10-Q 1 ck0001353282-10q_20180630.htm MFPW 2018 Q2 10-Q ck0001353282-10q_20180630.htm

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

FORM 10-Q

 

QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2018

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 000-52603

 

MANAGED FUTURES PREMIER WARRINGTON L.P.

(Exact name of registrant as specified in its charter)

 

 

New York

 

20-3845577

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No)

c/o Warrington GP, LLC, 200 Crescent Court, Suite 520

Dallas, Texas 75201

(Address of principal executive offices) (Zip Code)

(214) 230-2100

(Registrant’s telephone number, including area code)

 

Securities registered pursuant to Section 12(b) of the Act:

 

None

 

 

Securities registered pursuant to Section 12(g) of the Act:

 

Redeemable Units of Limited Partnership Interest

 

 

(Title of Class)                        

 

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   No 

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).  Yes   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

   

 (Do not check if a smaller reporting company)

  

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 is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes   No 

As of July 31, 2018, 40,519.94 Limited Partnership Class A Redeemable Units were outstanding and 409.53 Limited Partnership Class D Redeemable Units were outstanding.

 

 


 

MANAGED FUTURES PREMIER WARRINGTON FUND L.P.

FORM 10-Q

INDEX

 

 

 

 

 

Page

Number

 

 

 

 

 

PART I — Financial Information:

 

 

 

 

 

 

 

Item 1.

 

Financial Statements:

 

 

 

 

 

 

 

 

 

Statements of Financial Condition at June 30, 2018 (unaudited) and December 31, 2017 (unaudited)

 

3

 

 

 

 

 

 

 

Condensed Schedules of Investments at June 30, 2018 (unaudited) and December 31, 2017 (unaudited)

 

4-5

 

 

 

 

 

 

 

Statements of Income and Expenses for the three and six months ended June 30, 2018 and 2017 (unaudited)

 

6

 

 

 

 

 

 

 

Statements of Changes in Partners’ Capital for the six months ended June 30, 2018 and 2017 (unaudited)

 

7

 

 

 

 

 

 

 

Notes to Financial Statements (unaudited)

 

8-17

 

 

 

 

 

Item 2.

 

Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

18-19

 

 

 

 

 

Item 3.

 

Quantitative and Qualitative Disclosures about Market Risk

 

19-20

 

 

 

 

 

Item 4.

 

Controls and Procedures

 

21

 

 

 

 

 

PART II — Other Information:

 

 

 

 

 

 

 

Item 1.

 

Legal Proceedings

 

22

 

 

 

 

 

Item 1A.

 

Risk Factors

 

22

 

 

 

 

 

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds

 

22

 

 

 

 

 

Item 3.

 

Defaults Upon Senior Securities

 

22

 

 

 

 

 

Item 5.

 

Other Information

 

22

 

 

 

 

 

Item 6.

 

Exhibits

 

23-24

 

2


 

PART I

Item 1. Financial Statements

Managed Futures Premier Warrington L.P.

Statements of Financial Condition

(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2018

 

 

December 31, 2017

 

Assets:

 

 

 

 

 

 

 

 

Equity in trading account:

 

 

 

 

 

 

 

 

Cash

 

$

20,252,788

 

 

$

25,880,554

 

Cash margin

 

 

15,558,797

 

 

 

9,145,348

 

Other receivable

 

 

20,000

 

 

 

 

Options purchased, at fair value (cost $204,000 and $147,400 at June 30, 2018 and

   December 31, 2017, respectively)

 

 

89,250

 

 

 

211,200

 

Total trading equity

 

 

35,920,835

 

 

 

35,237,102

 

Investments in U.S. government securities, at fair value (cost $19,211,167 and

   $25,039,569 at June 30, 2018 and December 31, 2017, respectively)

 

 

19,291,237

 

 

 

25,107,663

 

Total assets

 

$

55,212,072

 

 

$

60,344,765

 

Liabilities and Partners’ Capital:

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Written options premium received, at fair value (premium $223,125 and $157,300 at

   June 30, 2018 and December 31, 2017, respectively)

 

$

117,938

 

 

$

209,000

 

Accrued expenses:

 

 

 

 

 

 

 

 

Ongoing selling agent fees

 

 

90,592

 

 

 

99,043

 

Advisory fees

 

 

90,808

 

 

 

99,229

 

Administrative fees

 

 

45,404

 

 

 

49,614

 

Professional fees

 

 

124,837

 

 

 

135,185

 

Other

 

 

20,612

 

 

 

7,948

 

Redemptions payable

 

 

880,674

 

 

 

699,530

 

Total liabilities

 

 

1,370,865

 

 

 

1,299,549

 

Partners’ Capital:

 

 

 

 

 

 

 

 

General Partner, Class GP, (136.1322 and 293.0594  unit equivalents outstanding at

   June 30, 2018 and December 31, 2017, respectively)

 

 

173,180

 

 

 

356,295

 

Limited Partners, Class A (41,525.4018 and 46,395.0467 Redeemable Units

   outstanding at June 30, 2018 and December 31, 2017, respectively)

 

 

53,104,227

 

 

 

58,139,561

 

Limited Partners, Class D (409.5317 and 409.5317 Redeemable Units outstanding at

   June 30, 2018 and December 31, 2017, respectively)

 

 

563,800

 

 

 

549,360

 

Total partners’ capital

 

 

53,841,207

 

 

 

59,045,216

 

Total liabilities and partners’ capital

 

$

55,212,072

 

 

$

60,344,765

 

Net asset value per unit:

 

 

 

 

 

 

 

 

Class A

 

$

1,278.84

 

 

$

1,253.14

 

Class D

 

$

1,376.70

 

 

$

1,341.44

 

Class GP

 

$

1,272.20

 

 

$

1,215.79

 

 

See accompanying notes to financial statements.

 

 

3


 

Managed Futures Premier Warrington L.P.

Condensed Schedule of Investments

June 30, 2018

(Unaudited)

 

 

 

Face Value

 

 

Fair Value

 

 

% of

Partners’

Capital

 

Investments in U.S. Government Securities, at Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

United States

 

 

 

 

 

 

 

 

 

 

 

 

Government

 

 

 

 

 

 

 

 

 

 

 

 

Treasury Bill 0% due November 8, 2018

 

$

4,083,400

 

 

$

4,054,056

 

 

 

7.53

%

Treasury Bill 0% due September 27, 2018

 

$

7,112,000

 

 

 

7,080,012

 

 

13.15

 

Treasury Bill 0% due August 16, 2018

 

$

4,082,500

 

 

 

4,073,084

 

 

 

7.56

 

Treasury Bill 0% due July 19, 2018

 

$

4,087,600

 

 

 

4,084,085

 

 

7.59

 

Total investments in U.S. government securities at fair value (cost

   $19,211,167)

 

 

 

 

 

$

19,291,237

 

 

 

35.83

%

 

 

Number of

Contracts

 

 

Fair Value

 

 

% of

Partners’

Capital

 

Options Purchased

 

 

 

 

 

 

 

 

 

 

 

 

Indices

 

 

 

 

 

 

 

 

 

 

 

 

Puts

 

 

255

 

 

$

89,250

 

 

 

0.17

%

Total options purchased (cost $204,000)

 

 

 

 

 

 

89,250

 

 

 

0.17

 

Written Options

 

 

 

 

 

 

 

 

 

 

 

 

Indices

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

 

850

 

 

$

(15,938

)

 

 

(0.03

)

Puts

 

 

1,020

 

 

$

(102,000

)

 

 

(0.19

)

Total written options (premium received $223,125)

 

 

 

 

 

 

(117,938

)

 

 

(0.22

)

Net fair value

 

 

 

 

 

$

(28,688

)

 

 

(0.05

)%

 

 

 

 

 

 

 

 

 

 

 

 

 

See accompanying notes to financial statements.

 

 

 

 

 

 

 

 

 

 

 

 

4


 

Managed Futures Premier Warrington L.P.

Condensed Schedule of Investments

December 31, 2017

(Unaudited)

 

 

 

Face Value

 

 

Fair Value

 

 

% of

Partners’

Capital

 

Investments in U.S. Government Securities, at Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

United States

 

 

 

 

 

 

 

 

 

 

 

 

Government

 

 

 

 

 

 

 

 

 

 

 

 

Treasury Bill 0% due March 8, 2018

 

$

4,049,500

 

 

$

4,040,183

 

 

 

6.84

%

Treasury Bill 0% due February 22, 2018

 

$

8,037,200

 

 

 

8,024,662

 

 

 

13.59

 

Treasury Bill 0% due February 1, 2018

 

$

6,024,500

 

 

 

6,019,001

 

 

 

10.19

 

Treasury Bill 0% due January 4, 2018

 

$

7,024,400

 

 

 

7,023,817

 

 

 

11.90

 

Total investments in U.S. government securities at fair value (cost

   $25,039,569)

 

 

 

 

 

$

25,107,663

 

 

 

42.52

%

 

 

Number of

Contracts

 

 

Fair Value

 

 

% of

Partners’

Capital

 

Options Purchased

 

 

 

 

 

 

 

 

 

 

 

 

Indices

 

 

 

 

 

 

 

 

 

 

 

 

Puts

 

 

264

 

 

$

211,200

 

 

 

0.36

%

Total options purchased (cost $147,400)

 

 

 

 

 

 

211,200

 

 

 

0.36

 

Written Options

 

 

 

 

 

 

 

 

 

 

 

 

Indices

 

 

 

 

 

 

 

 

 

 

 

 

Calls

 

 

440

 

 

 

(11,000

)

 

 

(0.02

)

Puts

 

 

1,056

 

 

 

(198,000

)

 

 

(0.34

)

Total written options (premium received $157,300)

 

 

 

 

 

 

(209,000

)

 

 

(0.36

)

Net fair value

 

 

 

 

 

$

2,200

 

 

 

0.00

%

 

See accompanying notes to financial statements.

 

 

5


 

Managed Futures Premier Warrington L.P.

Statements of Income and Expenses

(Unaudited)

 

 

 

For the Three Months Ended June 30,

 

 

 

For the Six Months Ended June 30,

 

 

 

2018

 

 

2017

 

 

 

2018

 

 

2017

 

Investment Income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

127,841

 

 

$

75,563

 

 

 

$

259,471

 

 

$

123,360

 

Expenses:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ongoing selling agent fees

 

 

275,321

 

 

 

335,795

 

 

 

 

564,106

 

 

 

689,729

 

Clearing fees

 

 

189,425

 

 

 

180,798

 

 

 

 

372,411

 

 

 

395,787

 

Advisory fees

 

 

276,002

 

 

 

336,404

 

 

 

 

565,287

 

 

 

693,152

 

Administrative fees

 

 

138,001

 

 

 

168,202

 

 

 

 

282,643

 

 

 

346,576

 

Other

 

 

83,929

 

 

 

104,486

 

 

 

 

165,881

 

 

 

202,085

 

Total expenses

 

 

962,678

 

 

 

1,125,685

 

 

 

 

1,950,328

 

 

 

2,327,329

 

Net investment income (loss)

 

 

(834,837

)

 

 

(1,050,122

)

 

 

 

(1,690,856

)

 

 

(2,203,969

)

Trading Results:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net gains (losses) on trading of commodity interests:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gains (losses) on closed contracts

 

 

839,609

 

 

 

2,921,001

 

 

 

 

2,864,272

 

 

 

5,180,051

 

Change in net unrealized gains (losses) on open contracts

 

 

1,062

 

 

 

(524,587

)

 

 

 

(21,663

)

 

 

48,913

 

Total trading results

 

 

840,671

 

 

 

2,396,414

 

 

 

 

2,842,609

 

 

 

5,228,964

 

Net income (loss) before allocation to Special Limited Partner

 

 

5,834

 

 

 

1,346,292

 

 

 

 

1,151,752

 

 

 

3,024,995

 

     Allocation to Special Limited Partner

 

 

(128

)

 

 

(250,938

)

 

 

 

(351

)

 

 

(453,819

)

Net income (loss) available for Pro rata distribution

 

$

5,706

 

 

$

1,095,354

 

 

 

$

1,151,401

 

 

$

2,571,176

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) allocation by class:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

(846

)

 

$

1,068,292

 

 

 

$

1,120,427

 

 

$

2,504,289

 

Class D

 

$

1,801

 

 

$

10,434

 

 

 

$

14,440

 

 

$

36,651

 

Class GP

 

$

4,751

 

 

$

16,628

 

 

 

$

16,534

 

 

$

30,236

 

Net asset value per unit:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A (41,525.4018 and 49,591.1822 units outstanding at

   June 30, 2018 and 2017, respectively)

 

$

1,278.84

 

 

$

1,281.58

 

 

 

$

1,278.84

 

 

$

1,281.58

 

Class D (409.5317 and 409.5317 units outstanding at

   June 30, 2018 and 2017, respectively)

 

$

1,376.70

 

 

$

1,363.31

 

 

 

$

1,376.70

 

 

$

1,363.31

 

Class GP (136.1322 and 622.2925 units outstanding at

   June 30, 2018 and 2017, respectively)

 

$

1,272.20

 

 

$

1,212.63

 

 

 

$

1,272.20

 

 

$

1,212.63

 

Net income (loss) per unit:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A*

 

$

0.37

 

 

$

20.78

 

 

 

$

25.70

 

 

$

46.65

 

Class D*

 

$

4.39

 

 

$

25.48

 

 

 

$

35.26

 

 

$

53.98

 

Class GP*

 

$

16.20

 

 

$

38.94

 

 

 

$

56.41

 

 

$

80.52

 

Weighted average units outstanding

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

 

42,863.29

 

 

 

52,249.80

 

 

 

 

44,068.94

 

 

 

54,159.15

 

Class D

 

 

409.53

 

 

 

409.53

 

 

 

 

409.53

 

 

 

664.77

 

Class GP

 

 

293.18

 

 

 

443.63

 

 

 

 

293.12

 

 

 

385.47

 

 

*

Based on the change in net asset value per unit.

 

See accompanying notes to financial statements.

 

 

6


 

Managed Futures Premier Warrington L.P.

Statements of Changes in Partners’ Capital

For the Six Months Ended June 30, 2018 and 2017

(Unaudited)

 

 

 

Class A

 

 

Class D

 

 

Class GP

 

 

Total

 

 

 

Amount

 

 

Units

 

 

Amount

 

 

Units

 

 

Amount

 

 

Units

 

 

Amount

 

 

Units

 

Partners’ capital at

   December 31, 2017

 

$

58,139,561

 

 

 

46,395.04

 

 

$

549,360

 

 

 

409.53

 

 

$

356,295

 

 

 

293.06

 

 

$

59,045,216

 

 

 

47,097.63

 

Net Income (loss) available for pro rata distribution

 

 

1,120,427

 

 

 

 

 

 

14,440

 

 

 

 

 

 

16,534

 

 

 

 

 

 

1,151,401

 

 

 

 

Subscriptions - General Partner

 

 

 

 

 

 

 

 

 

 

 

 

 

 

351

 

 

 

0.28

 

 

 

351

 

 

 

0.28

 

Redemptions - Limited Partners

 

 

(6,155,761

)

 

 

(4,869.64

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(6,155,761

)

 

 

(4,869.64

)

Redemptions - General Partner

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(200,000

)

 

 

(157.21

)

 

 

(200,000

)

 

 

(157.21

)

Partners’ capital at June 30, 2018

 

$

53,104,227

 

 

 

41,525.40

 

 

$

563,800

 

 

 

409.53

 

 

$

173,180

 

 

 

136.13

 

 

$

53,841,207

 

 

 

42,071.06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

 

Class D

 

 

Class GP

 

 

Total

 

 

 

Amount

 

 

Units

 

 

Amount

 

 

Units

 

 

Amount

 

 

Units

 

 

Amount

 

 

Units

 

Partners’ capital at

   December 31, 2016

 

$

70,225,435

 

 

 

56,865.87

 

 

$

1,204,578

 

 

 

920.00

 

 

$

370,552

 

 

 

327.31

 

 

$

71,800,565

 

 

 

58,113.18

 

Net income (loss) available for pro rata distribution

 

 

2,504,289

 

 

 

 

 

 

36,651

 

 

 

 

 

 

30,236

 

 

 

 

 

 

2,571,176

 

 

 

 

Subscriptions - General Partner

 

 

 

 

 

 

 

 

 

 

 

 

 

 

453,817

 

 

 

379.79

 

 

 

453,817

 

 

 

379.79

 

Subscriptions - Limited Partner

 

 

 

 

 

 

 

 

106,760

 

 

 

79.80

 

 

 

 

 

 

 

 

 

106,760

 

 

 

79.80

 

Redemptions - General Partner

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(100,000

)

 

 

(84.81

)

 

 

(100,000

)

 

 

(84.81

)

Redemptions - Limited Partners

 

 

(9,174,799

)

 

 

(7,274.69

)

 

 

(789,673

)

 

 

(590.27

)

 

 

 

 

 

 

 

 

(9,964,472

)

 

 

(7,864.96

)

Partners’ capital at June 30, 2017

 

$

63,554,925

 

 

 

49,591.18

 

 

$

558,316

 

 

 

409.53

 

 

$

754,605

 

 

 

622.29

 

 

$

64,867,846

 

 

 

50,623.00

 

 

 

See accompanying notes to financial statements.

 

 

 

7


Managed Futures Premier Warrington L.P.

Notes to Financial Statements

June 30, 2018

(Unaudited)

 

 

1.

Organization:

Managed Futures Premier Warrington L.P. (formerly known as Warrington Fund L.P.) (the “Partnership”) is a limited partnership organized on November 28, 2005, under the partnership laws of the State of New York to engage in the speculative trading of commodity interests including futures and option contracts. The Partnership does not currently intend to, but may in the future, engage in transactions in spot and forward markets. The Partnership primarily trades futures and options in the stock indices sector. The Partnership may also hold U.S. Treasury bills (“T-Bills”). The Partnership commenced trading on February 21, 2006. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) in the Partnership to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.

Effective as of the close of business on March 31, 2015, Warrington GP, LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is beneficially owned by Scott C. Kimple. From inception to the close of business on March 31, 2015, Ceres Managed Futures LLC, a Delaware limited liability company, acted as the general partner (“CMF GP”) and commodity pool operator of the Partnership. On January 9, 2015, Scott C. Kimple proposed in a proxy statement (the “Proxy Statement”) filed with the Securities and Exchange Commission (the “SEC”) and distributed to Limited Partners (defined below), that Warrington GP, LLC become the new general partner of the Partnership. The requisite number of each class of limited partnership interests approved the proposals described in the Proxy Statement, and, as a result, Warrington GP, LLC became the new general partner of the Partnership effective as of the close of business on March 31, 2015. CMF GP withdrew as the general partner of the Partnership immediately following Warrington GP, LLC becoming the Partnership’s new general partner. References to the “General Partner” herein refer to Warrington GP, LLC and/or CMF GP, as the context requires.

Effective as of the close of business on March 31, 2015, Warrington SLP, LP, a Delaware limited partnership and an affiliate of the General Partner, became a special limited partner of the Partnership (the “Special Limited Partner”) and receives a quarterly profit share allocation equal to 20% of new trading profits from the Partnership in the form of Redeemable Units, subject to a high water mark.

All of the trading decisions for the Partnership are made by Warrington Asset Management LLC (the “Advisor”), an affiliate of the General Partner, using the Strategic Trading Program (formerly, the “Core Trading Program”), a proprietary trading program.

The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended June 30, 2018.

On June 15, 2011, the Partnership began offering “Class A” Redeemable Units and “Class D” Redeemable Units pursuant to the offering memorandum. All outstanding Redeemable Units on June 15, 2011 were designated Class A Redeemable Units. The rights, powers, duties and obligations associated with the investment in Class A Redeemable Units were not changed. On October 1, 2011, the first Class D Redeemable Units were issued to limited partners of the Partnership (each a “Limited Partner”). Class A Redeemable Units and Class D 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 will generally depend upon the amount invested in the Partnership, although the General Partner may determine to offer Class A Redeemable Units or Class D Redeemable Units to investors in its sole discretion. On May 1, 2015, a new share class of units of general partner interest “Class GP” was initiated to accept an investment from the General Partner.

8


Managed Futures Premier Warrington L.P.

Notes to Financial Statements

June 30, 2018

(Unaudited)

 

During the three months ended June 30, 2018, the Partnership’s commodity brokers were Wedbush Securities, Inc. (“Wedbush”) and ADM Investor Services, Inc. (“ADM”), both of whom are registered futures commission merchants. During prior periods included in this report, the Partnership engaged in futures and options trading through commodity brokerage accounts maintained at Wells Fargo Securities, LLC (“Wells Fargo”).The Partnership paid Wells Fargo trading fees for the clearing and, if applicable, execution of transactions. In addition, with respect to excess cash, Wells Fargo paid the Partnership interest on excess cash held in the Partnership’s account at rates customarily paid by Wells Fargo and as advised to the Partnership from time to time. Effective March 26, 2018, the Futures and Cleared Swap Agreement with Wells Fargo (“the Wells Fargo Customer Agreement”) was terminated. The Partnership engaged in futures and options trading through commodity brokerage accounts maintained at Wells Fargo. The Wells Fargo Customer Agreement was terminated because the Partnership is no longer engaged in such trading through accounts at Wells Fargo. The Partnership continues to engage in such trading through commodity brokerage accounts at Wedbush and ADM.

Effective April 21, 2017, the Partnership entered into a commodity futures customer agreement with Wedbush (the “Wedbush Customer Agreement”); however, the Partnership did not engage in any trading activity through Wedbush until June 26, 2017. The Partnership pays Wedbush trading fees for the clearing and, if applicable, execution of transactions. In addition, with respect to excess cash, Wedbush does not pay interest on excess cash held in the Partnership’s account. The excess cash balances will be monitored and are expected to have an immaterial impact on the interest earned.

Effective March 13, 2017, the Partnership entered into a commodity futures customer agreement with ADM (the “ADM Customer Agreement”); however, the Partnership did not engage in any trading activity through ADM until April 6, 2017. The Partnership pays ADM trading fees for the clearing and, if applicable, execution of transactions. In addition, with respect to excess cash, ADM does not pay interest on excess cash held in the Partnership’s account. The excess cash balances will be monitored and are expected to have an immaterial impact on the interest earned.  

The Partnership maintains a continuing services agreement with Morgan Stanley Smith Barney LLC (d/b/a Morgan Stanley Wealth Management). Pursuant to the continuing services agreement, Morgan Stanley Wealth Management will receive a monthly fee in respect of certain partnership interests which have been sold to certain individuals and entities with an ongoing relationship with Morgan Stanley Wealth Management (the “MS Interests”) equal to (i) 1/12 of 2.00% (2.00% per year) of month-end Net Assets for Class A Redeemable Units and (ii) 1/12 of 0.75% (0.75% per year) of month-end Net Assets for Class D Redeemable Units. The fees paid to Morgan Stanley Wealth Management shall continue only for as long as the MS Interests remain outstanding.

The Partnership maintains a selling agreement with Robert W. Baird & Co. Incorporated (“Baird”). Pursuant to the selling agreement, Baird will receive a monthly ongoing selling agent fee equal to (i) 1/12 of 2.00% (2.00% per year) of month-end Net Assets for Class A Redeemable Units and (ii) 1/12 of 0.75% (0.75% per year) of month-end Net Assets for Class D Redeemable Units. With respect to current Limited Partners that are customers of Baird, the Partnership shall pay Baird a monthly ongoing maintenance fee equal to (i) 1/12 of 2.00% (2.00% per year) of month-end Net Assets for Class A Redeemable Units and (ii) 1/12 of 0.75% (0.75% per year) of month-end Net Assets for Class D Redeemable Units for services provided to such current Limited Partners.

The Partnership maintains a continuing services agreement with Credit Suisse Securities (USA) LLC. Pursuant to the continuing services agreement, Credit Suisse Securities (USA) LLC will receive a monthly fee in respect of certain partnership interests which have been sold to certain individuals and entities with an ongoing relationship with Credit Suisse Securities (USA) LLC (the “CS Interests”) equal to (i) 1/12 of 2.00% (2.00% per year) of month-end Net Assets for Class A Redeemable Units and (ii) 1/12 of 0.75% (0.75% per year) of month-end Net Assets for Class D Redeemable Units. The fees paid to Credit Suisse Securities (USA) LLC shall continue only for as long as the CS Interests remain outstanding.

 

 

9


Managed Futures Premier Warrington L.P.

Notes to Financial Statements

June 30, 2018

(Unaudited)

 

2.

Basis of Presentation and Summary of Significant Accounting Policies:

The accompanying financial statements and accompanying notes are unaudited but, in the opinion of the General Partner, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair presentation of the Partnership’s financial condition and condensed schedule of investments at June 30, 2018 and December 31, 2017, the results of its operations for the three and six months ended June 30, 2018 and 2017 and changes in partners’ capital for the six months ended June 30, 2018 and 2017. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K filed with the SEC as of and for the year ended December 31, 2017. The December 31, 2017 information has been derived from the audited financial statements as of and for the year ended December 31, 2017.

The preparation of 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 financial statements and accompanying notes. As a result, actual results could differ from these estimates.

The General Partner and each Limited Partner share in the profits and losses of the Partnership, after the allocation to the Special Limited Partner, in proportion to the amount of Partnership interest owned by each, except that no Limited Partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions and losses, if any.

The Partnership’s trading of futures and options contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges. During the three and six month periods ended June 30, 2018 and 2017, the Partnership engaged in such trading through commodity brokerage accounts with Wells Fargo, Wedbush and ADM.

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Partnership’s Investments: The fair value of exchange-traded futures and options 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.

All commodity interests are held for trading purposes. The commodity interests are recorded on the trade date and open contracts are recorded at fair value (as described below 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. Unrealized gains or losses on option contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses.

The Partnership’s investments in U.S. government securities as of June 30, 2018 consist of short-term T-Bills. The T-Bills are reported at cost plus accrued interest, which approximates fair value.

Investment Company Status: Based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of FASB Accounting Standards Codification Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses.

Income Taxes: Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2014 through 2017 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.

10


Managed Futures Premier Warrington L.P.

Notes to Financial Statements

June 30, 2018

(Unaudited)

 

 

The Partnership adopted the provisions of ASU 2014-09 – Revenue from Contracts with Customers for the period ended June 30, 2018.  The General Partner reviewed the requirements of this new standard and based upon the trading activities of the Partnership, there were no changes in the recognition of investment income or trading activities.  In addition, the disclosure provisions of the standard did not have a material impact.

There have been no material changes with respect to the Partnership’s critical accounting policies as reported in the Partnership’s Annual Report on Form 10-K as of and for the year ended December 31, 2017.

 

 

3.

Financial Highlights:

Financial highlights for each Limited Partner Class for the three and six months ended June 30, 2018 and 2017 were as follows:

 

 

 

Three Months Ended

June 30, 2018

 

 

Three Months Ended

June 30, 2017

 

 

Six Months Ended

June 30, 2018

 

 

Six Months Ended

June 30, 2017

 

 

 

Class A

 

 

Class D

 

 

Class A

 

 

Class D

 

 

Class A

 

 

Class D

 

 

Class A

 

 

Class D

 

Net realized and unrealized gains (losses)

 

$

19.67

 

 

$

21.17

 

 

$

45.56

 

 

$

48.40

 

 

$

63.73

 

 

$

68.41

 

 

$

95.25

 

 

$

101.15

 

Interest Income

 

 

2.93

 

 

 

3.14

 

 

 

1.42

 

 

 

1.51

 

 

 

5.80

 

 

 

6.22

 

 

 

2.25

 

 

 

2.39

 

Expenses

 

 

(22.23

)

 

 

(19.92

)

 

 

(26.20

)

 

 

(24.43

)

 

 

(43.83

)

 

 

(39.37

)

 

 

(50.85

)

 

 

(49.56

)

Increase (decrease) for the period

 

 

0.37

 

 

 

4.39

 

 

 

20.78

 

 

 

25.48

 

 

 

25.70

 

 

 

35.26

 

 

 

46.65

 

 

 

53.98

 

Net asset value per unit, beginning of

   period

 

 

1,278.47

 

 

 

1,372.31

 

 

 

1,260.80

 

 

 

1,337.83

 

 

 

1,253.14

 

 

 

1,341.44

 

 

 

1,234.93

 

 

 

1,309.33

 

Net asset value per unit, end of period

 

$

1,278.84

 

 

$

1,376.70

 

 

$

1,281.58

 

 

$

1,363.31

 

 

$

1,278.84

 

 

$

1,376.70

 

 

$

1,281.58

 

 

$

1,363.31

 

 

 

 

Three Months Ended

June 30, 2018

 

 

Three Months Ended

June 30, 2017

 

 

Six Months Ended

June 30, 2018

 

 

Six Months Ended

June 30, 2017

 

 

 

Class A

 

 

Class D

 

 

Class A

 

 

Class D

 

 

Class A

 

 

Class D

 

 

Class A

 

 

Class D

 

Ratios to Average Net Assets:*