Ceres Orion 10Q 2024 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2024

OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from

Commission File Number

0-50271

CERES ORION L.P.

(Exact name of registrant as specified in its charter)


New York		22-3644546
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o Ceres Managed Futures LLC

1585 Broadway, 29

Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(Registrant’s telephone number, including area code)

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

Yes

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer,

non-accelerated

filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule

12b-2

of the Exchange Act.


Large accelerated filer	Accelerated filer	Non-accelerated filer X
Smaller reporting company	Emerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Indicate by check mark whether the registrant is a shell company (as defined in Rule

12b-2

of the Exchange Act).

Yes

Table of Contents

As of April 30, 2024, 91,466.8188 Limited Partnership Class A Redeemable Units were outstanding and 3,027.8882 Limited Partnership Class Z Redeemable Units were outstanding.

PART I. FINANCIAL INFORMATION

Item 1.

Financial Statements

Ceres Orion L.P.

Consolidated Statements of Financial Condition


	March 31, 2024 (Unaudited)		December 31, 2023
Assets:
Investment in the Funds (1) , at fair value	$	51,226,011	$	59,188,572
Redemptions receivable from the Funds		2,139,080		2,158,223

Equity in trading account:
Unrestricted cash		217,066,001		208,419,594
Restricted cash		61,030,863		64,815,574
Foreign cash (cost $3,827,049 and $2,604,289 at March 31, 2024 and December 31, 2023, respectively)		3,784,596		2,662,887
Net unrealized appreciation on open futures contracts		17,198,024		2,110,733
Net unrealized appreciation on open forward contracts		304,086		-
Options purchased, at fair value (premiums paid $457,488 and $683,600 at March 31, 2024 and December 31, 2023, respectively)		68,725		378,388

Total equity in trading account		299,452,295		278,387,176

Interest receivable		995,880		923,536

Total assets	$	353,813,266	$	340,657,507

Liabilities and Partners’ Capital:
Liabilities:
Net unrealized depreciation on open forward contracts	$	-	$	233,618
Accrued expenses:
Ongoing selling agent fees		214,549		207,655
Management fees		300,863		299,507
General Partner fees		219,677		212,433
Incentive fees		1,794,376		-
Professional fees		268,496		272,698
Redemptions payable to General Partner		-		250,017
Redemptions payable to Limited Partners		3,621,383		9,980,865

Total liabilities		6,419,344		11,456,793

Partners’ Capital:
General Partner, Class Z, 2,560.0223 Redeemable Units outstanding at March 31, 2024 and December 31, 2023		3,959,821		3,588,668
Limited Partners, Class A, 91,913.0278 and 96,034.0188 Redeemable Units outstanding at March 31, 2024 and December 31, 2023, respectively		338,750,588		321,367,518
Limited Partners, Class Z, 3,027.8882 Redeemable Units outstanding at March 31, 2024 and December 31, 2023		4,683,513		4,244,528

Total partners’ capital (net asset value)		347,393,922		329,200,714

Total liabilities and partners’ capital	$	353,813,266	$	340,657,507

Net asset value per Redeemable Unit:
Class A	$	3,685.56	$	3,346.39

Class Z	$	1,546.79	$	1,401.81

(1)

Defined in Note 1.

See accompanying notes

consolidated financial statements.

Table of Contents

Ceres Orion L.P.

Consolidated Condensed Schedule of Investments

March 31, 2024

(Unaudited)


	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		5,468	$	3,199,486			0.92	%
Energy		2,217		5,311,863			1.53
Grains		2,617		1,684,869			0.49
Indices		4,115		5,917,129			1.70
Interest Rates U.S.		2,029		(105,737	)		(0.03)
Interest Rates Non-U.S.		3,161		1,060,948			0.31
Livestock		408		(297,600	)		(0.09)
Metals		619		1,347,116			0.39
Softs		1,618		7,760,155			2.23

Total futures contracts purchased				25,878,229			7.45

Futures Contracts Sold
Currencies		2,806		913,672			0.26
Energy		1,726		(2,545,611	)		(0.73)
Grains		4,045		(2,267,501	)		(0.65)
Indices		1,830		275,888			0.08
Interest Rates U.S.		1,260		(618,570	)		(0.18)
Interest Rates Non-U.S.		3,416		(382,784	)		(0.11)
Livestock		223		(97,366	)		(0.03)
Metals		1,241		(739,202	)		(0.21)
Softs		996		(3,218,731	)		(0.93)

Total futures contracts sold				(8,680,205	)		(2.50)

Net unrealized appreciation on open futures contracts			$	17,198,024			4.95	%


Unrealized Appreciation on Open Forward Contracts
Currencies		$46,675,993	$	667,036			0.19	%

Total unrealized appreciation on open forward contracts				667,036			0.19

Unrealized Depreciation on Open Forward Contracts
Currencies		$16,002,808		(171,663	)		(0.05)
Metals		68	$	(191,287	)		(0.05)

Total unrealized depreciation on open forward contracts				(362,950	)		(0.10)

Net unrealized appreciation on open forward contracts			$	304,086			0.09	%


Options Purchased
Puts
Indices		76	$	68,725			0.02	%

Total options purchased (premiums paid $457,488)			$	68,725			0.02	%


Investment in the Funds
CMF NL Master Fund LLC			$	25,618,802			7.38	%
CMF Drakewood Master Fund LLC				25,607,209			7.37

Total investment in the Funds			$	51,226,011			14.75	%

See accompanying notes to consolidated financial statements.

Table of Contents

Ceres Orion L.P.

Consolidated Condensed Schedule of Investments

December 31, 2023


	Number of Contracts		Fair Value			% of Partners’ Capital
Futures Contracts Purchased
Currencies		3,439	$	2,144,339			0.65	%
Energy		1,520		(1,597,104	)		(0.49)
Grains		2,911		506,533			0.15
Indices		3,021		2,519,712			0.77
Interest Rates U.S.		501		660,773			0.20
Interest Rates Non-U.S.		2,805		4,015,473			1.22
Livestock		277		325,008			0.10
Metals		1,414		288,673			0.09
Softs		1,202		1,421,084			0.43

Total futures contracts purchased				10,284,491			3.12

Futures Contracts Sold
Currencies		2,311		(2,357,099	)		(0.72)
Energy		2,358		1,666,534			0.51
Grains		1,761		(285,982	)		(0.09)
Indices		2,841		(1,897,511	)		(0.58)
Interest Rates U.S.		1,304		(3,439,919	)		(1.03)
Interest Rates Non-U.S.		1,589		(1,245,634	)		(0.38)
Livestock		144		(131,264	)		(0.04)
Metals		395		(527,980	)		(0.16)
Softs		588		45,097			0.01

Total futures contracts sold				(8,173,758	)		(2.48)

Net unrealized appreciation on open futures contracts			$	2,110,733			0.64	%


Unrealized Appreciation on Open Forward Contracts
Currencies		$8,493,343	$	85,262			0.03	%
Metals		39		142,636			0.04

Total unrealized appreciation on open forward contracts				227,898			0.07

Unrealized Depreciation on Open Forward Contracts
Currencies		$19,124,083		(241,558	)		(0.07)
Metals		77		(219,958	)		(0.07)

Total unrealized depreciation on open forward contracts				(461,516	)		(0.14)

Net unrealized depreciation on open forward contracts			$	(233,618	)		(0.07)	%


Options Purchased
Puts
Indices		156	$	378,388			0.11	%

Total options purchased (premiums paid $683,600)			$	378,388			0.11	%


Investment in the Funds
CMF NL Master Fund LLC			$	29,341,020			8.91	%
CMF Drakewood Master Fund LLC				29,847,552			9.07

Total investment in the Funds			$	59,188,572			17.98	%

See accompanying notes to consolidated financial statements.

Table of Contents

Ceres Orion L.P.

Consolidated Statements of Income and Expenses

(Unaudited)


	Three Months Ended March 31,
	2024			2023 (1)
Investment Income:
Interest income	$	2,999,453		$	2,215,130
Interest income allocated from the Funds		598,076			1,038,782

Total investment income		3,597,529			3,253,912

Expenses:
Expenses allocated from the Funds		69,822			412,178
Clearing fees related to direct investments		567,525			617,469
Ongoing selling agent fees		632,513			716,547
Management fees		906,450			895,287
General Partner fees		647,398			733,936
Incentive fees		1,794,376			172,212
Professional fees		239,233			215,692

Total expenses		4,857,317			3,763,321

Net investment loss		(1,259,788	)		(509,409	)

Trading Results:
Net gains (losses) on trading of commodity interests and investment in the Funds:
Net realized gains (losses) on closed contracts		20,633,923			1,714,158
Net realized gains (losses) on closed contracts allocated from the Funds		(197,859	)		(5,705,061	)
Net change in unrealized gains (losses) on open contracts		15,440,393			(4,208,618	)
Net change in unrealized gains (losses) on open contracts allocated from the Funds		(1,876,999	)		(2,605,917	)

Total trading results		33,999,458			(10,805,438	)

Net income (loss)	$	32,739,670		$	(11,314,847	)

Net income (loss) per Redeemable Unit*:
Class A	$	339.17		$	(106.55	)

Class Z	$	144.98		$	(41.55	)

Weighted average Redeemable Units outstanding:
Class A		94,124.2095			104,477.1658

Class Z		5,587.9105			6,502.9375

(1)	Not consolidated.

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

See accompanying notes to consolidated financial statements.

Table of Contents

Ceres Orion L.P.

Consolidated Statements of Changes in Partners’ Capital

For the Three Months Ended March 31, 2024 and 2023

(Unaudited)


	Class A						Class Z						Total
	Amount			Redeemable Units			Amount			Redeemable Units			Amount			Redeemable Units
Partners’ Capital, December 31, 2022 (1)	$	373,270,601			103,164.7728		$	9,754,381			6,484.2775		$	383,024,982			109,649.0503
Subscriptions - Limited Partners		8,719,279			2,395.1690			43,000			27.9900			8,762,279			2,423.1590
Redemptions - Limited Partners		(6,566,024	)		(1,796.4790	)		(806,990	)		(551.6900	)		(7,373,014	)		(2,348.1690	)
Net income (loss)		(11,043,357	)		-			(271,490	)		-			(11,314,847	)		-

Partners’ Capital, March 31, 2023 (1)	$	364,380,499			103,763.4628		$	8,718,901			5,960.5775		$	373,099,400			109,724.0403


	Class A						Class Z						Total
	Amount			Redeemable Units			Amount			Redeemable Units			Amount			Redeemable Units
Partners’ Capital, December 31, 2023	$	321,367,518			96,034.0188		$	7,833,196			5,587.9105		$	329,200,714			101,621.9293
Subscriptions - Limited Partners		96,000			26.8050			-			-			96,000			26.8050
Redemptions - Limited Partners		(14,642,462	)		(4,147.7960	)		-			-			(14,642,462	)		(4,147.7960	)
Net income (loss)		31,929,532			-			810,138			-			32,739,670			-

Partners’ Capital, March 31, 2024	$	338,750,588			91,913.0278		$	8,643,334			5,587.9105		$	347,393,922			97,500.9383

(1)	Not consolidated.

See accompanying notes to consolidated financial statements.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

1.	Organization:

Ceres Orion L.P. (the “Partnership”) is a limited partnership organized on March 22, 1999, under the partnership laws of the State of New York, to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including futures, option, swap and forward contracts. The sectors traded include currencies, energy, grains, livestock, indices, United States (“U.S.”) and

non-U.S.

interest rates, softs and metals. The commodity interests that are traded by the Partnership, directly and indirectly through its investment in the Funds (as defined below), are volatile and involve a high degree of market risk. The Partnership commenced trading on June 10, 1999. The Partnership privately and continuously offers redeemable units of limited partnership interest (“Redeemable Units”) to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership. The General Partner (as defined below) may also determine to invest up to all of the Partnership’s assets (directly or indirectly through its investment in the Funds) in U.S. Treasury bills and/or money market mutual funds, including money market mutual funds managed by Morgan Stanley or its affiliates.

Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership, is the trading manager (the “Trading Manager”) of Transtrend Master (as defined below), NL Master (as defined below) and Drakewood Master (as defined below) and was the trading manager of FORT Contrarian Master (defined below). The General Partner is a wholly-owned subsidiary of Morgan Stanley Capital Management LLC (“MSCM”). MSCM is ultimately owned by Morgan Stanley. Morgan Stanley is a publicly held company whose shares are listed on the New York Stock Exchange. Morgan Stanley is engaged in various financial services and other businesses.

As of March 31, 2024, all trading decisions were made for the Partnership by Transtrend B.V. (“Transtrend”), John Street Capital Limited (“JSCL”), Northlander Commodity Advisors LLP (“Northlander”), Quantica Capital AG (“Quantica”), Breakout Funds LLC (“Breakout”) and Drakewood Capital Management Limited (“Drakewood”) (each an “Advisor” and, collectively, the “Advisors”), each of which is a registered commodity trading advisor, or has otherwise represented that it is exempt from registration as a commodity trading advisor. Effective October 31, 2022, Pan Capital Management L.P. (“Pan”) ceased to act as a commodity trading advisor to the Partnership. Effective January 31, 2022, Greenwave Capital Management LLC (“Greenwave”) ceased to act as a commodity trading advisor to the Partnership. On October 31, 2021, the Partnership fully redeemed its investment from CMF FORT Contrarian Master Fund LLC (“FORT Contrarian Master”). Also effective October 31, 2021, FORT L.P. (“FORT”) ceased to act as a commodity trading advisor to the Partnership. References herein to the “Advisors” may include, as relevant, FORT, Greenwave and Pan. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to each of the Advisors either directly, through a managed account in the Partnership’s name, or indirectly, through its investment in the Funds. In addition, the General Partner may allocate the Partnership’s assets to additional

non-major

trading advisors (i.e., commodity trading advisors intended to be allocated less than 10% of the Partnership’s assets). Information about advisors allocated less than 10% of the Partnership’s assets may not be disclosed.

Effective July 1, 2021, Breakout directly trades a portion of the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Breakout’s Propeller Program. The General Partner and Breakout have agreed that Breakout will trade the Partnership’s assets allocated to Breakout at 1.5 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future, subject to certain restrictions.

Effective October 1, 2020, Quantica directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Quantica Managed Futures Program. The General Partner and Quantica have agreed that Quantica will trade the Partnership’s assets allocated to Quantica at 1.25 times the amount of the assets allocated. The amount of leverage may be increased or decreased in the future.

JSCL directly trades the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to the Systematic Strategy Program. The General Partner and JSCl have agreed that JSCL will trade the Partnership’s assets allocated to it at a level that is up to 2 times the amount of assets allocated to it; provided that if the assets allocated to JSCL are $80 million or less, JSCL will trade the Partnership’s assets allocated to it at the level that is up to 1.5 times the amount of assets allocated to it. The amount of leverage may be increased or decreased in the future.

Prior to its termination effective January 31, 2022, Greenwave directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to an enhanced version of Greenwave’s Flagship Plus 2X Program. The General Partner and Greenwave had agreed that Greenwave would trade the Partnership’s assets allocated to Greenwave at a level that was up to 2 times the amount of the assets allocated.

Prior to its termination effective October 31, 2022, Pan directly traded the Partnership’s assets allocated to it through a managed account in the name of the Partnership pursuant to Pan’s Energy Trading Program.

On June 1, 2011, the Partnership began offering “Class A” Redeemable Units and “Class Z” Redeemable Units pursuant to the

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

offering memorandum. All Redeemable Units issued prior to June 1, 2011 were deemed Class A Redeemable Units. The rights, powers, duties and obligations associated with investment in Class A Redeemable Units were not changed. Class A Redeemable Units are available to taxable U.S. individuals and institutions, U.S. tax exempt individuals and institutions and

non-U.S.

investors. Class Z Redeemable Units were first issued on August 1, 2011. Class Z Redeemable Units are offered to limited partners who receive advisory services from Morgan Stanley Smith Barney LLC (doing business as Morgan Stanley Wealth Management) (“Morgan Stanley Wealth Management”) and certain employees of Morgan Stanley and/or its subsidiaries (and their family members). Class A Redeemable Units and Class Z Redeemable Units will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Redeemable Units that a limited partner receives upon a subscription will generally depend upon the status of the limited partner, although the General Partner may determine to offer a particular Class of Redeemable Units to investors at its discretion.

During the reporting periods ended March 31, 2024 and 2023, the Partnership’s/Funds’ commodity broker was Morgan Stanley & Co. LLC (“MS&Co.”), a registered futures commission merchant. JPMorgan Chase Bank, N.A. (“JPMorgan”) was also a foreign exchange forward contract counterparty for certain Funds.

The Partnership and CMF TT II, LLC (“Transtrend Master”) have entered into futures brokerage account agreements and foreign exchange brokerage account agreements with MS&Co. CMF NL Master Fund LLC (“NL Master”) and CMF Drakewood Master Fund LLC (“Drakewood Master”) have, and prior to its full redemption, FORT Contrarian Master had, entered into futures brokerage account agreements with MS&Co. Transtrend Master, NL Master and Drakewood Master are collectively referred to as the “Funds.” References herein to “Funds” may also include, as relevant, FORT Contrarian Master.

Transtrend Master entered into certain agreements with JPMorgan in connection with trading in forward foreign currency contracts on behalf of the referenced Funds and indirectly, the Partnership. These agreements include a foreign exchange and bullion authorization agreement (“FX Agreement”), an International Swap Dealers Association, Inc. master agreement (“Master Agreement”), a schedule to the Master Agreement, a 2016 credit support annex for variation margin to the schedule and an institutional account agreement. Under each FX Agreement, JPMorgan charges or charged a fee on the aggregate foreign currency transactions entered into on behalf of the respective Fund during a month.

The Partnership has entered into a selling agent agreement with Morgan Stanley Wealth Management (as amended, the “Selling Agreement”). Pursuant to the Selling Agreement, the Partnership pays Morgan Stanley Wealth Management a monthly ongoing selling agent fee at a flat annual rate equal to 0.75% per year of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 0.75% and dividing the result thereof by 12). Class Z Redeemable Units are not subject to an ongoing selling agent fee. The Partnership may pay an ongoing selling agent fee to other properly licensed and/or registered selling agents who sell Class A Redeemable Units, and such additional selling agents may share all or a substantial portion of such fees with their properly registered or exempted financial advisors who have sold Class A Redeemable Units.

The Partnership has entered into an alternative investment placement agent agreement (the “Harbor Selling Agreement”), by and among the Partnership, the General Partner, Morgan Stanley Distribution Inc. (“MSDI”), and Harbor Investment Advisory, LLC, a Maryland limited liability company (“Harbor”), which supersedes and replaces the alternative investment selling agent agreement, dated January 19, 2018, between the Partnership, the General Partner and Harbor. Pursuant to the Harbor Selling Agreement, MSDI and Harbor have been appointed as a

non-exclusive

selling agent and

sub-selling

agent, respectively, of the Partnership for the purpose of finding eligible investors for Redeemable Units through offerings that are exempt from registration under the Securities Act of 1933, as amended, pursuant to Section 4(a)(2) thereof and Rule 506 of Regulation D promulgated thereunder and for Harbor to serve as an investment advisor to its customers investing in one or more of the partnerships party to the Harbor Selling Agreement; provided, that, included within such appointment, Harbor will provide certain services to certain holders of Redeemable Units of the Partnership, who had acquired such Redeemable Units prior to such holders becoming clients of Harbor. The Harbor Selling Agreement continues in effect until September 30, 2024, unless terminated in certain circumstances as set forth in the Harbor Selling Agreement, including by any party on thirty days’ prior written notice, after which the General Partner or the Partnership may, in its sole discretion, renew the Harbor Selling Agreement for additional

one-year

periods. Pursuant to the Harbor Selling Agreement, the Partnership pays Harbor a monthly ongoing selling agent fee at a flat annual rate equal to 0.75% per year of the adjusted net assets of Class A Redeemable Units (computed monthly by multiplying the adjusted net assets of the Class A Redeemable Units by 0.75% and dividing the result there of by 12).

The General Partner fee, management fees, incentive fees and professional fees of the Partnership are allocated proportionally to each Class based on the net asset value of the Class.

Effective January 1, 2021, the incentive fee payable to Transtrend by Transtrend Master was reduced from 20% to 16% of New Trading Profits (as defined in the management agreement among Transtrend Master, the Trading Manager and Transtrend), accrued

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

monthly, but payable semi-annually.

The General Partner has delegated certain administrative functions to SS&C Technologies, Inc., a Delaware corporation, currently doing business as SS&C GlobeOp (the “Administrator”). Pursuant to a master services agreement, the Administrator furnishes certain administrative, accounting, regulatory reporting, tax and other services as agreed from time to time. In addition, the Administrator maintains certain books and records of the Partnership. The cost of retaining the Administrator is allocated among the pools operated by the General Partner, including the Partnership.

2.	Basis of Presentation and Summary of Significant Accounting Policies:

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 March 31, 2024 and the results of its operations and changes in partners’ capital for the three months ended March 31, 2024 and 2023. 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, 2023. The December 31, 2023 information has been derived from the audited financial statements as of and for the year ended December 31, 2023.

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

Use of Estimates.

The preparation of consolidated financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires the General Partner to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the consolidated financial statements and accompanying notes. As a result, actual results could differ from these estimates, and those differences could be material.

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.

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 March 31, 2024 and 2023, 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.

Consolidation/Partnership’s Investment in the Funds.

Effective October 1, 2023, the Partnership has consolidated its wholly owned investment in Transtrend Master. Accordingly, the Partnership’s consolidated condensed schedule of investments as of March 31, 2024 and December 31, 2023, includes the portfolio holdings of Transtrend Master. The consolidated financial statements for the period from January 1, 2024 to March 31, 2024, and as of March 31, 2024 and December 31, 2023, include the accounts of the Partnership and Transtrend Master. All inter-company transactions and balances have been eliminated. As of and for the period March 31, 2024, the Partnership carries its investment in NL Master and Drakewood Master based on the Partnership’s (1) net contributions to NL Master and Drakewood Master and (2) its allocated share of the undistributed profit and losses, including realized gains (losses) and net change in unrealized gains (losses), NL Master and Drakewood Master. As of and for the period ended March 31, 2023, 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.

Partnership’s/Funds’ Derivative Investments.

All commodity interests held by the Partnership/Funds, including derivative financial instruments and derivative commodity instruments, are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described in Note 5, “Fair Value Measurements”) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated and are determined using the

first-in,

first-out

method. Unrealized gains or losses on open contracts are included as a component of equity in trading account in the

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

Partnership’s/Funds’ Consolidated Statements of Financial Condition. Net realized gains or losses and net change in unrealized gains or losses are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.

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

Partnership’s Cash.

The Partnership’s restricted cash is equal to the cash portion of assets on deposit to meet margin requirements, as determined by the exchange or counterparty, and required by MS&Co. At March 31, 2024 and December 31, 2023, the amount of cash held for margin requirements was $61,030,863 and $64,815,574, respectively. Cash that is not classified as restricted cash is therefore classified as unrestricted cash. The Partnership’s restricted and unrestricted cash includes cash denominated in foreign currencies of $3,784,596 (cost of $3,827,049) and $2,662,887 (cost of $2,604,289) at March 31, 2024 and December 31, 2023, respectively.

Income Taxes

. Income taxes have not been recorded as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses. The Partnership follows the guidance of ASC 740, “

Income Taxes

,” which prescribes a recognition threshold and measurement attribute for financial statement recognition and measurement of tax positions taken or expected to be taken in the course of preparing the Partnership’s tax returns to determine whether the tax positions are

“more-likely-than-not”

of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions determined not to meet the

more-likely-than-not

threshold would be recorded as a tax benefit or liability in the Partnership’s Consolidated Statements of Financial Condition for the current year. If a tax position does not meet the minimum statutory threshold to avoid the incurring of penalties, an expense for the amount of the statutory penalty and interest, if applicable, shall be recognized in the Partnership’s Consolidated Statements of Income and Expenses in the years in which the position is claimed or expected to be claimed. The General Partner has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements. The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The

2020 through 2023

tax years remain subject to examination by U.S. federal and most state tax authorities.

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.

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, 2023.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

3.	Financial Highlights:

Financial highlights for the limited partner Classes as a whole for the three months ended March 31, 2024 and 2023 were as follows:


	Three Months Ended March 31, 2024						Three Months Ended March 31, 2023 (1)
	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)	$	352.39		$	147.80		$	(101.62)		$	(42.35)
Net investment income (loss)		(13.22)			(2.82)			(4.93)			0.80

Increase (decrease) for the period		339.17			144.98			(106.55)			(41.55)
Net asset value per Redeemable Unit, beginning of period		3,346.39			1,401.81			3,618.20			1,504.31

Net asset value per Redeemable Unit, end of period	$	3,685.56		$	1,546.79		$	3,511.65		$	1,462.76


	Three Months Ended March 31, 2024						Three Months Ended March 31, 2023 (1)
	Class A			Class Z			Class A			Class Z
Ratios to Average Limited Partners’ Capital:**
Net investment income (loss)***		0.1	%		0.9	%		(0.4	) %		0.3	%

Operating expenses		3.7	%		2.9	%		3.7	%		3.1	%
Incentive fees		0.5	%		0.5	%		0.1	%		0.1	%

Total expenses		4.2	%		3.4	%		3.8	%		3.2	%

Total return:
Total return before incentive fees		10.7	%		10.9	%		(2.8)	%		(2.7)	%
Incentive fees		(0.6)	%		(0.6)	%		(0.1)	%		(0.1)	%

Total return after incentive fees		10.1	%		10.3	%		(2.9)	%		(2.8)	%

(1)	Not consolidated.

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

**	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 for the period ended March 31, 2023. Financial highlights for the period ended March 31, 2024, were based on consolidated income and expenses.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

4.	Trading Activities:

The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Partnership’s Consolidated Statements of Income and Expenses. The Partnership also invests certain of its assets through a “master/feeder” structure. The Partnership’s

pro-rata

share of the results of the Funds’ trading activities are shown in the Partnership’s Consolidated Statements of Income and Expenses.

The foreign exchange brokerage account agreements and/or futures brokerage account agreements with MS&Co. or JPMorgan, as applicable, give the Partnership and the Funds, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts in their respective Consolidated Statements of Financial Condition. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts in their respective Consolidated Statements of Financial Condition, as the criteria under ASC

210-20,

“

Balance Sheet

,” have been met.

All of the commodity interests owned directly by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended March 31, 2024 and 2023 was 34,458 and 26,883, respectively. The monthly average number of metals forward contracts traded directly by the Partnership during the three months ended March 31, 2024 and 2023 was 74 and 77, respectively. The monthly average notional value of currency forward contracts traded during the three months ended March 31, 2024 and 2023 was $60,850,189 and 0, respectively. The monthly average number of option contracts traded directly by the Partnership during the three months ended March 31, 2024 and 2023 was 129 and 0, respectively.

Trading and transaction fees are based on the number of trades executed by the Advisors and the Partnership’s percentage ownership of each respective Fund.

All clearing fees paid to MS&Co. for direct trading are borne by the Partnership. In addition, clearing fees are borne by the Funds and are allocated to the Funds’ limited partners/members, including the Partnership.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

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 March 31, 2024 and December 31, 2023, respectively.


March 31, 2024	Gross Amounts Recognized			Gross Amounts Offset in the Consolidated Statements of Financial Condition			Amounts Presented in the Consolidated Statements of Financial Condition			Gross Amounts Not Offset in the Consolidated Statements of Financial Condition				Net Amount
March 31, 2024	Gross Amounts Recognized									Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets
MS&Co.
Futures	$	33,661,640		$	(16,463,616	)	$	17,198,024		$	-	$	-	$	17,198,024
Forwards		411			(411	)		-			-		-		-

		33,662,051			(16,464,027	)		17,198,024			-		-		17,198,024
JPMorgan
Forwards		666,625			(171,354	)		495,271			-		-		495,271

Total assets	$	34,328,676		$	(16,635,381	)	$	17,693,295		$	-	$	-	$	17,693,295

Liabilities
MS&Co.
Futures	$	(16,463,616	)	$	16,463,616		$	-		$	-	$	-	$	-
Forwards		(191,596	)		411			(191,185	)		-		191,185		-

		(16,655,212	)		16,464,027			(191,185	)		-		191,185		-
JPMorgan
Forwards		(171,354	)		171,354			-			-		-		-

Total liabilities	$	(16,826,566	)	$	16,635,381		$	(191,185	)	$	-	$	191,185	$	-

Net fair value														$	17,693,295	*


December 31, 2023	Gross Amounts Recognized			Gross Amounts Offset in the Consolidated Statements of Financial Condition			Amounts Presented in the Consolidated Statements of Financial Condition			Gross Amounts Not Offset in the Consolidated Statements of Financial Condition
December 31, 2023	Gross Amounts Recognized									Financial Instruments		Cash Collateral Received/ Pledged*		Net Amount
Assets
MS&Co.
Futures	$	20,433,917		$	(18,323,184	)	$	2,110,733		$	-	$	-	$	2,110,733
Forwards		143,453			(143,453	)		-			-		-		-

		20,577,370			(18,466,637	)		2,110,733			-		-		2,110,733
JPMorgan
Forwards		84,445			(84,445	)		-			-		-		-

Total assets	$	20,661,815		$	(18,551,082	)	$	2,110,733		$	-	$	-	$	2,110,733

Liabilities
MS&Co.
Futures	$	(18,323,184	)	$	18,323,184		$	-		$	-	$	-	$	-
Forwards		(220,032	)		143,453			(76,579	)		-		76,579		-

		(18,543,216	)		18,466,637			(76,579	)		-		76,579		-
JPMorgan
Forwards		(241,484	)		84,445			(157,039	)		-		157,039		-

Total liabilities	$	(18,784,700	)	$	18,551,082		$	(233,618	)	$	-	$	233,618	$	-

Net fair value														$	2,110,733	*

In the event of default by the Partnership, MS&Co., the Partnership’s commodity futures broker and the sole counterparty to the Partnership’s non-exchange-traded contracts, as applicable, has the right to offset the Partnership’s obligation with the Partnership’s cash and/or U.S. Treasury bills held by MS&Co., thereby minimizing MS&Co.’s risk of loss. In certain instances, MS&Co. may not post collateral and as such, in the event of default by MS&Co., the Partnership is exposed to the amount shown in the 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.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

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 March 31, 2024 and December 31, 2023, respectively.


	March 31, 2024
Assets
Futures Contracts
Currencies	$	5,255,519
Energy		7,397,665
Grains		2,022,881
Indices		7,121,153
Interest Rates U.S.		315,775
Interest Rates Non-U.S.		1,329,460
Livestock		198,983
Metals		1,793,921
Softs		8,226,283

Total unrealized appreciation on open futures contracts		33,661,640


Liabilities
Futures Contracts
Currencies		(1,142,361)
Energy		(4,631,413)
Grains		(2,605,513)
Indices		(928,136)
Interest Rates U.S.		(1,040,082)
Interest Rates Non-U.S.		(651,296)
Livestock		(593,949)
Metals		(1,186,007)
Softs		(3,684,859)

Total unrealized depreciation on open futures contracts		(16,463,616)

Net unrealized appreciation on open futures contracts	$	17,198,024	*


Assets
Forward Contracts
Currencies	$	667,036

Total unrealized appreciation on open forward contracts		667,036


Liabilities
Forward Contracts
Currencies	$	(171,663)
Metals		(191,287)

Total unrealized depreciation on open forward contracts		(362,950)

Net unrealized appreciation on open forward contracts	$	304,086	**


Assets
Options Purchased
Indices	$	68,725

Total options purchased	$	68,725	***

*	This amount is in “Net unrealized appreciation on open futures contracts” in the Consolidated Statements of Financial Condition.

**	This amount is in “Net unrealized appreciation on open forward contracts” in the Consolidated Statements of Financial Condition.

***	This amount is in “Options purchased, at fair value” in the Consolidated Statements of Financial Condition.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)


	December 31, 2023
Assets
Futures Contracts
Currencies	$	2,230,318
Energy		5,124,815
Grains		1,948,710
Indices		2,984,970
Interest Rates U.S.		694,810
Interest Rates Non-U.S.		4,077,958
Livestock		409,457
Metals		787,206
Softs		2,175,673

Total unrealized appreciation on open futures contracts		20,433,917


Liabilities
Futures Contracts
Currencies		(2,443,078)
Energy		(5,055,385)
Grains		(1,728,159)
Indices		(2,362,769)
Interest Rates U.S.		(3,473,956)
Interest Rates Non-U.S.		(1,308,119)
Livestock		(215,713)
Metals		(1,026,513)
Softs		(709,492)

Total unrealized depreciation on open futures contracts		(18,323,184)

Net unrealized appreciation on open futures contracts	$	2,110,733	*


Assets
Forward Contracts
Currencies	$	85,262
Metals		142,636

Total unrealized appreciation on open forward contracts		227,898


Liabilities
Forward Contracts
Currencies	$	(241,558)
Metals		(219,958)

Total unrealized depreciation on open forward contracts		(461,516)

Net unrealized depreciation on open forward contracts	$	(233,618)	**


Assets
Options Purchased
Indices	$	378,388

Total options purchased	$	378,388	***

*	This amount is in “Net unrealized appreciation on open futures contracts” in the Consolidated Statements of Financial Condition.

**	This amount is in “Net unrealized depreciation on open forward contracts” in the Consolidated Statements of Financial Condition.

***	This amount is in “Options purchased, at fair value” in the Consolidated Statements of Financial Condition.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three months ended March 31, 2024 and 2023, respectively.


	Three Months Ended March 31,
Sector	2024			2023 (1)
Currencies	$	8,368,685		$	2,061,301
Energy		8,123,615			(67,935)
Grains		1,252,458			(2,790,898)
Indices		11,350,897			10,225,109
Interest Rates U.S.		282,788			(4,552,844)
Interest Rates Non-U.S.		(3,410,246)			(8,311,598)
Livestock		(649,564)			(169,093)
Metals		261,307			(870,005)
Softs		10,494,376			1,981,503

Total	$	36,074,316	****	$	(2,494,460)	****

(1)	Not consolidated.

****	This amount is included in “Total trading results” in the Statements of Income and Expenses.

5.	Fair Value Measurements:

Partnership’s and the Funds’ Fair Value Measurements

. Fair value is defined as the value that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The fair value of exchange-traded futures, 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 March 31, 2024 and December 31, 2023 and for the periods ended March 31, 2024 and 2023, the Partnership and the Funds did not hold any derivative instruments that were priced at fair value using unobservable inputs through the application of the General Partner’s assumptions and internal valuation pricing models (Level 3).

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)


March 31, 2024	Total		Level 1		Level 2		Level 3

Assets
Futures	$	33,661,640	$	30,011,845	$	3,649,795	$	-
Forwards		667,036		-		667,036		-
Options purchased		68,725		68,725		-		-

Total assets	$	34,397,401	$	30,080,570	$	4,316,831	$	-

Liabilities
Futures	$	16,463,616	$	16,223,751	$	239,865	$	-
Forwards		362,950		-		362,950		-

Total liabilities	$	16,826,566	$	16,223,751	$	602,815	$	-


December 31, 2023	Total		Level 1		Level 2		Level 3
Assets
Futures	$	20,433,917	$	18,914,817	$	1,519,100	$	-
Forwards		227,898		-		227,898		-
Options purchased		378,388		378,388		-		-

Total assets	$	21,040,203	$	19,293,205	$	1,746,998	$	-

Liabilities
Futures	$	18,323,184	$	17,578,049	$	745,135	$	-
Forwards		461,516		-		461,516		-

Total liabilities	$	18,784,700	$	17,578,049	$	1,206,651	$	-

The Investment in the Funds measured using the net asset value per share practical expedient is not required to be included in the fair value hierarchy. Please refer to the Condensed Schedules of Investments as of March 31, 2024 and December 31, 2023, respectively.

6.	Investment in the Funds:

On June 1, 2011, the Partnership allocated a portion of its assets to Transtrend Master, a limited liability company organized under the limited liability company laws of the State of Delaware. Transtrend Master permits accounts managed by Transtrend using the Diversified Trend Program-Enhanced Risk Profile (US Dollar), a proprietary, systematic trading system, to invest together in one trading vehicle. Transtrend generally trades its Enhanced Risk Profile (US Dollar) using 1.5 times the leverage employed by the Standard Risk Profile. The General Partner is also the Trading Manager of Transtrend Master. Individual and pooled accounts managed by Transtrend, including the Partnership, are permitted to be members of Transtrend Master. The Trading Manager and Transtrend believe that trading through this structure promotes efficiency and economy in the trading process.

On April 1, 2019, the 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.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated 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 March 31, 2024.

The Funds’ and the Partnership’s trading of futures, forward, swap and option contracts, if applicable, on commodities is done primarily on U.S. and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with MS&Co.

Generally, a limited partner/member in the Funds withdraws all or part of its capital contribution and undistributed profits, if any, from the Funds as of the end of any month (the “Redemption Date”) after a request has been made to the General Partner/Trading Manager at least three days in advance of the Redemption Date. Such withdrawals are classified as a liability when the limited partner/member elects to redeem and informs the Funds. However, a limited partner/member may request a withdrawal as of the end of any day if such request is received by the General Partner/Trading Manager at least three days in advance of the proposed withdrawal day.

Management fees, ongoing selling agent fees, the General Partner fee and incentive fees are charged at the Partnership level, except for management and incentive fees payable to Transtrend, which are charged at the Transtrend Master level. Clearing fees are borne by the Funds and allocated to the Funds’ limited partners/members, including the Partnership. Clearing fees are also borne by the Partnership directly. Professional fees are borne by the Funds and allocated to the Partnership and are also charged directly at the Partnership level.

As of March 31, 2024, the Partnership owned 100.0% of Transtrend Master, approximately 71.2% of NL Master and approximately 60.6% of Drakewood Master. At December 31, 2023, the Partnership owned 100.0% of Transtrend Master, approximately 71.7% of NL Master and approximately 64.5% of Drakewood Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to limited partners as a result of investment in the Funds are approximately the same as they would be if the Partnership traded directly and redemption rights are not affected.

Summarized information reflecting the total assets, liabilities and members’ capital of the Funds is shown in the following tables:


	March 31, 2024
	Total Assets		Total Liabilities		Total Capital
Transtrend Master	$	82,826,031	$	1,991,124	$	80,834,907
NL Master		40,466,027		4,659,591		35,806,436
Drakewood Master		44,660,844		2,568,256		42,092,588

	December 31, 2023
	Total Assets		Total Liabilities		Total Capital
Transtrend Master	$	73,151,633	$	4,405,702	$	68,745,931
NL Master		40,864,449		126,823		40,737,626
Drakewood Master		51,637,147		5,483,874		46,153,273

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

Summarized information reflecting the net investment income (loss), total trading results and net income (loss) of the Funds is shown in the following tables:


	For the three months ended March 31, 2024
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Transtrend Master	$	(1,483,322	)	$	17,908,975		$	16,425,653
NL Master		473,395			(3,360,293	)		(2,886,898	)
Drakewood Master		321,021			435,996			757,017

	For the three months ended March 31, 2023
	Net Investment Income (Loss)			Total Trading Results			Net Income (Loss)
Transtrend Master	$	169,093		$	(4,497,751	)	$	(4,328,658	)
NL Master		372,758			(4,446,270	)		(4,073,512	)
Drakewood Master		268,880			(853,678	)		(584,798	)

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

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:


	March 31, 2024					For the three months ended March 31, 2024
	% of Partners’ Capital								Expenses								Net Income (Loss)
Funds	% of Partners’ Capital			Fair Value		Income (Loss)			Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Net Income (Loss)			Investment Objective		Redemptions Permitted

Transtrend Master		23.27	%	$	80,834,907	$	18,547,600		$	155,705	$	18,625	$	153,241	$	1,794,376	$	16,425,653			Commodity Portfolio		Monthly
NL Master		7.38	%		25,618,802		(1,987,657	)		8,905		11,617		-		-		(2,008,179	)		Commodity Portfolio		Monthly
Drakewood Master		7.37	%		25,607,209		510,875			38,295		11,005		-		-		461,575			Commodity Portfolio		Monthly

Total				$	132,060,918	$	17,070,818		$	202,905	$	41,247	$	153,241	$	1,794,376	$	14,879,049


	December 31, 2023					For the three months ended March 31, 2023
	% of								Expenses								Net Income (Loss)
Funds	Partners’ Capital			Fair Value		Income (Loss)			Clearing Fees		Professional Fees		Management Fees		Incentive Fee		Net Income (Loss)			Investment Objective		Redemptions Permitted

Transtrend Master		20.88	%	$	68,745,931	$	(4,004,926	)	$	108,009	$	17,950	$	161,996	$	35,777	$	(4,328,658	)		Commodity Portfolio		Monthly
NL Master		8.91	%		29,341,020		(2,923,677	)		11,884		11,649		-		-		(2,947,210	)		Commodity Portfolio		Monthly
Drakewood Master		9.07	%		29,847,552		(343,593	)		52,934		11,979		-		-		(408,506	)		Commodity Portfolio		Monthly

Total				$	127,934,503	$	(7,272,196	)	$	172,827	$	41,578	$	161,996	$	35,777	$	(7,684,374	)

Table of Contents

Ceres Orion L.P.

Notes to Consolidated Financial Statements

(Unaudited)

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 2.6% to 6.3% of the Partnership’s/Funds’ contracts are traded OTC.

Futures Contracts

. The Partnership and the Funds trade futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, with the exchange on which the contracts are traded. Net realized gains (losses) and net change in unrealized gains (losses) on futures contracts are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.

Forward Foreign Currency Contracts.

Forward foreign currency contracts are those contracts where the Partnership and the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts are valued daily, and the Partnership’s and the Funds’ net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward foreign exchange rates at the reporting date, is included in the Partnership’s/Funds’ Consolidated Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on forward foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.

London Metal Exchange Forward Contracts.

Metal contracts traded on the London Metal Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin, zinc or other metals. LME contracts traded by the Partnership and the Funds are cash-settled based on prompt dates published by the LME. Variation margin may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, with the LME. Net realized gains (losses) and net change in unrealized gains (losses) on metal contracts are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated 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’ Consolidated Statements of Financial Condition and

marked-to-market

daily. When the Partnership/Funds purchase an option, the premium paid is recorded as an asset in the Partnership’s/Funds’ Consolidated Statements of Financial Condition and

marked-to-market

daily. Net realized gains (losses) and net change in unrealized gains (losses) on option contracts are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.

As both a buyer and seller of options, the Partnership/Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Funds to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Funds do not consider these contracts to be guarantees.

Futures-Style Options.

The Partnership/Funds may trade futures-style option contracts. Unlike traditional option contracts, the premiums for futures-style option contracts are not received or paid upon the onset of the trade. The premiums are recognized and received or paid as part of the sales price when the contract is closed. Similar to a futures contract, variation margin for the futures-style option contract may be made or received by the Partnership/Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership/Funds. Transactions in futures-style option contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Futures-style option contracts are presented as part of “Net unrealized appreciation on open futures contracts” or “Net unrealized depreciation on open futures contracts,” as applicable, in the Partnership’s/Funds’ Consolidated Statements of Financial Condition. Net realized gains (losses) and net change in unrealized gains (losses) on futures-style option contracts are included in the Partnership’s/Funds’ Consolidated Statements of Income and Expenses.

Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership and the Funds are exposed to market risk equal to the value of the futures and forward contracts held and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Partnership’s/Funds’ Consolidated Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as MS&Co. or an MS&Co. affiliate are counterparties or brokers with respect to the Partnership’s and the Funds’ assets. For certain OTC contracts traded by certain Funds, JPMorgan is the counterparty with respect to those assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MS&Co. or an MS&Co. affiliate, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.

The General Partner/Trading Manager monitors and attempts to mitigate the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner/Trading Manager to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, exchange-cleared swaps, forward and option contracts by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’ business, these instruments may not be held to maturity.

The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.

Table of Contents

Ceres Orion L.P.

Notes to Consolidated 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.

Beginning in February 2022, the United States, the United Kingdom, the European Union, and a number of other nations imposed sanctions against Russia in response to Russia’s invasion of Ukraine, and these and other governments around the world may impose additional sanctions in the future as the conflict develops. In addition, on October 7, 2023, Hamas militants and members of other terrorist organizations infiltrated Israel’s southern border from the Gaza Strip and conducted a series of terror attacks on civilian and military targets. Shortly following the attack, Israel’s security cabinet declared war against Hamas. These conflicts and subsequent sanctions have created volatility in the price of various commodities and may lead to a deterioration in the political and trade relationships that exist between the countries involved and have a negative impact on business activity globally, and therefore could affect the performance of the Partnership’s/Funds’ investments. Furthermore, uncertainties regarding these conflicts and the varying involvement of the United States and other countries preclude prediction as to the ultimate impact on global economic and market conditions, and, as a result, presents material uncertainty and risk with respect to the Partnership/Funds and the performance of its investments or operations, and the ability of the Partnership/Funds to achieve its investment objectives. Additionally, to the extent that investors, service providers and/or other third parties have material operations or assets in Russia, Belarus, Ukraine or Israel, they may have their operations disrupted and/or suffer adverse consequences related to the ongoing conflicts.

8.	Subsequent Events:

The General Partner evaluates events that occur after the balance sheet date but before and up until consolidated financial statements are available to be issued. The General Partner has assessed the subsequent events through the date the consolidated financial statements were issued and has determined that there were no subsequent events requiring adjustment to or disclosure in the consolidated financial statements.

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 first quarter of 2024.

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 three months ended March 31, 2024, the Partnership’s capital increased 5.5% from $329,200,714 to $347,393,922. This increase was attributable to subscriptions of 26.8050 Class A limited partner Redeemable Units totaling $96,000 and a net income of $32,739,670, which was partially offset by redemptions of 4,147.7960 Class A limited partner Redeemable Units totaling $14,642,462. 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.

Results of Operations

During the Partnership’s first quarter of 2024, the net asset value per Redeemable Unit for Class A increased 10.1% from $3,346.39 to $3,685.56, as compared to a decrease of 2.9% in the first quarter of 2023. During the Partnership’s first quarter of 2024, the net asset value per Redeemable Unit for Class Z increased 10.3% from $1,401.81 to $1,546.79, as compared to a decrease of 2.8% in the first quarter of 2023. The Partnership experienced a net trading gain before fees and expenses in the first quarter of 2024 of $33,999,458. Gains were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in currencies, energy, grains, indices, U.S. interest rates and softs and were partially offset by losses in livestock, metals and non-U.S. interest rates. The Partnership experienced a net trading loss before fees and expenses in the first quarter of 2023 of $10,805,438. Losses were primarily attributable to the Partnership’s/Funds’ trading of commodity futures in energy, grains, livestock, metals, U.S. and non-U.S. interest rates and were partially offset by gains in currencies, indices and softs.

During the first quarter, the Partnership’s largest gains were achieved within the agricultural markets from long positions in cocoa futures as cocoa prices surged higher during each month of the quarter amid concerns extremely hot weather in key West African growing regions would severely damage crops. Further gains in the agricultural markets were recorded from short positions in wheat futures during January and February and from long positions in coffee futures during January and March. Gains within the global stock index sector were also achieved during each month of the quarter from long positions in Asian, European, and U.S. equity index futures as the outlook for global central banks, most notably the Fed, to be aggressive in cutting interest rates in 2024 spurred investor demand for stock buying. Additional gains were achieved within the currency markets during January, February and March primarily from short positions in the Japanese yen versus the U.S. dollar as the dollar strengthened relative to the yen amid an outlook Japan’s central bank would be less aggressive on interest policies than the Federal Reserve. In the energies, gains were recorded throughout the quarter from long positions in Brent crude oil futures as prices moved higher amid strengthening demand and on concerns mounting geopolitical tensions could curtail oil production. Further gains in the energy sector were recorded from short positions in European electricity futures during January and February as continued mild weather in the Eurozone limited power demand. Gains were also achieved throughout the quarter from long positions in shipping freight index futures as turmoil and attacks on shipping tankers in the Red Sea pushed prices higher. A portion of the Partnership’s overall gains for the first quarter was offset by losses incurred within the global fixed income sector primarily during January and February from long positions in European fixed income futures amid a murky outlook on Eurozone central bank actions in battling inflation. These losses were partially offset by gains from short positions in U.S. Treasury note futures during the same timeframe.

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.

As of March 31, 2024, 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 months ended March 31, 2024 increased by $343,617 as compared to the corresponding period in 2023. The increase in interest income was primarily due to higher 4-week U.S. Treasury bill discount rates during the three months ended March 31, 2024 as compared to the corresponding period in 2023. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on (1) the average daily equity maintained in cash in the Partnership’s and/or the Funds’ accounts, (2) the amount of U.S. Treasury bills and/or money market mutual fund securities held by the Partnership and/or the Funds and (3) interest rates over which none of the Partnership, the Funds, MS&Co. or JPMorgan has control.

Certain clearing fees are based on the number of trades executed by the Advisors for the Partnership/Funds. Accordingly, they must be compared in relation to the number of trades executed during the period. Clearing fees related to direct investments for the three months ended March 31, 2024 decreased by $205,649 as compared to the corresponding period in 2023. 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 months ended March 31, 2024 as compared to the corresponding periods in 2023.

Ongoing selling agent fees are calculated as a percentage of the Partnership’s adjusted net asset value for Class A Redeemable Units as of the end of each month and are affected by trading performance, subscriptions and redemptions. Ongoing selling agent fees for the three months ended March 31, 2024 decreased by $84,034 as compared to the corresponding periods in 2023. The decrease in ongoing selling agent fees was primarily due to lower average adjusted net assets during the three months ended March 31, 2024 as compared to the corresponding period in 2023.

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 months ended March 31, 2024 decreased by $150,833 as compared to the corresponding period in 2023. The decrease in management fees was due to lower average adjusted net assets during the three months ended March 31, 2024 as compared to the corresponding period in 2023.

Fees are paid to the General Partner for administering the business and affairs of the Partnership including, among other things, (i) selecting, appointing and terminating the Partnership’s commodity trading advisors, (ii) allocating and reallocating the Partnership’s assets among the commodity trading advisors and (iii) monitoring the activities of the commodity trading advisors. These fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. The General Partner fees for the three months ended March 31, 2024 decreased by $86,538 as compared to the corresponding period in 2023. The decrease in the General Partner fees was due to lower average adjusted net assets during the three months ended March 31, 2024 as compared to the corresponding period in 2023.

Incentive fees paid by the Partnership are based on the new trading profits, as defined in the respective management agreements among the Partnership, the General Partner/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 months ended March 31, 2024 resulted in incentive fees of $1,794,376. Trading performance for the three months ended March 31, 2023 resulted in incentive fees of $207,989. 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 March 31, 2024 and December 31, 2023, the Partnership’s assets were allocated among the Advisors in the following approximate percentages:


Advisor	March 31, 2024		March 31, 2024 (percentage of Partners’ Capital)			December 31, 2023		December 31, 2023 (percentage of Partners’ Capital)
Transtrend	$	80,834,608		23	%	$	68,745,632		21	%
Northlander	$	27,618,907		8	%	$	29,341,124		9	%
Drakewood	$	25,607,209		7	%	$	30,347,552		9	%
JSCL	$	121,016,033		35	%	$	120,018,705		37	%
Quantica	$	51,122,043		15	%	$	46,903,179		14	%
Breakout	$	24,650,410		7	%	$	23,050,030		7	%
Unallocated	$	16,544,712		5	%	$	10,794,492		3	%

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, Quantica and Breakout directly trade managed accounts in the name of the Partnership. As of March 31, 2024, 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, Quantica and Breakout) 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, 2023.

The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2024 and December 31, 2023. As of March 31, 2024, the Partnership’s total capitalization was $347,393,922.

March 31, 2024


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	10,858,846		3.13	%
Energy		12,209,738		3.51
Grains		6,205,275		1.79
Indices		14,204,813		4.09
Interest Rates U.S.		4,291,202		1.24
Interest Rates Non-U.S.		5,573,375		1.60
Livestock		1,169,301		0.34
Metals		8,104,222		2.33
Softs		4,063,031		1.17

Total	$	66,679,803		19.20	%

As of December 31, 2023, the Partnership’s total capitalization was $329,200,714.

December 31, 2023


Market Sector	Value at Risk		% of Total Capitalization
Currencies	$	8,417,014		2.56	%
Energy		20,046,438		6.09
Grains		5,169,656		1.57
Indices		14,118,622		4.29
Interest Rates U.S.		3,341,889		1.02
Interest Rates Non-U.S.		5,382,386		1.63
Livestock		669,653		0.20
Metals		9,288,466		2.82
Softs		2,654,922		0.81

Total	$	69,089,046		20.99	%

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 March 31, 2024 and December 31, 2023, and the highest, lowest and average values during the three months ended March 31, 2024 and the twelve months ended December 31, 2023, as applicable. All open position trading risk exposures have been included in calculating the figures set forth below.

At March 31, 2024, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:


March 31, 2024

						Three Months Ended March 31, 2024
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	3,298,538		0.95	%	$	4,335,696	$	2,469,065	$	3,451,046
Energy		7,298,668		2.10			16,471,138		4,987,882		7,879,970
Grains		2,779,630		0.80			2,782,120		1,663,107		2,195,274
Indices		10,029,980		2.89			10,387,314		6,874,136		8,556,051
Interest Rates U.S.		2,606,769		0.75			3,522,027		934,682		2,248,667
Interest Rates Non-U.S.		2,794,493		0.80			2,796,636		1,312,185		1,952,783
Livestock		682,936		0.20			682,936		244,173		416,868
Metals		2,682,161		0.77			4,634,724		1,831,410		2,691,923
Softs		2,774,722		0.80			2,774,722		1,054,153		1,450,092

Total	$	34,947,897		10.06	%

*	Average of daily Values at Risk.

At December 31, 2023, the Partnership’s Value at Risk for the portion of its assets that are traded directly was as follows:


December 31, 2023

						Twelve Months Ended December 31, 2023
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	3,685,615		1.12	%	$	9,642,187	$	3,145,564	$	5,387,331
Energy		16,471,138		5.00			17,355,253		4,908,703		9,738,993
Grains		1,761,099		0.53			4,524,557		1,276,438		2,559,094
Indices		10,022,931		3.04			19,578,791		3,769,917		8,061,401
Interest Rates U.S.		1,779,309		0.54			5,873,265		373,928		2,414,140
Interest Rates Non-U.S.		2,460,006		0.75			6,606,019		1,029,342		2,929,148
Livestock		269,170		0.08			1,044,560		156,478		651,607
Metals		4,634,724		1.41			8,601,091		1,558,883		4,065,094
Softs		1,443,017		0.44			4,281,104		1,353,582		2,083,574

Total	$	42,527,009		12.91	%

*	Annual average of daily Values at Risk.

At March 31, 2024, Transtrend Master’s total capitalization was $80,834,907 and the Partnership owned 100.0% of Transtrend Master. As of March 31, 2024, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:

March 31, 2024


						Three Months Ended March 31, 2024
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	7,474,983		9.25	%	$	8,215,413	$	4,355,740	$	6,344,783
Energy		2,380,423		2.94			2,384,944		1,685,964		1,995,456
Grains		3,425,645		4.24			3,788,403		3,269,295		3,533,440
Indices		4,174,833		5.16			5,614,611		3,988,358		4,680,986
Interest Rates U.S.		1,684,433		2.08			1,731,808		797,138		1,251,194
Interest Rates Non-U.S.		2,778,882		3.44			3,014,469		2,096,826		2,572,419
Livestock		486,365		0.60			486,365		151,690		300,084
Metals		1,149,323		1.42			1,393,078		782,875		1,157,262
Softs		1,288,309		1.59			1,766,748		942,578		1,357,317

Total	$	24,843,196		30.72	%

*	Average of daily Values at Risk.

At December 31, 2023, Transtrend Master’s total capitalization was $68,745,931 and the Partnership owned 100.0% of Transtrend Master. As of December 31, 2023, Transtrend Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Transtrend for trading) was as follows:

December 31, 2023


						Twelve Months Ended December 31, 2023
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	4,632,920		6.74	%	$	7,669,295	$	3,414,047	$	5,796,343
Energy		1,942,649		2.83			2,464,257		506,523		1,480,316
Grains		3,408,557		4.96			3,547,377		735,363		2,311,443
Indices		4,095,691		5.96			4,404,360		2,369,487		3,442,180
Interest Rates U.S.		1,562,580		2.27			2,803,620		608,998		1,397,228
Interest Rates Non-U.S.		2,922,380		4.25			4,004,932		1,453,313		2,486,104
Livestock		400,483		0.58			612,425		207,433		335,917
Metals		1,280,032		1.86			1,533,528		382,213		1,016,166
Softs		1,211,905		1.76			1,988,310		982,191		1,489,521

Total	$	21,457,197		31.21	%

*	Annual average of daily Values at Risk.

At March 31, 2024, NL Master’s total capitalization was $35,806,436 and the Partnership owned approximately 71.2% of NL Master. As of March 31, 2024, 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:

March 31, 2024


						Three Months Ended March 31, 2024
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	3,554,280		9.93	%	$	3,603,356	$	1,459,981	$	2,671,684

Total	$	3,554,280		9.93	%

*	Average of daily Values at Risk.

At December 31, 2023, NL Master’s total capitalization was $40,737,626 and the Partnership owned approximately 71.7% of NL Master. As of December 31, 2023, NL Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Northlander for trading) was as follows:

December 31, 2023


						Twelve Months Ended December 31, 2023
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Energy	$	2,277,059		5.59	%	$	4,647,914	$	832,520	$	2,281,544

Total	$	2,277,059		5.59	%

*	Annual average of daily Values at Risk.

At March 31, 2024, Drakewood Master’s total capitalization was $42,092,588 and the Partnership owned approximately 60.6% of Drakewood Master. As of March 31, 2024, Drakewood Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drakewood for trading) was as follows:

March 31, 2024


						Three Months Ended March 31, 2024
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	140,800		0.33	%	$	152,680	$	140,800	$	148,121
Metals		7,050,723		16.75			7,050,723		3,500,321		4,634,134

Total	$	7,191,523		17.08	%

*	Average of daily Values at Risk.

At December 31, 2023, Drakewood Master’s total capitalization was $46,153,273 and the Partnership owned approximately 64.5% of Drakewood Master. As of December 31, 2023, Drakewood Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drakewood for trading) was as follows:

December 31, 2023


						Twelve Months Ended December 31, 2023
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Currencies	$	152,680		0.33	%	$	355,410	$	108,130	$	205,414
Metals		5,230,558		11.33			7,224,155		2,376,417		4,343,085

Total	$	5,383,238		11.66	%

*	Annual average of daily Values at Risk.

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 March 31, 2024 and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of 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 March 31, 2024, that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

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 Morgan Stanley & Co. LLC or its subsidiaries is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.

On June 1, 2011, Morgan Stanley & Co. Incorporated converted from a Delaware corporation to a Delaware limited liability company. As a result of that conversion, Morgan Stanley & Co. Incorporated is now named Morgan Stanley & Co. LLC (“MS&Co.” or “the Company”).

The Company is a wholly-owned, indirect subsidiary of Morgan Stanley, a Delaware holding company. Morgan Stanley files periodic reports with the SEC as required by the Securities Exchange Act of 1934, as amended (the “Exchange Act”) which include current descriptions of material litigation and material proceedings and investigations, if any, by governmental and/or regulatory agencies or self-regulatory organizations concerning Morgan Stanley and its subsidiaries, including the Company. As a consolidated subsidiary of Morgan Stanley, the Company does not file its own periodic reports with the SEC that contain descriptions of material litigation, proceedings and investigations. As a result, we refer you to the “Legal Proceedings” section of Morgan Stanley’s SEC 10-K filings for 2023, 2022, 2021, 2020, and 2019. In addition, the Company annually prepares an Audited, Consolidated Statement of Financial Condition (“Audited Financial Statement”) that is publicly available on Morgan Stanley’s website at www.morganstanley.com. We refer you to the Commitments, Guarantees and Contingencies – Legal section of the Company’s 2023 Audited Financial Statement.

In addition to the matters described in those filings, in the normal course of business, each of Morgan Stanley and the Company has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions, and other litigation, arising in connection with its activities as a global diversified financial services institution. Certain of the actual or threatened legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages. In some cases, the third-party entities that are, or would otherwise be, the primary defendants in such cases are bankrupt, in financial distress, or may not honor applicable indemnification obligations. These actions have included, but are not limited to, antitrust claims, claims under various false claims act statutes, and matters arising from our sales and trading businesses and our activities in the capital markets.

Each of Morgan Stanley and the Company is also involved, from time to time, in other reviews, investigations and proceedings (both formal and informal) by governmental and self-regulatory agencies regarding the Company’s business and involving, among other matters, sales, trading, financing, prime brokerage, market-making activities, investment banking advisory services, capital market activities, financial products or offerings sponsored, underwritten, or sold by the Company, wealth and investment management services, and accounting and operational matters, certain of which may result in adverse judgments, settlements, fines, penalties, disgorgement, restitution, forfeiture, injunctions, limitations on our ability to conduct certain business, or other relief.

The Company is a Delaware limited liability company with its main business office located at 1585 Broadway, New York, New York 10036. Among other registrations and memberships, the Company is registered as a futures commission merchant and is a member of the National Futures Association.

During the preceding five years, the following administrative, civil, or criminal actions pending, on appeal or concluded against the Company or any of its principals are material within the meaning of CFTC Rule 4.24(l)(2) or 4.34(k)(2):

Regulatory and Governmental Matters

On January 12, 2024, the U.S. Attorney’s Office for the Southern District of New York (“USAO”) and the SEC announced they had reached settlement agreements with the Company in connection with their investigations into the Company’s blocks business. Specifically, the Company entered into a three-year non-prosecution agreement (“NPA”) with the USAO that included the payment of forfeiture, restitution, and a criminal fine for making false statements in connection with the sale of certain block trades from 2018 through August 2021. The NPA required the Company to admit responsibility for certain acts of its employees and to continue to cooperate with and provide certain information to the USAO for the term of the agreement. Additionally, the SEC charged the Company with violations of Section 10(b) of the Exchange Act and Rule 10b-5(b) thereunder for the disclosure of confidential information about block trades and also violations of Section 15(g) of the Exchange Act for the failure to enforce its policies concerning the misuse of material non-public information related to block trades. As part of the SEC agreement, the Company paid disgorgement and a civil penalty. After the agreed-upon credits were applied, the Company paid a total amount of approximately $249 million under both settlements. The Company also faces potential civil liability arising from claims that have been or may be asserted by, among others, block transaction participants who contend they were harmed or disadvantaged including, among other things, as a result of a share price decline allegedly caused by the activities of the Company and/or its employees, or as a result of the Company’s and/or its employees’ failure to adhere to applicable laws and regulations. In addition, the Company has responded to demands from shareholders under Section 220 of the Delaware General Corporation Law for books and records concerning the investigations.

On September 30, 2020, the SEC entered into a settlement order with the Company settling an administrative action which relates to the Company’s violations of the order marking requirements of Regulation SHO of the Exchange Act resulting from its improper use of aggregation units in structuring the Firm’s equity swaps business. The order found that the Company improperly operated its equity swaps business without netting certain “long” and “short” positions as required by Rule 200(c) of Regulation SHO. The order found that the long exposure to an equity security (the “Long Unit”) and the short exposure to an equity security (the “Short Unit”) were not independent from one another and did not have separate trading strategies or objectives without regard to each other, and that the Long and Short Units were not eligible for the exception in Rule 200(f) of Regulation SHO. The order found that the Company willfully violated Section 200(g) of Regulation SHO. The Company consented, without admitting or denying the findings and without adjudication of any issue of law or fact, to a censure; to cease and desist from committing or causing future violations; to pay a civil penalty of $5 million; and to comply with the undertaking enumerated in the order.

The Firm has reached agreements in principle with two regulatory agencies—the SEC for $125 million and the CFTC for $75 million— to resolve record-keeping related investigations by those agencies relating to business communications on messaging platforms that had not been approved by the Firm. The Company was one of the entities involved in these investigations, and has recognized a provision of $63 million in anticipation of concluding the settlement with the SEC. On September 27, 2022, the Firm’s settlements with the SEC and the CFTC became effective.

Civil Litigation

On May 17, 2013, plaintiff in IKB International S.A. in Liquidation, et al. v. Morgan Stanley, et al. filed a complaint against the Company and certain affiliates in the Supreme Court of the State of New York, New York County (“Supreme Court of NY”). The complaint alleges that defendants made material misrepresentations and omissions in the sale to plaintiff of certain mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans. The total amount of certificates allegedly sponsored, underwritten and/or sold by the Company to plaintiff was approximately $133 million. The complaint alleges causes of action against the Company for common law fraud, fraudulent concealment, aiding and abetting fraud, and negligent misrepresentation, and seeks, among other things, compensatory and punitive damages. On October 29, 2014, the court granted in part and denied in part the Company’s motion to dismiss. All claims regarding four certificates were dismissed. After these dismissals, the remaining amount of certificates allegedly issued by the Company or sold to plaintiff by the Company was approximately $116 million. On August 11, 2016, the Appellate Division, First Department affirmed the trial court’s decision denying in part the Company’s motion to dismiss the complaint. On July 15, 2022, the Company filed a motion for summary judgment. On March 1, 2023, the court granted in part and denied in part the Company’s motion for summary judgment, narrowing the alleged misrepresentations at issue in the case. On March 26, 2024, the Appellate Division affirmed the trial court’s summary judgment order. As of December 25, 2019, the current unpaid balance of the mortgage pass-through certificates at issue in this action was approximately $22 million, and the certificates had incurred actual losses of $58 million. Based on currently available information, the Company believes it could incur a loss in this action up to the difference between the $22 million unpaid balance of these certificates (plus any losses incurred) and their fair market value at the time of a judgment against the Company, or upon sale, plus pre- and post-judgment interest, fees and costs. The Company may be entitled to be indemnified for some of these losses and to an offset for interest received by the plaintiff prior to a judgment.

Beginning in February of 2016, the Company was named as a defendant in multiple purported antitrust actions now consolidated into a single proceeding in the United States District

Court for the Southern District of New York (“SDNY”) styled In Re: Interest Rate Swaps Antitrust Litigation. Plaintiffs allege, inter alia, that the Company, together with a number of other financial institution defendants violated U.S. and New York state antitrust laws from 2008 through December of 2016 in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for interest rate swaps trading. Complaints were filed both on behalf of a purported class of investors who purchased interest rate swaps from defendants, as well as on behalf of three operators of swap execution facilities that allegedly were thwarted by the defendants in their efforts to develop such platforms. The consolidated complaints seek, among other relief, certification of the investor class of plaintiffs and treble damages. On July 28, 2017, the court granted in part and denied in part the defendants’ motion to dismiss the complaints. On December 15, 2023, the court denied the class plaintiffs’ motion for class certification. On December 29, 2023, the class plaintiffs petitioned the United States Court of Appeals for the Second Circuit for leave to appeal that decision. On February 28, 2024, the parties reached an agreement in principle to settle the class claims.

On August 13, 2021, the plaintiff in Camelot Event Driven Fund, a Series of Frank Funds Trust v. Morgan Stanley & Co. LLC, et al. filed in the Supreme Court of NY a purported class action complaint alleging violations of the federal securities laws against ViacomCBS (“Viacom”), certain of its officers and directors, and the underwriters, including the Company, of two March 2021 Viacom offerings: a $1,700 million Viacom Class B Common Stock offering and a $1,000 million offering of 5.75% Series A Mandatory Convertible Preferred Stock (collectively, the “Offerings”). The complaint alleges, inter alia, that the Viacom offering documents for both issuances contained material omissions because they did not disclose that certain of the underwriters, including the Company, had prime brokerage relationships and/or served as counterparties to certain derivative transactions with Archegos Capital Management LP, (“Archegos”), a fund with significant exposure to Viacom securities across multiple prime brokers. The complaint, which seeks, among other things, unspecified compensatory damages, alleges that the offering documents did not adequately disclose the risks associated with Archegos’s concentrated Viacom positions at the various prime brokers, including that the unwind of those positions could have a deleterious impact on the stock price of Viacom. On November 5, 2021, the complaint was amended to add allegations that defendants failed to disclose that certain underwriters, including the Company, had intended to unwind Archegos’s Viacom positions while simultaneously distributing the Offerings. On February 6, 2023, the court issued a decision denying the motions to dismiss as to the Company and the other underwriters,but granted the motion to dismiss as to Viacom and the Viacom individual defendants. On February 15, 2023, the underwriters, including the Firm, filed their notices of appeal of the denial of their motions to dismiss. On March 10, 2023, the plaintiff appealed the dismissal of Viacom and the individual Viacom defendants. On April 4, 2024, the Appellate Division upheld the lower court’s decision as to the Firm and other underwriter defendants that had prime brokerage relationships and/or served as counterparties to certain derivative transactions with Archegos, dismissed the remaining underwriters, and upheld the dismissal of Viacom and its officers and directors. On January 4, 2024, the court granted the plaintiff’s motion for class certification. On February 14, 2024, the defendants filed their notice of appeal of the court’s grant of class certification.

Settled Civil Litigation

On August 18, 2009, Relators Roger Hayes and C. Talbot Heppenstall, Jr., filed a qui tam action in New Jersey state court styled State of New Jersey ex. rel. Hayes v. Bank of America Corp.,

et al. The complaint, filed under seal pursuant to the New Jersey False Claims Act, alleged that the Company and several other underwriters of municipal bonds had defrauded New Jersey issuers by misrepresenting that they would achieve the best price or lowest cost of capital in connection with certain municipal bond issuances. On March 17, 2016, the court entered an order unsealing the complaint. On November 17, 2017, Relators filed an amended complaint to allege the Company mispriced certain bonds issued in twenty-three bond offerings between 2008 and 2017, having a total par amount of $6,900 million. The complaint seeks, among other relief, treble damages. On February 22, 2018, the Company moved to dismiss the amended complaint, and on July 17, 2018, the court denied the Company’s motion. On October 13, 2021, following a series of voluntary and involuntary dismissals, Relators limited their claims to certain bonds issued in five offerings the Company underwrote between 2008 and 2011, having a total par amount of $3,900 million. On August 22, 2023, the Firm reached an agreement in principle to settle the litigation. The final agreement became effective on January 30, 2024.

On July 15, 2010, China Development Industrial Bank (“CDIB”) filed a complaint against the Company, styled China Development Industrial Bank v. Morgan Stanley & Co. Incorporated et al., in the Supreme Court of NY. The complaint related to a $275 million credit default swap (“CDS”) referencing the super senior portion of the STACK 2006-1 CDO. The complaint asserted claims for common law fraud, fraudulent inducement and fraudulent concealment and alleges that the Company misrepresented the risks of the STACK 2006-1 CDO to CDIB, and that the Company knew that the assets backing the CDO were of poor quality when it entered into the CDS with CDIB. On March 22, 2021, the parties entered into a settlement agreement. On April 16, 2021, the court entered a stipulation of voluntary discontinuance, with prejudice.

On October 15, 2010, the Federal Home Loan Bank of Chicago filed a complaint against the Company and other defendants in the Circuit Court of the State of Illinois, styled Federal Home Loan Bank of Chicago v. Bank of America Funding Corporation et al. A corrected amended complaint was filed on April 8, 2011, which alleged that defendants made untrue statements and material omissions in the sale to plaintiff of a number of mortgage pass-through certificates backed by securitization trusts containing residential mortgage loans and asserts claims under Illinois law. The total amount of certificates allegedly sold to plaintiff by the Company at issue in the action was approximately $203 million. The complaint sought, among other things, to rescind the plaintiff’s purchase of such certificates. On November 4, 2021, the Firm entered into an agreement to settle the litigation.

On April 1, 2016, the California Attorney General’s Office filed an action against the Company in California state court styled California v. Morgan Stanley, et al., on behalf of California investors, including the California Public Employees’ Retirement System and the California Teachers’ Retirement System. The complaint alleged that the Company made misrepresentations and omissions regarding residential mortgage-backed securities and notes issued by the Cheyne SIV, and asserted violations of the California False Claims Act and other state laws and sought treble damages, civil penalties, disgorgement, and injunctive relief. On April 24, 2019, the parties reached an agreement to settle the litigation.

In August of 2017, the Company was named as a defendant in a purported antitrust class action in the United States District Court for the SDNY styled Iowa Public Employees’ Retirement System et al. v. Bank of America Corporation et al. Plaintiffs allege, inter alia, that the Company, together with a number of other financial institution defendants, violated U.S. antitrust laws and New York state law in connection with their alleged efforts to prevent the development of electronic exchange-based platforms for securities lending. The class action complaint was filed on behalf of a purported class of borrowers and lenders who entered into stock loan transactions with the

defendants. The class action complaint seeks, among other relief, certification of the class of plaintiffs and treble damages. On September 27, 2018, the court denied the defendants’ motion to dismiss the class action complaint. Plaintiffs’ motion for class certification was referred by the District Court to a magistrate judge who, on June 30, 2022, issued a report and recommendation that the District Court certify a class. The motion for class certification and the parties’ objections to the report and recommendation are pending before the District Court. On May 20, 2023, the Firm reached an agreement in principle to settle the litigation. On September 1, 2023, the court granted preliminary approval of the settlement.

Beginning on March 25, 2019, the Company was named as a defendant in a series of putative class action complaints filed in the United States District Court for the SDNY, the first of which is styled Alaska Electrical Pension Fund v. BofA Secs., Inc., et al. Each complaint alleged a conspiracy to fix prices and restrain competition in the market for unsecured bonds issued by the following Government-Sponsored Enterprises: the Federal National Mortgage Association; the Federal Home Loan Mortgage Corporation; the Federal Farm Credit Banks Funding Corporation; and the Federal Home Loan Banks. The purported class period for each suit is from January 1, 2012 to June 1, 2018. Each complaint raised a claim under Section 1 of the Sherman Act and sought, among other things, injunctive relief and treble compensatory damages. On May 23, 2019, plaintiffs filed a consolidated amended class action complaint styled In re GSE Bonds Antitrust Litigation, with a purported class period from January 1, 2009 to January 1, 2016. On June 13, 2019, the defendants filed a joint motion to dismiss the consolidated amended complaint. On August 29, 2019, the court denied the Company’s motion to dismiss. On December 15, 2019, the Company and certain other defendants entered into a stipulation of settlement to resolve the action as against each of them in its entirety. On June 16, 2020, the court granted final approval of the settlement.

Additional lawsuits containing claims similar to those described above may be filed in the future. In the course of its business, the Company, as a major futures commission merchant, is party to various civil actions, claims and routine regulatory investigations and proceedings that the General Partner believes do not have a material effect on the business of the Company. The Company may establish reserves from time to time in connections with such actions.

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, 2023 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 March 31, 2024, there were subscriptions of 26.8050 Class A Redeemable Units totaling $96,000. 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**

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

January 1, 2024 - January 31, 2024

2,591.0240

3,459.91

N/A

February 1, 2024 - February 29, 2024

574.1850

3,581.37

N/A

March 1, 2024 - March 31, 2024

982.5870

3,685.56

N/A

4,147.7960

3,530.18

$ -

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

. —

None.

Item 6.

Exhibits.

Exhibit 31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) (filed herewith).

Exhibit 31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer) (filed herewith).

Exhibit 32.1 — Section 1350 Certification (Certification of President and Director) (filed herewith).

Exhibit 32.2 — Section 1350 Certification (Certification of Chief Financial Officer) (filed herewith).

101.INS Inline XBRL Instance Document.

101.SCH Inline XBRL Taxonomy Extension Schema Document.

101.CAL Inline XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB Inline XBRL Taxonomy Extension Label Linkbase Document.

101.PRE Inline XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF Inline XBRL Taxonomy Extension Definition Document.

104 Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

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: /s/ Patrick T. Egan

Patrick T. Egan

President and Director

Date: May 9, 2024

By: /s/ Brooke Lambert

Brooke Lambert

Chief Financial Officer

(Principal Accounting Officer)

Date: May 9, 2024

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.

Positive
Negative
Uncertain
Constraining
Legalese
Litigous
Readability	8th grade Avg

Ceres Orion (OFFLP) 10-Q2024 Q1 Quarterly report

Content analysis