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Ceres Orion L.P. – ‘10-Q’ for 6/30/22

On:  Thursday, 8/11/22, at 12:03pm ET   ·   For:  6/30/22   ·   Accession #:  1193125-22-218262   ·   File #:  0-50271

Previous ‘10-Q’:  ‘10-Q’ on 5/11/22 for 3/31/22   ·   Next:  ‘10-Q’ on 11/10/22 for 9/30/22   ·   Latest:  ‘10-Q’ on 11/9/23 for 9/30/23

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  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 8/11/22  Ceres Orion L.P.                  10-Q        6/30/22   50:7.4M                                   Donnelley … Solutions/FA

Quarterly Report   —   Form 10-Q

Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: 10-Q        Quarterly Report                                    HTML   1.99M 
 2: EX-31.1     Certification -- §302 - SOA'02                      HTML     20K 
 3: EX-31.2     Certification -- §302 - SOA'02                      HTML     21K 
 4: EX-32.1     Certification -- §906 - SOA'02                      HTML     16K 
 5: EX-32.2     Certification -- §906 - SOA'02                      HTML     16K 
11: R1          Cover Page                                          HTML     68K 
12: R2          Statements of Financial Condition                   HTML    103K 
13: R3          Statements of Financial Condition (Parenthetical)   HTML     25K 
14: R4          Condensed Schedule of Investments                   HTML    193K 
15: R5          Condensed Schedule of Investments (Parenthetical)   HTML     48K 
16: R6          Statements of Income and Expenses                   HTML     81K 
17: R7          Statements of Changes in Partners' Capital          HTML     61K 
18: R8          Organization                                        HTML     36K 
19: R9          Basis of Presentation and Summary of Significant    HTML     31K 
                Accounting Policies                                              
20: R10         Financial Highlights                                HTML    102K 
21: R11         Trading Activities                                  HTML    229K 
22: R12         Fair Value Measurements                             HTML     71K 
23: R13         Investment in the Funds                             HTML    212K 
24: R14         Financial Instrument Risks                          HTML     38K 
25: R15         Subsequent Events                                   HTML     20K 
26: R16         Basis of Presentation and Summary of Significant    HTML     47K 
                Accounting Policies (Policies)                                   
27: R17         Financial Highlights (Tables)                       HTML    101K 
28: R18         Trading Activities (Tables)                         HTML    229K 
29: R19         Fair Value Measurements (Tables)                    HTML     67K 
30: R20         Investment in the Funds (Tables)                    HTML    205K 
31: R21         Organization - Additional Information (Detail)      HTML     46K 
32: R22         Basis of Presentation and Summary of Significant    HTML     27K 
                Accounting Policies - Additional Information                     
                (Detail)                                                         
33: R23         Financial Highlights - Schedule of Changes in Net   HTML     32K 
                Asset Value (Detail)                                             
34: R24         Financial Highlights - Ratios to Average Limited    HTML     39K 
                Partners' Capital (Detail)                                       
35: R25         Trading Activities - Additional Information         HTML     26K 
                (Detail)                                                         
36: R26         Trading Activities - Summary of Gross and Net       HTML     67K 
                Amounts Recognized Relating to Assets and                        
                Liabilities of Partnership's Derivatives (Detail)                
37: R27         Trading Activities - Gross Fair Values of           HTML     65K 
                Derivative Instruments of Futures and Forward                    
                Contracts Traded (Detail)                                        
38: R28         Trading Activities - Trading Gains and Losses by    HTML     42K 
                Market Sector on Derivative Instruments Traded                   
                (Detail)                                                         
39: R29         Fair Value Measurements - Additional Information    HTML     20K 
                (Detail)                                                         
40: R30         Fair Value Measurements - Summary of Assets and     HTML     54K 
                Liabilities Measured at Fair Value (Detail)                      
41: R31         Investment in the Funds - Additional Information    HTML     25K 
                (Detail)                                                         
42: R32         Investment in the Funds - Assets, Liabilities and   HTML     46K 
                Partners' Members' Capital of Funds (Detail)                     
43: R33         Investment in the Funds - Net Investment Income     HTML     47K 
                (Loss), Trading Results and Net Income (Loss) for                
                Funds (Detail)                                                   
44: R34         Investment in the Funds - Partnership's             HTML     95K 
                Investments in, and Partnership's Pro Rata Share                 
                of Results of Operations of Funds (Detail)                       
45: R35         Financial Instrument Risks - Additional             HTML     28K 
                Information (Detail)                                             
48: XML         IDEA XML File -- Filing Summary                      XML     83K 
46: XML         XBRL Instance -- d325676d10q_htm                     XML   2.33M 
47: EXCEL       IDEA Workbook of Financial Reports                  XLSX     98K 
 7: EX-101.CAL  XBRL Calculations -- offlp-20220630_cal              XML     79K 
 8: EX-101.DEF  XBRL Definitions -- offlp-20220630_def               XML    562K 
 9: EX-101.LAB  XBRL Labels -- offlp-20220630_lab                    XML    649K 
10: EX-101.PRE  XBRL Presentations -- offlp-20220630_pre             XML    613K 
 6: EX-101.SCH  XBRL Schema -- offlp-20220630                        XSD    111K 
49: JSON        XBRL Instance as JSON Data -- MetaLinks              222±   325K 
50: ZIP         XBRL Zipped Folder -- 0001193125-22-218262-xbrl      Zip    212K 


‘10-Q’   —   Quarterly Report


This is an HTML Document rendered as filed.  [ Alternative Formats ]



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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM  i 10-Q
( i X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended  i June 30,  i 2022 / 
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
 i 0-50271
 i CERES ORION L.P.
 
(Exact name of registrant as specified in its charter)
 
 i New York
     
 i 22-3644546
(State or other jurisdiction of
incorporation or organization)
     
(I.R.S. Employer
Identification No.)
c/o Ceres Managed Futures LLC
 i 522 Fifth Avenue
 i New York,  i New York  i 10036
 
(Address of principal executive offices) (Zip Code)
( i 855)
 i 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
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.
 i 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).
 i 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
    
  
 i Non-accelerated filer
 
X
    
 i Smaller reporting company 
    
  
 i 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
 i X
As of July 31, 2022,  i 108,077.9888 Limited Partnership Class A Redeemable Units were outstanding and  i 3,112.4102 Limited Partnership Class Z Redeemable Units were outstanding.

PART I. FINANCIAL INFORMATION
Item 1.
Financial Statements
.
Ceres Orion L.P.
Statements of Financial Condition

 
 
  
  
 
  
(Unaudited)
  
 
Assets:
  
  
 
 
 
 
 
Investment in the Funds
(1)
, at fair value
     $  i 146,152,957    
 
  $  i 87,850,946   
Redemptions receivable from the Funds
      i 284,392        i 4,643,766  
    
 
 
 
 
 
 
 
Equity in trading account:
          
 
     
Unrestricted cash
      i 176,168,376    
 
  
 
   i 255,092,796  
Restricted cash
      i 24,264,575        i 17,796,571  
Net unrealized appreciation on open futures contracts
      i 60,968,922      
-     

 
Options purchased, at fair value (premiums paid $ i 3,342,980 and $ i 6,040,660 at June 30, 2022 and December 31, 2021, respectively)
      i 19,311,159        i 13,241,142  
    
 
 
 
 
 
 
 
Total equity in trading account
      i 280,713,032        i 286,130,509  
    
 
 
 
 
 
 
 
Interest receivable
      i 178,644        i 8,159  
    
 
 
 
 
 
 
 
Total assets
     $  i 427,329,025       $  i 378,633,380  
    
 
 
 
 
 
 
 
Liabilities and Partners’ Capital:
                
Liabilities:
                
Net unrealized depreciation on open futures contracts
     $ -           $  i 1,400,643  
Net unrealized depreciation on open forward contracts
      i 137,234       -      
Options written, at fair value (premiums received $ i 3,981,140 and $ i 5,733,790 at June 30, 2022 and December 31, 2021, respectively)
      i 7,447,359        i 6,649,119  
Accrued expenses:
                
Ongoing selling agent fees
      i 256,256        i 225,873  
Management fees
      i 290,004        i 237,202  
General Partner fees
      i 261,911        i 231,254  
Incentive fees
      i 5,963,364        i 5,219,344  
Professional fees
      i 429,829        i 351,627  
Redemptions payable to General Partner
     -            i 350,001  
Redemptions payable to Limited Partners
      i 1,991,971        i 2,110,287  
    
 
 
 
 
 
 
 
Total liabilities
      i 16,777,928        i 16,775,350  
    
 
 
 
 
 
 
 
Partners’ Capital:
                
General Partner, Class Z,  i  i 3,070.7533 /  Redeemable Units outstanding at June 30, 2022 and
December 31, 2021
      i 4,719,196        i 4,078,652  
Limited Partners, Class A,  i 108,084.9748 and  i 109,712.3338 Redeemable Units outstanding at June 30, 2022 and December 31, 2021, respectively
      i 401,048,687        i 353,170,511  
Limited Partners, Class Z,  i 3,112.4102 and  i 3,469.9432 Redeemable Units outstanding at June 30,
2022
and December 31, 2021, respectively
      i 4,783,214        i 4,608,867  
    
 
 
 
 
 
 
 
Total partners’ capital (net asset value)
      i 410,551,097        i 361,858,030  
    
 
 
 
 
 
 
 
Total liabilities and partners’ capital
     $        i 427,329,025       $        i 378,633,380  
    
 
 
 
 
 
 
 
Net asset value per Redeemable Unit:
                
Class A
     $  i 3,710.49       $  i 3,219.06  
    
 
 
 
 
 
 
 
Class Z
     $  i 1,536.82       $  i 1,328.23  
    
 
 
 
 
 
 
 
(1)
Defined in Note 1.
 
See accompanying notes to financial statements.
 
1

Ceres Orion L.P.
Condensed Schedule of Investments
(Unaudited)
 
    
    Number of    

    
    Fair Value    
 
    % of Partners’    

Capital
 
Futures Contracts Purchased
                         
Currencies
      i 1,462        $ ( i 477,073     ( i 0.12)  % 
Energy
                         
NAT GAS LAST DAY  i Dec22
      i 324         i 9,511,700        i 2.32    
GLOBEX NAT GAS LD  i DEC23
      i 281         i 6,207,880        i 1.51    
NATURAL GAS FUTR  i Nov22
      i 2,180         i 14,869,875        i 3.62    
NATURAL GAS FUTR  i Nov23
      i 2,901         i 10,265,530        i 2.50    
NATURAL GAS FUTR  i Dec22
      i 2,396         i 16,426,675        i 4.00    
NATURAL GAS FUTR  i JAN23
      i 331        ( i 6,208,482     ( i 1.51)  
Other
      i 6,809         i 11,634,562        i 2.83    
Grains
      i 525        ( i 2,054,428     ( i 0.50)  
Indices
      i 575         i 255,952        i 0.06    
Interest Rates U.S.
      i 165         i 236,852        i 0.06    
Interest Rates
Non-U.S.
      i 26        ( i 8,312     ( i 0.00  * 
Livestock
      i 91        ( i 24,600     ( i 0.01  
Metals
      i 233        ( i 210,777     ( i 0.05  
Softs
      i 1,084        ( i 1,966,478     ( i 0.47  
             
 
 
 
 
 
 
 
Total futures contracts purchased
                       i 58,458,876        i 14.24    
             
 
 
 
 
 
 
 
Futures Contracts Sold
                         
Currencies
      i 688         i 532,132        i 0.13    
Energy
                         
GLOBEX NAT GAS LD  i MAR24
      i 281        ( i 5,575,330     ( i 1.36  
Henry LD1 Fix FUT  i Jan 2023
      i 1,136         i 5,259,540        i 1.28    
NATURAL GAS FUTR  i APR23
      i 2,284        ( i 5,907,485     ( i 1.44  
NATURAL GAS FUTR  i OCT22
      i 494         i 9,922,070        i 2.42    
Other
      i 11,250        ( i 6,223,949     ( i 1.52  
Grains
      i 337         i 1,169,940        i 0.28    
Indices
      i 1,050         i 1,776,971        i 0.43    
Interest Rates U.S.
      i 425         i 21,601        i 0.01    
Interest Rates
Non-U.S.
      i 1,779        ( i 121,810     ( i 0.03  
Livestock
      i 68        ( i 26,080     ( i 0.01  
Metals
      i 250         i 772,553        i 0.19    
Softs
      i 977         i 909,893        i 0.23    
             
 
 
 
 
 
 
 
Total futures contracts sold
               i 2,510,046        i 0.61    
             
 
 
 
 
 
 
 
Net unrealized appreciation on open futures contracts
              $  i 60,968,922        i 14.85  
             
 
 
 
 
 
 
 
       
Unrealized Depreciation on Open Forward Contracts
                         
Metals
      i 10        $ ( i 137,234     ( i 0.03)  % 
             
 
 
 
 
 
 
 
Total unrealized depreciation on open forward contracts
              ( i 137,234     ( i 0.03  
             
 
 
 
 
 
 
 
Net unrealized depreciation on open forward contracts
              $ ( i 137,234     ( i 0.03
             
 
 
 
 
 
 
 
       
Options Purchased
                         
Calls
                         
Energy
      i 1,178        $  i 19,239,645        i 4.68  
Puts
                         
Energy
      i 712         i 71,514        i 0.02    
             
 
 
 
 
 
 
 
Total options purchased (premiums paid $ i 3,342,980)
              $  i 19,311,159        i 4.70  
             
 
 
 
 
 
 
 
Options Written
                         
Calls
                         
Energy
      i 703        $ ( i 6,638,515     ( i 1.61
Puts
                         
Energy
      i 1,528        ( i 808,844     ( i 0.20  
             
 
 
 
 
 
 
 
Total options written (premiums received $ i 3,981,140)
              $ ( i 7,447,359     ( i 1.81
             
 
 
 
 
 
 
 
       
Investment in the Funds
                         
CMF TT II, LLC
              $  i 83,692,035        i 20.39  
CMF NL Master Fund LLC
               i 34,162,287        i 8.32    
CMF Drakewood Master Fund LLC
               i 28,298,635        i 6.89    
             
 
 
 
 
 
 
 
Total investment in the Funds
              $  i 146,152,957        i 35.60  
             
 
 
 
 
 
 
 
 
*
Due to rounding.
 
See accompanying notes to financial statements.
 
2

Ceres Orion L.P.
Condensed Schedule of Investments
 
    
    Number of    

    
    Fair Value    
 
    % of Partners’    

Capital
 
Futures Contracts Purchased
                         
Currencies
      i 377        $  i 184,170        i 0.05  
Energy
                         
NATURAL GAS FUTR  i DEC22
      i 2,643         i 7,354,680        i 2.03    
NAT GAS LAST DAY  i Dec22
      i 324         i 4,084,700        i 1.13    
NATURAL GAS FUTR  i Nov22
      i 2,206         i 5,659,453        i 1.57    
Other
      i 9,415         i 6,445,494        i 1.78    
Grains
      i 1,031         i 11,298        i 0.00  
Indices
      i 801         i 111,957        i 0.03    
Interest Rates U.S.
      i 174         i 39,530        i 0.01    
Interest Rates
Non-U.S.
      i 678        ( i 781,525     ( i 0.22  
Livestock
      i 137         i 116,515        i 0.03    
Metals
      i 534         i 897,934        i 0.25    
Softs
      i 1,030        ( i 327,420     ( i 0.09  
             
 
 
 
 
 
 
 
Total futures contracts purchased
               i 23,796,786        i 6.57    
             
 
 
 
 
 
 
 
Futures Contracts Sold
                         
Currencies
      i 594        ( i 270,449     ( i 0.07  
Energy
                         
NAT GAS LAST DAY  i Mar22
      i 699        ( i 7,601,640     ( i 2.10  
Other
      i 16,799        ( i 15,199,704     ( i 4.20  
Grains
      i 773        ( i 191,934     ( i 0.05  
Indices
      i 531        ( i 83,321     ( i 0.02  
Interest Rates U.S.
      i 207        ( i 195     ( i 0.00
Interest Rates
Non-U.S.
      i 276         i 13,356        i 0.00 
Livestock
      i 85        ( i 52,462     ( i 0.01  
Metals
      i 398        ( i 756,914     ( i 0.21  
Softs
      i 922        ( i 1,054,166     ( i 0.30  
             
 
 
 
 
 
 
 
Total futures contracts sold
              ( i 25,197,429     ( i 6.96  
             
 
 
 
 
 
 
 
Net unrealized depreciation on open futures contracts
              $ ( i 1,400,643     ( i 0.39
             
 
 
 
 
 
 
 
       
Options Purchased
                         
Calls
                         
Energy
      i 1,985        $  i 12,576,831        i 3.48  
Puts
                         
Energy
      i 1,206         i 664,311        i 0.18    
             
 
 
 
 
 
 
 
Total options purchased (premiums paid $ i 6,040,660)
              $  i 13,241,142        i 3.66  
             
 
 
 
 
 
 
 
Options Written
                         
Calls
                         
Energy
      i 1,510        $ ( i 4,167,011     ( i 1.15
Puts
                         
Energy
      i 2,437        ( i 2,482,108     ( i 0.69  
             
 
 
 
 
 
 
 
Total options written (premiums received $ i 5,733,790)
              $ ( i 6,649,119     ( i 1.84
             
 
 
 
 
 
 
 
       
Investment in the Funds
                         
CMF TT II, LLC
              $  i 56,580,003        i 15.64  
CMF NL Master Fund LLC
               i 31,270,943        i 8.64    
             
 
 
 
 
 
 
 
Total investment in the Funds
              $          i 87,850,946        i 24.28  
             
 
 
 
 
 
 
 
 
*
Due to rounding.
 
See accompanying notes to financial statements.
 
3

Ceres Orion L.P.
Statements of Income and Expenses
(Unaudited)
 
    
Three Months Ended

June 30,
 
Six Months Ended

      
2021
 
2022
 
2021
Investment Income:
                                
Interest income
     $  i 327,554       $  i 5,185       $  i 376,951       $  i 26,860  
Interest income allocated from the Funds
      i 135,159        i 2,209        i 140,358        i 9,314  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total investment income
      i 462,713        i 7,394        i 517,309        i 36,174  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Expenses:
                                
Expenses allocated from the Funds
      i 388,773        i 1,110,826        i 4,045,750        i 2,843,919  
Clearing fees related to direct investments
      i 522,744        i 542,526        i 1,020,568        i 1,129,212  
Ongoing selling agent fees
      i 779,757        i 675,223        i 1,484,871        i 1,333,430  
Management fees
      i 842,446        i 793,670        i 1,551,659        i 1,550,604  
General Partner fees
      i 796,848        i 690,934        i 1,516,568        i 1,364,471  
Incentive fees
      i 3,940,527        i 3,372,988        i 9,148,376        i 5,941,753  
Professional fees
      i 248,380        i 278,280        i 476,680        i 516,717  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total expenses
      i 7,519,475        i 7,464,447        i 19,244,472        i 14,680,106  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net investment loss
     ( i 7,056,762     ( i 7,457,053     ( i 18,727,163     ( i 14,643,932
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading Results:
                                
Net gains (losses) on trading of commodity interests and investment in the Funds:
                                
Net realized gains (losses) on closed contracts
     ( i 20,502,359      i 14,768,372       ( i 24,866,646      i 25,200,395  
Net realized gains (losses) on closed contracts allocated from the Funds
      i 9,544,984        i 10,399,523        i 26,672,949        i 25,235,488  
Net change in unrealized gains (losses) on open contracts
      i 37,067,063        i 3,469,401        i 68,566,284        i 8,041,036  
Net change in unrealized gains (losses) on open contracts allocated from
the Funds
     ( i 5,491,921      i 1,854,981        i 3,288,301       ( i 2,873,014
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total trading results
      i 20,617,767        i 30,492,277        i 73,660,888        i 55,603,905  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net income (loss)
     $  i 13,561,005       $  i 23,035,224       $  i 54,933,725       $  i 40,959,973  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net income (loss) per Redeemable Unit*:
                                
Class A
     $  i 120.53       $  i 193.03       $  i 491.43       $  i 338.35  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Class Z
     $  i 52.75       $  i 81.62       $  i 208.59       $  i 143.39  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Weighted average Redeemable Units outstanding:
                                
Class A
      i 109,325.4691        i 115,298.9925        i 109,365.9485        i 118,870.1398  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Class Z
      i 6,229.4345        i 6,931.8882        i 6,082.6125        i 7,170.5195  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
*
Represents the change in net asset value per Redeemable Unit during the period.
 
See accompanying notes to financial statements.
 
4

Ceres Orion L.P.
Statements of Changes in Partners’ Capital
For the Three and Six Months Ended June 30, 2022 and 2021
(Unaudited)
 
 
  
Class A
 
Class Z
 
Total
 
  
Amount
 
 Redeemable Units 
 
Amount
 
 Redeemable Units 
 
Amount
 
 Redeemable Units 
Partners’ Capital, December 31, 2020
     $
 
 
 i 350,633,583        i 126,595.8958       $       i 8,621,162        i 7,601.3365       $    i 359,254,745        i 134,197.2323  
Subscriptions - Limited Partners
      i 4,577,943        i 1,589.4440        i 269,685        i 226.3990        i 4,847,628        i 1,815.8430  
Redemptions - General Partner
      i -            i -           ( i 575,000     ( i 490.0250     ( i 575,000     ( i 490.0250
Redemptions - Limited Partners
     ( i 45,687,500     ( i 15,749.1480     ( i 597,267     ( i 493.1050     ( i 46,284,767     ( i 16,242.2530
Net income (loss)
      i 39,934,209       -            i 1,025,764       -            i 40,959,973       -      
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Partners’ Capital, June 30, 2021
     $  i 349,458,235        i 112,436.1918       $  i 8,744,344        i 6,844.6055       $  i 358,202,579        i 119,280.7973  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
             
Partners’ Capital, March 31, 2021
     $  i 341,209,822        i 117,051.7878       $  i 8,248,832        i 6,897.4115       $  i 349,458,654        i 123,949.1993  
Subscriptions - Limited Partners
      i 2,058,000        i 698.4550        i 250,000        i 209.0420        i 2,308,000        i 907.4970  
Redemptions - Limited Partners
     ( i 16,275,477     ( i 5,314.0510     ( i 323,822     ( i 261.8480     ( i 16,599,299     ( i 5,575.8990
Net income (loss)
      i 22,465,890       -            i 569,334       -            i 23,035,224       -      
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Partners’ Capital, June 30, 2021
     $    i 349,458,235        i 112,436.1918       $       i 8,744,344        i 6,844.6055       $    i 358,202,579        i 119,280.7973  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
Class A
 
Class Z
 
Total
 
  
Amount
 
 Redeemable Units 
 
Amount
 
 Redeemable Units 
 
Amount
 
 Redeemable Units 
Partners’ Capital, December 31, 2021
     $
 
 
 i 353,170,511        i 109,712.3338       $       i 8,687,519        i 6,540.6965       $    i 361,858,030        i 116,253.0303  
Subscriptions - Limited Partners
      i 10,334,964        i 2,923.4660        i 1,000,000        i 673.8230        i 11,334,964        i 3,597.2890  
Redemptions - Limited Partners
     ( i 16,165,859     ( i 4,550.8250     ( i 1,409,763     ( i 1,031.3560     ( i 17,575,622     ( i 5,582.1810
Net income (loss)
      i 53,709,071       -            i 1,224,654       -            i 54,933,725       -      
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Partners’ Capital, June 30, 2022
     $  i 401,048,687        i 108,084.9748       $  i 9,502,410        i 6,183.1635       $  i 410,551,097        i 114,268.1383  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
             
Partners’ Capital, March 31, 2022
     $  i 389,705,594        i 108,554.2008       $  i 8,244,907        i 5,555.6115       $  i 397,950,501        i 114,109.8123  
Subscriptions - Limited Partners
      i 6,721,964        i 1,831.1540        i 1,000,000        i 673.8230        i 7,721,964        i 2,504.9770  
Redemptions - Limited Partners
     ( i 8,611,262     ( i 2,300.3800     ( i 71,111     ( i 46.2710     ( i 8,682,373     ( i 2,346.6510
Net income (loss)
      i 13,232,391       -            i 328,614       -            i 13,561,005       -      
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Partners’ Capital, June 30, 2022
     $    i 401,048,687        i 108,084.9748       $  i 9,502,410        i 6,183.1635       $    i 410,551,097        i 114,268.1383  
    
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
See accompanying notes to financial statements.
 
5

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
 i 
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  i 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 and is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below), NL Master (as defined below) and Drakewood Master (as defined below). The General Partner is a wholly-owned subsidiary of Morgan Stanley 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.
As of June 30, 2022, all trading decisions were made for the Partnership by Transtrend B.V. (“Transtrend”), John Street Capital Limited (“JSCL”), Northlander Commodity Advisors LLP (“Northlander”), Pan Capital Management L.P. (“Pan”), Quantica Capital AG (“Quantica”), Breakout Funds LLC (“Breakout”) and Drakewood Capital Management Limited (“Drakewood”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor. Effective January 31, 2022, Greenwave Capital Management LLC (“Greenwave”) ceased to act as a commodity trading advisor to the Partnership. On October 31, 2021, the Partnership fully redeemed its investment from CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”). Also effective October 31, 2021, FORT L.P. (“FORT”) ceased to act as a commodity trading advisor to the Partnership. References herein to the “Advisors” may include, as relevant, FORT and Greenwave. 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  i 10% of the Partnership’s assets may not be disclosed.
Effective July 1, 2021, Breakout directly trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Breakout’s Propeller Program. The General Partner and Breakout have agreed that Breakout will trade the Partnership’s assets allocated to Breakout at  i 2 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  i 1.75 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future.
Effective February 1, 2020, Pan directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Pan’s Energy Trading Program.
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  i 2 times the amount of assets allocated to it; provided that if the assets allocated to JSCL are $ i 80 million or less, JSCL will trade the Partnership’s assets allocated to it at the level that is up to  i 1.5 times the amount of assets allocated to it. The amount of leverage may be increased or decreased in the future.
Prior to its termination effective January 31, 2022, Greenwave directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Greenwave’s Flagship Plus 2X Program. The General Partner and Greenwave had agreed that Greenwave would trade the Partnership’s assets allocated to Greenwave at a level that was up to 2 times the amount of the assets allocated.
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,
 / 
 
6

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
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 reporting periods ended June 30, 2022 and 2021, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward contract counterparty for certain Funds.
T
he Partnership and CMF TT II, LLC (“Transtrend Master”) have entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. CMF NL Master Fund LLC (“NL Master”) and CMF Drakewood Master Fund LLC (“Drakewood Master”) have, and prior to its full redemption, FORT Contrarian Master had, entered into futures brokerage account agreements with MS&Co. Transtrend Master, NL Master and Drakewood Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, FORT Contrarian Master.
Transtrend Master entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of Transtrend Master 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 the FX Agreement, JPMorgan charges a fee on the aggregate foreign currency transactions entered into on behalf of Transtrend Master during a month.
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  i 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 Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a
non-exclusive
selling agent and
sub-selling
agent, respectively, of the Partnership for the purpose of finding eligible investors for Redeemable Units through offerings that are exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”), pursuant to Section 4(a)(2) thereof and Rule 506 of Regulation D promulgated thereunder and for Harbor to serve as an investment advisor to its customers investing in one or more of the partnerships party to the Harbor Selling Agreement; provided, that, included within such appointment, Harbor will provide certain services to certain holders of Redeemable Units of the Partnership, who had acquired such Redeemable Units prior to such holders becoming clients of Harbor. The Harbor Selling Agreement continues in effect until September 30, 2022 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  i 0.75% and dividing the result thereof 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.
Effective January 1, 2021, the incentive fee payable to Transtrend by Transtrend Master was reduced from  i 20% to  i 16% of New Trading Profits (as defined in the management agreement among Transtrend Master, the Trading Manager and Transtrend), accrued monthly, but payable semi-annually.
 
7

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
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.​​​​​​​
 
 i 
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 June 30, 2022 and the results of its operations and changes in partners’ capital for the three and six months ended June 30, 2022 and 2021. 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, 2021. The December 31, 2021 information has been derived from the audited financial statements as of and for the year ended December 31, 2021.
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.
 i 
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.
 i 
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.
 i 
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 June 30, 2022 and 2021, the Partnership carried no debt and all of the Partnership’s and the Funds’ investments were carried at fair value and classified as Level 1 and Level 2 measurements.
 i 
Partnership’s Investment in the Funds.
The Partnership carries its investment in Transtrend Master, NL Master and Drakewood Master based on the Partnership’s (1) net contributions to Transtrend Master, NL Master and Drakewood Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of Transtrend Master, NL Master and Drakewood Master. The Partnership carried its investment in FORT Contrarian Master based on the Partnership’s (1) net contributions to FORT Contrarian Master and (2) its allocated share of the undistributed profits and losses, including realized gains (losses) and net change in unrealized gains (losses), of FORT Contrarian Master.
 i 
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-o
ut
method. 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.
 i 
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 June 30, 2022 and December 31, 2021, the amount of cash held for margin requirements was $ i 24,264,575 and $ i 17,796,571, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership’s restricted and unrestricted cash includes cash
 / 
 / 
 
8

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
denominated in foreign currencies of $ i 165,428 (cost of $ i 71,449) and $( i 325,571) (proceeds of $ i 302,404) at June 30, 2022 and December 31, 2021, respectively.​​​​​​​
 i 
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 Partnership’s 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  i 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 2018 through 2021 tax years remain subject to examination by U.S. federal and most state tax authorities.
 / 
 i 
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 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 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, 2021.
 
9

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 i 
 
3.
Financial Highlights:
 i 
Financial highlights for the limited partner Classes as a whole for the three and six months ended June 30, 2022 and 2021 were as follows:
 
   
Three Months Ended

   
Three Months Ended

   
Six Months Ended

   
Six Months Ended

 
   
    Class A    
   
    Class Z    
   
    Class A    
   
    Class Z    
   
    Class A    
   
    Class Z    
   
    Class A    
   
    Class Z    
 
Per Redeemable Unit Performance (for a unit outstanding throughout the period):*
                                                               
Net realized and unrealized gains (losses)
   $  i 183.76            $  i 75.89            $  i 256.29            $  i 105.12            $  i 659.20           $  i 270.96           $  i 458.82           $  i 188.47       
Net investment loss
    ( i 63.23       ( i 23.14       ( i 63.26       ( i 23.50       ( i 167.77       ( i 62.37       ( i 120.47       ( i 45.08  
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Increase (decrease) for the period
     i 120.53          i 52.75          i 193.03          i 81.62          i 491.43          i 208.59          i 338.35          i 143.39    
Net asset value per Redeemable Unit, beginning of period
     i 3,589.96          i 1,484.07          i 2,915.03          i 1,195.93          i 3,219.06          i 1,328.23          i 2,769.71          i 1,134.16    
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net asset value per Redeemable Unit, end of period
   $  i 3,710.49        $  i 1,536.82        $  i 3,108.06        $  i 1,277.55        $  i 3,710.49       $  i 1,536.82        $  i 3,108.06        $  i 1,277.55    
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
   
Three Months Ended

   
Three Months Ended

   
Six Months Ended

   
Six Months Ended

 
   
    Class A    
   
    Class Z    
   
    Class A    
   
    Class Z    
   
    Class A    
   
    Class Z    
   
    Class A    
   
    Class Z    
 
Ratios to Average Limited Partners’ Capital:**
                                                               
Net investment loss***
    ( i 4.0     ( i 3.4     ( i 5.0     ( i 4.2     ( i 6.4     ( i 5.6     ( i 6.1     ( i 5.3
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Operating expenses
     i 3.5        i 2.9        i 3.8        i 3.0        i 3.5        i 2.8        i 3.8        i 3.0  
Incentive fees
     i 1.0        i 1.0        i 1.2        i 1.2        i 3.2        i 3.1        i 2.3        i 2.3  
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     i 4.5        i 3.9        i 5.0        i 4.2        i 6.7        i 5.9        i 6.1        i 5.3  
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total return:
                                                               
Total return before incentive fees
     i 4.3        i 4.5        i 7.8        i 8.0        i 18.7        i 19.0        i 14.6        i 15.1  
Incentive fees
    ( i 0.9     ( i 0.9     ( i 1.2     ( i 1.2     ( i 3.4     ( i 3.3     ( i 2.4     ( i 2.5
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total return after incentive fees
     i 3.4        i 3.6        i 6.6        i 6.8        i 15.3        i 15.7        i 12.2        i 12.6  
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
*
Net investment 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.
 
**
Annualized (except for incentive fees).
 
***
Interest income less total expenses.
 / 
The above ratios and total return may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner Classes using the limited partners’ share of income, expenses and average partners’ capital of the Partnership and include the income and expenses allocated from the Funds.
 / 
 
10

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
 i 
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 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 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 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 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 three months ended June 30, 2022 and 2021 was  i 44,481 and  i 56,049, respectively. The monthly average number of futures contracts traded directly by the Partnership during the six months ended June 30, 2022 and 2021 was  i 44,915 and  i 51,978, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended June 30, 2022 and 2021 was  i 3 and  i 0, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the six months ended June 30, 2022 and 2021 was  i 2 and  i 0, respectively. The monthly average number of option contracts traded directly by the Partnership during the three months ended June 30, 2022 and 2021 was  i 6,375 and  i 5,059, respectively. The monthly average number of option contracts traded directly by the Partnership during the six months ended June 30, 2022 and 2021 was  i 6,898 and  i 5,168, 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’ members, including the Partnership.
 / 
 
11

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
 i 
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 June 30, 2022 and December 31, 2021, respectively.
 
 
  
 
 
  
Gross Amounts
 
  
Amounts
 
  
Gross Amounts Not Offset in the
 
  
 
 
 
  
 
 
  
Offset in the
 
  
Presented in the
 
  
    Statements of Financial Condition    
 
  
 
 
 
  
Gross
 
  
Statements of
 
  
Statements of
 
  
 
 
  
Cash Collateral
 
  
 
 
 
  
Amounts
 
  
Financial
 
  
Financial
 
  
Financial
 
  
Received/
 
  
 
 
  
Recognized
 
  
Condition
 
  
Condition
 
  
Instruments
 
  
Pledged*
 
  
Net Amount
 
Assets
  
  
  
  
  
  
Futures
     $  i 125,138,611          $
 
 
( i 64,169,689        $  i 60,968,922          $
 i -    
       $  i -            $
 
 
 
 i 60,968,922    
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Total assets
     $  i 125,138,611          $ ( i 64,169,689        $  i 60,968,922          $  i -            $  i -            $  i 60,968,922    
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities
                                                     
Futures
     $ ( i 64,169,689        $  i 64,169,689          $  i -            $  i -            $  i -            $  i -      
Forwards
     ( i 137,234         i -            ( i 137,234         i -             i 137,234           i -      
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Total liabilities
     $ ( i 64,306,923        $  i 64,169,689          $ ( i 137,234        $  i -            $  i 137,234          $  i -      
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Net fair value
                                                  $  i 60,968,922  
                                                 
 
 
 
 
 
  
 
 
  
Gross Amounts
 
  
Amounts
 
  
Gross Amounts Not Offset in the
 
  
 
 
 
  
 
 
  
Offset in the
 
  
Presented in the
 
  
    Statements of Financial Condition    
 
  
 
 
 
  
Gross
 
  
Statements of
 
  
Statements of
 
  
 
 
  
Cash Collateral
 
  
 
 
 
  
Amounts
 
  
Financial
 
  
Financial
 
  
Financial
 
  
Received/
 
  
 
 
  
Recognized
 
  
Condition
 
  
Condition
 
  
Instruments
 
  
Pledged*
 
  
  Net Amount  
 
Assets
  
  
  
  
  
  
Futures
     $    i 40,087,611          $
 
 
 
( i 40,087,611        $  i -            $
 i -    
       $  i -            $
 i -    
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Total assets
     $  i 40,087,611          $ ( i 40,087,611        $  i -            $  i -            $  i -            $  i -      
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities
                                                     
Futures
     $ ( i 41,488,254        $  i 40,087,611          $ ( i 1,400,643        $  i -            $  i 1,400,643          $  i -      
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Total liabilities
     $ ( i 41,488,254        $  i 40,087,611          $ ( i 1,400,643        $  i -            $  i 1,400,643          $  i -      
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Net fair value
                                                  $
 i -    
                                                 
 
 
 
 / 
 
*
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. In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization.
 
12

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
 i 
The following tables indicate the gross fair values of derivative instruments of futures, forward and option contracts, as applicable, held directly by the Partnership as separate assets and liabilities as of June 30, 2022 and December 31, 2021, respectively.
 
    
        June 30, 2022        
 
Assets
        
Futures Contracts
        
Currencies
     $  i 776,235    
Energy
      i 117,302,628    
Grains
      i 1,282,155    
Indices
      i 2,504,018    
Interest Rates U.S.
      i 509,761    
Interest Rates
Non-U.S.
      i 769,982    
Livestock
      i 43,370    
Metals
      i 823,178    
Softs
      i 1,127,284    
    
 
 
 
Total unrealized appreciation on open futures contracts
      i 125,138,611    
    
 
 
 
   
Liabilities
        
Futures Contracts
        
Currencies
     ( i 721,176  
Energy
     ( i 57,120,042  
Grains
     ( i 2,166,643  
Indices
     ( i 471,095  
Interest Rates U.S.
     ( i 251,308  
Interest Rates
Non-U.S.
     ( i 900,104  
Livestock
     ( i 94,050  
Metals
     ( i 261,402  
Softs
     ( i 2,183,869  
    
 
 
 
Total unrealized depreciation on open futures contracts
     ( i 64,169,689  
    
 
 
 
Net unrealized appreciation on open futures contracts
     $  i 60,968,922  
    
 
 
 
   
Liabilities
        
Forward Contracts
        
Metals
     $ ( i 137,234  
    
 
 
 
Total unrealized depreciation on open forward contracts
     ( i 137,234  
    
 
 
 
Net unrealized depreciation on open forward contracts
     $ ( i 137,234 ** 
    
 
 
 
   
Assets
        
Options Purchased
        
Energy
     $  i 19,311,159    
    
 
 
 
Total options purchased
     $  i 19,311,159   *** 
    
 
 
 
   
Liabilities
        
Options Written
        
Energy
     $ ( i 7,447,359  
    
 
 
 
Total options written
     $ ( i 7,447,359 **** 
    
 
 
 
 
*
This amount is in “Net unrealized appreciation on open futures contracts in the Statements of Financial Condition.
**
This amount is in “Net unrealized depreciation on open forward contracts in the Statements of Financial Condition.
***
This amount is in “Options purchased, at fair value” in the Statements of Financial Condition.
****
This amount is in “Options written, at fair value” in the Statements of Financial Condition.
 / 
 
13

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
    
    December 31, 2021    
 
Assets
        
Futures Contracts
        
Currencies
     $  i 343,757    
Energy
      i 34,992,511    
Grains
      i 1,274,260    
Indices
      i 1,506,900    
Interest Rates U.S.
      i 139,705    
Interest Rates
Non-U.S.
      i 38,600    
Livestock
      i 126,551    
Metals
      i 965,861    
Softs
      i 699,466    
    
 
 
 
Total unrealized appreciation on open futures contracts
      i 40,087,611    
    
 
 
 
   
Liabilities
        
Futures Contracts
        
Currencies
     ( i 430,036  
Energy
     ( i 34,249,528  
Grains
     ( i 1,454,896  
Indices
     ( i 1,478,264  
Interest Rates U.S.
     ( i 100,370  
Interest Rates
Non-U.S.
     ( i 806,769  
Livestock
     ( i 62,498  
Metals
     ( i 824,841  
Softs
     ( i 2,081,052  
    
 
 
 
Total unrealized depreciation on open futures contracts
     ( i 41,488,254  
    
 
 
 
Net unrealized depreciation on open futures contracts
     $ ( i 1,400,643
    
 
 
 
   
Assets
        
Options Purchased
        
Energy
     $  i 13,241,142    
    
 
 
 
Total options purchased
     $  i 13,241,142   ** 
    
 
 
 
   
Liabilities
        
Options Written
        
Energy
     $ ( i 6,649,119  
    
 
 
 
Total options written
     $ ( i 6,649,119 *** 
    
 
 
 
 
*
This amount is in “Net unrealized depreciation on open futures contracts in the Statements of Financial Condition.
**
This amount is in “Options purchased, at fair value” in the Statements of Financial Condition.
***
This amount is in “Options written, at fair value” in the Statements of Financial Condition.
 
14

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
 i 
The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three and six months ended June 30, 2022 and 2021, respectively.
 
    
    Three Months Ended June 30,    
   
    Six Months Ended June 30,    
 
Sector
  
2022
   
2021
   
2022
   
2021
 
Currencies
     $  i 4,945,698        $ ( i 1,462,612       $  i 5,103,534         $ ( i 3,128,362  
Energy
      i 7,273,670         i 18,289,623          i 26,168,859          i 23,544,596    
Grains
     ( i 1,093,915)          i 3,919,964          i 343,588          i 6,314,308    
Indices
      i 10,458,002         i 3,169,181          i 15,173,055          i 6,480,380    
Interest Rates U.S.
     ( i 447,172       ( i 4,948,545        i 1,784,636         ( i 222,585  
Interest Rates
Non-U.S.
      i 4,278,681         ( i 2,447,975        i 4,196,123         ( i 3,892,477  
Livestock
     ( i 998,359        i 477,416         ( i 1,303,691        i 1,060,958    
Metals
     ( i 6,344,276        i 878,244         ( i 6,360,313        i 2,432,004    
Softs
     ( i 1,507,625        i 362,477         ( i 1,406,153        i 652,609    
    
 
 
   
 
 
   
 
 
   
 
 
 
Total
     $        i 16,564,704   *****      $        i 18,237,773   *****      $        i 43,699,638   *****      $        i 33,241,431   ***** 
    
 
 
   
 
 
   
 
 
   
 
 
 
*****   This amount is included in “Total trading results” in the Statements of Income and Expenses.
 / 
 
 i 
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
futures, 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 June 30, 2022 and December 31, 2021 and for the periods ended June 30, 2022 and 2021, the Partnership and the Funds did  i  i no / t 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).
 
 / 
15

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 i 
 
 June 30, 2022            
  
Total
 
  
Level 1
 
  
            Level 2            
  
            Level 3            
 Assets
  
  
  
  
 Futures
     $              i 125,138,611          $          i 61,937,782          $              i 63,200,829          $  i -    
 Options purchased
      i 19,311,159           i 19,311,159           i -             i -    
    
 
 
    
 
 
    
 
 
 
  
 
 
 
 Total assets
     $  i 144,449,770          $  i 81,248,941          $  i 63,200,829          $  i -    
    
 
 
    
 
 
    
 
 
 
  
 
 
 
 Liabilities
                                   
 Futures
     $  i 64,169,689          $  i 33,928,226          $  i 30,241,463          $  i -    
 Forwards
      i 137,234           i -               i 137,234           i -    
 Options written
      i 7,447,359           i 7,447,359           i -               i -    
    
 
 
    
 
 
    
 
 
 
  
 
 
 
 Total liabilities
     $  i 71,754,282          $  i 41,375,585          $  i 30,378,697          $  i -    
    
 
 
    
 
 
    
 
 
 
  
 
 
 
 
  
Total
 
  
Level 1
 
  
            Level 2            
  
            Level 3            
 Assets
  
  
  
  
 Futures
     $                i 40,087,611          $          i 40,087,611          $  i -          $  i -    
 Options purchased
      i 13,241,142           i 13,241,142           i -           i -    
    
 
 
    
 
 
    
 
 
 
  
 
 
 
 Total assets
     $  i 53,328,753          $  i 53,328,753          $  i -          $  i -    
    
 
 
    
 
 
    
 
 
 
  
 
 
 
 Liabilities
                                   
 Futures
     $  i 41,488,254          $  i 41,488,254          $  i -          $  i -    
 Options written
      i 6,649,119           i 6,649,119           i -           i -    
    
 
 
    
 
 
    
 
 
 
  
 
 
 
 Total liabilities
     $  i 48,137,373          $  i 48,137,373          $  i -          $  i -    
    
 
 
    
 
 
    
 
 
 
  
 
 
 
 / 
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 Condensed Schedules of Investments as of June 30, 2022 and December 31, 2021, respectively.
 
 i 
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  i 1.5 times the leverage employed by the Standard Risk Profile. The General Partner is also the Trading Manager of Transtrend Master. Individual and pooled accounts managed by Transtrend, including the Partnership, are permitted to be members of Transtrend Master. The Trading Manager and Transtrend believe that trading through this structure promotes efficiency and economy in the trading process.
On April 1, 2019, the assets allocated to Northlander for trading were invested in NL Master, a limited liability company organized under the limited liability company laws of the State of Delaware. NL Master permits accounts managed by Northlander using the Northlander Commodity Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of NL Master. Individual and pooled accounts currently managed by Northlander, including the Partnership, are permitted to be members of NL Master. The Trading Manager and Northlander believe that trading through this structure promotes efficiency and economy in the trading process.
On May 1, 2022, the Partnership allocated a portion of its assets to Drakewood Master, a limited liability company organized under the limited liability company laws of the State of Delaware. Drakewood Master permits accounts managed by Drakewood using the Drakewood Prospect Fund Strategy, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the Trading Manager of Drakewood Master. Individual and pooled accounts managed by Drakewood, including the Partnership, are permitted to be members of Drakewood Master. The Trading Manager and Drakewood believe that trading through this structure promotes efficiency and economy in the trading process.
On February 1, 2018, the assets allocated to FORT for trading were invested in FORT Contrarian Master, a limited liability company organized under the limited liability company laws of the State of Delaware. The Partnership fully redeemed its investment in FORT Contrarian Master on October 31, 2021.
 
 / 
16

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
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 June 30, 2022.
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 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 Trading Manager at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the member elects to redeem and informs the Funds. However, a member may request a withdrawal as of the end of any day if such request is received by the 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’ 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.
As of June 30, 2022, the Partnership owned  i 100.0% of Transtrend Master, approximately  i 71.1% of NL Master and approximately  i 72.3% of Drakewood Master. At December 31, 2021, the Partnership owned  i 100.0% of Transtrend Master and approximately  i 74.0% of NL 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.
 i 
Summarized information reflecting the total assets, liabilities and members’ capital of the Funds is shown in the following tables:
 
 
  
 
 
  
    Total Assets    
 
 
    Total Liabilities    
 
 
    Total Capital    
 
Transtrend Master
     $          i 89,412,709         $          i 5,720,674         $          i 83,692,035    
NL Master
      i 48,143,486          i 149,486          i 47,994,000    
Drakewood Master
      i 39,995,976          i 877,976          i 39,118,000    
 
 
  
 
 
  
    Total Assets    
 
 
    Total Liabilities    
 
 
    Total Capital    
 
Transtrend Master
     $          i 59,771,411         $          i 3,191,408         $          i 56,580,003    
NL Master
      i 50,260,292          i 8,006,342          i 42,253,950    
 / 
 
17

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
 i 
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 June 30, 2022
 
  
    Net Investment    
Income (Loss)
 
    Total Trading    
Results
 
    Net Income    
(Loss)
Transtrend Master
     $   ( i 261,180      $    i 410,856        $    i 149,676  
NL Master
      i 17,036         i 7,158,232         i 7,175,268  
Drakewood Master
(a)
     ( i 6,189      ( i 2,129,915      ( i 2,136,104
 
 
  
For the six months ended June 30, 2022
 
  
    Net Investment    
Income (Loss)
 
    Total Trading    
Results
 
    Net Income    
(Loss)
Transtrend Master
     $   ( i 3,883,677      $    i 21,478,088        $    i 17,594,411  
NL Master
     ( i 22,788       i 13,766,600         i 13,743,812  
Drakewood Master
(a)
     ( i 6,189      ( i 2,129,915      ( i 2,136,104
 
 
  
For the three months ended June 30, 2021
 
  
    Net Investment    
Income (Loss)
 
    Total Trading    
Results
 
    Net Income    
(Loss)
Transtrend Master
     $   ( i 1,026,186      $    i 5,011,100        $    i 3,984,914  
FORT Contrarian Master
     ( i 39,086       i 2,214,537         i 2,175,451  
NL Master
     ( i 59,284       i 6,877,987         i 6,818,703  
 
 
  
For the six months ended June 30, 2021
 
  
    Net Investment    
Income (Loss)
 
    Total Trading    
Results
 
    Net Income    
(Loss)
Transtrend Master
     $   ( i 2,683,237      $    i 13,967,058        $    i 11,283,821  
FORT Contrarian Master
     ( i 78,153       i 1,135,971         i 1,057,818  
NL Master
     ( i 96,930       i 9,720,845         i 9,623,915  
 / 
(a) From May 1, 2022, commencement of operations for Drakewood Master, through June 30, 2022.
 
18

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
 i 
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:
 
 
 
 
 
For the three months ended June 30, 2022
 
 
 
 
 
 
 
 
% 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
     i 20.39       $    i 83,692,035       $     i 481,931       $    i 105,117       $    i 17,000       $    i 195,166       $    i 14,972       $     i 149,676        i Commodity Portfolio        i Monthly  
NL Master
     i 8.32        i 34,162,287        i 5,216,399        i 11,416        i 11,010       -          -           i 5,193,973        i Commodity Portfolio        i Monthly  
Drakewood Master
(a)
     i 6.89        i 28,298,635       ( i 1,510,108      i 21,804        i 12,288       -          -          ( i 1,544,200      i Commodity Portfolio        i Monthly  
           
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
               
Total
            $    i 146,152,957       $      i 4,188,222       $    i 138,337       $    i 40,298       $    i 195,166       $         i 14,972       $      i 3,799,449                  
           
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
               
 
 
 
 
 
For the six months ended June 30, 2022
 
 
 
 
 
 
 
 
% 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
     i 20.39       $    i 83,692,035       $    i 21,550,037       $    i 244,092       $    i 34,000       $    i 339,922       $    i 3,337,612       $    i 17,594,411        i Commodity Portfolio        i Monthly  
NL Master
     i 8.32        i 34,162,287        i 10,061,679        i 33,803        i 22,229       -          -           i 10,005,647        i Commodity Portfolio        i Monthly  
Drakewood Master
(a)
     i 6.89        i 28,298,635       ( i 1,510,108      i 21,804        i 12,288       -          -          ( i 1,544,200      i Commodity Portfolio        i Monthly  
           
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
               
Total
            $    i 146,152,957       $    i 30,101,608       $    i 299,699       $    i 68,517       $    i 339,922       $    i 3,337,612       $    i 26,055,858                  
           
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
               
 
 
 
 
 
For the three months ended June 30, 2021
 
 
 
 
 
 
 
 
% 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
     i 15.64       $    i 56,580,003       $     i 5,011,703       $    i 105,620       $    i 15,751       $    i 146,502       $    i 758,916       $     i 3,984,914        i Commodity Portfolio        i Monthly  
FORT Contrarian Master
     i -            i -           i 2,215,659        i 27,231        i 12,977       -          -           i 2,175,451        i Commodity Portfolio        i Monthly  
NL Master
     i 8.64        i 31,270,943        i 5,029,351        i 33,593        i 10,236       -          -           i 4,985,522        i Commodity Portfolio        i Monthly  
           
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
               
Total
            $      i 87,850,946       $    i 12,256,713       $    i 166,444       $    i 38,964       $    i 146,502       $       i 758,916       $    i 11,145,887                  
           
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
               
 
 
 
 
 
For the six months ended June 30, 2021
 
 
 
 
 
 
 
% 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
     i 15.64       $    i 56,580,003       $    i 13,968,435       $    i 214,430       $    i 32,335       $    i 288,813       $    i 2,149,037       $    i 11,283,820    
 
 i Commodity Portfolio      i Monthly
FORT Contrarian Master
     i -            i -           i 1,142,287        i 56,249        i 28,219       -          -           i 1,057,819    
 
 i Commodity Portfolio      i Monthly
NL Master
     i 8.64        i 31,270,943        i 7,261,066        i 52,761        i 22,075       -          -           i 7,186,230    
 
 i Commodity Portfolio      i Monthly
           
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       
Total
            $      i 87,850,946       $    i 22,371,788       $    i 323,440       $    i 82,629       $    i 288,813       $    i 2,149,037       $    i 19,527,869    
 
       
           
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       
 / 
 
(a)
The Partnership first invested in Drakewood Master on May1, 2022.
 
19

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
 i 
7.
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  i 1.2% to  i 3.2% 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’ 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’ 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’ 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’ Statements of Income and Expenses.
 
 / 
20

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
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 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’ 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’ 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’ 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’ 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’ Statements of Income and Expenses.
Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership and the Funds are exposed to market risk equal to the value of the futures and forward contracts held and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Partnership’s/Funds’ Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as MS&Co. or an MS&Co. affiliate are counterparties or brokers with respect to the Partnership’s and the Funds’ assets. For certain OTC contracts traded by certain Funds, JPMorgan is the counterparty with respect to those assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.
The General Partner/Trading Manager monitors and attempts to mitigate the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner/Trading Manager to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, exchange-cleared swaps, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.
The majority of these financial instruments mature within  i 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.
 
21

Ceres Orion L.P.
Notes to Financial Statements
(Unaudited)
 
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.
Since its discovery in December 2019, a new strain of coronavirus, which causes the viral disease known as
COVID-19,
has spread from China to many other countries, including the United States. The outbreak has been declared a pandemic by the World Health Organization, and the U.S. Health and Human Services Secretary has declared a public health emergency in the United States in response to the outbreak.
The
COVID-19
pandemic and related voluntary and government-imposed social and business restrictions has impacted global economic conditions and adversely affected various industries (including, but not limited to, transportation, hospitality and entertainment), resulting in volatility in the global financial markets, disruption in global supply chains, increased unemployment, and operational challenges such as the temporary and permanent closures of businesses,
sheltering-in-place
directives and increased remote work protocols. If the pandemic continues to be prolonged or the actions of governments and central banks are unsuccessful, including actions to facilitate the comprehensive distribution of effective vaccines, the adverse impact on the global economy will deepen.
Given the continuing development of this situation, it is not possible to accurately predict how the market disruptions caused by
COVID-19
will further impact the U.S and other world economies or the value of the Partnership’s/Funds’ investments, or for how long the effects of such events will continue. Nevertheless, the novel coronavirus continues to present material uncertainty and risk with respect to the Partnership’s/Funds’ investments and operations.
On February 22, 2022, the United States and several European nations announced sanctions against Russia in response to Russia’s mobilization of forces and threat of invasion of the Ukraine, and governments around the world imposed, and may in the future impose, additional sanctions on Russia in response to its continued escalation of this conflict. On February 24, 2022, Russian President Putin commenced a full-scale invasion of Russia’s
pre-positioned
forces into the Ukraine. The conflict has created volatility in the price of various commodities and may have a negative impact on business activity globally, and therefore could adversely affect the performance of the Partnership’s/Funds’ investments. Furthermore, uncertainties regarding the conflict between the two nations and the varying involvement of the United States and other NATO 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 their investments or operations, and the ability of the Partnership 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 or Ukraine, they may have their operations disrupted and/or suffer adverse consequences related to the ongoing conflict.
 
 i 
8.
Subsequent Events:
The General Partner evaluates events that occur after the balance sheet date but before and up until financial statements are available to be issued. The General Partner has assessed the subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the financial statements.
 
22

Item 2.       
Management’s Discussion and Analysis of Financial Condition and Results of Operations
.
Liquidity and Capital Resources
The Partnership does not have, nor does it expect to have, any capital assets. 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) its equity in trading account, consisting of unrestricted cash, 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 second quarter of 2022.
The Partnership’s/Funds’ investment in futures, forwards and options may, from time to time, be illiquid. Most U.S. futures exchanges limit fluctuations in prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Trades may not be executed at prices beyond the daily limit. If the price for a particular futures or option contract has increased or decreased by an amount equal to the daily limit, positions in that futures or option contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. These market conditions could prevent the Partnership and/or the Funds from promptly liquidating their futures or option contracts and result in restrictions on redemptions.
There is no limitation on daily price movements in trading forward contracts on foreign currencies. The markets for some world currencies have low trading volume and are illiquid, which may prevent the Partnership and/or the Funds from trading in potentially profitable markets or prevent the Partnership and/or the Funds from promptly liquidating unfavorable positions in such markets, subjecting them to substantial losses. Either of these market conditions could result in restrictions on redemptions. For the periods covered by this report, illiquidity has not materially affected the Partnership’s or the Funds’ assets.
Other than the risks inherent in commodity futures, forwards, options, swaps and other derivatives trading and U.S. Treasury bills and money market mutual fund securities, the Partnership and the Funds know of no trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Partnership’s or the Funds’ liquidity increasing or decreasing in any material way.
The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, subscriptions and redemptions of Redeemable Units and distributions of profits, if any.
For the six months ended June 30, 2022, the Partnership’s capital increased 13.5% from $361,858,030 to $410,551,097. This increase was attributable to subscriptions of 2,923.4660 Class A limited partner Redeemable Units totaling $10,334,964, 673.8230 Class Z limited partner Redeemable Units totaling $1,000,000 and net income of $54,933,725, which was partially offset by redemptions of 4,550.8250 Class A limited partner Redeemable Units totaling $16,165,859 and redemptions of 1,031.3560 Class Z limited partner Redeemable Units totaling $1,409,763. Future redemptions can impact the amount of funds available for investment in subsequent periods.
Other than as discussed above, there are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnership’s capital resource arrangements at the present time.
Off-Balance
Sheet Arrangements and Contractual Obligations
The Partnership does not have any
off-balance
sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments, that would affect its liquidity or capital resources.
Critical Accounting Policies
The preparation of financial statements in conformity with 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 financial statements and the reported amounts of income and expense during the reporting periods. The General Partner believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 2, “Basis of Presentation and Summary of Significant Accounting Policies,” of the Financial Statements.
The Partnership and the Funds record all investments at fair value in their financial statements, with changes in fair value reported as a component of net realized gains (losses) and net change in unrealized gains (losses) in the Statements of Income and Expenses.
 
23

Results of Operations
During the Partnership’s second quarter of 2022, the net asset value per Redeemable Unit for Class A increased 3.4% from $3,589.96 to $3,710.49, as compared to an increase of 6.6% in the second quarter of 2021. During the Partnership’s second quarter of 2022, the net asset value per Redeemable Unit for Class Z increased 3.6% from $1,484.07 to $1,536.82, as compared to an increase of 6.8% in the second quarter of 2021. The Partnership experienced a net trading gain before fees and expenses in the second quarter of 2022 of $20,617,767. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, indices and U.S. and
non-U.S.
interest rates and were partially offset by losses in grains, livestock, metals and softs. The Partnership experienced a net trading gain before fees and expenses in the second quarter of 2021 of $30,492,277. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains, indices, livestock, metals and softs and were partially offset by losses in currencies and U.S. and
non-U.S.
interest rates.
During the second quarter, the Partnership’s most significant gains were achieved within the energies during April and May from long positions in a variety of energy products as high global demand continued amid widespread supply shortfalls. Further gains were achieved within the global stock index sector during April and June from short positions in U.S. equity index futures as stock prices fell amid speculation the global economy was moving towards a recession. Within the global fixed income sector, gains were recorded during April and June from short positions in U.S. and European fixed income futures as global central banks stepped up measures to battle decades-high inflation. Gains within the currencies were recorded during April and June from short positions in the euro and Japanese yen versus the U.S. dollar as the relative value of the dollar strengthened. A portion of the Partnership’s gains for the quarter was offset by losses incurred within the metals markets from long positions in gold futures as a strengthening U.S. dollar throughout the quarter diminished demand for precious metals. Additional losses were experienced within the agricultural markets during June from long positions in grains and soft commodity markets as prices reversed lower following a bullish run to start the year.
During the Partnership’s six months ended June 30, 2022, the net asset value per Redeemable Unit for Class A increased 15.3% from $3,219.06 to $3,710.49, as compared to an increase of 12.2% during the six months ended June 30, 2021. During the Partnership’s six months ended June 30, 2022, the net asset value per Redeemable Unit for Class Z increased 15.7% from $1,328.23 to $1,536.82, as compared to an increase of 12.6% during the six months ended June 30, 2021. The Partnership experienced a net trading gain before fees and expenses for the six months ended June 30, 2022 of $73,660,888. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains, indices and U.S. and
non-U.S.
interest rates and were partially offset by losses in livestock, metals and softs. The Partnership experienced a net trading gain before fees and expenses for the six months ended June 30, 2021 of $55,603,905. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains, indices, U.S. interest rates, livestock, metals and softs and were partially offset by losses in currencies and
non-U.S.
interest rates.
During the first six months of the year, the most notable gains were achieved within the energy markets during January, February, March, April and May from long positions in natural gas, European electrical power, Brent crude oil, and coal futures as energy prices surged on the combination of the impact the Russian invasion of Ukraine had on global energy supplies and growing consumption demand. Additional gains were recorded within the global fixed income sector during March and April from short positions in U.S. and European fixed income futures as prices declined amid an outlook for central banks to be aggressive in raising interest rates to combat inflation. Further gains were achieved within the global stock index sector during April and June from short positions in U.S. equity index futures as stock prices fell amid speculation the global economy was moving towards a recession. Gains within the currencies were recorded during April and June from short positions in the euro and Japanese yen versus the U.S. dollar as the relative value of the dollar strengthened. Additional gains were achieved in the agricultural markets during February and April from long positions in wheat, corn, and soybean futures as prices rallied amid concern Russia’s invasion of Ukraine would curtail grain exports from Ukrainian farms. A portion of the Partnership’s gains during the first six months of the year was offset by losses incurred within the metals markets throughout the second quarter from long positions in gold futures as a strengthening U.S. dollar diminished demand for precious metals.
Commodity markets are highly volatile. Broad price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility for 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, weather, public health epidemics, 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 Partnership/Funds expect to increase capital through operations.
 
24

As of June 30, 2022, interest income was 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 six months ended June 30, 2022 increased by $455,319 and $481,135, respectively, as compared to the corresponding periods in 2021. The increase in interest income was primarily due to higher
4-week
U.S. Treasury bill discount rates along with higher average daily equity during the three and six months ended June 30, 2022 as compared to the corresponding periods in 2021. 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 six months ended June 30, 2022 decreased by $19,782 and $108,644, respectively, as compared to the corresponding periods in 2021. The decrease in these clearing fees was primarily due to a decrease in the number of direct trades made by the Partnership during the three and six months ended June 30, 2022 as compared to the corresponding periods in 2021.
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 six months ended June 30, 2022 increased by $104,534 and $151,441, respectively, as compared to the corresponding periods in 2021. The increase in ongoing selling agent fees was primarily due to higher average adjusted net assets during the three and six months ended June 30, 2022 as compared to the corresponding periods in 2021.
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 six months ended June 30, 2022 increased by $97,440 and $52,164, respectively, as compared to the corresponding periods in 2021. The increase in management fees was due to higher average adjusted net assets during the three and six months ended June 30, 2022 as compared to the corresponding periods in 2021.
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 fees for the three and six months ended June 30, 2022 increased by $105,914 and $152,097, respectively, as compared to the corresponding periods in 2021. The increase in the General Partner fees was due to higher average adjusted net assets during the three and six months ended June 30, 2022 as compared to the corresponding periods in 2021.
 
25

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/Trading Manager 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 six months ended June 30, 2022 resulted in incentive fees of $3,955,499 and $12,485,988, respectively. Trading performance for the three and six months ended June 30, 2021 resulted in incentive fees of $4,131,904 and $8,090,790, 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.
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.
As of June 30, 2022 and March 31, 2022, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:
 
    Advisor    
     
    June 30, 2022    
         
  (percentage of Partners’ Capital)  
   
    March 31, 2022    
         
  (percentage of Partners’ Capital)  
 
Transtrend                      
      $ 83,691,737         20      $ 84,700,354         21 
Northlander
 
 
    $ 32,264,884             $ 27,298,425        
Drakewood
      $ 28,298,635             $ -            
JSCL
      $ 117,699,316         29      $ 115,637,026         29 
Pan
      $ 30,503,441             $ 29,584,953        
Quantica
      $ 65,597,652         16      $ 59,117,071         15 
Breakout
      $ 22,677,855             $ 22,394,017        
Unallocated
      $ 29,817,577             $ 59,218,655         15 
For additional disclosures about operational and financial risk related to the
COVID-19
outbreak, refer to Part II, Item 5.
Other Information
.”
in this Form
10-Q.
 
26

Item 3.       
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.
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.
Quantifying the Partnership’s and the Funds’ Trading Value at Risk
The following quantitative disclosures regarding the Partnership’s and the 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.
The Partnership and the Funds account for open positions on the basis of fair value accounting principles. Any loss in the market value of the Partnership’s and each Fund’s open positions is directly reflected in the Partnership’s and each Fund’s earnings and cash flow.
The Partnership’s and the Funds’ risk exposure in the market sectors traded by the Advisors is estimated below in terms of Value at Risk. Please note that the Value at Risk model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by either the General Partner or the Advisors in their daily risk management activities.
“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.
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.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. JSCL, Pan, Quantica and Breakout directly trade, and Greenwave directly traded, managed accounts in the name of the Partnership. As of June 30, 2022, Transtrend, Northlander and Drakewood traded the Partnership’s assets indirectly in master fund managed accounts established in the name of the master funds over which they had 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, Pan, Greenwave, Quantica and Breakout, as applicable) and indirectly by each Fund separately. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2021.
 
27

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of June 30, 2022 and December 31, 2021. As of June 30, 2022, the Partnership’s total capitalization was $410,551,097.
 
 Market Sector
  
        Value at Risk        
    
% of Total

      Capitalization      
 
 Currencies
     $ 11,611,636          2.83  
 Energy
     16,635,146          4.05    
 Grains
     2,010,346          0.49    
 Indices
     5,192,393          1.26    
 Interest Rates U.S.
     1,334,308          0.33    
 Interest Rates
Non-U.S.
     5,355,518          1.30    
 Livestock
     361,584          0.09    
 Metals
     5,015,523          1.22    
 Softs
     1,216,030          0.30    
  
 
 
    
 
 
 
 Total
  
  $
48,732,484  
 
  
 
11.87  
  
 
 
    
 
 
 
As of December 31, 2021, the Partnership’s total capitalization was $361,858,030.
 
 Market Sector
  
        Value at Risk        
    
% of Total

      Capitalization      
 
 Currencies
     $ 7,342,187          2.03  
 Energy
     14,090,651          3.89    
 Grains
     2,932,799          0.81    
 Indices
     6,845,313          1.89    
 Interest Rates U.S.
     1,437,916          0.40    
 Interest Rates
Non-U.S.
     2,696,233          0.75    
 Livestock
     952,985          0.26    
 Metals
     2,477,971          0.68    
 Softs
     2,377,888          0.66    
  
 
 
    
 
 
 
 Total
  
  $
41,153,943  
 
  
 
11.37  
  
 
 
    
 
 
 
 
28

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 June 30, 2022 and December 31, 2021, and the highest, lowest and average values during the three months ended June 30, 2022 and the twelve months ended December 31, 2021, as applicable. All open position trading risk exposures have been included in calculating the figures set forth below.
At June 30, 2022, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:
 
 Market Sector
  
  Value at Risk  
   
% of Total

  Capitalization  
   
Three Months Ended June 30, 2022
 
 
High

  Value at Risk  
   
Low

  Value at Risk  
   
Average

  Value at Risk*  
 
 Currencies
     $ 3,606,763         0.88       $ 4,720,269         $ 1,788,506         $ 3,393,411    
 Energy
     9,803,897         2.39         12,629,884         4,613,383         9,560,727    
 Grains
     1,051,570         0.26         3,495,526         1,047,833         2,420,803    
 Indices
     3,772,791         0.92         9,624,958         2,602,896         5,757,473    
 Interest Rates U.S.
     768,006         0.19         2,478,855         746,482         1,352,626    
 Interest Rates
Non-U.S.
     2,510,285         0.61         2,996,636         1,400,912         2,165,174    
 Livestock
     150,315         0.04         806,383         150,315         535,746    
 Metals
     1,480,654         0.36         4,325,970         -            2,581,811    
 Softs
     562,788         0.14         2,031,110         562,788         1,445,076    
  
 
 
   
 
 
       
 Total
  
  $
23,707,069  
 
 
 
5.79  
     
  
 
 
   
 
 
       
 
*
Average of daily Values at Risk.
At December 31, 2021, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:
 
 Market Sector
  
  Value at Risk  
   
% of Total

  Capitalization  
   
Twelve Months Ended December 31, 2021
 
 
High

  Value at Risk  
   
Low

  Value at Risk  
   
Average

  Value at Risk*  
 
 Currencies
     $ 1,840,289         0.51       $ 6,665,910         $ 1,679,705         $ 3,854,279    
 Energy
     8,607,368         2.38         10,751,047         4,470,947         7,043,654    
 Grains
     858,443         0.24         3,853,094         726,045         1,834,983    
 Indices
     2,539,386         0.70         11,729,602         2,092,198         4,777,741    
 Interest Rates U.S.
     553,290         0.15         3,783,562         313,058         1,505,505    
 Interest Rates
Non-U.S.
     752,788         0.21         6,868,118         645,511         3,606,934    
 Livestock
     269,610         0.07         977,708         93,704         559,894    
 Metals
     1,078,797         0.30         3,978,117         676,242         2,299,063    
 Softs
     1,086,622         0.30         3,534,137         1,006,127         1,662,532    
  
 
 
   
 
 
       
 Total
  
  $
17,586,593  
 
 
 
4.86  
     
  
 
 
   
 
 
       
 
*
Annual average of daily Values at Risk.
 
29

At June 30, 2022, Transtrend Master’s total capitalization was $83,692,035 and the Partnership owned 100.0% of Transtrend Master. As of June 30, 2022, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:
 
 Market Sector
  
  Value at Risk  
   
% of Total

  Capitalization  
   
Three Months Ended June 30, 2022
 
 
High

  Value at Risk  
   
Low

  Value at Risk  
   
Average

  Value at Risk*  
 
 Currencies
     $ 7,812,092         9.33       $ 8,876,351         $ 5,863,006         $ 7,457,295    
 Energy
     2,468,776         2.95         3,133,454         580,028         2,539,993    
 Grains
     958,776         1.15         2,576,615         958,776         2,269,176    
 Indices
     1,419,602         1.70         2,534,322         920,610         2,016,270    
 Interest Rates U.S.
     566,302         0.68         1,562,886         463,902         1,053,515    
 Interest Rates
Non-U.S.
     2,845,233         3.40         2,887,742         763,706         1,673,549    
 Livestock
     211,269         0.25         703,716         42,020         413,339    
 Metals
     439,493         0.53         1,643,826         -            867,022    
 Softs
     653,242         0.78         1,253,350         621,867         1,016,612    
  
 
 
   
 
 
       
 Total
  
  $
17,374,785  
 
 
 
20.77  
     
  
 
 
   
 
 
       
 
*
Average of daily Values at Risk.
At December 31, 2021, Transtrend Master’s total capitalization was $56,580,003 and the Partnership owned 100.0% of Transtrend Master. As of December 31, 2021, 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:
 
 Market Sector
  
  Value at Risk  
   
% of Total

  Capitalization  
   
Twelve Months Ended December 31, 2021
 
 
High

  Value at Risk  
   
Low

  Value at Risk  
   
Average

  Value at Risk*  
 
 Currencies
     $ 5,501,898         9.72       $ 6,059,954         $ 2,844,891         $ 4,276,357    
 Energy
     1,609,110         2.84         2,823,937         1,010,513         1,917,083    
 Grains
     2,074,356         3.67         2,194,459         690,338         1,453,799    
 Indices
     4,305,927         7.61         4,524,201         1,398,613         2,638,501    
 Interest Rates U.S.
     884,626         1.56         1,273,527         110,012         722,704    
 Interest Rates
Non-U.S.
     1,943,445         3.43         4,360,437         555,327         2,185,233    
 Livestock
     683,375         1.21         800,030         152,062         493,212    
 Metals
     1,399,174         2.47         2,536,086         794,627         1,488,952    
 Softs
     1,291,266         2.28         1,992,444         750,065         1,212,201    
  
 
 
   
 
 
       
 Total
  
  $
19,693,177  
 
 
 
34.79  
     
  
 
 
   
 
 
       
 
*
Annual average of daily Values at Risk.
 
30

At June 30, 2022, NL Master’s total capitalization was $47,994,000 and the Partnership owned approximately 71.1% of NL Master. As of June 30, 2022, NL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Northlander for trading) was as follows:
 
                
Three Months Ended June 30, 2022
 
 Market Sector
  
  Value at Risk  
   
% of Total

  Capitalization  
   
High

  Value at Risk  
   
Low

  Value at Risk  
   
Average

  Value at Risk*  
 
 Energy
     $ 6,135,687         12.78       $ 11,543,208         $ 5,984,337         $ 7,525,924    
  
 
 
   
 
 
       
 Total
  
  $
6,135,687  
 
 
 
12.78  
     
  
 
 
   
 
 
       
 
*
Average of daily Values at Risk.
At December 31, 2021, NL Master’s total capitalization was $42,253,950 and the Partnership owned approximately 74.0% of NL Master. As of December 31, 2021, 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:
 
                
Twelve Months Ended December 31, 2021
 
 Market Sector
  
  Value at Risk  
   
% of Total

  Capitalization  
   
High

  Value at Risk  
   
Low

  Value at Risk  
   
Average

  Value at Risk*  
 
 Energy
     $ 5,235,369         12.39       $ 12,881,816         $ 670,621         $ 3,221,401    
  
 
 
   
 
 
       
 Total
  
  $
5,235,369  
 
 
 
12.39  
     
  
 
 
   
 
 
       
 
*
Annual average of daily Values at Risk.
At June 30, 2022, Drakewood Master’s total capitalization was $39,118,000 and the Partnership owned approximately 72.3% of Drakewood Master. As of June 30, 2022, Drakewood Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drakewood for trading) was as follows:
 
               
Three Months Ended June 30, 2022 *
 
 Market Sector
 
  Value at Risk  
   
% of Total

  Capitalization  
   
High

  Value at Risk  
   
Low

  Value at Risk  
   
Average

  Value at Risk**  
 
 Currencies
    $ 266,640         0.68       $ 282,436         $ -            $ 174,298    
 Metals
    4,281,295         10.94         4,555,817         36,300         3,287,087    
 
 
 
   
 
 
       
 Total
 
  $
4,547,935  
 
 
 
11.62  
     
 
 
 
   
 
 
       
 
*
From May 1, 2022, commencement of operations for Drakewood Master, through June 30, 2022.
 
**
Average of daily Values at Risk.
 
31

Item 4.   
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 June 30, 2022 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 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 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 financial statements.
There were no changes in the Partnership’s internal control over the financial reporting process during the fiscal quarter ended June 30, 2022, that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.
 
32

PART II. OTHER INFORMATION
Item 1.       
Legal Proceedings
.
This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which MS&Co. 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).
MS&Co. 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 MS&Co. As a consolidated subsidiary of Morgan Stanley, MS&Co. 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 2021, 2020, 2019, 2018, and 2017. In addition, MS&Co. annually prepares an Audited, Consolidated Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at
. We refer you to the Commitments, Guarantees and Contingencies – Legal section of MS&Co.’s 2021 Audited Financial Statement.
In addition to the matters described in those filings, in the normal course of business, each of Morgan Stanley and MS&Co. has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions, and other litigation, as well as being subject to regulatory investigations arising in connection with its activities as a global diversified financial services institution. Certain of the legal actions or regulatory investigations include claims for substantial penalties, compensatory and/or punitive damages or claims for indeterminate amounts of penalties or damages.
MS&Co. 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, MS&Co. 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 MS&Co. 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 September 28, 2017, the CFTC issued an order filing and simultaneously settling charges against MS&Co. regarding violations of CFTC Rule 166.3 by failing to diligently supervise the reconciliation of exchange and clearing fees with the amounts it ultimately charged customers for certain transactions on multiple exchanges. The order and settlement required MS&Co. to pay a $500,000 penalty and cease and desist from violating CFTC Rule 166.3.
 
33

On November 2, 2017, the CFTC issued an order filing and simultaneously settling charges against MS&Co. for
non-compliance
with applicable rules governing Part 17 Large Trader reports to the CFTC. The order requires MS&Co. to pay a $350,000 penalty and cease and desist from further violations of the Commodity Exchange Act.
On September 30, 2020, the SEC entered into a settlement order with MS&Co. settling an administrative action which relates to MS&Co.’s violations of the order marking requirements of Regulation SHO of the Exchange Act resulting from its improper use of aggregation units in structuring the Firm’s equity swaps business. The order found that MS&Co. improperly operated its equity swaps business without netting certain “long” and “short” positions as required by Rule 200(c) of Regulation SHO. The order found that the long exposure to an equity security (the “Long Unit”) and the short exposure to an equity security (the “Short Unit”) were not independent from one another and did not have separate trading strategies or objectives without regard to each other, and that the Long and Short Units were not eligible for the exception in Rule 200(f) of Regulation SHO. The order found that MS&Co. willfully violated Section 200(g) of Regulation SHO. MS&Co. 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.
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 $6,946 million. The complaint seeks, among other relief, treble damages. On February 22, 2018, the Company moved to dismiss the amended complaint, and on July 17, 2018, the court denied the Company’s motion. On October 13, 2021, following a series of voluntary and involuntary dismissals, Relators limited their claims to certain bonds issued in five offerings the Company underwrote between 2008 and 2011, having a total par amount of $3,856 million.
On May 17, 2013, plaintiff in
IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al.
filed a complaint against MS&Co. and certain affiliates in the Supreme Court of the State of New York County (“Supreme Court of NY”). The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by MS&Co. to plaintiff was approximately $133 million. The complaint alleges causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, among other things, compensatory and punitive damages. On October 29, 2014, the court granted in part and denied in part MS&Co.’s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $116 million. On August 11, 2016, the Appellate Division, First Department (“First Department”) affirmed the trial court’s decision denying in part MS&Co.’s motion to dismiss the complaint. On July 15, 2022, MS&Co. filed a motion for summary judgment. At December 25, 2019, the current unpaid balance of the
 
34

mortgage pass-through certificates at issue in this action was approximately $22 million, and the certificates had incurred actual losses of $58 million. Based on currently available information, MS&Co. believes it could incur a loss in this action up to the difference between the $22 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against MS&Co., or upon sale, plus
pre-
and post-judgment interest, fees and costs. MS&Co. may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.
In August of 2017, MS&Co. was named as a defendant in a purported antitrust class action in the United States District Court for the Southern District of New York (“SDNY”) styled
Iowa Public Employees’ Retirement System et al. v. Bank of America Corporation et al.
Plaintiffs allege, inter alia, that MS&Co., together with a number of other financial institution defendants, violated U.S. antitrust laws and New York state law in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for securities lending. The class action complaint was filed on behalf of a purported class of borrowers and lenders who entered into stock loan transactions with the defendants. The class action complaint seeks, among other relief, certification of the class of plaintiffs and treble damages. On September 27, 2018, the court denied the defendants’ motion to dismiss the class action complaint. A decision on plaintiffs’ motion for class certification is pending. On June 30, 2022, a magistrate judge issued recommendations that the court certify a class.
Settled Civil Litigation
On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against MS&Co., 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 MS&Co. misrepresented the risks of the STACK
2006-1
CDO to CDIB, and that MS&Co 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 MS&Co. 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 alleges 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 MS&Co. at issue in the action was approximately $203 million. The complaint seeks, among other things, to rescind the plaintiff’s purchase of such certificates. On November 4, 2021, the Firm entered into an agreement to settle the litigation.
On April 20, 2011, the Federal Home Loan Bank of Boston filed a complaint against MS&Co. and other defendants in the Superior Court of the Commonwealth of Massachusetts styled
Federal Home Loan Bank of Boston v. Ally Financial, Inc. F/K/A GMAC LLC et al.
An amended complaint was filed on June 29, 2012 and alleged that defendants made untrue statements and material omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates
 
35

allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $385 million. The amended complaint raised claims under the Massachusetts Uniform Securities Act, the Massachusetts Consumer Protection Act and common law and sought, among other things, to rescind the plaintiff’s purchase of such certificates. On November 25, 2013, July 16, 2014, and May 19, 2015, respectively, the plaintiff voluntarily dismissed its claims against MS&Co. with respect to three of the securitizations at issue. After these voluntary dismissals, the remaining amount of certificates allegedly issued by MS&Co. or sold to plaintiff by MS&Co. was approximately $332 million. On July 13, 2018, the parties reached an agreement in principle to settle the litigation.
On May 3, 2013, plaintiffs in
Deutsche Zentral-Genossenschaftsbank AG et al. v. Morgan Stanley et al.
filed a complaint against MS&Co., certain affiliates, and other defendants in the Supreme Court of NY. The complaint alleged that defendants made material misrepresentations and omissions in the sale to plaintiffs 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 MS&Co. to plaintiff was approximately $634 million. The complaint alleged causes of action against MS&Co. for common law fraud, fraudulent concealment, aiding and abetting fraud, negligent misrepresentation, and rescission and sought, among other things, compensatory and punitive damages. On June 26, 2018, the parties entered into an agreement to settle the litigation.
On April 1, 2016, the California Attorney General’s Office filed an action against MS&Co. in California state court styled
California v. Morgan Stanley, et al.
, on behalf of California investors, including the California Public Employees’ Retirement System and the California Teachers’ Retirement System. The complaint alleged that MS&Co. made misrepresentations and omissions regarding residential mortgage-backed securities and notes issued by the Cheyne SIV, and asserted violations of the California False Claims Act and other state laws and sought treble damages, civil penalties, disgorgement, and injunctive relief. On April 24, 2019, the parties reached an agreement to settle the litigation.
Beginning on March 25, 2019, MS&Co. was named as a defendant in a series of putative class action complaints filed in the United States District Court for the SDNY, the first of which is styled
Alaska Electrical Pension Fund v. BofA Secs., Inc., et al
. Each complaint alleged a conspiracy to fix prices and restrain competition in the market for unsecured bonds issued by the following Government-Sponsored Enterprises: the Federal National Mortgage Association; the Federal Home Loan Mortgage Corporation; the Federal Farm Credit Banks Funding Corporation; and the Federal Home Loan Banks. The purported class period for each suit is from January 1, 2012 to June 1, 2018. Each complaint raised a claim under Section 1 of the Sherman Act and sought, among other things, injunctive relief and treble compensatory damages. On May 23, 2019, plaintiffs filed a consolidated amended class action complaint styled
In re GSE Bonds Antitrust Litigation
, with a purported class period from January 1, 2009 to January 1, 2016. On June 13, 2019, the defendants filed a joint motion to dismiss the consolidated amended complaint. On August 29, 2019, the court denied MS&Co.’s motion to dismiss. On December 15, 2019, MS&Co. 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, MS&Co., 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 MS&Co. MS&Co. may establish reserves from time to time in connections with such actions.
 
36

Item lA.
Risk Factors
.
There have been no material changes to the risk factors set forth under Part I, Item 1A.
Risk Factors
.”
in the Partnership’s Annual Report on Form
10-K
for the fiscal year ended December 31, 2021 and under Part II, Item, 1A.
Risk Factors
.”
in the Partnership’s Quarterly Report on Form
10-Q
for the quarter ended March 31, 2022, other than as disclosed in Note 7, “Financial Instrument Risks,” of the Financial Statements.
 
Item 2.
Unregistered Sales
 
of Equity Securities and Use of Proceeds
.
For the three months ended June 30, 2022, there were subscriptions of 1,831.1540 Class A Redeemable Units totaling $6,721,964 and 673.8230 Class Z Redeemable Units totaling $1,000,000. 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. These Redeemable Units were purchased by accredited investors as defined 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 from the sale of Redeemable Units are used in the trading of commodity interests including futures, option and forward contracts.
The following chart sets forth the purchases of limited partner 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
 
    608.4370     $ 3,777.90       N/A       N/A       N/A       N/A  
    1,174.2590     $ 3,740.05       N/A       N/A       N/A       N/A  
    517.6840     $ 3,710.49       46.2710     $ 1,536.82       N/A       N/A  
 
    2,300.3800     $ 3,743.41       46.2710     $ 1,536.82    
 
 
 
 
 
 
 
 
  *
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.
 
Item 3.
Defaults Upon Senior Securities
. —
None.
 
Item 4.
Mine Safety Disclosures
. —
Not Applicable.
 
Item 5.
Other Information
.
Certain impacts to public health conditions particular to the coronavirus
(COVID-19)
outbreak that occurred after December 31, 2021 could impact the operations and financial performance of the Partnership’s investments subsequent to June 30, 2022. The extent of the impact to the financial performance of the Partnership’s investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. If the financial performance of the Partnership’s investments is impacted because of these factors for an extended period, the Partnership’s performance may be adversely affected.
 
37

Item 6.
Exhibits.
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).
 
38

SIGNATURES
Pursuant to the requirements 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:  
   Patrick T. Egan
   President and Director
 
By:  
   Brooke Lambert
   Chief Financial Officer
   (Principal Accounting Officer)
Date: August 11, 2022
The General Partner which signed the above is the only party authorized to act for the registrant. The registrant has no principal executive officer, principal financial officer, controller, or principal accounting officer and has no Board of Directors.
 
39

Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘10-Q’ Filing    Date    Other Filings
9/30/22
Filed on:8/11/22
7/31/22
7/15/22
For Period end:6/30/228-K
6/1/22
5/31/22
5/1/228-K
4/30/22
4/1/228-K
3/31/2210-Q
2/24/22
2/22/22
1/31/228-K
12/31/2110-K
11/4/218-K
10/31/218-K
10/13/21
7/1/218-K
6/30/2110-Q
4/16/21
3/31/2110-Q
3/22/21
1/1/218-K
12/31/2010-K
10/1/20
9/30/2010-Q,  8-K
6/16/20
2/1/208-K
12/25/19
12/15/19
8/29/19
6/13/19
5/23/19
4/24/19
4/1/198-K
3/25/19
9/27/18
7/17/18
7/13/18
6/26/18
6/1/18
2/22/18
2/1/188-K
1/19/188-K
11/17/17
11/2/17
9/28/17
8/11/1610-Q
4/1/16
3/17/16
1/1/168-K
5/19/15
10/29/14
7/16/14
11/25/13
5/17/13
5/3/13
6/29/12
1/1/128-K
8/1/118-K
6/1/118-K
4/20/11
4/8/11
10/15/10
7/15/10
8/18/09
1/1/098-K
6/10/99
3/22/99
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