UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2019

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 000-31563

CERES TACTICAL GLOBAL L.P.

 

 

(Exact name of registrant as specified in its charter)

 

		Delaware		13-4084211
		(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue

New York, New York 10036

 

 

(Address of principal executive offices) (Zip Code)

(855) 672-4468

 

 

(Registrant’s telephone number, including area code)

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

 

Title of each class		Trading Symbol(s)		Name of each exchange on which registered
N/A		N/A		N/A

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 this 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 is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes     No X

As of October 31, 2019, 3,847,761.089 Limited Partnership Class A Units were outstanding and 8,620.412 Limited Partnership Class Z Units were outstanding.

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Ceres Tactical Global L.P.

Statements of Financial Condition

 

		September 30,     2019 (Unaudited)				December 31,     2018
Assets:
Investment in the Fund(s)(1), at fair value		$	14,686,475			$	1,492,447
Redemptions receivable from the Fund(s)			229,535				276,352
Equity in trading accounts:
Unrestricted cash			18,729,316				3,462,890
Restricted cash			427,779				118,195
Net unrealized appreciation on open futures contracts			186,120				-
Total equity in trading accounts			19,343,215				3,581,085
Expense reimbursement			13,595				15,047
Interest receivable			30,648				7,851
Total assets		$	34,303,468			$	5,372,782
Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open futures contracts		$	-			$	10,645
Accrued expenses:
Ongoing placement agent fees			-				8,623
General Partner fees			21,209				3,279
Management fees			23,175				3,999
Incentive fees			86,335				18,653
Professional fees			71,145				85,695
Redemptions payable to Limited Partners			185,259				84,066
Total liabilities			387,123				214,960
Partners’ Capital:
General Partner, Class Z, 37,254.248 and 7,027.337 Units outstanding at September 30, 2019 and December 31, 2018, respectively			385,319				72,542
Limited Partners, Class A, 3,887,217.100 and 583,751.985 Units outstanding at September 30, 2019 and December 31, 2018, respectively			33,429,083				5,085,280
Limited Partners, Class Z, 9,856.785 and 0.000 Units outstanding at September 30, 2019 and December 31, 2018, respectively			101,943				-
Total partners’ capital (net asset value)			33,916,345				5,157,822
Total liabilities and partners’ capital		$	34,303,468			$	5,372,782
Net asset value per Unit:
Class A		$	8.60			$	8.71
Class Z		$	10.34			$	10.32

⁽¹⁾ Defined in Note 1.

See accompanying notes to financial statements.

 

1

Ceres Tactical Global L.P.

Condensed Schedule of Investments

September 30, 2019

(Unaudited)

 

										% of Partners’
		Number of Contracts				Fair Value				Capital
Futures Contracts Purchased
Currencies			56			$	(262	)			(0.00)	%*
Total futures contracts purchased							(262	)			(0.00)	*
Futures Contracts Sold
Currencies			141				186,382				0.55
Total futures contracts sold							186,382				0.55
Net unrealized appreciation on open futures contracts						$	186,120				0.55	%
Investment in the Fund
CMF ADG Master Fund LLC						$	14,686,475				43.30	%
Total investment in the Fund						$	14,686,475				43.30	%

 

*	Due to rounding.

See accompanying notes to financial statements.

 

2

Ceres Tactical Global L.P.

Condensed Schedule of Investments

December 31, 2018

 

										% of Partners’
		Number of Contracts				Fair Value				Capital
Futures Contracts Purchased
Currencies			2			$	2,400				0.05	%
Total futures contracts purchased							2,400				0.05
Futures Contracts Sold
Currencies			57				(13,045	)			(0.26)
Total futures contracts sold							(13,045	)			(0.26)
Net unrealized depreciation on open futures contracts						$	(10,645	)			(0.21)	%
Investment in the Fund
CMF AE Capital Master Fund LLC						$	1,492,447				28.94	%
Total investment in the Fund						$	1,492,447				28.94	%

See accompanying notes to financial statements.

 

3

Ceres Tactical Global L.P.

Statements of Income and Expenses

(Unaudited)

 

		Three Months Ended								Nine Months Ended
		September 30,								September 30,
		2019				2018				2019				2018
Investment Income:
Interest income		$	97,024			$	12,503			$	236,777			$	32,849
Interest income allocated from the Funds			66,581				8,992				307,914				25,759
Total investment income			163,605				21,495				544,691				58,608
Expenses:
Expenses allocated from the Funds			13,436				4,275				165,362				11,594
Clearing fees related to direct investments			34,660				6,167				77,002				18,747
Ongoing placement agent fees			169,642				28,103				539,263				89,555
General Partner fees			64,525				10,673				205,362				33,850
Management fees			71,068				13,903				252,590				43,685
Incentive fees			86,335				3,338				203,155				33,708
Professional fees			78,955				43,742				231,844				134,164
Total expenses			518,621				110,201				1,674,578				365,303
Expenses borne by the General Partner			(53,924	)			(42,087	)			(241,990	)			(126,142	)
Net expenses			464,697				68,114				1,432,588				239,161
Net investment loss			(301,092	)			(46,619	)			(887,897	)			(180,553	)
Trading Results:
Net gains (losses) on trading of commodity interests and investment in the Funds:
Net realized gains (losses) on closed contracts			25,281				91,865				(26,434	)			280,132
Net realized gains (losses) on closed contracts allocated from the Funds			(210,191	)			(66,289	)			(778,358	)			(137,223	)
Net change in unrealized gains (losses) on open contracts			234,291				(40,003	)			198,897				(10,064	)
Net change in unrealized gains (losses) on open contracts allocated from the Funds			398,288				(19,098	)			1,031,211				79,728
Total trading results			447,669				(33,525	)			425,316				212,573
Net income (loss)		$	146,577			$	(80,144	)		$	(462,581	)		$	32,020
Net income (loss) per Unit*:
Class A		$	0.04			$	(0.13	)		$	(0.11	)		$	0.03
Class Z		$	0.09			$	(0.10	)		$	0.02			$	0.12
Weighted average number of Units outstanding:
Class A			3,952,643.816				646,418.248				4,154,317.654				691,688.364
Class Z			47,111.033				7,027.337				54,038.457				7,027.337

 

*	Represents the change in net asset value per Unit during the period.

See accompanying notes to financial statements.

 

4

Ceres Tactical Global L.P.

Statements of Changes in Partners’ Capital

For the Three and Nine Months Ended September 30, 2019 and 2018

(Unaudited)

 

		Class A								Class Z								Total
		Amount				Units				Amount				Units				Amount				Units
Partners’ Capital, December 31, 2017		$	6,433,098				752,427.863			$	-				-			$	6,433,098				752,427.863
Subscriptions - General Partner			-				-				70,274				7,027.337				70,274				7,027.337
Redemptions - General Partner			(70,239	)			(8,199.927	)			-				-				(70,239	)			(8,199.927	)
Redemptions - Limited Partners			(1,110,474	)			(128,554.059	)			-				-				(1,110,474	)			(128,554.059	)
Net income (loss)			31,185				-				835				-				32,020				-
Partners’ Capital, September 30, 2018		$	5,283,570				615,673.877			$	71,109				7,027.337			$	5,354,679				622,701.214
Partners’ Capital, June 30, 2018		$	5,730,539				658,148.758			$	71,786				7,027.337			$	5,802,325				665,176.095
Redemptions - Limited Partners			(367,502	)			(42,474.881	)			-				-				(367,502	)			(42,474.881	)
Net income (loss)			(79,467	)			-				(677	)			-				(80,144	)			-
Partners’ Capital, September 30, 2018		$	5,283,570				615,673.877			$	71,109				7,027.337			$	5,354,679				622,701.214
		Class A								Class Z								Total
		Amount				Units				Amount				Units				Amount				Units
Partners’ Capital, December 31, 2018		$	5,085,280				583,751.985			$	72,542				7,027.337			$	5,157,822				590,779.322
Subscriptions - General Partner			-				-				411,459				39,870.113				411,459				39,870.113
Subscriptions - Limited Partners			33,753,729				3,875,284.653				176,590				17,111.399				33,930,319				3,892,396.052
Redemptions - General Partner			-				-				(100,000	)			(9,643.202	)			(100,000	)			(9,643.202	)
Redemptions - Limited Partners			(4,945,416	)			(571,819.538	)			(75,258	)			(7,254.614	)			(5,020,674	)			(579,074.152	)
Net income (loss)			(464,510	)			-				1,929				-				(462,581	)			-
Partners’ Capital, September 30, 2019		$	33,429,083				3,887,217.100			$	487,262				47,111.033			$	33,916,345				3,934,328.133
Partners’ Capital, June 30, 2019		$	34,219,274				3,995,688.271			$	482,823				47,111.033			$	34,702,097				4,042,799.304
Redemptions - Limited Partners			(932,329	)			(108,471.171	)			-				-				(932,329	)			(108,471.171	)
Net income (loss)			142,138				-				4,439				-				146,577				-
Partners’ Capital, September 30, 2019		$	33,429,083				3,887,217.100			$	487,262				47,111.033			$	33,916,345				3,934,328.133

See accompanying notes to financial statements.

 

5

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

1.	Organization:

Ceres Tactical Global L.P. (the “Partnership”) is a Delaware limited partnership organized in 1999 to engage primarily in the speculative trading of futures contracts, options on futures and forward contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to, foreign currencies, financial instruments, metals, energy, and agricultural products (collectively, “Futures Interests”) (refer to Note 4, “Financial Instruments”). The Futures Interests that are traded by the Partnership, either directly, through individually managed accounts, or indirectly, through its investment in the Funds (as defined below), are volatile and involve a high degree of market risk. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets in United States (“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 (“Ceres” or the “General Partner”) and commodity pool operator of the Partnership, and as the commodity pool operator and general partner or trading manager (in such capacity, the “Trading Manager”) of each Fund (as defined below). Ceres is a wholly-owned subsidiary of Morgan Stanley Domestic Holdings, Inc. (“MSD Holdings”). MSD Holdings 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.

During the reporting periods ended September 30, 2019 and 2018, the Partnership’s and the Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) may also act as a foreign exchange forward or swap contract counterparty for the Partnership/Funds. During prior periods included in this report, the Partnership/Funds deposited a portion of their cash in non-trading bank accounts at JPMorgan.

As of January 1, 2018, units of limited partnership interest (“Unit(s)”) of the Partnership are being offered in two classes (each, a “Class” or collectively, the “Classes”): Class A Units and Class Z Units. Class A Units and Class Z Units are identical, except that Class Z Units are not subject to the monthly ongoing placement agent fee. Class A Units are subject to a monthly ongoing placement agent fee equal to 1/12 of 2.0% (a 2.0% annual rate) of adjusted beginning net assets of Class A. All Units issued prior to January 1, 2018 were deemed “Class A Units.” The rights, liabilities, risks, and fees associated with investment in the Class A Units were not changed. Class Z Units are offered to limited partners who receive advisory services from Morgan Stanley Wealth Management and may also be offered to certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class Z Units were first issued on April 1, 2018.

As of September 30, 2019, all trading decisions were made for the Partnership by P/E Global LLC (“P/E Global”), Greenwave Capital Management LLC (“Greenwave”) and ADG Capital Management LLP (“ADG”) (each, a “Trading Advisor” and collectively, the “Trading Advisors”), each of which is a registered commodity trading advisor. Effective June 30, 2019, SECOR Capital Advisors, LP (“SECOR”) ceased to act as a commodity trading advisor to the Partnership. On June 30, 2019, the Partnership fully redeemed its investment in SECOR Master Fund L.P. (“SECOR Master”). Effective April 3, 2019, the General Partner terminated AE Capital PTY Limited (“AE Capital”) as a commodity trading advisor to the Partnership. For the interim period from April 4, 2019 through April 30, 2019, the Partnership’s assets previously allocated to AE Capital were not charged a management fee and was credited with interest income at a rate equal to the monthly average of the 4-Week U.S. Treasury bill discount rate. On April 30, 2019, the Partnership fully redeemed its investment in CMF AE Capital Master Fund LLC (“AE Capital Master”). On January 1, 2019, the Partnership allocated a portion of its assets to Willowbridge Associates Inc. (“Willowbridge”). On January 31, 2019, the Partnership fully redeemed its investment in CMF Willowbridge Master Fund L.P. (“Willowbridge Master”). Also, effective January 31, 2019, Willowbridge ceased to act as a commodity trading advisor to the Partnership. Effective October 1, 2018, the Partnership, the General Partner, Cambridge Strategy (Asset Management) Limited (“Cambridge”) and Mesirow Financial International UK Limited (“Mesirow”) entered into a novation, assignment and assumption agreement, dated September 28, 2018, pursuant to which Cambridge transferred all of its future rights, obligations, and liabilities under that certain amended and restated management agreement, by and among the General Partner, the Partnership and Cambridge, dated as of October 22, 2012, as previously amended as of October 23, 2012, October 1, 2013 and January 1, 2018 (collectively, the “Initial Advisory Agreement”), to Mesirow. From October 1, 2018 until its termination effective December 31, 2018, Mesirow had undertaken to perform the Initial Advisory Agreement and be bound by its terms in every way as if it were the original party to it in place of Cambridge. References herein to a “Trading Advisor” or the “Trading Advisors” may also include, as relevant, SECOR, AE Capital, Willowbridge, Cambridge and Mesirow. Each Trading Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each Trading Advisor either directly, through individually managed accounts in the Partnership’s name, or indirectly, through its investments in the Funds. The Trading 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.

 

6

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

P/E Global directly trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to P/E Global’s FX Strategy Standard – MS Program.

Greenwave directly trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Greenwave’s Flagship Plus Program.

Effective October 10, 2018, the Partnership changed its name from Ceres Tactical Currency L.P. to Ceres Tactical Global L.P.

CMF ADG Master Fund LLC (“ADG Master”) has, and each of SECOR Master, AE Capital Master, Willowbridge Master and Cambridge Master Fund L.P. (“Cambridge Master”) (prior to their respective terminations) had, entered into a futures brokerage account agreement and a foreign exchange prime brokerage agreement with MS&Co. ADG Master will be referred to as the “Fund”. References herein to Funds may also include, as relevant, SECOR Master, AE Capital Master, Willowbridge Master and Cambridge Master. The Partnership has also entered into a futures brokerage account agreement and a foreign exchange prime brokerage agreement with MS&Co. Pursuant to these agreements, the Partnership, directly or through its investment in the Funds, pays MS&Co. (or will reimburse MS&Co. if previously paid) its allocable share of all trading fees for the clearing and, where applicable, execution of transactions as well as exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively, the “clearing fees”).

Effective July 12, 2017 and prior to their respective terminations, Cambridge Master and SECOR Master each entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of 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. In addition to Cambridge Master and SECOR Master, Cambridge (and, subsequently, Mesirow, pursuant to the novation, assignment and assumption agreement) and SECOR were parties to the FX Agreements for the Funds to which each acted as commodity trading advisor. Under each FX Agreement, JPMorgan charged a fee on the aggregate foreign currency transactions entered into on behalf of the respective Fund during a month.

On October 10, 2018, Cambridge, Mesirow, Cambridge Master and JPMorgan entered into an amendment and assignment agreement, dated October 10, 2018 (the “Assignment Agreement”), effective as of October 1, 2018, to the FX Agreement, pursuant to which Cambridge assigned to Mesirow all of its rights, liabilities, duties and obligations under and in respect of the FX Agreement, Mesirow accepted such assignment and assumed all rights, liabilities, duties and obligations under and in respect of the FX Agreement, and JPMorgan consented to such assignment and assumption. Pursuant to the Assignment Agreement, all references to Cambridge were replaced by references to Mesirow, and all references to “Investment Manager” are deemed to refer to Mesirow.

On October 10, 2018, Cambridge Master and JPMorgan entered into an amendment, dated as of October 10, 2018 (the “ISDA Amendment”), effective as of October 1, 2018, to the schedule to the Master Agreement, dated as of July 12, 2017, between Cambridge Master and JPMorgan. Pursuant to the ISDA Amendment, all references to Cambridge were replaced by references to Mesirow.

The General Partner fees, 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.

In July 2015, the General Partner 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 General Partner pays or reimburses the Partnership, from the General Partner fee it receives from the Partnership, the ordinary administrative expenses of the Partnership, to the extent these expenses exceed 0.85% annually of the net assets of the Partnership, including the expenses related to the engagement of the Administrator.

 

7

Ceres Tactical Global L.P.

Notes to Financial Statements

(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 at September 30, 2019, and the results of its operations and changes in partners’ capital for the three and nine months ended September 30, 2019 and 2018. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. These financial statements should be read together with the financial statements and notes included in the Partnership’s Annual Report on Form 10-K (the “Form 10-K”) filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2018. The December 31, 2018 information has been derived from the audited financial statements as of and for the year ended December 31, 2018.

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.

Use of Estimates. 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, and those differences could be material.

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 contributions and profits, if any, net of distributions, redemptions and losses, if any.

Statement of Cash Flows. The Partnership has not provided a Statement of Cash Flows, as permitted by Accounting Standards Codification (“ASC”) 230, “Statement of Cash Flows.” The Statements of Changes in Partners’ Capital is included herein, and as of and for the periods ended September 30, 2019 and 2018, the Partnership carried no debt and all the Partnership’s investments were carried at fair value and classified as Level 1 and Level 2 measurements.

Partnership’s Investment in the Funds. The Partnership carries its investment in ADG Master, and prior to their terminations, carried its investments in SECOR Master, AE Capital Master and Cambridge Master based on the Partnership’s (1) respective net contribution to each Fund and (2) its respective allocated share of the undistributed profits and losses, including realized gains or losses and net change in unrealized gains or losses, of each Fund. Prior to its termination on January 31, 2019, the Partnership carried its investment in Willowbridge Master based on Willowbridge Master’s net asset value per Unit as calculated by Willowbridge Master.

Partnership’s/Funds’ Derivative Investments. All Futures Interests held by the Partnership/Funds, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The Futures 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 Futures 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. Net unrealized gains or losses on open contracts are included as a component of “equity in trading account” in the Partnership’s/Funds’ Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership’s/Funds’ Statements of Income and Expenses.

The Partnership and the Funds do not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations due to changes in market prices of investments held. Such fluctuations are included in total trading results in the Partnership’s/Funds’ Statements of Income and Expenses.

Partnership’s Cash. 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 September 30, 2019 and December 31, 2018, the amount of cash held for margin requirements was $427,779 and $118,195, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. Restricted and unrestricted cash includes cash denominated in foreign currencies of $86,086 (cost of $83,900) and $(13,519) (proceeds of $13,573) as of September 30, 2019 and December 31, 2018, respectively.

 

8

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

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 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 Statements of Income and Expenses in the period 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 financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2015 through 2018 tax years remain subject to examination by U.S. federal and most state tax authorities.

Investment Company Status. Effective January 1, 2014, the Partnership adopted Accounting Standards Update 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and 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 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.

Net Income (Loss) per Unit. Net income (loss) per Unit is calculated in accordance with ASC 946, “Financial Services — Investment Companies.” See Note 3, “Financial Highlights.”

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 for the year ended December 31, 2018.

 

9

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

3.	Financial Highlights:

Financial highlights for the limited partner Classes as a whole for the three and nine months ended September 30, 2019 and 2018 were as follows:

 

		Three Months Ended												Nine Months Ended
		September 30,												September 30,
		2019								2018				2019								2018
		Class A				Class Z				Class A				Class A				Class Z				Class A
Per Unit Performance (for a unit outstanding throughout the period): *
Net realized and unrealized gains (losses)		$	0.12			$	0.13			$	(0.06)			$	0.10			$	0.13			$	0.29
Net investment loss			(0.08)				(0.04)				(0.07)				(0.21)				(0.11)				(0.26)
Net increase (decrease) for the period			0.04				0.09				(0.13)				(0.11)				0.02				0.03
Net asset value per Unit, beginning of period			8.56				10.25				8.71				8.71				10.32				8.55
Net asset value per Unit, end of period		$	8.60			$	10.34			$	8.58			$	8.60			$	10.34			$	8.58
		Three Months Ended												Nine Months Ended
		September 30,												September 30,
		2019								2018				2019								2018
		Class A				Class Z				Class A				Class A				Class Z				Class A
Ratios to Average Limited Partners’ Capital: **
Net investment loss ***			(2.8)	%			(0.7)	%			(3.1)	%			(3.1)	%			(1.3)	%			(3.9)	%
Operating expenses			5.0	%			3.0	%			7.6	%			5.5	%			3.5	%			7.5	%
Expenses borne by the General Partner			(0.6)	%			(0.6)	%			(3.0)	%			(0.9)	%			(0.9)	%			(2.8)	%
Incentive fees			0.3	%			0.2	%			0.1	%			0.6	%			0.7	%			0.6	%
Total expenses			4.7	%			2.6	%			4.7	%			5.2	%			3.3	%			5.3	%
Total return:
Total return before incentive fees			0.7	%			1.2	%			(1.4)	%			(0.7)	%			1.0	%			1.0	%
Incentive fees			(0.2)	%			(0.3)	%			(0.1)	%			(0.6)	%			(0.8)	%			(0.6)	%
Total return after incentive fees			0.5	%			0.9	%			(1.5)	%			(1.3)	%			0.2	%			0.4	%

 

*

Net investment loss per Unit is calculated by dividing the interest income less total expenses by the average number of Units outstanding during the period. The net realized and unrealized gains (losses) per Unit is a balancing amount necessary to reconcile the change in net asset value per Unit with the other per unit information.

 

**	Annualized (except for incentive fees if applicable).

 

***	Interest income less total expenses.

The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner Classes using the limited partners’ share of income, expenses and average limited partners’ capital of the Partnership, and include the income and expenses allocated from the Funds.

 

4.	Trading Activities:

The Partnership’s objective is to profit from speculative trading in Futures Interests. Therefore, each Trading Advisor for the Partnership will take speculative positions in Futures Interests where it feels the best profit opportunities exist for its trading strategies. As such, the average number of contracts outstanding in absolute quantities (the total of the open long and open short positions) has been presented as a part of the volume disclosure, as position direction is not an indicative factor in such volume disclosures. With regard to foreign currency forward trades, each notional quantity amount has been converted to an equivalent contract based upon an industry convention.

 

10

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

All of the Futures Interests owned directly by the Partnership are held for trading purposes. All of the Futures Interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended September 30, 2019 and 2018 was 227 and 36, respectively. The monthly average number of futures contracts traded directly by the Partnership during the nine months ended September 30, 2019 and 2018 was 178 and 45, respectively. The monthly average number of option contracts traded directly by the Partnership during the three months ended September 30, 2019 and 2018 was 54 and 0, respectively. The monthly average number of option contracts traded directly by the Partnership during the nine months ended September 30, 2019 and 2018 was 22 and 0, respectively.

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 arrangements or similar agreements as of September 30, 2019 and December 31, 2018, respectively.

 

September 30, 2019		Gross Amounts     Recognized				Gross Amounts   Offset in the Statements of Financial Condition				Amounts   Presented in the   Statements of Financial Condition				Gross Amounts Not Offset in the Statements of Financial Condition
														Financial     Instruments				Cash Collateral   Received/ Pledged*				Net Amount
Assets
Futures		$	200,704			$	(14,584)			$	186,120			$	-			$	-			$	186,120
Total assets		$	200,704			$	(14,584)			$	186,120			$	-			$	-			$	186,120
Liabilities
Futures		$	(14,584)			$	14,584			$	-			$	-			$	-			$	-
Total liabilities		$	(14,584)			$	14,584			$	-			$	-			$	-			$	-
Net fair value																						$	186,120	*
December 31, 2018		Gross Amounts     Recognized				Gross Amounts   Offset in the Statements of Financial Condition				Amounts   Presented in the   Statements of Financial Condition				Gross Amounts Not Offset in the Statements of Financial Condition
														Financial     Instruments				Cash Collateral   Received/ Pledged*				Net Amount
Assets
Futures		$	15,181			$	(15,181)			$	-			$	-			$	-			$	-
Total assets		$	15,181			$	(15,181)			$	-			$	-			$	-			$	-
Liabilities
Futures		$	(25,826)			$	15,181			$	(10,645)			$	-			$	10,645			$	-
Total liabilities		$	(25,826)			$	15,181			$	(10,645)			$	-			$	10,645			$	-
Net fair value																						$	-	*

 

*

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 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.

 

11

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

The following tables indicate the gross fair values of derivative instruments of futures contracts held directly by the Partnership as separate assets and liabilities as of September 30, 2019 and December 31, 2018, respectively.

 

		September 30, 2019
Assets
Futures Contracts
Currencies		$	200,704
Total unrealized appreciation on open futures contracts			200,704
Liabilities
Futures Contracts
Currencies			(14,584)
Total unrealized depreciation on open futures contracts			(14,584)
Net unrealized appreciation on open futures contracts		$	186,120	*
*   This amount is in “Net unrealized appreciation on open futures contracts” in the Statements of Financial Condition.
		December 31, 2018
Assets
Futures Contracts
Currencies		$	15,181
Total unrealized appreciation on open futures contracts			15,181
Liabilities
Futures Contracts
Currencies			(25,826)
Total unrealized depreciation on open futures contracts			(25,826)
Net unrealized depreciation on open futures contracts		$	(10,645)	*
*   This amount is in “Net unrealized depreciation on open futures contracts” in the Statements of Financial Condition.

 

 

12

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and nine months ended September 30, 2019 and 2018, respectively.

 

		Three Months Ended   September 30,										Nine Months Ended   September 30,
Sector		2019				2018						2019				2018
Currencies		$	433,271			$	53,946					$	444,671			$	278,708
Energy			(1,937)				1,556						12,368				3,551
Indices			(157,858)				4,951						(217,002)				1,233
Interest Rates U.S.			(27,480)				(2,918)						(78,540)				8,093
Interest Rates Non-U.S.			30,755				(5,255)						28,947				(13,516)
Metals			(17,179)				(418)						(17,981)				(8,001)
Total		$	259,572	**		$	51,862	**				$	172,463	**		$	270,068	**

 

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

The 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 September 30, 2019 and December 31, 2018 and for the periods ended September 30, 2019 and 2018, 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).

 

13

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

September 30, 2019		Total				Level 1				Level 2				Level 3
Assets
Futures		$	200,704			$	200,704			$	-			$	-
Total assets		$	200,704			$	200,704			$	-			$	-
Liabilities
Futures		$	14,584			$	14,584			$	-			$	-
Total liabilities		$	14,584			$	14,584			$	-			$	-
December 31, 2018		Total				Level 1				Level 2				Level 3
Assets
Futures		$	15,181			$	15,181			$	-			$	-
Total assets		$	15,181			$	15,181			$	-			$	-
Liabilities
Futures		$	25,826			$	25,826			$	-			$	-
Total liabilities		$	25,826			$	25,826			$	-			$	-

 

6.	Investment in the Funds:

On or about February 1, 2019, the Partnership allocated a portion of its assets to ADG for trading through investment in ADG Master, a Delaware limited liability company. ADG Master permits accounts managed by ADG using ADG Systematic Macro Fund’s strategy, a proprietary, discretionary trading program, to invest together in one trading vehicle. The General Partner is also the trading manager of ADG Master. Individual and pooled accounts currently managed by ADG, including the Partnership, are permitted to be members of ADG Master. The Trading Manager and ADG believe that trading through this master/feeder structure promotes efficiency and economy in the trading process.

On or about January 1, 2019, the Partnership allocated a portion of its assets to SECOR for trading through investment in SECOR Master, a Delaware limited partnership. On June 30, 2019, the Partnership fully redeemed its investment in SECOR Master.

On or about February 1, 2018, the Partnership allocated a portion of its assets to AE Capital for trading through investment in AE Capital Master, a Delaware limited liability company. On April 30, 2019, the Partnership fully redeemed its investment in AE Capital Master.

On or about January 1, 2019, the Partnership allocated a portion of its assets to Willowbridge for trading through investment in Willowbridge Master, a New York limited partnership. Effective the close of business on January 31, 2019, the Partnership fully redeemed its investment in Willowbridge Master.

On November 1, 2012, the Partnership allocated a portion of its assets to Cambridge for trading through investment in Cambridge Master, a limited partnership organized under the partnership laws of the State of Delaware. The Partnership fully redeemed its investment in Cambridge Master on December 31, 2018.

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 fiscal quarter ended September 30, 2019.

 

14

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

The Funds’ and the Partnership’s trading of Futures Interests 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 a Fund withdraws all or part of its capital contribution and undistributed profits, if any, from the Fund 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 Fund. However, for each Fund 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 placement agent fees, General Partner fees and incentive fees are charged at the Partnership 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 also charged directly at the Partnership level. The General Partner reimburses the Partnership for clearing fees and professional fees to the extent that these fees exceed 0.85% annually of the net assets of the Partnership.

At September 30, 2019, the Partnership owned approximately 37.1% of ADG Master. At December 31, 2018, the Partnership owned approximately 7.6% of AE Capital Master. It is the Partnership’s intention to continue to invest in ADG Master. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of the 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 partners’/members’ capital of the Funds is shown in the following tables:

 

		September 30, 2019
		Total Assets				Total Liabilities				Total Capital
ADG Master		$	39,885,188			$	339,282			$	39,545,906
		December 31, 2018
		Total Assets				Total Liabilities				Total Capital
Cambridge Master		$	21,433,817			$	4,151,814			$	17,282,003
AE Capital Master			19,758,302				99,954				19,658,348

 

15

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

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 three months ended September 30, 2019
		Net Investment				Total Trading				Net Income
		Income (Loss)				Results				(Loss)
ADG Master		$	139,759			$	526,901			$	666,660
		For the nine months ended September 30, 2019
		Net Investment				Total Trading				Net Income
		Income (Loss)				Results				(Loss)
AE Capital Master (a)		$	71,739			$	(890,810	)		$	(819,071	)
SECOR Master (b)			(84,266	)			2,719,987				2,635,721
Willowbridge Master (c)			220,431				(759,939	)			(539,508	)
ADG Master (d)			351,634				(251,192	)			100,442
		For the three months ended September 30, 2018
		Net Investment				Total Trading				Net Income
		Income (Loss)				Results				(Loss)
Cambridge Master		$	102,313			$	(3,445,315	)		$	(3,343,002	)
AE Capital Master			67,934				(657,511	)			(589,577	)
		For the nine months ended September 30, 2018
		Net Investment				Total Trading				Net Income
		Income (Loss)				Results				(Loss)
Cambridge Master		$	286,968			$	(1,952,669	)		$	(1,665,701	)
AE Capital Master (e)			157,473				(1,471,268	)			(1,313,795	)

 

(a)	From January 1, 2019 through April 30, 2019, the date the Partnership fully redeemed its investment in AE Capital Master.

 

(b)	From January 1, 2019 through June 30, 2019, the date the Partnership fully redeemed its investment in SECOR Master.

 

(c)	From January 1, 2019, the date the Partnership invested into Willowbridge Master, through January 31, 2019, the date the Partnership fully redeemed its investment in Willowbridge Master.

 

(d)	From February 1, 2019, commencement of operations for ADG Master, through September 30, 2019.

 

(e)	From February 1, 2018, commencement of operations for AE Capital Master, through September 30, 2018.

 

16

Ceres Tactical Global L.P.

Notes to Financial Statements

(Unaudited)

 

Summarized information reflecting the Partnership’s investment in and the Partnership’s pro-rata share of the results of operations of the Funds is shown in the following tables:

 

		September 30, 2019								For the three months ended September 30, 2019
		% of   Partners’   Capital				Fair Value				Income (Loss)				Expenses								Net Income (Loss)
Fund														Clearing Fees				Professional Fees								Investment Objective				Redemptions   Permitted
ADG Master			43.30	%		$	14,686,475			$	254,678			$	6,397			$	7,039			$	241,242				Commodity Portfolio				Monthly
Total						$	14,686,475			$	254,678			$	6,397			$	7,039			$	241,242
		September 30, 2019								For the nine months ended September 30, 2019
		% of   Partners’   Capital				Fair Value				Income (Loss)				Expenses								Net Income (Loss)
Funds														Clearing Fees				Professional Fees								Investment Objective				Redemptions   Permitted
AE Capital Master (a)			-	%		$	-			$	(146,512	)		$	9,592			$	8,603			$	(164,707	)			Commodity Portfolio				Monthly
SECOR Master (b)			-	%			-				665,225				96,606				7,205				561,414				Commodity Portfolio				Monthly
Willowbridge Master (c)			-	%			-				(45,751	)			9,757				589				(56,097	)			Commodity Portfolio				Monthly
ADG Master (d)			43.30	%			14,686,475				87,805				15,367				17,643				54,795				Commodity Portfolio				Monthly
Total						$	14,686,475			$	560,767			$	131,322			$	34,040			$	395,405
		December 31, 2018								For the three months ended September 30, 2018
		% of   Partners’   Capital				Fair Value				Income (Loss)				Expenses								Net Income (Loss)
Funds														Clearing Fees				Professional Fees								Investment Objective				Redemptions   Permitted
Cambridge Master			-	%		$	-			$	(33,790)			$	219			$	164			$	(34,173)				Commodity Portfolio				Monthly
AE Capital Master			28.94	%			1,492,447				(42,605)				2,462				1,430				(46,497)				Commodity Portfolio				Monthly
Total						$	1,492,447			$	(76,395)			$	2,681			$	1,594			$	(80,670)
		December 31, 2018								For the nine months ended September 30, 2018
		% of   Partners’   Capital				Fair Value				Income (Loss)				Expenses								Net Income (Loss)
Funds														Clearing Fees				Professional Fees								Investment Objective				Redemptions   Permitted
Cambridge Master			-	%		$	-			$	73,877			$	778			$	826			$	72,273				Commodity Portfolio				Monthly
AE Capital Master (e)			28.94	%			1,492,447				(105,613	)			5,805				4,185				(115,603	)			Commodity Portfolio				Monthly
Total						$	1,492,447			$	(31,736	)		$	6,583			$	5,011			$	(43,330	)

 

(a)	From January 1, 2019 through April 30, 2019, the date the Partnership fully redeemed its investment in AE Capital Master.

 

(b)	From January 1, 2019 through June 30, 2019, the date the Partnership fully redeemed its investment in SECOR Master.

 

(c)	From January 1, 2019, the date the Partnership invested into Willowbridge Master, through January 31, 2019, the date the Partnership fully redeemed its investment in Willowbridge Master.

 

(d)	From February 1, 2019, commencement of operations for ADG Master, through September 30, 2019.

 

(e)	From February 1, 2018, commencement of operations for AE Capital Master, through September 30, 2018.

 

17