Class decreases to less than $400 as of the close of any business day; or under certain other circumstances as set forth in the limited partnership agreement of the Partnership, as may be amended from time to time (the “Limited Partnership Agreement”). In addition, the General Partner may, in its sole discretion, cause the Partnership to dissolve if the aggregate net assets of the Partnership decline to less than $1,000,000.
The General Partner has delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.
2.
Basis of Presentation and Summary of Significant Accounting Policies:
a. Use of Estimates.
The preparation of consolidated financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the consolidated financial statements and accompanying notes. As a result, actual results could differ from these estimates, and those differences could be material.
b. Profit Allocation
. The General Partner and each limited partner of the Partnership share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each, except that no limited partner is liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions, redemptions and losses, if any.
c. Statement of Cash Flows
. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.”
The Consolidated Statements of Changes in Partners’ Capital is included herein, and as of and for the years ended December 31, 2023, 2022 and 2021, the Partnership carried no debt and all of the Partnership’s and the Funds’ investments were carried at fair value and classified as Level 1 and Level 2 measurements.
d. Consolidation/Partnership
’
s Investment in the Funds.
Effective October 1, 2023, the Partnership has consolidated its wholly owned investment in Transtrend Master. Accordingly, the Partnership’s consolidated condensed schedule of investments as of December 31, 2023, includes the portfolio holdings of Transtrend Master. The consolidated financial statements for the period from October 1, 2023 to December 31, 2023, and as of December 31, 2023, include the accounts of the Partnership and Transtrend Master. All inter-company transactions and balances have been eliminated. As of and for the year ended December 31, 2023, the Partnership carries its investment in NL Master and Drakewood Master based on the Partnership’s (1) net contributions to NL Master and Drakewood Master and (2) its allocated share of the undistributed profit and losses, including realized gains (losses) and net change in unrealized gains (losses), NL Master and Drakewood Master. As of and for the year ended December 31, 2022, the Partnership carries its investment in Transtrend Master, NL Master and Drakewood Master based on the Partnership’s (1) net contributions to Transtrend Master, NL Master and Drakewood Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of Transtrend Master, NL Master and Drakewood Master. The Partnership carried its investment in FORT Contrarian Master based on the Partnership’s (1) net contributions to FORT Contrarian Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of Fort Contrarian.
e. Partnership’s/Funds’ Derivative Investments.
All commodity interests held by the Partnership/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 in Note 5, “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the first-in,
first-out
method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the Partnership’s/Funds’ Consolidated Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership’s/Funds’ Consolidated 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 due to changes in market
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
prices of investments held. Such fluctuations are included in total trading results in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.
f. Partnership’s Cash.
The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $2,662,887 (cost of $2,604,289) and $5,747,177 (cost of $5,698,305) at December 31, 2023 and 2022, respectively.
g. Income Taxes
. Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership foll
ows the guidance of ASC 740, “Income Taxes
,” which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are “more-likely-than-not”
of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the more-likely-than-not
threshold would be recorded as a tax benefit or liability in the Partnership’s Consolidated Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Partnership’s Consolidated Statements of Income and Expenses in the years in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2020 through 2023
tax years remain subject to examination by U.S. federal and most state tax authorities.
h. Investment Company Status.
The Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Accounting Standards Update 2013-08
“Financial Services-Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”
and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Consolidated Statements of Income and Expenses.
i. Net Income (Loss) Per Redeemable Unit.
Net income (loss) per Redeemable Unit is calculated in accordance with ASC 946, “Financial Services - Investment Companies.”
See Note 8, “Financial Highlights.”
3.
Agreements:
a. Limited Partnership Agreement:
The General Partner administers the business and affairs of the Partnership, including selecting one or more advisors to make trading decisions for the Partnership. The Partnership pays the General Partner a monthly fee (the “General Partner fee”) equal to 1/12 of 0.75% (0.75% per year) of month-end
net assets. Month-end
net assets, for the purpose of calculating the General Partner fee, are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current month’s incentive fee accruals, the monthly management fees, the General Partner fee and any redemptions or distributions as of the end of such month.
b. Management Agreement:
The General Partner, on behalf of the Partnership, has entered into management agreements (each, a “Management Agreement”) with the Advisors. The Advisors are not affiliated with one another, the
General Partner or MS&Co., and are not responsible for the organization or operation of the Partnership.
Effective
May 1, 2022, Drakewood receives a monthly management fee equal to 1.5% per year of the month-end
net assets allocated to Drakewood. Effective July 1, 2021, Breakout receives a monthly management fee equal to 1% per year of month-end
net assets allocated to Breakout. Effective October 1, 2020, Quantica receives a monthly management fee equal to 0.60% per year of month-end
net assets allocated to Quantica. To the extent that the month-end
net assets allocated to Quantica are less than $50
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
million, Quantica will receive a
management fee equal to 0.75% per year of month-end
net assets allocated to Quantica. Effective April 1, 2019, Northlander receives a monthly management fee equal to 1.25% per year of month-end
net assets allocated to Northlander. Effective February 1, 2019, JSCL receives a monthly management fee of 1.35% per year of month-end
net assets allocated to JSCL. To the extent that the month-end
net assets allocated to JSCL are less than $80 million, JSCL will receive a monthly management fee equal to 1.5% per year of
month-end
net assets allocated to JSCL. From February 1, 2020 until its termination on October 31, 2022, Pan received a monthly management fee equal to
1.25
% per year of month-end
net assets allocated to Pan. Prior to its termination on January 31, 2022, Greenwave received a monthly management fee equal to 0.75% per year of month-end
net assets allocated to Greenwave. From February 1, 2018 until its termination on October 31, 2021, FORT received a monthly management fee equal to 1.15% per year of month-end
net assets allocated to FORT. Month-end
net assets, for the purpose of calculating management fees, are Net Assets, as defined in the Limited Partnership Agreement, prior to the reduction of the current month’s incentive fee accruals, the monthly management fees, the General Partner fee and any redemptions or distributions as of the end of such month.
Transtrend Master pays Transtrend a monthly management fee of 0.85% per year on the aggregate net assets of Transtrend Master as of the first day of each month. Effective October 1, 2023, the management fee paid by Transtrend Master is included in the Management fees presented on the consolidated statements of income and expenses. For the year ended December 31, 2022, the management fee paid by Transtrend Master is allocated to the Partnership based on its proportionate ownership interest of Transtrend Master.
In addition, as of December 31, 2022, the Partnership is obligated to pay Breakout an incentive fee, payable quarterly, equal to 20% of the New Trading Profits, as defined in the Management Agreement, earned by Breakout for the Partnership during each calendar quarter. The Partnership is obligated to pay Quantica, Northlander and Drakewood an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned by Quantica, Northlander and Drakewood, respectively, for the Partnership during each calendar year. The Partnership is obligated to pay JSCL an incentive fee, payable quarterly, equal to 22.5% of the New Trading Profits, as defined in its Management Agreement, earned by JSCL for the Partnership during each calendar quarter. To the extent that the month-end
net assets allocated to JSCL are less than $80 million, the Partnership will be obligated to pay JSCL an incentive fee, payable quarterly, equal to 20% of the New Trading Profits, as defined in the Management Agreement, earned by JSCL for the Partnership during each calendar quarter. Prior to their respective terminations effective October 31, 2022 and January 31, 2022, Pan and Greenwave were each eligible to receive an incentive fee, payable quarterly, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned by Pan and Greenwave, for the Partnership during each calendar quarter. Prior to its termination effective October 31, 2021, FORT was eligible to receive an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in its Management Agreement, earned by FORT for the Partnership. Effective January 1, 2021, Transtrend is eligible to receive an incentive fee equal to 16% of the New Trading Profits, as defined in its Management Agreement, earned by Transtrend Master and payable at the end of each calendar half year. Prior to January 1, 2021, Transtrend was eligible to receive an incentive fee equal to 20% of the New Trading Profits, as defined in its Management Agreement, earned by Transtrend Master and payable at the end of each calendar half year. Only the incentive fees paid by Transtrend Master for New Trading Profits, as defined in its Management Agreement, earned for the Partnership are allocated to the Partnership. To the extent an Advisor incurs a loss for the Partnership, the Advisor will not be paid incentive fees until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.
Each Management Agreement may be terminated upon notice by either party.
In allocating the assets of the Partnership among the Advisors, the General Partner considers, among other factors, each Advisor’s past performance, trading style, volatility of markets traded and fee
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
requirements. The General Partner may modify or terminate the allocation of assets to the Advisors and may allocate the assets to additional advisors at any time.
c. Customer Agreement:
The Partnership has entered into a futures brokerage account agreement with MS&Co. (the “Partnership Customer Agreement”). Under the Partnership Customer Agreement and the foreign exchange brokerage account agreement (described in Note 1, “Organization”), the Partnership pays MS&Co. (or will reimburse MS&Co. if previously paid) its allocable share of trading fees for the clearing and, where applicable, the execution of transactions, as well as its allocable share of exchange, user, give-up
and National Futures Association (“NFA”) fees (collectively, “clearing fees”) directly and indirectly through its investment in the Funds. Clearing fees are allocated to the Partnership based on its proportionate ownership interest of each Fund. The Partnership’s assets available for trading in commodity interests not held in the Funds’ brokerage accounts at MS&Co. and JPMorgan are deposited in the Partnership’s brokerage account at MS&Co. The Partnership’s cash deposited with MS&Co. is held in segregated bank accounts to the extent required by Commodity Futures Trading Commission regulations. The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At December 31, 2023 and 2022, the amount of cash held by the Partnership for margin requirements was $64,815,574 and $37,622,333, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. MS&Co. has agreed to pay the Partnership interest on 100% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of the Funds’, except for Transtrend Master’s) brokerage account during each month at the rate equal to the monthly average of the 4-week
U.S. Treasury bill discount rate. MS&Co. has agreed to pay Transtrend Master interest on 100% of the average daily equity maintained in cash in Transtrend Master’s brokerage account during each month at the rate equal to the monthly average of the 4-week
U.S. Treasury bill discount rate less 0.15% during such month but in no event less than zero. When the effective rate is less than zero, no interest is earned. For purposes of these interest credits, daily funds do not include monies due to Transtrend Master on or with respect to futures, forward, or option contracts that have not been received. The Partnership Customer Agreement may generally be terminated upon notice by either party.
d. Selling Agreement:
The Partnership has entered into a selling agent agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee at a flat annual rate equal to 0.75% per year of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 0.75% and dividing the result thereof by 12). Class Z Redeemable Units are not subject to an ongoing selling agent fee. The Partnership may pay an ongoing selling agent fee to other properly licensed and/or registered selling agents who sell Class A Redeemable Units, and such additional selling agents may share all or a substantial portion of such fees with their properly registered or exempted financial advisors who have sold Class A Redeemable
Units.
e.
Harbor Selling Agreement:
The Partnership has entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. (“MSDI”), and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a
non-exclusive
selling agent and
sub-selling
agent, respectively, of the Partnership for the purpose of finding eligible investors for Redeemable Units through offerings that are exempt from registration under the Securities Act of 1933, as amended, pursuant to Section 4(a)(2) thereof and Rule 506 of Regulation D promulgated thereunder and for Harbor to serve as an investment advisor to its customers investing in one or more of the partnerships party to the Harbor Selling Agreement; provided, that, included within such appointment, Harbor will provide certain services
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
to certain holders of Redeemable Units of the Partnership, who had acquired such Redeemable Units prior to such holders becoming clients of Harbor. The Harbor Selling Agreement continues in effect until September 30, 2024,
unless terminated in certain circumstances as set forth in the Harbor Selling Agreement, including by any party on thirty days’ prior written notice, after which the General Partner or the Partnership may, in its sole discretion, renew the Harbor Selling Agreement for additional one-year
periods. Pursuant to the Harbor Selling Agreement, the Partnership pays Harbor a monthly ongoing selling agent fee at a flat annual rate equal to 0.75% per year of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 0.75% and dividing the result there of by 12).
The General Partner fee, management fees, incentive fees and professional fees of the Partnership
are allocated proportionally to each Class based on the net asset value of the Class.
4.
Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Partnership’s Consolidated Statements of Income and Expenses. The Partnership also invests certain of its assets through a “master/feeder” structure. The Partnership’s pro-rata
share of the results of the Funds’ trading activities are shown in the Partnership’s Consolidated Statements of Income and Expenses.
The foreign exchange brokerage account agreements and/or futures brokerage account agreements with MS&Co. or JPMorgan, as applicable, give the Partnership and the Funds, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts in their respective Consolidated Statements of Financial Condition. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts in their respective Consolidated Statements of Financial Condition, as the criteria under ASC 210-20,
“Balance Sheet
,” have been met.
All of the commodity interests owned directly by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the years ended December 31, 2023 and 2022,
was 36,858 and 36,521, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the years ended December 31, 2023 and 2022,
was 130 and 35, respectively. The monthly average notional value of currency forward contracts traded during the years ended December 31, 2023 and 2022,
were $62,512,591 and $0, respectively. The monthly average number of option contracts traded directly by the Partnership during the years ended December 31, 2023 and 2022,
was 47 and 4,322, respectively.
Trading and transaction fees are based on the number of trades executed by the Advisors and the Partnership’s percentage ownership of each respective Fund.
All clearing fees paid to MS&Co. for direct trading are borne by the Partnership. In addition, clearing fees are borne by the Funds and are allocated to the Funds’ limited partners/members, including the Partnership.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
The following tables summarize the gross and net amounts recognized relating to assets and liabilities of the Partnership’s derivatives and their offsetting subject to master netting or similar arrangements as of December 31, 2023 and 2022, respectively.
Gross Amounts
Offset in the
Consolidated
Statements of
Financial
Condition
Amounts
Presented in the
Consolidated
Statements of
Financial
Condition
Gross Amounts Not Offset in the
Consolidated Statements of
Financial Condition
December 31, 2023
Gross
Amounts
Recognized
Financial
Instruments
Cash Collateral
Received/
Pledged*
Net Amount
Assets
MS&Co.
Futures
 $ 20,433,917 
 $ (18,323,184)
 $ 2,110,733 
 $ -  
 $ -  
 $ 2,110,733 
Forwards
143,453 
(143,453)
-   
-
-  
-   
20,577,370 
(18,466,637)
2,110,733 
-
-  
2,110,733 
JPMorgan
Forwards
84,445 
(84,445)
-   
-
-  
-   
Total assets
 $ 20,661,815 
 $  (18,551,082)
 $    2,110,733 
 $ -
 $ -  
 $ 2,110,733 
Liabilities
MS&Co.
Futures
 $ (18,323,184)
 $ 18,323,184 
 $ -   
 $     -
 $ -  
 $ -   
Forwards
(220,032)
143,453 
(76,579)
-
76,579
-   
(18,543,216)
18,466,637 
(76,579)
-
76,579
-   
JPMorgan
Forwards
(241,484)
84,445 
(157,039)
-
157,039
-   
Total liabilities
 $  (18,784,700)
 $ 18,551,082 
 $ (233,618)
 $ -
 $      233,618
 $ -   
Net fair value
 $  2,110,733  *
Gross Amounts
Offset in the
Statements of
Financial
Condition
Amounts
Presented in the
Statements of
Financial
Condition
Gross Amounts Not Offset in the
Statements of Financial Condition
December 31, 2022
(1)
Gross
Amounts
Recognized
Financial
Instruments
Cash Collateral
Received/
Pledged*
Net Amount
Assets
MS&Co.
Futures
 $ 14,305,450 
 $  (12,309,702)
 $    1,995,748 
 $     -
 
 $           -  
 $ 1,995,748 
Forwards
95,123 
(45,549)
49,574 
-
-  
49,574 
Total assets
 $ 14,400,573 
 $ (12,355,251)
 $ 2,045,322 
 $ -
 $ -  
 $ 2,045,322 
Liabilities
MS&Co.
Futures
 $ (12,309,702)
 $ 12,309,702 
 $ -   
 $ -
 $ -  
 $ -   
Forwards
(45,549)
45,549 
-   
-
-  
-   
Total liabilities
 $  (12,355,251)
 $ 12,355,251 
 $ -   
 $ -
 $ -  
 $ -   
Net fair value
 $  2,045,322  *
(1)
Not consolidated.
* In the event of default by the Partnership, MS&Co., the Partnership
’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded
contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the Consolidated Statements of Financial Condition. In the case of exchange-traded contracts, the Partnership’s exposure to counterparty risk may be reduced since the exchange’s clearinghouse interposes its credit between buyer and seller and the clearinghouse’s guarantee funds may be available in the event of a default. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
The following tables indicate the gross fair values of derivative instruments of futures and option contracts, as applicable, held directly by the Partnership as separate assets and liabilities as of December 31, 2023 and 2022, respectively.
 December 31, 2023 
Assets
Futures Contracts
Currencies
 $ 2,230,318
Energy
5,124,815
Grains
1,948,710  
Indices
2,984,970  
Interest Rates U.S.
694,810  
Interest Rates Non-U.S.
4,077,958  
Livestock
409,457  
Metals
787,206  
Softs
2,175,673  
Total unrealized appreciation on open futures contracts
20,433,917  
Liabilities
Futures Contracts
Currencies
(2,443,078)
Energy
(5,055,385)
Grains
(1,728,159)
Indices
(2,362,769)
Interest Rates U.S.
(3,473,956)
Interest Rates Non-U.S.
(1,308,119)
Livestock
(215,713)
Metals
(1,026,513)
Softs
(709,492)
Total unrealized depreciation on open futures contracts
(18,323,184)
Net unrealized appreciation on open futures contracts
 $ 2,110,733   *
Assets
Forward Contracts
Currencies
 $ 85,262  
Metals
142,636  
Total unrealized appreciation on open forward contracts
227,898  
Liabilities
Forward Contracts
Currencies
 $ (241,558)
Metals
(219,958)
Total unrealized depreciation on open forward contracts
(461,516)
Net unrealized depreciation on open forward contracts
 $ (233,618) **
Assets
Options Purchased
Indices
 $ 378,388  
Total options purchased
 $ 378,388   ***
*
This amount is in “Net unrealized appreciation on open futures contracts” in the Consolidated Statements of Financial Condition.
**
This amount is in “Net unrealized depreciation on open forward contracts” in the Consolidated Statement of Financial Condition.
***
This amount is in “Options purchased, at fair value” in the Consolidated Statements of Financial Condition.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
 December 31, 2022
(1) 
Assets
Futures Contracts
Currencies
 $ 520,243  
Energy
7,120,018  
Grains
1,404,859  
Indices
1,038,083  
Interest Rates U.S.
92,626  
Interest Rates Non-U.S.
1,703,887  
Livestock
209,243  
Metals
899,617  
Softs
1,316,874  
Total unrealized appreciation on open futures contracts
14,305,450  
Liabilities
Futures Contracts
Currencies
(889,630)
Energy
(6,187,661)
Grains
(829,637)
Indices
(1,824,888)
Interest Rates U.S.
(142,082)
Interest Rates Non-U.S.
(825,395)
Livestock
(61,735)
Metals
(258,302)
Softs
(1,290,372)
Total unrealized depreciation on open futures contracts
(12,309,702)
Net unrealized appreciation on open futures contracts
 $ 1,995,748   *
Assets
Forward Contracts
Metals
 $ 95,123  
Total unrealized appreciation on open forward contracts
95,123  
Liabilities
Forward Contracts
Metals
 $ (45,549)
Total unrealized depreciation on open forward contracts
(45,549)
Net unrealized appreciation on open forward contracts
 $ 49,574  **
(1)
Not consolidated.
*
This amount is in “Net unrealized appreciation on open futures contracts” in the Consolidated Statements of Financial Condition.
**
This amount is in “Net unrealized appreciation on open forward contracts” in the Consolidated Statement of Financial Condition.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the years ended December 31, 2023, 2022 and 2021, respectively.
Sector
(1)
    
(1)
    
Currencies
 $ (1,703,015)
 $ 5,276,897  
 $ (4,221,879)
Energy
(6,253,421)
37,139,771  
43,600,068  
Grains
(7,382,175)
(402,502)
6,635,721  
Indices
2,434,250
8,271,988  
6,257,399  
Interest Rates U.S.
(11,544,347)
1,991,622  
(882,416)
Interest Rates Non-U.S.
(5,456,020)
5,012,905  
(11,805,817)
Livestock
46,128
(1,432,340)
921,504  
Metals
(8,115,637)
(6,885,568)
(1,855,381)
Softs
5,925,073
(2,570,785)
430,355  
Total
 $ (32,049,164) ****
 $ 46,401,988   ****
 $ 39,079,554   ****
(1)
Not consolidated.
**** This amount is included in “Total trading results” in the Consolidated Statements of Income and Expenses.
5.
Fair Value Measurements:
Partnership’s and the Funds’ Fair Value Measurements.
Fair value is defined as the value that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The fair value of exchange-traded futures, option and forward contracts is determined by the various exchanges, and reflects the settlement price for each contract as of the close of business on the last business day of the reporting period. The fair value of foreign currency forward contracts is extrapolated on a forward basis from the spot prices quoted as of approximately 3:00 P.M. (E.T.) on the last business day of the reporting period from various exchanges. The fair value of non-exchange-traded
foreign currency option contracts is calculated by applying an industry standard model application for options valuation of foreign currency options, using as inputs 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 Partnership and the Funds consider prices for commodity futures, 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 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, 2023 and 2022, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3).
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
December 31, 2023
Total
Level 1
Level 2
Level 3
Assets
Futures
 $ 20,433,917
 $ 18,914,817
 $ 1,519,100
 $ -
Forwards
227,898
-  
227,898
-
Options purchased
378,388
378,388
-  
-
Total assets
 $ 21,040,203
 $ 19,293,205
 $ 1,746,998
 $ -
Liabilities
Futures
 $ 18,323,184
 $ 17,578,049
 $ 745,135
 $ -
Forwards
461,516
-
461,516
-
Total liabilities
 $    18,784,700
 $   17,578,049
 $     1,206,651
 $     -
 
December 31, 2022
(1)
Total
Level 1
Level 2
Level 3
Assets
Futures
 $ 14,305,450
 $ 13,564,310
 $ 741,140
 $ -
Forwards
95,123
-
95,123
-
Total assets
 $ 14,400,573
 $ 13,564,310
 $ 836,263
 $ -
Liabilities
Futures
 $ 12,309,702
 $ 11,708,457
 $ 601,245
 $ -
Forwards
45,549
-
45,549
-
Total liabilities
 $    12,355,251
 $    11,708,457
 $       646,794
 $     -
 
(1)
Not consolidated.
The Investment in the Funds measured using the net asset value per share practical expedient is not required to be included in the fair value hierarchy. Please refer to the Consolidated and Condensed Schedules of Investments as of December 31, 2023 and 2022(1)
, respectively.
6.
Investment in the Funds:
On June 1, 2011, the Partnership allocated a portion of its assets to Transtrend Master, a limited liability company organized under the limited liability company laws of the State of Delaware. Transtrend Master permits accounts managed by Transtrend using the Diversified Trend Program-Enhanced Risk Profile (US Dollar), a proprietary, systematic trading system, to invest together in one trading vehicle. Transtrend generally trades its Enhanced Risk Profile (US Dollar) using 1.5 times the leverage employed by the Standard Risk Profile. The General Partner is also the Trading Manager of Transtrend Master. Individual and pooled accounts managed by Transtrend, including the Partnership, are permitted to be members of Transtrend Master. The Trading Manager and Transtrend believe that trading through this structure promotes efficiency and economy in the trading process.
On April 1, 2019, the assets allocated to Northlander for trading were invested in NL Master, a limited liability company organized under the limited liability company laws of the State of Delaware. NL Master permits accounts managed by Northlander using the Northlander Commodity Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of NL Master. Individual and pooled accounts currently managed by Northlander, including the Partnership, are permitted to be members of NL Master. The Trading Manager and Northlander believe that trading through this structure promotes efficiency and economy in the trading process.
On May 1, 2022, the Partnership allocated a portion of its assets to Drakewood Master, a limited liability company organized under the limited liability company laws of the State of Delaware. Drakewood Master permits accounts managed by Drakewood using the Drakewood Prospect Fund Strategy, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of Drakewood Master. Individual and pooled accounts managed by Drakewood, including the Partnership, are permitted to be members of Drakewood Master. The Trading Manager and Drakewood believe that trading through this structure promotes efficiency and economy in the trading process.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
On February 1, 2018, the assets allocated to FORT for trading were invested in FORT Contrarian Master, a limited liability company organized under the limited liability company laws of the State of Delaware. The Partnership fully redeemed its investment in FORT Contrarian Master on October 31, 2021.
The General Partner is not aware of any material changes to any of the trading programs discussed above or in Note 1, “Organization” during the year ended December 31, 2023.
The Funds’ and the Partnership’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with MS&Co.
Generally, a limited partner/member in the Funds withdraws all or part of its capital contribution and undistributed profits, if any, from the Funds as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner/Trading Manager at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner/member elects to redeem and informs the Funds. However, a limited partner/member may request a withdrawal as of the end of any day if such request is received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day.
Management fees, ongoing selling agent fees, the General Partner fee and incentive fees are charged at the Partnership level, except for management and incentive fees payable to Transtrend, which are charged at the Transtrend Master level. Clearing fees are borne by the Funds and allocated to the Funds’ limited partners/members, including the Partnership. Clearing fees are also borne by the Partnership directly. Professional fees are borne by the Funds and allocated to the Partnership and are also charged directly at the Partnership level.
At December 31, 2023, the Partnership owned 100.0% of Transtrend Master, approximately 71.7% of NL Master and approximately 64.5% of Drakewood Master. At December 31, 2022, the Partnership owned 100.0% of Transtrend Master, approximately 71.4% of NL Master and approximately 68.2
% of Drakewood 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 limited partners as a result of investment in the Funds are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected.
Summarized information reflecting the total assets, liabilities and members’ capital of the Funds is shown in the following tables:
December 31, 2023
Total Assets
Total Liabilities
Total Capital
Transtrend Master
 $   73,151,633
 $   4,405,702
 $   68,745,931
NL Master
40,864,449
126,823
40,737,626
Drakewood Master
51,637,147
5,483,874
46,153,273
December 31, 2022
Total Assets
Total Liabilities
Total Capital
Transtrend Master
 $ 71,276,651
 $ 174,186
 $ 71,102,465
NL Master
47,648,689
2,382,869
45,265,820
Drakewood Master
45,395,672
1,898,283
43,497,389
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
Summarized information reflecting the net investment income (loss), total trading results and net income (loss) of the Funds is shown in the following tables:
For the year ended December 31, 2023
 Net Investment 
 Total Trading 
  Net Income  
Income (Loss)
Results
(Loss)
Transtrend Master
 $ 829,087
 $ 3,720,405
 $ 4,549,492
NL Master
1,756,468
(5,536,966 )
(3,780,498 )
Drakewood Master
1,310,701
(2,850,943 )
(1,540,242 )
For the year ended December 31, 2022
 Net Investment 
 Total Trading 
  Net Income  
Income (Loss)
Results
(Loss)
Transtrend Master
 $ (3,748,796 )
 $ 13,400,481
 $ 9,651,685
NL Master
445,839
12,749,845
13,195,684
Drakewood Master (a)
296,516
(1,107,864 )
(811,348 )
(a) From May 1, 2022, commencement of operations for Drakewood Master, through December 31, 2022.
Summarized information reflecting the Partnership’s investments in and the Partnership’s pro-rata
share of the results of operations of the Funds are shown in the following tables:
December 31, 2023
For the twelve months ended December 31, 2023
% of
Expenses
Net
 Partners’ 
Income
Clearing
Professional
Management
Incentive
Income
Investment
 Redemptions 
Funds
Capital
Fair Value
(Loss)
Fees
Fees
Fees
Fee
(Loss)
Objective
Permitted
Transtrend Master
20.88  %
 $ 68,745,931
 $ 6,124,166
 $ 464,221
 $ 71,868
 $ 634,717
 $ 403,868
 $ 4,549,492
Commodity Portfolio
Monthly
NL Master
8.91  %
29,341,020
(2,623,868 )
63,633
46,581
-   
-   
(2,734,082 )
Commodity Portfolio
Monthly
Drakewood Master
9.07  %
29,847,552
(681,310 )
214,515
43,878
-   
-   
(939,703 )
Commodity Portfolio
Monthly
Total
 $  127,934,503
 $    2,818,988
 $   742,369
 $  162,327
 $   634,717
 $   403,868
 $   875,707
December 31, 2022
For the twelve months ended December 31, 2022
% of
Expenses
Net
 Partners’ 
Income
Clearing
Professional
Management
Incentive
Income
Investment
 Redemptions 
Funds
Capital
Fair Value
(Loss)
Fees
Fees
Fees
Fee
(Loss)
Objective
Permitted
Transtrend Master
18.56  %
 $ 71,102,465
 $ 14,234,546
 $ 485,285
 $ 63,083
 $ 696,881
 $ 3,337,612
 $ 9,651,685
Commodity Portfolio
Monthly
NL Master
8.47  %
32,422,644
9,827,611
55,369
38,815
-   
-   
9,733,427
Commodity Portfolio
Monthly
Drakewood Master (a)
7.77  %
29,751,951
(502,533 )
78,847
47,771
-   
-   
(629,151 )
Commodity Portfolio
Monthly
Total
 $  133,277,060
 $   23,559,624
 $   619,501
 $  149,669
 $   696,881
 $  3,337,612
 $  18,755,961
(a) From May 1, 2022, commencement of operations for Drakewood Master, through December 31, 2022.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
7.
Subscriptions, Distributions and Redemptions:
Subscriptions are accepted monthly from investors who become limited partners on the first day of the month after their subscriptions are processed. Distributions are made on a pro-rata
basis at the sole discretion of the General Partner. No distributions have been made to date. The General Partner does not intend to make any distributions of the Partnership’s profits. A limited partner may require the Partnership to redeem its Redeemable Units at their net asset value as of the end of each month on three business days’ notice to the General Partner. There is no fee charged to limited partners in connection with redemptions.
8.
Financial Highlights:
Financial highlights for the limited partner Classes as a whole for the years ended December 31 were as follows:
(1)
(1)
 Class A 
 Class Z 
 Class A 
 Class Z 
 Class A 
 Class Z 
Per Redeemable Unit Performance (for a unit outstanding throughout the year):*
 
 
 
 
 
Net realized and unrealized gains (losses)
 $
(275.30)
 $
(114.99)
 $
606.03 
 $
244.50 
 $
677.85 
 $
278.52 
Net investment income (loss)
3.49 
12.49 
(206.89)
(68.42)
(228.50)
(84.45)
Increase (decrease) for the year
(271.81)
(102.50)
399.14 
176.08 
449.35 
194.07 
Net asset value per Redeemable Unit, beginning of year
3,618.20 
1,504.31 
3,219.06 
1,328.23 
2,769.71 
1,134.16 
Net asset value per Redeemable Unit, end of year
 $
3,346.39 
 $
1,401.81 
 $
3,618.20 
 $
1,504.31 
 $
3,219.06 
 $
1,328.23 
(1)
(1)
 Class A 
 Class Z 
 Class A 
 Class Z 
 Class A 
 Class Z 
Ratios to Average Limited Partners’ Capital:
Net investment income (loss)**
0.1  %
0.8  %
(5.7) %
(4.4) %
(7.5) %
(6.7) %
Operating expense
3.7  %
2.9  %
3.5  %
2.8  %
3.7  %
3.0  %
Incentive fees
0.2  %
0.2  %
3.6  %
3.1  %
3.8  %
3.8  %
Total expenses
3.9  %
3.1  %
7.1  %
5.9  %
7.5  %
6.8  %
Total return:
Total return before incentive fees
(7.4) %
(6.7) %
16.4  %
16.7  %
20.4  %
21.3  %
Incentive fees
(0.1) %
(0.1) %
(4.0) %
(3.4) %
(4.2) %
(4.2) %
Total return after incentive fees
(7.5) %
(6.8) %
12.4  %
13.3  %
16.2  %
17.1  %
(1)
Not consolidated.
* Net investment income (loss) per Redeemable Unit is calculated by dividing the interest income less total expenses by the average number of Redeemable Units outstanding during the period. The net realized and unrealized gains (losses) per Redeemable Unit is a balancing amount necessary to reconcile the change in net asset value per Redeemable Unit with the other per unit information.
** Interest income less total expenses.
The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Funds for the years ended 2022 and 2021. Financial highlights for the year ended December 31, 2023,
were based on consolidated income and expenses.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
9.
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 at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange, a swap execution facility or over-the-counter
(“OTC”). Exchange-traded instruments include futures and certain standardized forward, option and swap contracts. Certain swap contracts may also be traded on a swap execution facility or OTC. OTC contracts are negotiated between contracting parties and also include certain forward and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those relating to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The General Partner estimates that at any given time approximately 0.4
% to 3.0
% of the Partnership’s/Funds’ contracts are traded OTC.
Futures Contracts.
The Partnership and the Funds trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership 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. 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, with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Partnership’s/Funds’ Consolidated 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-upon 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 foreign exchange rates at the reporting date, is included in the Partnership’s/Funds’ Consolidated Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.
London Metal Exchange Forward Contracts.
Metal contracts traded on the London Metal Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin, zinc or other metals. LME contracts traded by the Partnership and the Funds are cash-settled based on prompt dates published by the LME. 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, with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.
Options
. The Partnership and the 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
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
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/Funds write an option, the premium received is recorded as a liability in the Partnership’s/Funds’ Consolidated Statements of Financial Condition and marked-to-market
daily. When the Partnership/Funds purchase an option, the premium paid is recorded as an asset in the Partnership’s/Funds’ Consolidated Statements of Financial Condition and marked-to-market
daily. Net realized gains (losses) and net change in unrealized gains (losses) on option contracts are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.
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.
Futures-Style Options.
The Partnership/Funds may trade futures-style option contracts. Unlike traditional option contracts, the premiums for futures-style option contracts are not received or paid upon the onset of the trade. The premiums are recognized and received or paid as part of the sales price when the contract is closed. Similar to a futures contract, variation margin for the futures-style option contract may be made or received by the Partnership/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/Funds. Transactions in futures-style option 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. Futures-style option contracts are presented as part of “Net unrealized appreciation on open futures contracts” or “Net unrealized depreciation on open futures contracts,” as applicable, in the Partnership’s/Funds’ Consolidated Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on futures-style option contracts are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.
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 and the Funds are exposed to market risk equal to the value of the futures and forward contracts held and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Partnership’s/Funds’ Consolidated 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 as MS&Co. or an MS&Co. affiliate are counterparties or brokers with respect to the Partnership’s and the Funds’ assets. For certain OTC contracts traded by certain Funds, JPMorgan is the counterparty with respect to those assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
The General Partner/Trading Manager monitors and attempts to mitigate 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/Trading Manager 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, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.
The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’ business, these instruments may not be held to maturity.
The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.
In the ordinary course of business, the Partnership/Funds enter into contracts and agreements that contain various representations and warranties and which provide general indemnifications. The Partnership’s/Funds’ maximum exposure under these arrangements cannot be determined, as this could include future claims that have not yet been made against the Partnership/Funds. The General Partner/Trading Manager considers the risk of any future obligation relating to these indemnifications to be remote.
Beginning in February 2022, the United States, the United Kingdom, the European Union, and a number of other nations imposed sanctions against Russia in response to Russia’s invasion of Ukraine, and these and other governments around the world may impose additional sanctions in the future as the conflict develops. In addition, on October 7, 2023, Hamas militants and members of other terrorist organizations infiltrated Israel’s southern border from the Gaza Strip and conducted a series of terror attacks on civilian and military targets. Shortly following the attack, Israel’s security cabinet declared war against Hamas. These conflicts and subsequent sanctions have created volatility in the price of various commodities and may lead to a deterioration in the political and trade relationships that exist between the countries involved and have a negative impact on business activity globally, and therefore could affect the performance of the Partnership’s/Funds’ investments. Furthermore, uncertainties regarding these conflicts and the varying involvement of the United States and other countries preclude prediction as to the ultimate impact on global economic and market conditions, and, as a result, presents material uncertainty and risk with respect to the Partnership/Funds and the performance of its investments or operations, and the ability of the Partnership/Funds to achieve its investment objectives. Additionally, to the extent that investors, service providers and/or other third parties have material operations or assets in Russia, Belarus, Ukraine or Israel, they may have their operations disrupted and/or suffer adverse consequences related to the ongoing conflicts.
10.
Subsequent Events:
The General Partner evaluates events that occur after the balance sheet date but before and up until consolidated financial statements are available to be issued. The General Partner has assessed the subsequent events through the date the consolidated financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the consolidated financial statements.
Selected unaudited quarterly financial data for the years ended December 31, 2023 and 2022 are summarized below:
For the period from
October 1, 2023 to
December 31, 2023
For the period from
July 1, 2023 to
September 30, 2023 (1)
For the period from
April 1, 2023 to
June 30, 2023 (1)
For the period from
January 1, 2023 to
March 31, 2023 (1)
Total investment income
 $ 3,692,077
 $ 4,019,067
 $ 3,704,499
 $ 3,253,912
Total expenses
(3,212,702 )
(3,384,430 )
(3,876,516 )
(3,763,321 )
Total trading results
(27,205,357 )
(7,181,231 )
16,994,227
(10,805,438 )
Net income (loss)
 $     (26,725,982 )
 $ (6,546,594 )
 $     16,822,210
 $ (11,314,847 )
Increase (decrease) in Net Asset Value per Redeemable Unit of Class A
 $ (260.90 )
 $ (62.67 )
 $ 158.31
 $ (106.55 )
Increase (decrease) in Net Asset Value per Redeemable Unit of Class Z
 $ (106.46 )
 $ (23.31 )
 $ 68.82
 $ (41.55 )
For the period from
October 1, 2022 to
December 31, 2022
(1)
For the period from
July 1, 2022
to
September 30, 2022
(1)
For the period from
April 1, 2022 to
June 30, 2022
(1)
For the period from
Janu
ary 1, 2022 to
March 31, 2022
(1)
Total investment income
 $ 2,921,273
 $     1,722,711
 $ 462,713
 $ 54,596
Total expenses
(1,294,953 )
(7,400,973 )
(7,519,475 )
(11,724,997 )
Total trading results
(29,176,116 )
23,894,829
20,617,767
    53,043,121
Net income (loss)
 $ (27,549,796 )
 $ 18,216,567
 $ 13,561,005
 $ 41,372,720
Increase (decrease) in Net Asset Value per Redeemable Unit of Class A
 $ (256.89 )
 $ 164.60
 $ 120.53
 $ 370.90
Increase (decrease) in Net Asset Value per Redeemable Unit of Class Z
 $ (103.75 )
 $ 71.24
 $ 52.75
 $ 155.84
(1) Not consolidated.

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ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS
Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
Not applicable.

---

ITEM 9A. CONTROLS AND PROCEDURES
Item 9A. Controls and Procedures.
The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the President and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.
The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of December 31, 2023 and, based on that evaluation, the General Partner’s President and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.
The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of consolidated 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 consolidated financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and
•
provide reasonable assurance regarding prevention or timely detection and correction of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the consolidated financial statements.
The report included in “Item 8. Consolidated Financial Statements and Supplementary Data.” includes the General Partner’s report on internal control over financial reporting (“Management’s Report”).
There were no changes in the Partnership’s internal control over financial reporting during the fiscal quarter ended December 31, 2023 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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ITEM 9B. OTHER INFORMATION
Item 9B. Other Information.
10b5-1 Trading Plans
The Partnership has no directors or executive officers and its affairs are managed by its General Partner. The General Partner is managed by a board of directors. During the fiscal quarter ended December 31, 2023, no officers or directors of the General Partner adopted, modified or terminated a “Rule 10b5-1 trading arrangement” (as defined in Item 408 of Regulation S-K of the Exchange Act).
There were no “non-Rule 10b5-1 trading arrangements” (as defined in Item 408 of Regulation S-K of the Exchange Act) adopted, modified or terminated during the fiscal quarter ended December 31, 2023 by the directors and officers of the General Partner.
PART III

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ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
Item 10. Directors, Executive Officers and Corporate Governance.
The Partnership has no directors or executive officers and its affairs are managed by its General Partner. Investment decisions are made by the Advisors.
The directors and executive officers of the General Partner are Patrick T. Egan (President and Chairman of the Board of Directors of the General Partner), Brooke Lambert (Chief Financial Officer), Victoria Eckstein (Director) and Tatiana Segal (Director). Each director holds office until the earlier of his or her death, resignation or removal. Vacancies on the board of directors may be filled by either (i) the majority vote of the remaining directors or (ii) MSCM, as the sole member of the General Partner. The officers of the General Partner are designated by the General Partner’s board of directors. Each officer will hold office until his or her successor is designated and qualified or until his or her death, resignation or removal.
Directors of the General Partner are responsible for overall corporate governance of the General Partner and meet periodically to consider strategic decisions regarding the General Partner’s activities. Under CFTC rules, each Director of the General Partner is deemed to be a principal of the General Partner and, as a result, is listed as such with the NFA. Patrick T. Egan serves on the General Partner’s Investment Committee and is the trading principals responsible for allocation decisions (or responsible for supervising those who are).
Patrick T. Egan, age 54, has been a Director of the General Partner since December 2010. Since December 2010, Mr. Egan has been a principal and registered as an associated person of the General Partner, and is an associate member of NFA. Since October 2014, Mr. Egan has served as President and Chairman of the Board of Directors of the General Partner. Since August 2013, Mr. Egan has been registered as a swap associated person of the General Partner. From September 2013 to May 2014, Mr. Egan served as a Vice President of Morgan Stanley Strategies LLC, (formerly, Morgan Stanley GWM Feeder Strategies LLC), which acts as a general partner to multiple alternative investment entities, and Morgan Stanley AI GP LLC, (formerly, Morgan Stanley HedgePremier GP LLC), which acts as a general partner and administrative agent to numerous hedge fund feeder funds. From September 2013 to May 2014, Mr. Egan was registered as an associated person and listed as a principal of each such entity. Since January 2013, each such entity has been registered as a commodity pool operator with the CFTC. Mr. Egan was responsible for overseeing the implementation of certain CFTC and NFA regulatory requirements applicable to such entities. From June 2009 to December 2014, Mr. Egan was employed by Morgan Stanley Smith Barney LLC, a financial services firm, where his responsibilities included serving as Executive Director and as Co-Chief Investment Officer for Morgan Stanley Managed Futures from June 2009 through June 2011 and as Chief Risk Officer for Morgan Stanley Managed Futures from June 2011 through October 2014. Since October 2014, Mr. Egan has been responsible for management of the day-to-day operations of Morgan Stanley Managed Futures. Since January 2015, Mr. Egan has been employed by the General Partner. From November 2010 to October 2014, Mr. Egan was registered as an associated person of Morgan Stanley Smith Barney LLC. From April 2007 through June 2009, Mr. Egan was employed by MS & Co., a financial services firm, where his responsibilities included serving as Head of Due Diligence and Manager Research for Morgan Stanley’s Managed Futures Department. From April 2007 through June 2009, Mr. Egan was registered as an associated person of MS & Co. From March 1993 through April 2007, Mr. Egan was employed by Morgan Stanley DW Inc., a financial services firm, where his initial responsibilities included serving as an analyst and manager within the Managed Futures Department (with primary responsibilities for product development, due diligence, investment analysis and risk management of the firm’s commodity pools) and later included serving as Head of Due Diligence and Manager Research for Morgan Stanley’s Managed Futures Department. From February 1998 through April 2007, Mr. Egan was registered as an associated person of Morgan Stanley DW Inc. From August 1991 through March 1993, Mr. Egan was employed by Dean Witter Intercapital, the asset management arm of Dean Witter Reynolds, Inc., where his responsibilities included serving as a mutual fund administration associate. Mr. Egan also served as a Director from November 2004 through October 2006, and from November 2006 through October 2008 of the Managed Funds Association’s Board of Directors, a position he was elected to by industry peers for two consecutive two-year terms. Mr. Egan earned his Bachelor of Business Administration degree with a concentration in Finance in May 1991 from the University of Notre Dame.
Brooke Lambert, age 40, has been the Chief Financial Officer, Treasurer and a principal of the General Partner since May 2022. Ms. Lambert has been employed by Morgan Stanley Investment Management, a financial services firm, since July 2014, where her responsibilities include serving as a Vice President and managing the accounting, financial reporting and regulatory reporting of the commodity pools operated by the General Partner. From July 2009 to July 2014, Ms. Lambert was employed by Morgan Stanley Smith Barney, a financial services firm, where her responsibilities included serving as a Vice President responsible for the accounting, financial reporting and regulatory reporting of the commodity pools operated by the General Partner. Before joining Morgan Stanley, Ms. Lambert was employed by Citigroup Alternative Investments, a financial services firm, from January 2006 through July 2009, where her responsibilities included serving as an Assistant Vice President responsible for the accounting, financial reporting and regulatory reporting of Citigroup Alternative Investments’ managed futures funds. Ms. Lambert earned her Bachelor of Science in Finance in May 2005 from Towson University.
Victoria Eckstein, age 42, has been a Director of the General Partner since June 30, 2022, and a principal of the General Partner since July 14, 2022. Since November 2022, Ms. Eckstein has served as Chief Operating Officer of Calvert Research and Management, an investment management company focused on responsible investments. Since December 2020, Ms. Eckstein has served as a Managing Director of Morgan Stanley Investment Management Inc. (“MSIM”), and from December 2020 to November 2022 served
as Chief Operating Officer of the Solutions & Multi-Asset Group at MSIM, a collection of business units offering alpha-centric, multi-asset or multi-manager investment solutions. From December 2016 to December 2020, Ms. Eckstein served as an Executive Director of MSIM and from April 2010 to December 2016, Ms. Eckstein served as a Vice President of MSIM. From April 2010 to December 2020, Ms. Eckstein primarily managed the day-to-day non-investment functions of the Portfolio Solutions Group, a business unit offering multi-asset, multi-manager managed portfolios. From January 2007 to April 2010, Ms. Eckstein was employed by Morgan Stanley Smith Barney LLC, a financial services firm, where her responsibilities included trade execution, portfolio analysis, external manager selection and research coverage. Ms. Eckstein received her Juris Doctorate from the Benjamin N. Cardozo School of Law in 2006 and her Bachelor of Arts, magna cum laude, from Brandeis University in 2003.
Tatiana Segal, age 55, has been a Director of the General Partner since June 30, 2022, and a principal of the General Partner since July 1, 2022. She has also been a principal of MSIM since October 31, 2019. Ms. Segal joined MSIM as a Managing Director and Head of Risk Management in August 2019. She is responsible for risk management across MSIM business units and risk categories, including investment, operational, and franchise risk, and is a member of the Investment Management Operating Committee and a chair of the Investment Management Risk Committee. In June 2022, in addition to her original role, Tatiana was appointed as Global Head of Non-Financial Risk for Investment Management to manage existing and emergent non-financial risks across the division. She has since been appointed a member of Morgan Stanley’s NFR Steering Committee and Enterprise Controls Committee. From August 2011 to August 2019, Tatiana was a partner and Head of Risk Management at SkyBridge Capital Management, a global alternative investments firm, where she was also a member of the Manager Selection, Portfolio Allocation and Real Estate Investment Committees. Prior to joining SkyBridge in August 2011, she was a Managing Director and Chief Risk Officer at Cerberus Capital Management, LLC from January 2009 through July 2011. Before joining Cerberus, Ms. Segal was Managing Director and Chief Risk Officer for Diamond Lake Investment Group from February 2008 through September 2008. From May 2006 through January 2008, Ms. Segal was a Senior Risk Manager at Citigroup Alternative Investments, where she was responsible for independent risk oversight of a multi-billion hedge fund and fund of funds portfolio. From October 2000 through April 2006, Ms. Segal was a Director of Market Risk at Nomura Securities, Inc. Prior to joining Nomura Securities, she was Risk Manager at BNP Paribas from January 1999 through October 2000 and a Risk Manager at Goldman, Sachs & Co., Ltd. from October 1995 through January 1999. Ms. Segal started her career at BlackRock Financial Management, Inc. from January 1993 through September 1995, as a portfolio analyst within BlackRock’s Institutional Accounts Division. Ms. Segal graduated from Columbia University in January 1993 with a Bachelor’s Degree in Economics. Ms. Segal is a Co-Chair of Risk Peer Advisory Group NY for 100 Women in Finance, as well as a contributing member of the council of The Directors and Chief Risk Officers. She serves as a board member of the Tenement Museum.
The Partnership has not adopted a code of ethics that applies to officers because it has no officers. In addition, the Partnership has not adopted any procedures by which investors may recommend nominees to the Partnership’s board of directors and has not established an audit committee because it has no board of directors.

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ITEM 11. EXECUTIVE COMPENSATION
Item 11. Executive Compensation.
The Partnership has no directors or executive officers. As a limited partnership, the business of the Partnership is managed by the General Partner, which is responsible for administration of the business affairs of the Partnership. The Partnership pays the General Partner a monthly General Partner fee equal to an annual rate of 0.75% (paid monthly) of the Partnership’s month-end net assets.

---

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.
(a) Security ownership of certain beneficial owners. As of February 29, 2024, the Partnership knows of no person who beneficially owns more than five percent (5%) of the Redeemable Units outstanding.
(b) Security ownership of management. Under the terms of the Limited Partnership Agreement, the Partnership’s affairs are managed by the General Partner.
The following table indicates securities owned by management as of December 31, 2023:
 (1) Title of Class 
 (2) Name of 
 Beneficial Owner 
 (3) Amount and Nature 
 of Beneficial Ownership 
 (4) Percent of 
Class
 Class Z Redeemable Units
General Partner
2,560.0223
45.8%
(c) Changes in control. None.

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ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
Item 13. Certain Relationships and Related Transactions, and Director Independence.
(a) Transactions with related persons. None.
(b) Review, approval or ratification of transactions with related persons. Not applicable.
(c) Promoters and certain control persons. MS&Co., Morgan Stanley Wealth Management and the General Partner could be considered promoters for purposes of Item 404(c) of Regulation S-K. The nature and the amounts of compensation each promoter received or will receive, if any, from the Partnership are set forth under “Item 1. Business.”, “Item 8. Consolidated Financial Statements and Supplementary Data.” and “Item 11. Executive Compensation.”

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ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES
Item 14. Principal Accountant Fees and Services.
(1) Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by Ernst & Young LLP (“EY”) for the years ended December 31, 2023 and 2022 for the audit of the Partnership’s annual consolidated financial statements, review of consolidated financial statements included in the Partnership’s Forms 10-Q and 10-K and other services normally provided in connection with regulatory filings or engagements were:
2023 $215,555
2022 $190,328
(2) Audit-Related Fees. None.
(3) Tax Fees. The Partnership did not pay EY any amounts in 2023 and 2022 for professional services in connection with tax compliance, tax advice, and tax planning.
(4) All Other Fees. None.
(5) Not Applicable.
(6) Not Applicable.
PART IV

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ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES
Item 15. Exhibits and Financial Statement Schedules.
(1) Consolidated Financial Statements:
Consolidated Statements of Financial Condition at December 31, 2023 and 2022.
Consolidated and Condensed Schedules of Investments at December 31, 2023 and 2022.
Consolidated Statements of Income and Expenses for the years ended December 31, 2023, 2022 and 2021.
Consolidated Statements of Changes in Partners’ Capital for the years ended December 31, 2023, 2022 and 2021. Notes to Consolidated Financial Statements.
(2) Exhibits:
3.1
Fifth Amended and Restated Limited Partnership Agreement, effective March 31, 2019 (filed as Exhibit 3.1 to the Annual Report on Form 10-K filed on March 30, 2020 and incorporated herein by reference).
3.2(a)
Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York (filed as Exhibit 3.(I) to the General Form for Registration of Securities on Form 10-12G filed on May 1, 2003 and incorporated herein by reference).
(b )
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 10-12G filed on May 1, 2003 and incorporated herein by reference).
(c )
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 Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(d )
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 Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(e )
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 the Current Report on Form 8-K filed on September 2, 2008 and incorporated herein by reference).
(f )
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 Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(g )
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 28, 2009 (filed as Exhibit 99.1(a) to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference).
(h )
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 Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference).
(i )
7th 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 June 29, 2010 (filed as Exhibit 3.1(h) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference).
(j )
8th 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 2, 2011 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference).
(k )
9th Certificate of Amendment to the Certificate of Limited Partnership dated August 7, 2013 (filed as Exhibit 3.2(j) to the Quarterly Report on Form 10-Q filed on August 14, 2013 and incorporated herein by reference).
(l )
10th 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 February 28, 2018 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on March 5, 2018 and incorporated herein by reference).
(m )
11th 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 March 31, 2019 (filed as Exhibit 3.2(m) to the Annual Report on Form 10-K filed on March 30, 2020 and incorporated herein by reference).
 4.1
Description of Securities (filed as Exhibit 4.1 to the Annual Report on Form 10-K filed on March 25, 2021 and incorporated herein by reference).
10.1
Amended and Restated Management Agreement among the Partnership, the General Partner and Winton Capital Management Limited (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on July 9, 2014 and incorporated herein by reference).
10.2(a)
Amended and Restated Advisory Agreement among Transtrend Master, the General Partner and Transtrend B.V. (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on December 22, 2015 and incorporated herein by reference).
    (b)
Amendment to the Amended and Restated Advisory Agreement among Transtrend Master, the General Partner and Transtrend B.V. (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on February 28, 2017 and incorporated herein by reference).
10.3(a)
Management Agreement among the Partnership, the General Partner and Willowbridge Advisors, Inc. (filed as Exhibit 10.3 to the Quarterly Report on Form 10-Q filed on August 13, 2014 and incorporated herein by reference).
    (b)
Amendment to the Management Agreement among the Partnership, the General Partner and Willowbridge Associates Inc. (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on March 5, 2018 and incorporated herein by reference).
10.4(a)
Management Agreement among the Partnership, the General Partner and Systematica Investments Limited (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on September 18, 2015 and incorporated herein by reference).
    (b)
Amendment to the Management Agreement among the Partnership, the General Partner and Systematica Investments Limited (filed as Exhibit 10.4 to the Current Report on Form 8-K filed on July 27, 2016 and incorporated herein by reference).
10.5(a)
Management Agreement among the Partnership, the General Partner and John Street Capital LLP (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on February 6, 2019 and incorporated herein by reference).
    (b)
Novation Agreement by and among the Partnership, the General Partner, John Street Capital LLP and John Street Capital Limited (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on December 18, 2019 and incorporated herein by reference).
10.6
Management Agreement among the Partnership, the General Partner and FORT, L.P. (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on February 1, 2018 and incorporated herein by reference).
10.7
Management Agreement among the Partnership, the General Partner and Northlander Commodity Advisors LLP (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on April 5, 2019 and incorporated herein by reference).
10.8(a)
Amended and Restated Commodity Futures Customer Agreement between the Partnership and MS&Co., effective March 1, 2014 (filed as Exhibit 10.7 to the Annual Report on Form 10-K filed on March 28, 2014 and incorporated herein by reference).
    (b)
U.S. Treasury Securities Purchase Authorization Agreement, between the Partnership and MS&Co., effective June 1, 2015 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on November 4, 2015 and incorporated herein by reference).
    (c)
Supplement to the Amended and Restated Commodity Futures Customer Agreement among the Partnership, Winton Master, Transtrend Master, Willowbridge Master and MS&Co., dated July 25, 2017 (filed as Exhibit 10.5(c) to the Current Report on Form 8-K filed on July 28, 2017 and incorporated herein by reference).
10.9(a)
Amended and Restated Alternative Investment Selling Agent Agreement between the Partnership, the General Partner and Morgan Stanley Wealth Management, effective March 3, 2016 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on March 8, 2016 and incorporated herein by reference).
    (b)
Amendment to the Amended and Restated Alternative Investment Selling Agent Agreement between the Partnership, the General Partner and Morgan Stanley Wealth Management, effective July 1, 2020 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on July 8, 2020 and incorporated herein by reference).
    (c)
Amendment to the Amended and Restated Alternative Investment Selling Agent Agreement between the Partnership, the General Partner and Morgan Stanley Wealth Management, effective January 1, 2021 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 7, 2021 and incorporated herein by reference).
10.10
Form of Subscription Agreement (filed as Exhibit 10.6 to the Quarterly Report on Form 10-Q filed on November 14, 2012 and incorporated herein by reference).
10.11(a)
Escrow Agreement among Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and The Bank of New York (filed as Exhibit 10.8(a) to the Annual Report on Form 10-K filed on March 27, 2013 and incorporated herein by reference).
(b )
Amendment No. 5 to Escrow Agreement among Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC and The Bank of New York (filed as Exhibit 10.8(b) to the Annual Report on Form 10-K filed on March 27, 2013 and incorporated herein by reference).
10.12
Amended and Restated Master Services Agreement, by and among the Partnership, the General Partner and SS&C Technologies, Inc. (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 6, 2015 and incorporated herein by reference).
10.13
Management Agreement among the Partnership, the General Partner and Pan Capital Management LP (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on February 6, 2020 and incorporated herein by reference).
10.14
Management Agreement among the Partnership, the General Partner and Greenwave Capital Management LLC (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on October 6, 2020 and incorporated herein by reference).
10.15
Management Agreement among the Partnership, the General Partner and Quantica Capital AG (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on October 6, 2020 and incorporated herein by reference).
10.16
Management Agreement among the Partnership, the General Partner and Breakout Funds, LLC (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on July 7, 2021 and incorporated herein by reference).
10.17
Management Agreement among the Partnership, the General Partner and Drakewood Capital Management Limited, LLC (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on May 1, 2022 and incorporated herein by reference).
11.1
Foreign Exchange and Bullion Authorization Agreement between Winton Master and JPMorgan (filed as Exhibit 11.1 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.2
International Swap Dealers Association, Inc. Master Agreement between Winton Master and JPMorgan (filed as Exhibit 11.2 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.3
Schedule to International Swap Dealers Association, Inc. Master Agreement between Winton Master and JPMorgan (filed as Exhibit 11.3 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.4
2016 Credit Support Annex for Variation Margin to the Schedule to the International Swap Dealers Association, Inc. Master Agreement between Winton Master and JPMorgan (filed as Exhibit 11.4 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.5
Institutional Account Agreement between Winton Master and JPMorgan (filed as Exhibit 11.5 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.6
Foreign Exchange and Bullion Authorization Agreement between Transtrend Master and JPMorgan (filed as Exhibit 11.6 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.7
International Swap Dealers Association, Inc. Master Agreement between Transtrend Master and JPMorgan (filed as Exhibit 11.7 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.8
Schedule to International Swap Dealers Association, Inc. Master Agreement between Transtrend Master and JPMorgan (filed as Exhibit 11.8 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.9
2016 Credit Support Annex for Variation Margin to the Schedule to the International Swap Dealers Association, Inc. Master Agreement between Transtrend Master and JPMorgan (filed as Exhibit 11.9 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.10
Institutional Account Agreement between Transtrend Master and JPMorgan (filed as Exhibit 11.10 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.11
Foreign Exchange and Bullion Authorization Agreement among Willowbridge Master, Willowbridge and JPMorgan (filed as Exhibit 11.11 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.12
International Swap Dealers Association, Inc. Master Agreement between Willowbridge Master and JPMorgan (filed as Exhibit 11.12 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.13
Schedule to International Swap Dealers Association, Inc. Master Agreement between Willowbridge Master and JPMorgan (filed as Exhibit 11.13 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.14
2016 Credit Support Annex for Variation Margin to the Schedule to the International Swap Dealers Association, Inc. Master Agreement between Willowbridge Master and JPMorgan (filed as Exhibit 11.14 to the Quarterly Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
11.15
Institutional Account Agreement between Willowbridge Master and JPMorgan (filed as Exhibit 11.15 to the Quarterly
Report on Form 10-Q filed on August 10, 2017 and incorporated herein by reference).
12.1
Escrow Agreement by and among the Partnership, the General Partner, UMB Fund Services, Inc. and UMB Bank, N.A. (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 23, 2017 and incorporated herein by reference).
12.2
Transfer Agency Agreement by and among the Partnership, the General Partner and UMB Fund Services, Inc. (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on August 23, 2017 and incorporated herein by reference).
12.3(a)
Alternative Investment Selling Agent Agreement by and among the Partnership, the General Partner and Harbor Investment Advisory LLC (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 25, 2018 and incorporated herein by reference).
(b )
Amendment to the Alternative Investment Selling Agent Agreement by and among the Partnership, the General Partner and Harbor Investment Advisory LLC (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on July 8, 2020 and incorporated herein by reference).
(c )
Amendment to the Alternative Investment Selling Agent Agreement by and among the Partnership, the General Partner and Harbor Investment Advisory LLC (filed as Exhibit 10.2 to the Current Report on Form 8-K filed on January 7, 2021 and incorporated herein by reference).
99.1
Financial Statements of CMF TT II, LLC.
99.2
Financial Statements of CMF NL Master Fund LLC.
99.3
Financial Statements of CMF Drakewood Master Fund LLC.
The exhibits required to be filed by Item 601 of Regulations S-K are incorporated herein by reference.
31.1 - Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) (filed herewith).
31.2 - Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer) (filed herewith).
32.1 - Section 1350 Certification (Certification of President and Director) (filed herewith).
32.2 - Section 1350 Certification (Certification of Chief Financial Officer) (filed herewith).
101.INS Inline XBRL Instance Document.
101.SCH Inline XBRL Taxonomy Extension Schema Document.
101.CAL Inline XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB Inline XBRL Taxonomy Extension Label Linkbase Document.
101.PRE Inline XBRL Taxonomy Extension Presentation Linkbase Document.
101.DEF Inline XBRL Taxonomy Extension Definition Document.
104 Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).