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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
(X) ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2024
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the Transition period from
     
to
     
Commission File Number
0-50271
CERES ORION L.P.
 
 
(Exact name of registrant as specified in its charter)
 
New York
 
   
22-3644546
(State or other jurisdiction of
incorporation or organization)
   
(I.R.S. Employer
Identification No.)
c/o Ceres Managed Futures LLC
1585 Broadway
New York, New York 10036
 
(Address and Zip Code of principal executive offices)
(855) 672-4468
 
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None.
 
Title of each class   Trading symbol(s)     Name of each exchange on which registered 
N/A   N/A    N/A
Securities registered pursuant to Section 12(g) of the Act:
Redeemable Units of Limited Partnership Interest
        (Title of Class)
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
Yes
 
No
X
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.
Yes
 
No
X
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes
X
No
 
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation
S-T
(§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).
Yes
X
No
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
non-accelerated
filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule
12b-2
of the Exchange Act.
 
Large accelerated filer
  
   
Accelerated filer
 
   
Non-accelerated
filer
X
Smaller reporting company 
  
   
Emerging growth company
 
   
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
 
Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C 7262(b)) by the registered public accounting firm that prepared or issued its audit report.
 
If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. ☐
Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to
§240.10D-1(b).
☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule
12b-2
of the Exchange Act).
Yes
 
No
X
Limited Partnership Redeemable Units with an aggregate value of $323,202,260 were outstanding and held by
non-affiliates
as of the last business day of the registrant’s most recently completed second fiscal quarter.
As of February 28, 2025, 80,815.7468 Limited Partnership Class A Redeemable Units were outstanding and 2,351.6552 Limited Partnership Class Z Redeemable Units were outstanding.
DOCUMENTS INCORPORATED BY REFERENCE
[None]

PART I

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, 2024, 2023 and 2022 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, is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below) and Drakewood Master (as defined below) and was the trading manager of NL 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, 2024, all trading decisions were made for the Partnership by Transtrend B.V. (“Transtrend”), John Street Capital Limited (“JSCL”), Quantica Capital AG (“Quantica”), Opus Futures LLC (“Opus”) and Drakewood Capital Management Limited (“Drakewood”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor, or has otherwise represented that it is exempt from registration as a commodity trading advisor. On December 31, 2024, the Partnership fully redeemed its investment from CMF NL Master Fund LLC (“NL Master”). Also effective December 31, 2024, Breakout Funds LLC (“Breakout”) ceased to act as commodity trading advisor to the Partnership. Effective December 31, 2024, Northlander Commodity Advisors LLP (“Northlander”) ceased to act as a commodity trading advisor to the Partnership. 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. References herein to the “Advisors” may include, as relevant, Breakout, Northlander, 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, 2024, Opus directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Opus’s Advanced Ag Program. The General Partner and Opus have agreed that Opus will trade the Partnership’s assets allocated to Opus 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.

 

1

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 December 31, 2024, Breakout directly traded 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 had agreed that Breakout would trade the Partnership’s assets allocated to Breakout at 1.0 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future, subject to certain restrictions.

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, 2024, 2023 and 2022, 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 Drakewood Master Fund LLC (“Drakewood Master”) has, and prior to its full redemption, NL Master had, entered into futures brokerage account agreements with MS&Co. Transtrend Master and Drakewood Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, NL 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, 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.

 

2

On April 1, 2019, the Partnership allocated a portion of its assets to NL Master, a limited liability company organized under the limited liability company laws of the State of Delaware. NL Master permitted accounts managed by Northlander using Northlander’s Commodity Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner was also the trading manager of NL Master. On December 31, 2024, the Partnership fully redeemed its investment from NL Master.

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.

The General Partner is not aware of any material changes to any of the trading programs discussed above during the year ended December 31, 2024.

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.

 

3

For the period January 1, 2024 through December 31, 2024, the approximate average market sector distribution for the Partnership was as follows:

 

LOGO

At December 31, 2024, the Partnership owned 100.0% of Transtrend Master and approximately 58.7% of Drakewood Master. 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. 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 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 July 1, 2024, the Partnership pays Opus a monthly management fee equal to 1/12 of 1.0% (1.0% per year) of month-end net assets allocated to Opus. 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 July 1, 2021 until its termination on December 31, 2024, Breakout received a monthly management fee equal to 1% per year of month-end net assets allocated to Breakout. From April 1, 2019 until its termination December 31, 2024, Northlander received a monthly management fee equal to 1.25% per year of month-end net assets allocated to Northlander. 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. 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

 

4

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.

The Partnership is obligated to pay Quantica and Drakewood an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned by Quantica and Drakewood, respectively, for the Partnership during each calendar year. The Partnership is obligated to pay Opus an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in its Management Agreement, earned by Opus 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 termination effective December 31, 2024, Breakout was eligible to receive 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. Prior to its termination effective December 31, 2024, Northlander 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 Northlander for the Partnership. 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. 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 (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 (“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, 2024 and 2023, the amount of cash held by the Partnership for margin requirements was $45,609,297 and $64,815,574, 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.

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

 

5

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 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, 2025, 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 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, 2024 was $276,255,829.

(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.

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.

 

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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.

 

8

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, the armed conflict between Israel and Hamas 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.
Item 1C.
Cyber Security
.
Risk management and strategy
The Partnership has no directors or executive officers and its affairs are managed by its General Partner. The General Partner is a wholly-owned subsidiary of MSCM. MSCM is ultimately owned by Morgan Stanley. Morgan Stanley, its businesses, the General Partner, the Partnership, and the broader financial services industry face an increasingly complex and evolving threat environment. Morgan Stanley has made and continues to make substantial investments in cybersecurity and fraud prevention technology, and employ experienced talent to lead its Cybersecurity and Information Security organizations and program under the oversight of the Morgan Stanley Board of Directors (the “Board”) and the Operations and Technology Committee of the Board (the “BOTC”). See “Risk Factors – The General Partner, the Partnership, the Funds and their respective service providers (including the Advisors) and operations are potentially vulnerable to cyber-security attacks or incidents” for information on risks to the Partnership from cybersecurity threats.
As part of its enterprise risk management (“ERM”) framework, Morgan Stanley has implemented and maintains a program to assess, identify and manage risks arising from the cybersecurity threats (the “Cybersecurity Program”). The Cybersecurity Program has been adopted by the General Partner, and applies to its business, as relevant. The Cybersecurity Program helps protect Morgan Stanley’s clients, customers, employees, property, products, services and reputation by seeking to preserve the confidentiality, integrity and availability of information, enable the secure delivery of financial services, and protect the business and the safe operation of Morgan Stanley’s technology systems. Morgan Stanley continually adjusts the Cybersecurity Program to address the evolving cybersecurity threat landscape and comply with extensive legal and regulatory expectations.
Processes for assessing, identifying and managing material risks from cybersecurity threats
The Cybersecurity Program takes into account industry best practices and addresses risks from cybersecurity threats to Morgan Stanley’s network, infrastructure, computing environment and the third parties that Morgan Stanley, and its affiliates rely on. Morgan Stanley periodically assesses the design of its cybersecurity controls against the Cyber Risk Institute Cyber Profile, which is based on the National Institute of Standards and Technology (“NIST”) Cybersecurity Framework for Improving Critical Infrastructure Cybersecurity, as well as global cybersecurity regulations, and develops improvements to those controls in response to that assessment. The Cybersecurity Program also includes cybersecurity and information security policies, procedures and technologies that are designed to address regulatory requirements and to protect clients’, employees’ and Morgan Stanley’s own data against unauthorized disclosure, modification and misuse. These policies, procedures and technologies cover a broad range of areas, including: identification of internal and external threats, access control, data security, protective controls, detection of malicious or unauthorized activity, incident response, and recovery planning.
 
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Table of Contents
The threat intelligence function within the Cybersecurity Program actively engages in private and public information sharing communities and leverages both commercial and proprietary products to collect a wide variety of industry and governmental information regarding the latest cybersecurity threats, which informs the cybersecurity risk assessments and strategy. This information is also provided to an internal forensics team, which develops and implements technologies designed to help detect these cybersecurity threats. Where a potential threat is identified, an incident response team evaluates the potential impact, and coordinates remediation where required. These groups, as well as Morgan Stanley’s Operational Risk Department (the “Operational Risk Department”), review external cybersecurity incidents that may be relevant to Morgan Stanley and its affiliates, and the outcomes of these incidents further inform the design of the Cybersecurity Program. In addition, Morgan Stanley maintains a robust global training program on cybersecurity risks and requirements and conducts regular phishing email simulations for its employees and consultants.
The cybersecurity processes are designed to help oversee, identify and mitigate risks associated with Morgan Stanley’s use of third-party vendors. Morgan Stanley maintains a third-party risk management program that includes evaluation of, and response to, cybersecurity risks at its third-party vendors. Prior to engaging third-party vendors to provide services, Morgan Stanley conducts assessments of the third-party vendors’ cybersecurity programs to identify the impact of their services on the cybersecurity risks to Morgan Stanley. Once
on-boarded,
third-party vendors’ cybersecurity programs are subject to risk-based oversight
, which may include security questionnaires, submission of independent security audit reports or an audit of the third-party vendor’s security program, and, with limited exceptions, third-party vendors are required to meet Morgan Stanley’s cybersecurity standards. Where a third-party vendor cannot meet those standards, its services, and the residual risk, are subject to review, challenge and escalation through Morgan Stanley’s risk management processes and ERM committees, which may ultimately result in requesting increased security measures or ceasing engagement with such third-party vendor.
The Cybersecurity Program is regularly assessed by Morgan Stanley’s Internal Audit Department (“IAD”) through various assurance activities, with the results reported to the Audit Committee of the Board (“BAC”) and the BOTC. Annually, certain elements of the Cybersecurity Program are subject to an audit by an independent consultant, as well as an assessment by a separate, independent third party, the results of which, including opportunities identified for improvement and related remediation plans, are reviewed with the BOTC. The Cybersecurity Program is also examined regularly by Morgan Stanley’s prudential and conduct regulators within the scope of their jurisdiction.
 
10
Table of Contents
Governance
Morgan Stanley Management’s role in assessing and managing material risks from cybersecurity threats The Cybersecurity Program is operated and maintained by management, including Morgan Stanley’s Chief Information Officer of Cyber, Data, Risk and Resilience (“CIO”) and Morgan Stanley’s Chief Information Security Officer (“CISO”). These senior officers are responsible for assessing and managing the Firm’s cybersecurity risks. The General Partner adheres to the Cybersecurity Program’s policies and participates in periodic testing. The Cybersecurity Program strategy, which is set by the CISO and overseen by the Head of the Operational Risk Department, is informed by various risk and control assessments, control testing, external assessments, threat intelligence, and public and private information sharing. The Cybersecurity Program also includes processes for escalating and considering the materiality of incidents that impact Morgan Stanley and its affiliates, including escalation to senior management and the Board, which are periodically tested through tabletop exercises.
The members of management that lead the Cybersecurity Program and strategy have extensive experience in technology, cybersecurity and information security. The CIO has over 30 years of experience in various engineering, IT, operations and information security roles. The CISO has over 25 years of experience leading cybersecurity teams at financial institutions, including in the areas of IT strategy, risk management and information security. The Head of the Operational Risk Department has over 20 years of experience in technology, security and compliance roles, including experience in government security agencies.
Risk levels and mitigating measures are presented to and monitored by dedicated management-level cybersecurity risk committees. These committees include representatives from management as well as business and control stakeholders who review, challenge and, where appropriate, consider exceptions to its policies and procedures. Significant cybersecurity risks are escalated from these committees to Morgan Stanley’s
non-financial
risk committee. The CIO and the Head of the Operational Risk Department report on the status of the Cybersecurity Program, including significant cybersecurity risks; review metrics related to the program; and discuss the status of regulatory and remedial actions and incidents to Morgan Stanley’s
non-financial
risk committee, the BOTC and the Board, as appropriate.
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.
 
11

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 2024, 2023, 2022, 2021, and 2020. 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 or other 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.

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 Company’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

 

12

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 May 17, 2013, the 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 the 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 the 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, inter alia, 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 the plaintiff by the Company was approximately $116 million. On August 11, 2016, the Appellate Division affirmed the trial court’s order denying in part the Company’s motion to dismiss the complaint. On July 15, 2022, the Company filed a motion for summary judgment on all remaining claims. 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 26, 2024, the Appellate Division affirmed the trial court’s summary judgment order. On August 27, 2024, the plaintiff notified the court that in light of the court’s rulings to exclude certain evidence at trial, the plaintiff could not prove its claims at trial, and requested that the court dismiss the case, subject to its right to appeal the evidentiary rulings. On August 28, 2024, the court dismissed the case, and judgment was entered in the Company’s favor. The plaintiff has filed notices of appeal.

Beginning in February of 2016, the Company was named as a defendant in multiple purported antitrust class 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 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, inter alia, 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 February 28, 2024, the parties reached an agreement in principle to settle the class claims. On July 11, 2024, the court granted preliminary approval of the settlement.

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 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 seeks certification of the class of plaintiffs and unspecified compensatory damages and alleges, inter alia, that the Viacom offering documents for both issuances contained material misrepresentations and omissions because they did not disclose that certain of the underwriters, including the Company, had prime brokerage relationships and/or 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 also 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 motions to dismiss as to the Company and the other underwriters, but granting the motion to dismiss as to Viacom and the Viacom individual defendants. On February 15, 2023, the underwriters, including the Company, filed their notices of appeal of the denial of their motions to dismiss. On March 10, 2023, the plaintiff appealed the dismissal of Viacom and

 

13

the individual Viacom defendants. On April 4, 2024, the Appellate Division upheld the lower court’s decision as to the Company and other underwriter defendants that had prime brokerage relationships and/or served as counterparties to certain derivative transactions with Archegos, dismissed the remaining underwriters, and upheld the dismissal of Viacom and its officers and directors. On July 25, 2024, the Appellate Division denied the plaintiff’s and the Company’s respective motions for leave to reargue or appeal the April 4, 2024 decision. On January 4, 2024, the court granted the plaintiff’s motion for class certification, which the defendants have appealed.

The Company is a defendant in three antitrust class action complaints which have been consolidated into one proceeding in the United States District Court for the SDNY under the caption City of Philadelphia, 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 relevant state laws in connection with alleged efforts to artificially inflate interest rates for Variable Rate Demand Obligations (“VRDO”). The consolidated complaint seeks, inter alia, certification of the class of plaintiffs and treble damages. The complaint was filed on behalf of a class of municipal issuers of VRDO for which defendants served as remarketing agent. On November 2, 2020, the court granted in part and denied in part the defendants’ motion to dismiss the consolidated complaint, dismissing state law claims, but denying dismissal of the U.S. antitrust claims. On September 21, 2023, the court granted plaintiffs’ motion for class certification. On February 5, 2024, the United States Court of Appeals for the Second Circuit granted leave to appeal that decision.

On February 21, 2025, the U.K. Competition and Markets Authority announced a settlement with an affiliate of the Company, as well as other financial institutions, in connection with its investigation of suspected anti-competitive arrangements in the financial services sector, specifically regarding the affiliate’s activities concerning certain liquid fixed income products between 2009 and 2012. Separately, on June 16, 2023, the affiliate and the Company, together with a number of other financial institutions, were named as defendants in a purported antitrust class action in the United States District Court for the SDNY styled Oklahoma Firefighters Pension and Retirement System v. Deutsche Bank Aktiengesellschaft, et al., alleging, inter alia, that they violated U.S. antitrust laws in connection with their alleged effort to fix prices of gilts traded in the United States between 2009 and 2013. The complaint seeks, inter alia, certification of the class of plaintiffs and treble damages. On September 16, 2024, the court granted defendants’ joint motion to dismiss, and the complaint was dismissed without prejudice. The Firm and other defendants have reached an agreement in principle to settle the U.S. litigation.

Settled 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 sought, 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 Company reached an agreement in principle to settle the litigation. The final agreement became effective on January 30, 2024.

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, inter alia, to rescind the plaintiff’s purchase of such certificates. On November 4, 2021, the Company entered into 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 alleged, inter alia, that the Company, together with a number of other financial institution defendants, violated U.S. antitrust laws and New York

 

14

state law in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for securities lending. The complaint was filed on behalf of a purported class of borrowers and lenders who entered into stock loan transactions with the defendants. The complaint sought, inter alia, certification of the class of plaintiffs and treble damages. On September 27, 2018, the court denied the defendants’ motion to dismiss the 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 Company reached an agreement in principle to settle the litigation. On September 11, 2024, the court granted final 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, inter alia, 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.

 

15

Item 4. Mine Safety Disclosures. Not Applicable.

 

16

PART II

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 28, 2025 was 2,139 for Class A Redeemable Units and 36 for Class Z Redeemable Units.

 

  (c)

Dividends. The Partnership did not declare any distributions in 2024 or 2023. 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, 2024, there were subscriptions of 1,340.4160 Redeemable Units of Class A totaling $4,501,680 and 151.3150 Redeemable Units of Class Z totaling $204,425. 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. 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**

     

Class Z

(a) Total Number of
Redeemable

Units Purchased*

     

Class Z

(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, 2024 - October 31, 2024

      1,283.6520      $  3,164.70        N/A        N/A      N/A    N/A

November 1, 2024 - November 30, 2024

      1,086.7540      $ 3,230.50        N/A        N/A      N/A    N/A

December 1, 2024 - December 31, 2024

      517.2200      $ 3,236.88        291.9180      $  1,366.17      N/A    N/A
       2,887.6260      $ 3,202.39        291.9180      $ 1,366.17            

 

  *

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.

 

17

Item 6. Reserved.

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: Opus - Opus Advanced Ag Program; 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. As of December 31, 2024 and September 30, 2024, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:

 

Advisor

    December 31, 2024      December 31, 2024
(percentage of Partners’ Capital)		     September 30, 2024      September 30, 2024
(percentage of Partners’ Capital)		  

Transtrend

    $  64,846,007        23  %    $  60,550,462        21  % 

Northlander

    $ 9,309,874        3  %    $ 16,025,947        6  % 

Drakewood

    $    24,935,234        9  %    $ 28,650,630        10  % 

JSCL

    $ 71,264,344        26  %    $    70,128,963        24  % 

Quantica

    $ 47,553,672        17  %    $ 49,636,942        17  % 

Breakout

    $ 13,163,883        5  %    $ 20,436,363        7  % 

Opus

    $ 24,185,894        9  %    $ 22,972,165        8  % 

Unallocated

    $ 20,996,921        8  %    $ 19,175,792        7  % 

 

18

Opus Futures, LLC

Opus trades the Partnership’s assets allocated to it directly pursuant to Opus’ Advanced Ag Program (the “Program”). The General Partner and Opus have agreed that Opus will trade the Partnership’s assets allocated to Opus at 1.5 times the amount of the assets allocated. The Program is a fundamental discretionary strategy primarily focused on agricultural commodities, specifically grains, oilseeds, and livestock. Opus takes a medium-to-long term outlook, typically holding trades for several weeks up to several months, depending on the opportunity set.

Opus only trades on liquid North American exchanges, using both futures and options on futures to express ideas using directional positions and, occasionally, using spread trades, such as inter-commodity and calendar spreads. Typically trades focus on ‘old crop vs, new crop’, weather and cyclical seasonality. Fundamental analysis is used in forecasting U.S. and world supply and demand tables, monitoring U.S. and world weather, studying domestic and international freight values, and tracking underlying cash values associated with agriculture futures markets.

The portfolio is intentionally concentrated on a limited number of grains and livestock markets. Position and risk management are at the trader’s discretion, meaning there were no hard-coded portfolio or position stop-outs.

Breakout Funds, LLC

The portion of the Partnership’s assets that were allocated to Breakout were 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.

 

19

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 were allocated to Northlander for trading were not invested in commodity interests directly. Northlander’s allocation of the Partnership’s assets was invested in NL Master. Northlander trades the Partnership’s assets allocated to it pursuant to its Northlander Commodity Program. The Northlander Commodity Program was a commodity focused trading program which invested in energy products globally, but with an emphasis on European power, European gas, European emissions, and international coal markets. The program was 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.

 

20

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.

 

21

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, 2024 through December 31, 2024, the average allocation by commodity market sector for each of the Funds was as follows:

Transtrend Master

Currencies

         31.0  % 

Energy

         7.6  % 

Grains

         11.0  % 

Indices

         18.6  % 

Interest Rates U.S.

         6.0  % 

Interest Rates Non-U.S.

         11.3  % 

Livestock

         1.8  % 

Metals

         6.2  % 

Softs

         6.5  % 

NL Master

Energy

         100.0  % 

Drakewood Master

Currencies

         1.8  % 

Metals

         98.2  % 

 

22

(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, 2024.

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, 2024 through December 31, 2024, the Partnership’s average margin to equity ratio (i.e., the percentage of assets on deposit required for margin) was approximately 12.6%. 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 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 1.3% to 13.4% of the Partnership’s/Funds’ contracts are traded OTC.

 

23

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’ 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.

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.

 

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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, 2024, 13,997.9410 limited partner Redeemable Units of Class A were redeemed totaling $47,555,135, 667.5770 limited partner Redeemable Units of Class Z were redeemed totaling $943,147 and 404.4100 General Partner Redeemable Units of Class Z were redeemed totaling $575,430. 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.

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, 2024, there were subscriptions of 1,340.4160 limited partner Redeemable Units of Class A totaling $4,501,680 and 151.3150 limited partner Redeemable Units of Class Z totaling $204,425. 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.

(c) Results of Operations.

For the year ended December 31, 2024, the net asset value per Redeemable Unit for Class A decreased 3.3% from $3,346.39 to $3,236.88. For the year ended December 31, 2024, the net asset value per Redeemable Unit for Class Z decreased 2.5% from $1,401.81 to $1,366.17. 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.

The Partnership experienced a net trading loss of $8,792,019 before fees and expenses in 2024. Losses were primarily attributable to the Partnership’s/Funds’ trading in currencies, energy, grains, livestock, metals and non-U.S. interest rates and were partially offset by gains in indices, U.S. interest rates and softs.

During the first quarter of 2024, the Partnership’s largest gains were achieved within the agricultural markets from long positions in cocoa futures as prices surged higher during each month of the first quarter amid concerns extremely hot weather in key West African growing regions would damage crops. Gains within the global stock index sector were also achieved during each month of the first quarter from long positions in Asian, European, and U.S. equity index futures amid an outlook for global central banks to be aggressive in cutting interest rates. Additional gains for the first quarter were achieved within the currency sector during January, February and March primarily from short positions in the Japanese yen versus the U.S. dollar as the dollar strengthened relative to the yen. In the energies, gains were recorded throughout the first quarter from long positions in Brent crude oil futures as oil prices moved higher amid strengthening demand and on concerns mounting geopolitical tensions could curtail oil production. Gains were also achieved throughout the first quarter from long positions in shipping freight index futures as attacks on shipping tankers in the Red Sea pushed prices higher. A portion of the Partnership’s overall gains for the first quarter was offset by losses incurred within the global fixed income sector primarily during January and February from long positions in European fixed income futures amid a murky outlook on Eurozone central bank actions to battle inflation.

During the second quarter of 2024, the Partnership’s largest losses were recorded in the energies from long positions in crude oil futures and its refined products during April, May, and June as prices reversed lower amid data indicating growing inventories. In the global stock index markets, losses were recorded during April from long positions in U.S., Asian, and European stock index futures amid a “risk-off” move by investors. Losses in the agriculturals were also experienced in the second quarter from short positions in wheat futures during April and June as prices advanced amid high demand for U.S. grain exports. Further losses were experienced within the global fixed income markets from short positions in European fixed income futures during April and June and from short positions in U.S. Treasury bond and Treasury note futures during May and June. In currencies, losses were incurred primarily during June from long positions in the Mexican peso as the value of peso dropped after proposed government reform’s spooked investors. A portion of the losses for the second quarter was offset by gains achieved within the metals sector during April and May from long positions in copper futures as prices rallied amid speculation of Chinese stimulus measures. Additional gains were experienced during April from long positions in global shipping freight index futures as continued attacks on tankers in the Red Sea boosted prices.

 

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During the third quarter of 2024, the Partnership’s most notable losses were incurred within the currency sector during July and August from short positions in the Japanese yen versus the U.S. dollar as the relative value of the yen surged higher as the Bank of Japan raised interest rates. In the energies, losses were recorded from long positions in crude oil futures throughout the quarter as oil prices steadily declined amid high global inventories. Losses in the global stock index sector were experienced primarily during August from long positions in Asian, European, and U.S. equity index futures as stock prices dropped amid a sell-off in technology stocks. In the agricultural complex, losses were incurred during September from short positions in soybean, wheat, and corn futures as grain prices reversed higher amid a wave of global buying. In the metals, losses were experienced during July from long positions in copper futures as prices declined. A portion of the Partnership’s losses for the third quarter was offset by gains achieved within the global fixed income sector during September from long positions in U.S., Canadian, and European fixed income futures as prices rose and interest rate yields across the globe fell. Additional gains were recorded in July and September from long positions in shipping freight futures as prices rallied amid concerns growing tensions in the Middle East would disrupt key trade routes.

During the fourth quarter 2024, the Partnership’s most significant losses were incurred during October from long positions in U.S., Canadian and European fixed income futures as persistent inflation cast doubt on future interest rate cuts by global central banks. In the energies, losses were recorded during November and December from short positions in European electrical power futures. Losses in the global stock index markets for the fourth quarter were incurred during October and December from long positions in U.S. equity index futures as investors pulled back from stock purchasing. Additional losses during the fourth quarter were recorded in November from long positions in gold futures. A portion of the Partnership’s losses for the fourth quarter was offset by gains achieved in currencies during December from short positions in the Canadian dollar and euro versus the U.S. dollar. Gains in the agricultural markets were recorded during November and December from long positions in cocoa futures as continued adverse weather threatened crops in Africa. Gains from long positions in global freight futures were also experienced throughout the fourth quarter.

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.

 

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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 results of operations for the twelve months ended 2022 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, 2022.

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, 2024 decreased by $1,080,153 and $1,686,219, respectively, as compared to the corresponding periods in 2023. The decrease in interest income is primarily due to lower interest rates during the three and twelve months ended December 31, 2024 as compared to the corresponding periods in 2023. 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, 2024 decreased by $184,323 and $272,561, respectively, as compared to the corresponding periods in 2023. The decrease in these clearing fees is primarily due to a decrease in the number of direct trades made by the Partnership during the three and twelve months ended December 31, 2024, as compared to the corresponding periods in 2023.

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, 2024 decreased by $128,849 and $425,429, respectively, as compared to the corresponding periods in 2023. 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, 2024 as compared to the corresponding periods in 2023.

 

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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, 2024 decreased by $240,156 and $243,648, respectively, as compared to the corresponding periods in 2023. The decrease in management fees is due to lower average adjusted net assets during the three and twelve months ended December 31, 2024 as compared to the corresponding periods in 2023.

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, 2024 decreased by $131,373 and $433,697, respectively, as compared to the corresponding periods in 2023. The decrease in the General Partner fee is due to lower average adjusted net assets during the three and twelve months ended December 31, 2024 as compared to the corresponding periods in 2023.

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, 2024 resulted in incentive fees of $165,306 and $1,178,462, respectively. Trading performance for the three and twelve months ended December 31, 2023 resulted in incentive fees of $0 and $172,212, 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, 2024 and 2023 were $994,763 and $850,814, 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

 

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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, 2024, the Partnership carries its investment in Drakewood Master based on the Partnership’s (1) net contributions to Drakewood Master and (2) its allocated share of the undistributed profit and losses, including realized gains (losses) and net change in unrealized gains (losses) of NL Master and Drakewood Master. 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 profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of NL Master and Drakewood Master. 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.

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.

 

30

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, 2024, JSCL, Quantica, Breakout and Opus 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, Breakout and Opus, as applicable) and indirectly by each Fund separately as of December 31, 2024 and 2023.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of December 31, 2024 and 2023. As of December 31, 2024, the Partnership’s total capitalization was $276,255,829.

December 31, 2024

 

Market Sector     

    Value at Risk       % of Total 
 Capitalization 		  

Currencies

     $ 9,580,853        3.47  % 

Energy

      6,737,403        2.44   

Grains

      4,691,569        1.70   

Indices

      7,972,540        2.89   

Interest Rates U.S.

      3,425,445        1.24   

Interest Rates Non-U.S.

      4,175,916        1.51   

Livestock

      1,676,071        0.61   

Metals

      7,628,132        2.76   

Softs

      3,427,044        1.24   
  

 

 

     

 

 

  

Total

     $    49,314,973           17.86  % 
  

 

 

     

 

 

  

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  % 
  

 

 

     

 

 

  

 

31

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, 2024 and 2023, 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, 2024 and 2023, the Partnership’s Value at Risk for the portion of its assets that were traded directly was as follows:

December 31, 2024

 

                   Twelve Months Ended December 31, 2024     

Market Sector    

   Value at Risk     % of Total
Capitalization		     High
Value at Risk		      Low
Value at Risk		      Average
Value at Risk*		  

Currencies

    $ 3,538,222        1.28  %    $ 5,906,349      $ 1,235,256      $ 3,340,748  

Energy

     5,024,692        1.82         16,471,138         4,112,211         6,984,108  

Grains

     2,372,341        0.86        3,369,761        1,227,310        2,064,105  

Indices

     5,385,437        1.95        10,982,037        3,410,115        6,425,361  

Interest Rates U.S.

     2,232,780        0.81        4,159,563        912,707        2,367,314  

Interest Rates Non-U.S.

     2,273,366        0.82        3,407,293        1,312,185        2,339,506  

Livestock

     696,548        0.25        863,858        244,173        592,765  

Metals

     2,105,866        0.76        5,237,520        1,052,863        2,491,318  

Softs

     1,560,169        0.56        3,620,646        928,600        1,935,506  
 

 

 

    

 

 

          

Total

    $  25,189,421           9.11  %         
 

 

 

    

 

 

          

 

  *

Annual average of daily Values at Risk.

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.

 

32

At December 31, 2024, Transtrend Master’s total capitalization was $64,846,307 and the Partnership owned 100.0% of Transtrend Master. As of December 31, 2024, 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, 2024

 

                     Twelve Months Ended December 31, 2024    

Market Sector    

    Value at Risk      % of Total
Capitalization		     High
Value at Risk		      Low
Value at Risk		      Average
Value at Risk*		  

Currencies

     $ 6,020,096         9.28  %    $ 11,495,430      $ 3,731,646      $ 6,726,733  

Energy

      1,712,711         2.64         2,768,692        221,450        1,611,431  

Grains

      2,319,228         3.58        3,788,403        671,194        2,379,264  

Indices

      2,587,103         3.99        5,614,611         2,242,760         3,984,858  

Interest Rates U.S.

      1,192,665         1.84        2,851,300        191,081        1,301,359  

Interest Rates Non-U.S.

      1,902,550         2.93        3,392,189        1,460,160        2,408,229  

Livestock

      979,523         1.51        979,523        80,075        367,249  

Metals

      1,537,540         2.37        1,640,189        782,875        1,281,369  

Softs

      1,866,875         2.88        1,866,875        942,578        1,361,640  
  

 

 

     

 

 

          

Total

     $  20,118,291            31.02  %         
  

 

 

     

 

 

          

 

  *

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.

 

33

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, 2024, Drakewood Master’s total capitalization was $42,341,747 and the Partnership owned 58.7% of Drakewood Master. As of December 31, 2024, 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, 2024

 

                     Twelve Months Ended December 31, 2024     

Market Sector       

    Value at Risk      % of Total
Capitalization		     High
Value at Risk		      Low
Value at Risk		      Average
Value at Risk*		  

Currencies

     $ 38,390        0.09  %    $ 204,050      $ -       $ 106,063  

Metals

      6,788,289        16.03         9,052,374         3,500,321         6,499,735  
  

 

 

     

 

 

          

Total

     $  6,826,679           16.12  %         
  

 

 

     

 

 

          

 

  *

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.

 

34

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.”

 

35

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, 2024, 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, 2024, the Partnership’s primary exposures were in the Nikkei 225 (Japan), DAX (Germany), S&P/TSX 60 (Canada), SPI 200 (Australia), CBOE VIX Volatility Index (U.S.), IBEX 35 (Spain), CAC 40 (France), SGX MSCI Singapore (Singapore), and Hang Seng (Hong Kong/China) stock indices. The Partnership is primarily exposed to the risk of adverse price trends or static markets in the major Asian, European, and North American 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, palm oil, and the soybean complex accounted for the majority of the Partnership’s grain exposure as of December 31, 2024.

Metals. The Partnership’s primary metal market exposure as of December 31, 2024, was to fluctuations in the prices of industrial metals (such copper, iron, lead, nickel, tin, zinc, and aluminum) and precious metals (such as gold, silver, platinum, and palladium). Price movement in both industrial and precious metals can be driven by fluctuation in the valuations between currency pairs, geopolitical events, economic conditions globally and regionally, trade policies, regulatory restrictions, as well as other supply and demand related factors.

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, as well as geopolitical events and other supply/demand related factors. Coffee, cocoa, sugar, and cotton accounted for the majority of the Partnership’s soft commodities exposure as of December 31, 2024.

 

36

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 prices for European electric power, carbon emissions allowances, and coal, which can be driven by geopolitical events, climate related regulations, local government imposed regulations, weather related factors, availability of substitute power and fuel sources, and other supply/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 U.S. 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, 2024.

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.

 

37

2021 2022 2023 2024
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, 2024, 2023, and 2022; Consolidated Statements of Financial Condition at December 31, 2024 and 2023; Consolidated Condensed Schedules of Investments at December 31, 2024 and 2023; Consolidated Statements of Income and Expenses for the years ended December 31, 2024 and 2023; Statement of Income and Expenses for the year ended December 31, 2022; Consolidated Statements of Changes in Partners’ Capital for the years ended December 31, 2024 and 2023; Statement of Changes in Partners’ Capital for the year ended December 31, 2022; and Notes to Consolidated Financial Statements. Additional financial information has been filed as Exhibits to this Form
10-K.
 
38
Table of Contents
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
New York, NY 10036
(855)
672-4468
 
39
Table of Contents
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, 2024. 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, 2024 based on the criteria referred to above.
 
LOGO
 
     
LOGO
 
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.
 
40
Table of Contents
LOGO
 
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 statements of financial condition of Ceres Orion L.P. (the Partnership), including the consolidated condensed schedules of investments, as of December 31, 2024 and 2023, the related consolidated statements of income and expenses and changes in partners’ capital for each of the two years in the period ended December 31, 2024, and the statement of changes in partners’ capital for the year 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, 2024 and 2023, and the results of its operations and changes in its partners’ capital for each of the three years in the period ended December 31, 2024, 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.
 
LOGO
We have served as the auditor of the Partnership since 2017.
Boston, MA
March 20, 2025
 
41
Table of Contents
Ceres Orion L.P.
Consolidated Statements of Financial Condition
December 31, 2024 and 2023
 
    
December 31,
2024
     
December 31,
2023
  
Assets:
      
Investment in the Funds
(1)
, at fair value (Note 6)
     $ 24,935,235       $ 59,188,572  
Redemptions receivable from the Funds
      9,403,496        2,158,223  
  
 
 
     
 
 
  
Equity in trading account:
      
Unrestricted cash (Note 3c)
      190,226,056        208,419,594  
Restricted cash (Note 3c)
      45,609,297        64,815,574  
Foreign cash (cost $3,347,538 and $2,604,289
at December 31, 2024 and 2023, respectively)
      3,213,658        2,662,887  
Net unrealized appreciation on open futures contracts
      3,276,793        2,110,733  
Net unrealized appreciation on open forward contracts
      320,007        -     
Options purchased, at fair value (premiums paid $4,411,329 and $683,600
at December 31, 2024 and 2023, respectively)
      3,905,070        378,388  
  
 
 
     
 
 
  
Total equity in trading account
      246,550,881        278,387,176  
  
 
 
     
 
 
  
Interest receivable (Note 3c)
      698,631        923,536  
  
 
 
     
 
 
  
Total assets
     $ 281,588,243       $ 340,657,507  
  
 
 
     
 
 
  
Liabilities and Partners’ Capital:
      
Liabilities:
      
Net unrealized depreciation on open forward contracts
     $ -          $ 233,618  
Options written, at fair value (premiums received $1,973,789 and $0 at
December 31, 2024 and 2023, respectively)
      2,005,080        -     
Accrued expenses:
      
Ongoing selling agent fees (Note 3d and 3e)
      170,277        207,655  
Management fees (Note 3b)
      223,127        299,507  
General Partner fees (Note 3a)
      174,451        212,433  
Incentive fees
      165,306        -     
Professional fees
      246,184        272,698  
Redemptions payable to General Partner (Note 7)
      275,000        250,017  
Redemptions payable to Limited Partners (Note 7)
      2,072,989        9,980,865  
  
 
 
     
 
 
  
Total liabilities
      5,332,414        11,456,793  
  
 
 
     
 
 
  
Partners’ Capital (Notes 1 and 7):
      
General Partner, Class Z, 2,155.6123 and 2,560.0223 Redeemable Units
outstanding at December 31, 2024 and 2023, respectively
      2,944,939        3,588,668  
Limited Partners, Class A, 83,376.4938 and 96,034.0188 Redeemable Units
outstanding at December 31, 2024 and 2023, respectively
      269,879,571        321,367,518  
Limited Partners, Class Z, 2,511.6262 and 3,027.8882 Redeemable Units
outstanding at December 31, 2024 and 2023, respectively
      3,431,319        4,244,528  
  
 
 
     
 
 
  
Total partners’ capital (net asset value)
      276,255,829        329,200,714  
  
 
 
     
 
 
  
Total liabilities and partners’ capital
     $  281,588,243       $   340,657,507  
  
 
 
     
 
 
  
Net asset value per Redeemable Unit:
      
Class A
     $ 3,236.88       $ 3,346.39  
  
 
 
     
 
 
  
Class Z
     $ 1,366.17       $ 1,401.81  
  
 
 
     
 
 
  
(1)
Defined in Note 1.
See accompanying notes to consolidated financial statements.
 
42
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Ceres Orion L.P.
Consolidated Condensed Schedule of Investments
December 31, 2024
    
Number of
Contracts
          
Fair Value
           
% of Partners’
Capital
  
Futures Contracts Purchased
                       
Currencies
      2,646          $ (780,433 )         (0.28 )  % 
Energy
      1,308           2,541,602          0.92  
Grains
      2,720           1,020,889          0.37  
Indices
      2,006           (2,309,267 )         (0.83 ) 
Interest Rates U.S.
      1,036           31,200          0.01  
Interest Rates
Non-U.S.
      5,729           (1,794,161 )         (0.65 ) 
Livestock
      739           782,572          0.28  
Metals
      476           (1,464,791 )         (0.53 ) 
Softs
      935           3,544,892          1.28  
        
 
 
       
 
 
  
Total futures contracts purchased
            1,572,503          0.57  
        
 
 
       
 
 
  
Futures Contracts Sold
              
Currencies
      4,179           4,429,485          1.60  
Energy
      1,257           (2,833,794 )         (1.03 ) 
Grains
      3,849           (2,106,415 )         (0.76 ) 
Indices
      846           125,460          0.05  
Interest Rates U.S.
      1,002           1,721,650          0.62  
Interest Rates
Non-U.S.
      2,350           527,659          0.19  
Livestock
      133           (5,267 )         (0.00 )  * 
Metals
      1,087           1,294,802          0.47  
Softs
      1,034           (1,449,290 )         (0.52 ) 
        
 
 
       
 
 
  
Total futures contracts sold
            1,704,290          0.62  
        
 
 
       
 
 
  
Net unrealized appreciation on open futures contracts
           $ 3,276,793          1.19 % 
        
 
 
       
 
 
  
Unrealized Appreciation on Open Forward Contracts
              
Currencies
    $ 25,494,524          $ 301,960          0.11 % 
Metals
      172           494,409          0.18  
        
 
 
       
 
 
  
Total unrealized appreciation on open forward contracts
            796,369          0.29  
        
 
 
       
 
 
  
Unrealized Depreciation on Open Forward Contracts
              
Currencies
    $ 15,207,817          $ (96,955 )         (0.03 ) 
Metals
      79           (379,407 )         (0.14 ) 
        
 
 
       
 
 
  
Total unrealized depreciation on open forward contracts
            (476,362 )         (0.17 ) 
        
 
 
       
 
 
  
Net unrealized appreciation on open forward contracts
           $ 320,007          0.12 % 
        
 
 
       
 
 
  
Options Purchased
              
Puts
              
Grains
      1,860          $ 3,324,750          1.20 % 
Livestock
      744           580,320          0.21  
        
 
 
       
 
 
  
Total options purchased (premiums paid $4,411,329)
           $ 3,905,070          1.41 % 
        
 
 
       
 
 
  
Options Written
              
Calls
              
Grains
      930           (732,375 )         (0.27 ) % 
Puts
              
Grains
      1,860           (1,146,225 )         (0.41 ) 
Livestock
      744           (126,480 )         (0.05 ) 
        
 
 
       
 
 
  
Total options written (premiums received $1,973,789)
           $ (2,005,080 )         (0.73 )% 
        
 
 
       
 
 
  
Investment in the Funds
              
CMF Drakewood Master Fund LLC
           $   24,935,235              9.03 % 
        
 
 
       
 
 
  
*   Due to rounding.
              
See accompanying notes to consolidated financial statements.
 
43
Table of Contents
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.
      501         660,773         0.20  
Interest Rates
Non-U.S.
      2,805         4,015,473         1.22  
Livestock
      277         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
      144         (131,264 )        (0.04 ) 
Metals
      395         (527,980 )        (0.16 ) 
Softs
      588         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
      39         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
      77         (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
      156        $ 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.
 
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Table of Contents
Ceres Orion L.P.
Consolidated Statements of Income and Expenses
For the Years Ended December 31, 2024, 2023 and 2022
 
    
2024
    
2023
    
2022
(1)
 
Investment Income:
       
Interest income
     $ 10,985,437      $ 10,444,442      $ 3,579,282  
Interest income allocated from the Funds
      1,997,899       4,225,113       1,582,011  
  
 
 
    
 
 
    
 
 
  
Total investment income
      12,983,336       14,669,555       5,161,293  
  
 
 
    
 
 
    
 
 
  
Expenses:
       
Expenses allocated from the Funds
      393,977       1,637,215       4,803,663  
Clearing fees related to direct investments (Note 3c)
      2,261,056       2,533,617       1,934,692  
Ongoing selling agent fees (Notes 3d and 3e)
      2,324,995       2,750,424       3,007,951  
Management fees (Note 3b)
      3,235,578       3,479,226       3,359,126  
General Partner fees (Note 3a)
      2,379,764       2,813,461       3,077,257  
Incentive fees (Note 3b)
      1,178,462       172,212       10,831,003  
Professional fees
      994,763       850,814       926,706  
  
 
 
    
 
 
    
 
 
  
Total expenses
      12,768,595       14,236,969       27,940,398  
  
 
 
    
 
 
    
 
 
  
Net investment income (loss)
      214,741       432,586       (22,779,105 ) 
  
 
 
    
 
 
    
 
 
  
Trading Results:
       
Net gains (losses) on trading of commodity interests and investment in the Funds:
       
Net realized gains (losses) on closed contracts
      (724,825 )      (26,368,556 )      49,169,137  
Net realized gains (losses) on closed contracts allocated from the Funds
      (8,488,547 )      3,189,998       18,021,474  
Net change in unrealized gains (losses) on open contracts
      1,294,869       (5,680,608 )      (2,767,149 ) 
Net change in unrealized gains (losses) on open contracts allocated from the Funds
      (873,516 )      661,367       3,956,139  
  
 
 
    
 
 
    
 
 
  
Total trading results
      (8,792,019 )      (28,197,799 )      68,379,601  
  
 
 
    
 
 
    
 
 
  
Net income (loss)
     $ (8,577,278 )     $ (27,765,213 )     $ 45,600,496  
  
 
 
    
 
 
    
 
 
  
Net income (loss) per Redeemable Unit* (Note 8):
       
Class A
     $ (109.51 )     $ (271.81 )     $ 399.14  
  
 
 
    
 
 
    
 
 
  
Class Z
     $ (35.64 )     $ (102.50 )     $ 176.08  
  
 
 
    
 
 
    
 
 
  
Weighted average Redeemable Units outstanding:
       
Class A
      89,801.2378       102,310.8158       107,989.8677  
  
 
 
    
 
 
    
 
 
  
Class Z
      5,348.8533       6,011.6022       6,390.2226  
  
 
 
    
 
 
    
 
 
  
 
(1)
Not consolidated.
 
*
Represents the change in net asset value per Redeemable Unit.
See accompanying notes to consolidated financial statements.
 
45
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Ceres Orion L.P.
Consolidated Statements of Changes in Partners’ Capital
For the Years Ended December 31, 2024, 2023 and 2022
 
    
Class A
  
Class Z
  
Total
    
Amount
  
Redeemable Units
  
Amount
  
Redeemable Units
  
Amount
  
Redeemable Units
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 Partners
      (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  
Subscriptions - Limited Partners
      4,501,680       1,340.4160       204,425       151.3150       4,706,105       1,491.7310  
Redemptions - General Partner
      -          -          (575,430 )      (404.4100 )      (575,430 )      (404.4100 ) 
Redemptions - Limited Partners
      (47,555,135 )      (13,997.9410 )      (943,147 )      (667.5770 )      (48,498,282 )      (14,665.5180 ) 
Net income (loss)
      (8,434,492 )      -          (142,786 )      -          (8,577,278 )      -     
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Partners’ Capital, December 31, 2024
     $  269,879,571       83,376.4938      $  6,376,258       4,667.2385      $  276,255,829       88,043.7323  
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Net asset value per Redeemable Unit:
 
    
  Class A  
     
  Class Z  
  
2022
     $ 3,618.20        $  1,504.31   
  
 
 
     
 
 
  
2023
     $ 3,346.39        $ 1,401.81   
  
 
 
     
 
 
  
2024
     $ 3,236.88        $ 1,366.17   
  
 
 
     
 
 
  
 
(1)
Not consolidated.
See accompanying notes to consolidated financial statements.
 
46
Table of Contents
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) and Drakewood Master (as defined below) and was the trading manager of NL 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, 2024, all trading decisions were made for the Partnership by Transtrend B.V. (“Transtrend”), John Street Capital Limited (“JSCL”), Quantica Capital AG (“Quantica”), Opus Futures LLC (“Opus”) and Drakewood Capital Management Limited (“Drakewood”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor, or has otherwise represented that it is exempt from registration as a commodity trading advisor. On December 31, 2024, the Partnership fully redeemed its investment from CMF NL Master Fund LLC (“NL Master”). Also effective December 31, 2024, Breakout Funds LLC (“Breakout”) ceased to act as a commodity trading advisor to the Partnership. Effective December 31, 2024, Northlander Commodity Advisors LLP (“Northlander”) ceased to act as a commodity trading advisor to the Partnership. 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. References herein to the “Advisors” may include, as relevant, Breakout, Northlander, 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, 2024, Opus directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Opus’s Advanced Ag Program. The General Partner and Opus have agreed that Opus will trade the Partnership’s assets allocated to Opus 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.
 
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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 December 31, 2024, Breakout directly traded 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 had agreed that Breakout would trade the Partnership’s assets allocated to Breakout at 1.0 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future, subject to certain restrictions.
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 Drakewood Master Fund LLC (“Drakewood Master”) has, and prior to its full redemption, CMF NL Master Fund LLC (“NL Master”) had, entered into futures brokerage account agreements with MS&Co. Transtrend Master and Drakewood Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, NL 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
 
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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 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 Consolidated 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, 2024, 2023 and 2022, 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, 2024 and December 31, 2023, includes the portfolio holdings of Transtrend Master. The consolidated financial statements for the year ended December 31, 2024, 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, 2024, the Partnership carries its investment in Drakewood Master based on the Partnership’s (1) net contributions to Drakewood Master and (2) its allocated share of the undistributed profit and losses, including realized gains (losses) and net change in unrealized gains (losses) of NL Master and Drakewood Master. 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 profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of NL Master and Drakewood Master.
 
  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
 
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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’ Consolidated Statements of Income and Expenses.
 
  f.
Partnership’s Cash.
The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $3,213,658 (cost of $3,347,538) and $2,662,887 (cost of $2,604,289) at December 31, 2024 and 2023, 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 follows 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
2021 through 2024
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.”
 
  j.
Segment Reporting.
During the year ended December 31, 2024, the Partnership adopted FASB Accounting Standards Update
No. 2023-07,
Segment Reporting (Topic 280): Improvements to
Reportable Segment Disclosures,
(ASU
2023-07),
which requires incremental disclosures related to a public entity’s reportable segments. The Partnership operates as a single reportable segment, as the Chief Operating Decision Maker (CODM) monitors the operating results of the fund as a whole against its investment objective, which is included in Note 1. The Partnership’s President acts as the Partnership’s CODM and is responsible for assessing the performance of the Partnership’s single segment and deciding how to allocate the segment’s resources. To perform this function, the CODM reviews the total trading results as reflected in the accompanying statements of income and expenses and total return as reflected in the financial highlights as included in the notes to the Partnership’s Financial Statements. Additionally, segment assets are presented in the accompanying Consolidated Statements of Financial Condition and significant segment expenses are reported in the accompanying Consolidated Statements of Income and Expenses.
 
 
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
 
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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 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 July 1, 2024, the Partnership pays Opus a monthly management fee equal to 1/12 of 1.0% (1.0% per year) of
month-end
net assets allocated to Opus. 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 July 1, 2021 until its termination on December 31, 2024, Breakout received a monthly management fee equal to 1% per year of
month-end
net assets allocated to Breakout. From April 1, 2019 until its termination December 31, 2024, Northlander received a monthly management fee equal to 1.25% per year of
month-end
net assets allocated to Northlander. 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.
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.
The Partnership is obligated to pay Quantica and Drakewood an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in each Management Agreement, earned by Quantica and Drakewood, respectively, for the Partnership during each calendar year. The Partnership is obligated to pay Opus an incentive fee, payable annually, equal to 20% of the New Trading Profits, as defined in its Management Agreement, earned by Opus 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 termination effective December 31, 2024, Breakout was eligible to receive 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. Prior to its termination effective December 31, 2024, Northlander 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 Northlander for the Partnership. Prior to their respective terminations effective October 31,
 
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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. 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 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, 2024 and 2023, the amount of cash held by the Partnership for margin requirements was $45,609,297 and $64,815,574, 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
 
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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 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, 2025, 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.
 
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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, 2024 and 2023, was 34,514 and 36,858, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the years ended December 31, 2024 and 2023, was 194 and 130, respectively. The monthly average notional value of currency forward contracts traded during the years ended December 31, 2024 and 2023, were $79,140,169 and $62,512,591, respectively. The monthly average number of option contracts traded directly by the Partnership during the years ended December 31, 2024 and 2023, was 2,123 and 47, 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.
 
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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, 2024 and 2023, 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, 2024
   
Gross

Amounts
Recognized
    
Financial
Instruments
     
Cash Collateral
Received/
Pledged*
     
Net
Amount
  
Assets
               
MS&Co.
               
Futures
    $ 22,260,086     $ (18,983,293 )    $ 3,276,793     $ -       $ -       $ 3,276,793  
Forwards
      494,409       (382,035 )      112,374       -         -         112,374  
  
 
 
    
 
 
    
 
 
    
 
 
     
 
 
     
 
 
  
     22,754,495       (19,365,328 )      3,389,167       -         -         3,389,167  
JPMorgan
               
Forwards
      301,960       (94,327 )      207,633       -         -         207,633  
  
 
 
    
 
 
    
 
 
    
 
 
     
 
 
     
 
 
  
Total assets
    $ 23,056,455     $ (19,459,655 )    $ 3,596,800     $ -       $ -       $ 3,596,800  
  
 
 
    
 
 
    
 
 
    
 
 
     
 
 
     
 
 
  
Liabilities
               
MS&Co.
               
Futures
    $ (18,983,293 )    $ 18,983,293     $ -      $ -       $ -       $ -   
Forwards
      (382,035 )      382,035       -        -         -         -   
  
 
 
    
 
 
    
 
 
    
 
 
     
 
 
     
 
 
  
     (19,365,328 )      19,365,328       -        -         -         -   
JPMorgan
               
Forwards
      (94,327 )      94,327       -        -         -         -   
  
 
 
    
 
 
    
 
 
    
 
 
     
 
 
     
 
 
  
Total liabilities
    $ (19,459,655 )    $ 19,459,655     $ -      $ -       $ -       $ -   
  
 
 
    
 
 
    
 
 
    
 
 
     
 
 
     
 
 
  
Net fair value
                $ 3,596,800 * 
              
 
 
  
          
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 * 
              
 
 
  
 
*
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.
 
55
Table of Contents
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, 2024 and 2023, respectively.
 
    
 December 31, 2024 
  
Assets
   
Futures Contracts
   
Currencies
    $ 5,256,659  
Energy
      3,307,704  
Grains
      1,944,120  
Indices
      669,398  
Interest Rates U.S.
      1,876,697  
Interest Rates
Non-U.S.
      1,395,025  
Livestock
      1,102,352  
Metals
      1,454,502  
Softs
      5,253,629  
  
 
 
  
Total unrealized appreciation on open futures contracts
      22,260,086  
  
 
 
  
Liabilities
   
Futures Contracts
   
Currencies
      (1,607,607 ) 
Energy
      (3,599,896 ) 
Grains
      (3,029,646 ) 
Indices
      (2,853,205 ) 
Interest Rates U.S.
      (123,847 ) 
Interest Rates
Non-U.S.
      (2,661,527 ) 
Livestock
      (325,047 ) 
Metals
      (1,624,491 ) 
Softs
      (3,158,027 ) 
  
 
 
  
Total unrealized depreciation on open futures contracts
      (18,983,293 ) 
  
 
 
  
Net unrealized appreciation on open futures contracts
    $ 3,276,793  * 
  
 
 
  
Assets
   
Forward Contracts
   
Currencies
    $ 301,960  
Metals
      494,409  
  
 
 
  
Total unrealized appreciation on open forward contracts
      796,369  
  
 
 
  
Liabilities
   
Forward Contracts
   
Currencies
    $ (96,955 ) 
Metals
      (379,407 ) 
  
 
 
  
Total unrealized depreciation on open forward contracts
      (476,362 ) 
  
 
 
  
Net unrealized appreciation on open forward contracts
    $ 320,007  ** 
  
 
 
  
Assets
   
Options Purchased
   
Grains
    $ 3,324,750  
Livestock
      580,320  
  
 
 
  
Total options purchased
    $ 3,905,070  *** 
  
 
 
  
Liabilities
   
Options Written
   
Grains
    $ (1,878,600 ) 
Livestock
      (126,480 ) 
  
 
 
  
Total options written
    $ (2,005,080 ) **** 
  
 
 
  
 
*
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.
 
***
This amount is in “Options purchased, at fair value” in the Consolidated Statements of Financial Condition.
 
****
This amount is in “Options written, at fair value” in the Consolidated Statements of Financial Condition.
 
56
Table of Contents
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
    
 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.
 
57
Table of Contents
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, 2024, 2023 and 2022, respectively.
 
Sector
   
     2024     
           
     2023     
           
     2022
(1)
      
  
Currencies
    $ (2,477,366 )       $ (1,703,015 )       $ 5,276,897  
Energy
      (6,716,752 )         (6,253,421 )         37,139,771  
Grains
      (2,054,555 )         (7,382,175 )         (402,502 ) 
Indices
      4,106,135          2,434,250          8,271,988  
Interest Rates U.S.
      1,315,119          (11,544,347 )         1,991,622  
Interest Rates
Non-U.S.
      (10,575,833 )         (5,456,020 )         5,012,905  
Livestock
      (1,624,004 )         46,128          (1,432,340 ) 
Metals
      1,316,608          (8,115,637 )         (6,885,568 ) 
Softs
      17,280,692          5,925,073          (2,570,785 ) 
    
 
 
       
 
 
       
 
 
  
Total
    $ 570,044  *****       $ (32,049,164 ) *****       $ 46,401,988  ***** 
    
 
 
       
 
 
       
 
 
  
 
(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, 2024 and 2023, 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).
 
58
Table of Contents
Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
December 31, 2024  
   
  Total  
     
  Level 1  
     
  Level 2  
     
  Level 3  
  
Assets
            
Futures
    $ 22,260,086      $ 21,975,821      $ 284,265      $ -   
Forwards
      796,369        -         796,369        -   
Options purchased
      3,905,070        3,905,070        -         -   
  
 
 
     
 
 
     
 
 
     
 
 
  
Total assets
    $ 26,961,525      $ 25,880,891      $ 1,080,634      $ -   
  
 
 
     
 
 
     
 
 
     
 
 
  
Liabilities
            
Futures
    $ 18,983,293      $ 18,347,493      $ 635,800      $ -   
Forwards
      476,362        -         476,362        -   
Options written
      2,005,080        2,005,080        -         -   
  
 
 
     
 
 
     
 
 
     
 
 
  
Total liabilities
    $ 21,464,735      $ 20,352,573      $ 1,112,162      $ -   
  
 
 
     
 
 
     
 
 
     
 
 
  
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      $ -   
  
 
 
     
 
 
     
 
 
     
 
 
  
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, 2024 and 2023, 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 Partnership allocated a portion of its assets to NL Master, a limited liability company organized under the limited liability company laws of the State of Delaware. NL Master permitted accounts managed by Northlander using Northlander’s Commodity Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner was also the trading manager of NL Master. On December 31, 2024, the Partnership fully redeemed its investment from NL Master.
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.
 
59
Table of Contents
Ceres Orion L.P.
Notes to Consolidated Financial Statements
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, 2024.
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, 2024, the Partnership owned 100.0% of Transtrend Master and approximately 58.7% of Drakewood Master. 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. 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, 2024
  
    
Total Assets
     
Total Liabilities
     
Total Capital
  
Transtrend Master
     $   65,390,517       $   544,210       $   64,846,307  
NL Master
      13,129,914        13,129,914        -   
Drakewood Master
      44,926,030        2,584,283        42,341,747  
    
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  
 
60
Table of Contents
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 ended December 31, 2024
  
    
 Net Investment 
Income (Loss)
     
 Total Trading 
Results
     
  Net Income  
(Loss)
  
Transtrend Master
     $ 80,522       $ 6,642,699       $ 6,723,221  
NL Master
      1,232,984        (11,180,959 )       (9,947,975 ) 
Drakewood Master
      1,252,603        (2,668,008 )       (1,415,405 ) 
 
    
For the year ended ended December 31, 2023
  
    
 Net Investment 
Income (Loss)
     
 Total Trading 
Results
     
  Net Income  
(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 ended December 31, 2022
  
    
 Net Investment 
Income (Loss)
     
 Total Trading 
Results
     
  Net Income  
(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, 2024
 
 
For the twelve months ended December 31, 2024
 
 
 
 
  
 
 
 
  
% of
 
 
 
 
  
 
 
 
Expenses
 
  
Net
 
 
 
 
  
 
 
Funds
   
Partners’
Capital
    
Fair Value
     
Income

(Loss)
    
Clearing
Fees
     
Professional Fees
     
Management
Fees
     
Incentive

Fee
     
Income

(Loss)
    
Investment
Objective
     
Redemptions
Permitted
  
Transtrend Master
  
 
23.47 
% 
 
 $
64,846,307
 
  
 $
9,042,616
 
 
 $
 632,638
 
  
 $
73,249
 
  
$
 600,352
 
  
 $
1,013,156
 
  
 $
6,723,221
 
 
 
Commodity Portfolio
 
  
 
Monthly
 
NL Master
  
 
- 
% 
 
 
-   
 
  
 
(6,863,005
) 
 
 
76,359
 
  
 
46,347
 
  
 
-   
 
  
 
-   
 
  
 
(6,985,711
) 
 
 
Commodity Portfolio
 
  
 
Monthly
 
Drakewood Master
  
 
9.03 
% 
 
 
24,935,235
 
  
 
(501,159
) 
 
 
229,003
 
  
 
42,268
 
  
 
-   
 
  
 
-   
 
  
 
(772,430
) 
 
 
Commodity Portfolio
 
  
 
Monthly
 
 
  
      
 
 
 
 
  
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
      
  
      
Total
  
      
 
 $
 89,781,542
 
  
 $
   1,678,452
 
 
 $
  938,000
 
  
 $
 161,864
 
  
 $
  600,352
 
  
 $
   1,013,156
 
  
$
   (1,034,920)
 
 
      
  
      
 
  
      
 
 
 
 
  
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
      
  
      
         
 
  
December 31, 2023
 
 
For the twelve months ended December 31, 2023
 
 
 
 
  
 
 
 
  
% of
 
 
 
 
  
 
 
 
Expenses
 
  
Net
 
 
 
 
  
 
 
 
  
Partners’
 
 
 
 
  
Income
 
 
Clearing
 
  
Professional Fees
 
  
Management
 
  
Incentive
 
  
Income
 
 
Investment
 
  
Redemptions
 
Funds
   
Capital
    
Fair Value
     
(Loss)
    
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 Fees
 
  
Management
 
  
Incentive
 
  
Income
 
 
Investment
 
  
Redemptions
 
Funds
   
Capital
    
Fair Value
     
(Loss)
    
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.
 
61
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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:
 
    
2024
   
2023
         
2022
(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)
   
$
(111.21) 
 
     
$
(47.32) 
 
     
$
(275.30) 
 
  
 
   
$
(114.99) 
 
  
 
   
$
606.03 
 
       
$
244.50 
 
    
Net investment income (loss)
   
 
1.70 
 
     
 
11.68 
 
     
 
3.49 
 
     
 
12.49 
 
     
 
(206.89) 
 
     
 
(68.42) 
 
  
  
 
 
       
 
 
       
 
 
       
 
 
       
 
 
       
 
 
    
Increase (decrease) for the year
   
 
(109.51) 
 
     
 
(35.64) 
 
     
 
(271.81) 
 
     
 
(102.50) 
 
     
 
399.14 
 
     
 
176.08 
 
  
Net asset value per Redeemable Unit, beginning of year
   
 
3,346.39 
 
     
 
1,401.81 
 
     
 
3,618.20 
 
     
 
1,504.31 
 
     
 
3,219.06 
 
     
 
1,328.23 
 
  
  
 
 
       
 
 
       
 
 
       
 
 
       
 
 
       
 
 
    
Net asset value per Redeemable Unit, end of year
   
$
3,236.88 
 
     
$
1,366.17 
 
     
$
3,346.39 
 
     
$
1,401.81 
 
     
$
3,618.20 
 
     
$
1,504.31 
 
  
  
 
 
       
 
 
       
 
 
       
 
 
       
 
 
       
 
 
    
    
2024
   
2023
   
2022
(1)
     
    
 Class A 
         
 Class Z 
         
 Class A 
         
 Class Z 
         
 Class A 
         
 Class Z 
      
Ratios to Average Limited Partners’ Capital:
                              
Net investment income (loss)**
      0.0  %***         0.8  %         0.1  %         0.8  %         (5.7)  %         (4.4)  %   
  
 
 
       
 
 
       
 
 
       
 
 
       
 
 
       
 
 
    
Operating expense
      3.7  %         3.0  %         3.7  %         2.9  %         3.5  %         2.8  %   
Incentive fees
      0.4  %         0.4  %         0.2  %         0.2  %         3.6  %         3.1  %   
  
 
 
       
 
 
       
 
 
       
 
 
       
 
 
       
 
 
    
Total expenses
      4.1  %         3.4  %         3.9  %         3.1  %         7.1  %         5.9  %   
  
 
 
       
 
 
       
 
 
       
 
 
       
 
 
       
 
 
    
Total return:
                              
Total return before incentive fees
      (2.9)  %         (2.2)  %         (7.4)  %         (6.7)  %         16.4  %         16.7  %   
Incentive fees
      (0.4)  %         (0.3)  %         (0.1)  %         (0.1)  %         (4.0)  %         (3.4)  %   
  
 
 
       
 
 
       
 
 
       
 
 
       
 
 
       
 
 
    
Total return after incentive fees
      (3.3)  %         (2.5)  %         (7.5)  %         (6.8)  %         12.4 %         13.3 %   
  
 
 
       
 
 
       
 
 
       
 
 
       
 
 
       
 
 
    
 
  (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.
 
  ***
Due to rounding.
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 year ended 2022. Financial highlights for the years ended December 31, 2024 and 2023 were based on consolidated income and expenses.
 
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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 1.3% to 13.4% 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
 
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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.
 
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Table of Contents
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, the armed conflict between Israel and Hamas 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.
 
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Ceres Orion L.P.
Notes to Consolidated Financial Statements
 
Selected unaudited quarterly financial data for the years ended December 31, 2024 and 2023 are summarized below:
 
 
  
    
For the period from
October 1, 2024 to
December 31, 2024
    
For the period from
July 1, 2024 to
September 30, 2024
    
For the period from
April 1, 2024 to
June 30, 2024
    
For the period from
January 1, 2024 to
March 31, 2024
  
Total investment income
    $ 2,611,924     $ 3,188,407     $ 3,585,476     $ 3,597,529  
Total expenses
      (2,712,467 )      (2,859,691 )      (2,339,120 )      (4,857,317 ) 
Total trading results
      (3,011,196 )      (22,854,942 )      (16,925,339 )      33,999,458  
  
 
 
    
 
 
    
 
 
    
 
 
  
Net income (loss)
    $ (3,111,739 )    $ (22,526,226 )    $ (15,678,983 )    $ 32,739,670  
  
 
 
    
 
 
    
 
 
    
 
 
  
Increase (decrease) in Net Asset Value per Redeemable Unit of Class A
    $ (34.37 )    $ (246.40 )    $ (167.91 )    $ 339.17  
  
 
 
    
 
 
    
 
 
    
 
 
  
Increase (decrease) in Net Asset Value per Redeemable Unit of Class Z
    $ (11.91 )    $ (101.02 )    $ (67.69 )    $ 144.98  
  
 
 
    
 
 
    
 
 
    
 
 
  
    
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 ) 
  
 
 
    
 
 
    
 
 
    
 
 
  
(1) Not consolidated.
 
66
Table of Contents
Item 9.
Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
.
Not applicable.
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, 2024 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, 2024 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.
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, 2024, 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, 2024 by the directors and officers of the General Partner.
 
 
67
Table of Contents
PART III
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 55, 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. In addition, from May 2021 to February 2022, Mr. Egan was a branch manager, principal and registered as an associated person of Morgan Stanley Investment Management Inc., (“MSIM”), and was an associate member of the NFA. 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 41, 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 43, 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,
 
68
Table of Contents
an investment management company focused on responsible investments. Calvert is a wholly-owned subsidiary of Morgan Stanley and affiliate of the General Partner. 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 56, 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, Ms. Segal 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, Ms. Segal 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.
Item 10.
Regulation
S-K
408(b)
.
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. The General Partner is a wholly-owned subsidiary of Morgan Stanley Capital Management LLC (“MSCM”). MSCM is ultimately owned by Morgan Stanley. Morgan Stanley has adopted insider trading policies and procedures applicable to its investment affiliates, including the General Partner, that it believes are reasonably designed to promote compliance with insider trading laws, rules and regulations. Morgan Stanley’s insider trading policy is filed as Exhibit 19.1 to this Annual Report on Form
10-K.
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.
 
69

Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.

(a) Security ownership of certain beneficial owners. As of February 28, 2025, 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, 2024:

 

 (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   2,155.6123   46.2%

(c) Changes in control. None.

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.”

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, 2024 and 2023 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:

2024 $220,559

2023 $215,555

(2) Audit-Related Fees. None.

(3) Tax Fees. The Partnership did not pay EY any amounts in 2024 and 2023 for professional services in connection with tax compliance, tax advice, and tax planning.

(4) All Other Fees. None.

(5) Not Applicable.

(6) Not Applicable.

 

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PART IV

Item 15. Exhibits and Financial Statement Schedules.

(1) Consolidated Financial Statements:

Consolidated Statements of Financial Condition at December 31, 2024 and 2023.

Consolidated Condensed Schedules of Investments at December 31, 2024 and 2023.

Consolidated Statements of Income and Expenses for the years ended December 31, 2024, 2023 and 2022.

Consolidated Statements of Changes in Partners’ Capital for the years ended December 31, 2024, 2023 and 2022. 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).

 

71

 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).

 

72

       (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).

 

73

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).

19.1  

Investment Management Insider Trading Policy (filed herewith).

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).

 

74

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

CERES ORION L.P.

 

By:

  

Ceres Managed Futures LLC

(General Partner)

By:

  

/s/ Patrick T. Egan

 

Patrick T. Egan

 

President and Director

 

Date: March 20, 2025

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the date indicated.

 

/s/ Patrick T. Egan

     

/s/ Tatiana Segal

   

Patrick T. Egan

     

Tatiana Segal

   

President and Director

     

Director

   

Ceres Managed Futures LLC

     

Ceres Managed Futures LLC

   

Date: March 20, 2025

     

Date: March 20, 2025

   

/s/ Brooke Lambert

     

/s/ Victoria Eckstein

   

Brooke Lambert

     

Victoria Eckstein

   

Chief Financial Officer

     

Director

   

(Principal Accounting Officer)

     

Ceres Managed Futures LLC

   

Ceres Managed Futures LLC

     

Date: March 20, 2025

   

Date: March 20, 2025

        

Supplemental Information to be Furnished With Reports Filed Pursuant to Section 15(d) of the Exchange Act by Registrants Which Have Not Registered Securities Pursuant to Section 12 of the Exchange Act.

Annual Report to limited partners

No proxy material has been sent to limited partners.

 

 

75