Exhibit 13.01
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
Consolidated Financial Statements as of December 31, 2012 and 2011 and for the years ended December 31, 2012, 2011 and 2010 and Report of Independent Registered Public Accounting Firm
General Commodity Futures Trading Risk Disclosure Statement
Prospective investors reviewing the accompanying consolidated statements of financial condition of BlackRock Global Horizons I L.P. (the “Partnership”) should carefully consider whether their financial condition permits them to participate in the Partnership. In so doing, prospective investors should be aware that futures, forwards and options trading can quickly lead to large losses as well as gains. Such trading losses can sharply reduce the net asset value of the Partnership and consequently the value of an investor’s interest in the Partnership. In addition, potential restrictions on redemption may affect an investor’s ability to withdraw from participation in the Partnership.
Further, the Partnership may be subject to substantial charges for management, distribution, advisory and brokerage fees. The Partnership will need to make substantial trading profits to avoid depletion or exhaustion of its assets over time. This brief statement cannot disclose all the risks and other factors necessary to evaluate a potential investor’s participation in the Partnership. Therefore, before any prospective investor decides to invest in the Partnership, the prospective investor should carefully study the Partnership’s disclosure document, including the description of the principal risk factors stated therein.
Prospective investors should also be aware that the Partnership may trade foreign futures, forwards or options contracts. Transactions on markets located outside the United States, including markets formally linked to a United States market, may be subject to regulations which offer different or diminished protection to the Partnership and its participants. Further, United States regulatory authorities may be unable to compel the enforcement of the rules of regulatory authorities or markets in non-United States jurisdictions where transactions for the Partnership may be effected.
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
TABLE OF CONTENTS
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 1 |
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CONSOLIDATED FINANCIAL STATEMENTS: |
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Consolidated Statements of Financial Condition as of December 31, 2012 and 2011 | 2 |
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Consolidated Statements of Operations for the years ended December 31, 2012, 2011 and 2010 | 3 |
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Consolidated Statements of Changes in Partners’ Capital for the years ended December 31, 2012, 2011 and 2010 | 4 |
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Consolidated Financial Data Highlights for the years ended December 31, 2012, 2011 and 2010 | 5-7 |
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Notes to Consolidated Financial Statements | 8-34 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
BlackRock Global Horizons I L.P.:
We have audited the accompanying consolidated statements of financial condition of BlackRock Global Horizons I L.P. (the “Partnership”) as of December 31, 2012 and 2011, and the related consolidated statements of operations, changes in partners’ capital, and financial data highlights for each of the three years in the period ended December 31, 2012. These consolidated financial statements and consolidated financial data highlights are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated financial data highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements and consolidated financial data highlights are free of material misstatement. The Partnership is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Partnership’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such consolidated financial statements and consolidated financial data highlights referred to above present fairly, in all material respects, the financial position of BlackRock Global Horizons I L.P. as of December 31, 2012 and 2011, the results of its operations, changes in its partners’ capital, and financial data highlights for each of the three years in the period ended December 31, 2012, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP |
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Princeton, New Jersey |
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March 22, 2013 |
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BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2012 AND 2011
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| December 31, |
| December 31, |
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| 2012 |
| 2011 |
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ASSETS: |
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Cash and cash equivalents |
| $ | 117,403,824 |
| $ | 196,117,766 |
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Equity in commodity futures trading accounts: |
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Cash (restricted cash $17,940,020 and $17,272,542) |
| 58,538,589 |
| 50,930,747 |
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Net unrealized profit / market value on open contracts / options |
| 1,341,535 |
| 2,633,381 |
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Investments in Non-Consolidated LLCs (cost $108,415,115 and $157,905,014) (1) |
| 99,262,759 |
| 157,474,126 |
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Due from Non-Consolidated LLCs |
| 6,049,277 |
| 37,488 |
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Accrued interest and other assets |
| 15,083 |
| 11,520 |
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TOTAL ASSETS |
| $ | 282,611,067 |
| $ | 407,205,028 |
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LIABILITIES AND PARTNERS’ CAPITAL |
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LIABILITIES: |
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Net unrealized loss / market value on open contracts / options |
| $ | 3,026,653 |
| $ | 370,340 |
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Due to Non-Consolidated LLCs |
| — |
| 254,832 |
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Redemptions payable |
| 14,623,211 |
| 7,402,636 |
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Profit Shares payable |
| 833,392 |
| 498,661 |
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Distribution fees payable |
| 688,763 |
| 980,952 |
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Trading Advisors’ management fees payable |
| 347,141 |
| 464,787 |
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Sponsor fees payable |
| 290,296 |
| 413,081 |
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Administrator fees payable |
| 228,421 |
| 375,692 |
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Professional fees payable |
| 762,458 |
| 437,409 |
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Other fees payable |
| 147,764 |
| 196,672 |
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Total liabilities |
| 20,948,099 |
| 11,395,062 |
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PARTNERS’ CAPITAL: |
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General Partner (3,355,287 and 3,211,292 Units) |
| 3,636,703 |
| 3,836,207 |
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Limited Partners (250,849,166 and 350,651,611 Units) |
| 258,026,265 |
| 391,973,759 |
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Total partners’ capital |
| 261,662,968 |
| 395,809,966 |
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TOTAL LIABILITIES AND PARTNERS’ CAPITAL |
| $ | 282,611,067 |
| $ | 407,205,028 |
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NET ASSET VALUE PER UNIT (Note 7)
(1) See Note 3
See notes to consolidated financial statements.
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
CONSOLIDATED STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2012, 2011 AND 2010
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| 2012 |
| 2011 |
| 2010 |
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TRADING PROFITS (LOSSES): |
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Realized |
| $ | (2,681,787 | ) | $ | 15,819,067 |
| $ | 24,680,503 |
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Change in unrealized |
| (4,232,518 | ) | (7,550,144 | ) | 10,194,641 |
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Change in value of investments in Non-Consolidated LLCs (2) |
| (9,152,356 | ) | (430,888 | ) | — |
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Brokerage commissions and clearing costs |
| (1,015,380 | ) | (2,247,622 | ) | (2,678,247 | ) | |||
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Total trading profits (losses) |
| (17,082,041 | ) | 5,590,413 |
| 32,196,897 |
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INVESTMENT INCOME: |
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Interest |
| 219,591 |
| 269,659 |
| 492,166 |
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EXPENSES: |
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Profit Shares |
| 355,170 |
| 1,490,923 |
| 4,126,005 |
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Distribution fees |
| 6,142,552 |
| 10,193,861 |
| 9,553,526 |
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Trading Advisors’ management fees |
| 2,943,719 |
| 5,073,428 |
| 4,558,253 |
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Sponsor fees |
| 2,580,154 |
| 4,286,905 |
| 4,014,803 |
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Administrator fees |
| 756,231 |
| 1,028,273 |
| 1,009,000 |
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Professional fees |
| 976,629 |
| 549,755 |
| 705,034 |
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Other fees |
| 214,315 |
| 429,317 |
| 392,000 |
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Total expenses |
| 13,968,770 |
| 23,052,462 |
| 24,358,621 |
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NET INVESTMENT LOSS |
| (13,749,179 | ) | (22,782,803 | ) | (23,866,455 | ) | |||
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NET INCOME / (LOSS) |
| $ | (30,831,220 | ) | $ | (17,192,390 | ) | $ | 8,330,442 |
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NET INCOME / (LOSS) PER UNIT: (1) |
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Weighted average number of General Partner and Limited Partner Units outstanding |
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Series A |
| 290,491,520 |
| 310,695,966 |
| 256,606,754 |
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Series F |
| 84,257 |
| 94,216 |
| 101,295 |
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Series G |
| 23,080,361 |
| 25,946,165 |
| 28,785,205 |
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Series I |
| 2,018,968 |
| 2,661,493 |
| 2,134,286 |
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Net income / (loss) per weighted average General Partner and Limited Partner Unit |
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Series A |
| $ | (0.0917 | ) | $ | (0.0476 | ) | $ | 0.0279 |
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Series F |
| $ | (21.91 | ) | $ | (11.37 | ) | $ | 4.46 |
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Series G |
| $ | (0.0951 | ) | $ | (0.0496 | ) | $ | 0.0193 |
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Series I |
| $ | (0.0772 | ) | $ | (0.0214 | ) | $ | 0.0726 |
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(1) The weighted average number of Units outstanding is computed for purposes of disclosing net income / (loss) per weighted average Unit. The weighted average number of Units outstanding for the years ended December 31, 2012, 2011, and 2010 equals the Units outstanding as of such date, adjusted proportionately for Units sold and redeemed based on the respective length of time each was outstanding during the year.
(2) Includes the Partnership’s proportionate share of the operations of its investments in the Non-Consolidated LLCs, which includes income and expenses.
See notes to consolidated financial statements.
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2012, 2011 AND 2010
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| General |
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| Units |
| Partner |
| Limited Partners |
| Total |
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PARTNERS’ CAPITAL, DECEMBER 31, 2009 |
| 229,150,870 |
| $ | 2,846,697 |
| $ | 272,916,221 |
| $ | 275,762,918 |
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Additions |
| 128,395,779 |
| 774,999 |
| 135,637,046 |
| 136,412,045 |
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Net income |
| — |
| 83,654 |
| 8,246,788 |
| 8,330,442 |
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Redemptions |
| (40,167,145 | ) | — |
| (45,109,692 | ) | (45,109,692 | ) | |||
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PARTNERS’ CAPITAL, DECEMBER 31, 2010 |
| 317,379,504 |
| 3,705,350 |
| 371,690,363 |
| 375,395,713 |
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Additions |
| 86,726,971 |
| 299,999 |
| 92,730,630 |
| 93,030,629 |
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Net loss |
| — |
| (169,142 | ) | (17,023,248 | ) | (17,192,390 | ) | |||
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Redemptions |
| (50,243,572 | ) | — |
| (55,423,986 | ) | (55,423,986 | ) | |||
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PARTNERS’ CAPITAL, DECEMBER 31, 2011 |
| 353,862,903 |
| 3,836,207 |
| 391,973,759 |
| 395,809,966 |
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Additions |
| 21,271,313 |
| 150,000 |
| 21,706,486 |
| 21,856,486 |
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Net loss |
| — |
| (349,504 | ) | (30,481,716 | ) | (30,831,220 | ) | |||
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Redemptions |
| (120,929,763 | ) | — |
| (125,172,264 | ) | (125,172,264 | ) | |||
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PARTNERS’ CAPITAL, DECEMBER 31, 2012 |
| 254,204,453 |
| $ | 3,636,703 |
| $ | 258,026,265 |
| $ | 261,662,968 |
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See notes to consolidated financial statements.
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
CONSOLIDATED FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2012
The following per Unit data and ratios have been derived from information provided in the consolidated financial statements. An individual Partner’s results may vary from these ratios due to timing of income and expenses and capital transactions.
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| Series A |
| Series F |
| Series G |
| Series I |
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Per Unit Operating Performance: |
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Net asset value, beginning of year |
| $ | 1.0487 |
| $ | 252.87 |
| $ | 1.0952 |
| $ | 1.2586 |
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Realized trading losses |
| (0.0079 | ) | (1.90 | ) | (0.0082 | ) | (0.0096 | ) | ||||
Change in unrealized trading losses |
| (0.0144 | ) | (3.49 | ) | (0.0151 | ) | (0.0177 | ) | ||||
Change in value of investments in Non-Consolidated LLCs (2) |
| (0.0273 | ) | (6.21 | ) | (0.0269 | ) | (0.0185 | ) | ||||
Interest |
| 0.0006 |
| 0.16 |
| 0.0007 |
| 0.0008 |
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Expenses |
| (0.0446 | ) | (10.76 | ) | (0.0466 | ) | (0.0301 | ) | ||||
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Net asset value, end of year |
| $ | 0.9551 |
| $ | 230.67 |
| $ | 0.9991 |
| $ | 1.1835 |
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Total Return: (2) |
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Total return (before Profit Shares) |
| -8.83 | % | -8.68 | % | -8.68 | % | -5.88 | % | ||||
Profit Shares |
| -0.10 | % | -0.10 | % | -0.10 | % | -0.10 | % | ||||
Total return |
| -8.93 | % | -8.78 | % | -8.77 | % | -5.97 | % | ||||
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Ratios to Average Net Assets:(1) (3) |
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Expenses (before Profit Shares) |
| 4.29 | % | 4.30 | % | 4.30 | % | 2.34 | % | ||||
Profit Shares |
| 0.11 | % | 0.10 | % | 0.10 | % | 0.10 | % | ||||
Expenses |
| 4.40 | % | 4.40 | % | 4.40 | % | 2.44 | % | ||||
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Net investment loss |
| -4.33 | % | -4.34 | % | -4.34 | % | -2.38 | % |
(1) Included in the ratios of expenses to average net assets are brokerage commissions and clearing costs which are presented in Trading Profits (Losses) on the Consolidated Statement of Operations.
(2) Includes the Partnership’s proportionate share of the operations of its investments in the Non-Consolidated LLCs, which includes income and expenses.
(3) Excludes the Partnership’s proportionate share of expenses from its investments in Non-Consolidated LLCs. If the Partnership’s proportionate share of expenses from its investments in Non-Consolidated LLCs were included, the ratios for Expenses (before Profit Shares), Profit Shares, Expenses and Net investment loss for Series A, would be 7.08%, 0.77%, 7.85%, and (7.76)%, respectively; for Series F, would be 7.08%, 0.59%, 7.67% and (7.58)%, respectively; for Series G, would be 7.08%, 0.58%, 7.66% and (7.57)%, respectively and for Series I would be 3.86%, 0.80%, 4.66% and (4.57)%, respectively.
See notes to consolidated financial statements.
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
CONSOLIDATED FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2011
The following per Unit data and ratios have been derived from information provided in the consolidated financial statements. An individual Partner’s results may vary from these ratios due to timing of income and expenses and capital transactions.
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| Series A |
| Series F |
| Series G |
| Series I |
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Per Unit Operating Performance: |
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Net asset value, beginning of year |
| $ | 1.0968 |
| $ | 264.28 |
| $ | 1.1446 |
| $ | 1.2798 |
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Realized trading profits |
| 0.0447 |
| 9.61 |
| 0.0416 |
| 0.0471 |
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Change in unrealized trading losses |
| (0.0222 | ) | (4.14 | ) | (0.0179 | ) | (0.0205 | ) | ||||
Change in value of investments in Non-Consolidated LLCs (2) |
| (0.0014 | ) | (0.14 | ) | (0.0007 | ) | 0.0026 |
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Interest |
| 0.0007 |
| 0.18 |
| 0.0008 |
| 0.0009 |
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Expenses |
| (0.0699 | ) | (16.92 | ) | (0.0732 | ) | (0.0513 | ) | ||||
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Net asset value, end of year |
| $ | 1.0487 |
| $ | 252.87 |
| $ | 1.0952 |
| $ | 1.2586 |
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Total Return: (2) |
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Total return (before Profit Shares) |
| -4.06 | % | -3.97 | % | -3.98 | % | -0.95 | % | ||||
Profit Shares |
| -0.41 | % | -0.40 | % | -0.40 | % | -0.78 | % | ||||
Total return |
| -4.39 | % | -4.32 | % | -4.32 | % | -1.66 | % | ||||
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Ratios to Average Net Assets:(1) (3) |
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Expenses (before Profit Shares) |
| 6.10 | % | 6.15 | % | 6.16 | % | 3.27 | % | ||||
Profit Shares |
| 0.38 | % | 0.39 | % | 0.38 | % | 0.74 | % | ||||
Expenses |
| 6.48 | % | 6.54 | % | 6.54 | % | 4.01 | % | ||||
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Net investment loss |
| -6.41 | % | -6.47 | % | -6.47 | % | -3.94 | % |
(1) Included in the ratios of expenses to average net assets are brokerage commissions and clearing costs which are presented in Trading Profits (Losses) on the Consolidated Statement of Operations.
(2) Includes the Partnership’s proportionate share of the operations of its investments in the Non-Consolidated LLCs, which includes income and expenses.
(3) Excludes the Partnership’s proportionate share of expenses from its investments in Non-Consolidated LLCs. If the Partnership’s proportionate share of expenses from its investments in Non-Consolidated LLCs were included, the ratios for Expenses (before Profit Shares), Profit Shares, Expenses and Net investment loss for Series A, would be 6.81%, 0.39%, 7.20%, and (7.12)%, respectively; for Series F and Series G would be 6.81%, 0.34%, 7.15%, and (7.07)%, respectively; and for Series I would be 3.60%, 0.78%, 4.38% and (4.30)%, respectively.
See notes to consolidated financial statements.
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
CONSOLIDATED FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2010
The following per Unit data and ratios have been derived from information provided in the consolidated financial statements. An individual Partner’s results may vary from these ratios due to timing of income and expenses and capital transactions.
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| Series A |
| Series F |
| Series G |
| Series I |
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Per Unit Operating Performance: |
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Net asset value, beginning of year |
| $ | 1.0775 |
| $ | 259.29 |
| $ | 1.1230 |
| $ | 1.2255 |
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Realized trading profits |
| 0.0717 |
| 17.18 |
| 0.0744 |
| 0.0831 |
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Change in unrealized trading profits |
| 0.0323 |
| 7.83 |
| 0.0339 |
| 0.0374 |
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Interest |
| 0.0014 |
| 0.37 |
| 0.0016 |
| 0.0018 |
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Expenses |
| (0.0861 | ) | (20.39 | ) | (0.0883 | ) | (0.0680 | ) | ||||
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Net asset value, end of year |
| $ | 1.0968 |
| $ | 264.28 |
| $ | 1.1446 |
| $ | 1.2798 |
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Total Return: |
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Total return (before Profit Shares) |
| 2.99 | % | 3.00 | % | 3.00 | % | 6.25 | % | ||||
Profit Shares |
| -1.21 | % | -1.09 | % | -1.09 | % | -1.81 | % | ||||
Total return |
| 1.79 | % | 1.92 | % | 1.92 | % | 4.43 | % | ||||
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Ratios to Average Net Assets:(1) |
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Expenses (before Profit Shares) |
| 6.90 | % | 6.91 | % | 6.91 | % | 3.77 | % | ||||
Profit Shares |
| 1.27 | % | 1.05 | % | 1.05 | % | 1.97 | % | ||||
Expenses |
| 8.17 | % | 7.96 | % | 7.96 | % | 5.74 | % | ||||
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Net investment loss |
| -8.02 | % | -7.82 | % | -7.82 | % | -5.59 | % |
(1) Included in the ratios of expenses to average net assets are brokerage commissions and clearing costs which are presented in Trading Profits (Losses) on the Consolidated Statement of Operations.
See notes to consolidated financial statements.
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
1. ORGANIZATION
BlackRock Global Horizons I L.P. (the “Partnership”) was organized as an open-end investment company under the Delaware Revised Uniform Limited Partnership Act on May 11, 1993 and commenced trading activities on January 4, 1994. The Partnership engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. The Partnership currently issues Units of limited partnership interest (“Units”) of Series A and I at Net Asset Value as of the beginning of each month. Series F and G are closed to new investors.
BlackRock Investment Management, LLC (the “General Partner” or “BRIM”), a wholly owned subsidiary of BlackRock, Inc. (“BlackRock”), is the general partner of the Partnership.
The General Partner has formed a number of subsidiaries in the form of limited liability companies (“LLCs”) to hold Partnership assets allocated to each particular Trading Advisor. Each of these subsidiaries has, in turn, entered into an advisory agreement with a respective Trading Advisor. The primary purpose of these subsidiaries is to segregate the assets of the Partnership allocated to any one Trading Advisor from the other assets of the Partnership in order to seek to limit liability for trading losses by any one Trading Advisor to the assets allocated to such subsidiary. However within each subsidiary, there will be no segregation of liabilities of the Partnership and any other funds or accounts that may allocate assets to the same subsidiary of the Partnership.
All wholly owned subsidiaries of the Partnership have been consolidated. All transactions between consolidated subsidiaries have been eliminated in consolidation. From time to time, other funds and accounts managed by the General Partner or its affiliates may also invest in such subsidiaries in order to gain exposure to the relevant Trading Advisor. In such instances where the Partnership is not the sole investor in the subsidiary, the subsidiary will no longer be consolidated (the “Non-Consolidated LLCs”), and the Partnership’s investment in the Non-Consolidated LLCs will be presented as Investments in Non-Consolidated LLCs on the Consolidated Statements of Financial Condition. Effective May 1, 2011, October 1, 2011 and November 1, 2011, other funds managed by the General Partner invested in one or more subsidiaries of the Partnership. As a result, those subsidiaries were no longer consolidated; instead, the Partnership’s interest in such Non-Consolidated LLCs were presented as Investments in Non-Consolidated on the Consolidated Statements of Financial Condition. See Note 3 for further information on the Non-Consolidated LLCs.
The Bank of New York Mellon provides custody services for the Partnership. The subsidiaries’ assets are held in cash and customer segregated managed accounts at Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), Newedge USA, LLC (“Newedge USA”), J.P. Morgan Securities LLC (“JPMS”), Morgan Stanley & Co. LLC (“MS&Co.”), UBS Securities LLC (“UBS Securities”), and any other clearing brokers that may be utilized by the Partnership in the future (the “Clearing Brokers”) or allocated to one or more commodity pools (each a “Portfolio Fund”) for which custodians and clearing brokers are selected by the independent professional advisors of such Portfolio Funds or managed accounts (the “Trading Advisors”) and at a custody account at State Street Bank and Trust Company (“State Street”). As of December 31, 2012, there were no assets held in any Portfolio Funds.
Each Series is subject to a sponsor fee, distribution fee and Trading Advisors’ management fees based on the month-end net assets of that Series. Series I does not pay a distribution fee. Each Series pays a Profit Share to the Trading Advisors based upon each Series new trading profits, as defined. Other operating expenses incurred, and trading profits (losses), are allocated to each Series based upon its net assets.
The Partnership will terminate on December 31, 2023 or at an earlier date if certain conditions occur, as well as under certain other circumstances as set forth in the Limited Partnership Agreement of the Partnership.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Partnership’s consolidated financial statements were prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of consolidated financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. The Partnership qualifies as an investment company under the provisions of the American Institute of Certified Public Accountants Audit and Accounting Guide - Investment Companies (the “Audit and Accounting Guide”).
Cash and Cash Equivalents
The Partnership has defined cash and cash equivalents as cash, money market funds and short-term, highly liquid investments with maturities of three months or less when acquired. Money market funds, which are included in cash equivalents, are classified as Level 1 valuation inputs (quoted prices in active markets for identical assets) under the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures (“ASC 820”).
Valuation
The Partnership’s policy is to value its financial instruments at fair market value. The Partnership’s commodities futures contracts traded on exchanges are valued at their close price. Foreign currency exchange contracts are valued at the midpoint between the bid and ask prices and are determined as of the close of business of the New York Stock Exchange. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Exchange-traded written options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the prior day’s close price, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options are valued by single broker quotes which use mathematical models which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.
The value of Investments in Non-Consolidated LLCs is based on the Partnership’s proportionate share of the fair value of the financial instruments held by the Non-Consolidated LLCs plus any other assets and less any other liabilities held by the Non-Consolidated LLCs, which represents the net asset value of the Non-Consolidated LLC. The Non-Consolidated LLCs’ valuation policy is the same as that of the Partnership discussed above. Changes in the value of Investments in Non-Consolidated LLCs are reflected in the Consolidated Statements of Operations as Change in value of Investments in Non-
Consolidated LLCs, and includes the Partnership’s proportionate share of the operations of its investments in the Non-Consolidated LLCs, which includes income and expenses.
Equity in Commodity Futures Trading Accounts
Cash at brokers —
A portion of the assets maintained at each of the Clearing Brokers is restricted to meet maintenance margin requirements. Typically, margin requirements range from 1% to 10% of the face value of the derivatives traded.
Net Unrealized Profit (Loss) / Market Value on Open Contracts / Options -
The Partnership, either directly or indirectly through its subsidiaries, in its normal course of business, enters into various derivatives contracts with MLPF&S, Newedge USA, JPMS, MS&Co., UBS Securities, UBS AG (“UBS”), and State Street each acting as the Partnership’s clearing brokers or derivatives counterparties. Pursuant to the brokerage agreements with MLPF&S, Newedge USA, JPMS, MS&Co. and UBS Securities (which include netting arrangements within each subsidiary), to the extent that such trading results in receivables from and payables to MLPF&S, Newedge USA, JPMS, MS&Co. and UBS Securities, these receivables and payables are offset and reported as a net receivable or payable with each broker. Net receivables are included in the Consolidated Statements of Financial Condition under Equity in commodity futures trading accounts in Net unrealized profit/market value on open contracts/options; net payables are included in the Consolidated Statements of Financial Condition under Liabilities in Net unrealized loss/ market value on open contracts/options. Receivables and payables are netted by counterparty and Trading Advisor, as appropriate under GAAP.
Commodity futures, forwards and options contracts transactions are recorded on the trade date. The receivables and payables for forwards and options contracts represent the difference between the original contract value and the market value. The receivables and payables for futures contracts represent the variation margin, which is the daily fluctuation in market value of the futures contracts. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized in the Consolidated Statements of Operations.
Foreign Currency Transactions
The Partnership’s functional currency is the U.S. dollar; however, it has trading activities in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the dates of the Consolidated Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Gains and losses resulting from the translation to U.S. dollars are reported in Realized in the Consolidated Statements of Operations.
Income Taxes
No provision for income taxes has been made in these consolidated financial statements as each Partner is individually responsible for reporting income or loss based on such Partner’s respective share of the Partnership’s income and expenses as reported for income tax purposes.
The Partnership is subject to the provision of ASC 740, Income Taxes which sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Based on its analysis, the General Partner does not believe that the Partnership has any material uncertain tax positions that would require recognition or measurements in the Partnership’s 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 statute of limitations on the Partnership’s U.S. Federal tax returns are open for the years ended 2012, 2011, 2010, and 2009. The statute of limitations on the Partnership’s state and local tax returns may remain open for an additional year depending on the jurisdiction.
There are no unrecognized tax benefits relating to the accompanying consolidated financial statements.
Distributions
The Limited Partners are entitled to receive, equally per Unit, any distributions which may be made by the Partnership. No such distributions have been declared for the years ended December 31, 2012, 2011 or 2010.
Subscriptions
Units are offered as of the close of business at the end of each month. Units are purchased as of the first business day of any month at Net Asset Value, but the subscription request generally must be received by the Transfer Agent at least ten calendar days before the end of the preceding month, or by such other date as determined by the General Partner, the distributor and/or Administrator in their discretion and communicated to the investor. Except as otherwise agreed in accordance with the forgoing, subscriptions submitted less than ten days before the end of a month will be applied to Unit subscriptions as of the beginning of the second month after receipt, unless revoked by BRIM.
Redemptions
A Limited Partner may redeem some or all of such Partner’s Units at Net Asset Value as of the close of business on the last business day of any calendar month upon at least fifteen calendar days’ notice, or such lesser period as shall be acceptable to the General Partner in its sole discretion in advance of the requested effective date of redemption (“notice period”). Series A units redeemed on or prior to the end of the twelfth full month after purchase are assessed an early redemption charge of 3% of their Net Asset Value as of the date of redemption which is paid to BRIM. The amount of the fees paid for the years ended December 31, 2012, 2011 and 2010 are $100,928, $82,819 and $76,261, respectively. Series I units are not subject to early redemption charges.
Redemption requests are accepted within the notice period. Except as may be determined by the General Partner in its sole discretion (as indicated above), the Partnership does not accept any redemption requests after the notice period and redemption requests received after the notice period will be processed the following month.
Indemnifications
In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.
3. CONDENSED CONSOLIDATED SCHEDULES OF INVESTMENTS
The Partnership trades futures, forwards and option contracts. The level of trading is affected by conditions in those markets. During the year ended December 31, 2012, 181,630 contracts were closed. The fair value of options held as of December 31, 2012 includes premiums paid of $431,164 and received of $265,272. The fair value of the Partnership’s futures, forwards and options contracts by type, are presented as Net unrealized profit (loss) / market value on open contracts / options in the Consolidated Statements of Financial Condition as of December 31, 2012 are as follows:
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| Long Positions |
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| Short Positions |
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| |||||||
|
| Long Positions |
| Unrealized |
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|
| Short Positions |
| Unrealized |
|
|
| Net Unrealized Profit (Loss) |
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| |||||||||||||||
Commodity |
| Number |
| Gross Unrealized |
| Profit (Loss)/ |
| Percent of |
| Number |
| Gross Unrealized |
| Profit (Loss)/ |
| Percent of |
| Market Value on Open |
| Percent of |
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| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Market Value |
| Net Assets |
| of Contracts |
| Gains |
| Losses |
| Market Value |
| Net Assets |
| Contracts/Options |
| Net Assets |
| Maturity Dates |
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| |||||||
Futures |
|
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| |||||||
Agriculture |
| 227 |
| $ | 30,992 |
| $ | (210,917 | ) | $ | (179,925 | ) | -0.07 | % | (191 | ) | $ | 137,576 |
| $ | (47,215 | ) | $ | 90,361 |
| 0.04 | % | $ | (89,564 | ) | -0.03 | % | January 13 - December 13 |
|
Currencies |
| 671 |
| 166,846 |
| (485,889 | ) | (319,043 | ) | -0.12 | % | (146 | ) | 552,029 |
| (8,725 | ) | 543,304 |
| 0.21 | % | 224,261 |
| 0.09 | % | January 13 - March 13 |
| |||||||
Energy |
| 513 |
| 364,585 |
| (120,408 | ) | 244,177 |
| 0.09 | % | (413 | ) | 209,763 |
| (292,975 | ) | (83,212 | ) | -0.03 | % | 160,965 |
| 0.06 | % | January 13 - December 13 |
| |||||||
Interest rates |
| 3,850 |
| 553,893 |
| (218,013 | ) | 335,880 |
| 0.13 | % | (209 | ) | 8,275 |
| (74,463 | ) | (66,188 | ) | -0.03 | % | 269,692 |
| 0.10 | % | January 13 - March 16 |
| |||||||
Metals |
| 1,042 |
| 2,081,342 |
| (671,087 | ) | 1,410,255 |
| 0.54 | % | (949 | ) | 321,773 |
| (2,229,051 | ) | (1,907,278 | ) | -0.73 | % | (497,023 | ) | -0.19 | % | January 13 - March 14 |
| |||||||
Stock indices |
| 1,219 |
| 655,637 |
| (328,838 | ) | 326,799 |
| 0.12 | % | (90 | ) | 21,870 |
| (195 | ) | 21,675 |
| 0.01 | % | 348,474 |
| 0.13 | % | January 13 - December 13 |
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Subtotal |
| 7,522 |
| 3,853,295 |
| (2,035,152 | ) | 1,818,143 |
| 0.69 | % | (1,998 | ) | 1,251,286 |
| (2,652,624 | ) | (1,401,338 | ) | -0.53 | % | 416,805 |
| 0.16 | % |
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Forwards |
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| |||||||
Currencies |
|
|
| 355,855 |
| (287,104 | ) | 68,751 |
| 0.03 | % |
|
| 604,032 |
| (2,745,213 | ) | (2,141,181 | ) | -0.82 | % | (2,072,430 | ) | -0.79 | % | January 13 - September 13 |
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Subtotal |
|
|
| 355,855 |
| (287,104 | ) | 68,751 |
| 0.03 | % |
|
| 604,032 |
| (2,745,213 | ) | (2,141,181 | ) | -0.82 | % | (2,072,430 | ) | -0.79 | % |
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Options |
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| |||||||
Currencies |
| — |
| 2,200 |
| — |
| 2,200 |
| 0.00 | % | — |
| — |
| (203,826 | ) | (203,826 | ) | -0.08 | % | (201,626 | ) | -0.08 | % | January 13 |
| |||||||
Energy |
| 33 |
| 4,840 |
| — |
| 4,840 |
| 0.00 | % | (33 | ) | — |
| (32,670 | ) | (32,670 | ) | -0.01 | % | (27,830 | ) | -0.01 | % | January 13 - February 13 |
| |||||||
Interest rates |
| 110 |
| 47,438 |
| — |
| 47,438 |
| 0.02 | % | (407 | ) | — |
| (108,625 | ) | (108,625 | ) | -0.04 | % | (61,187 | ) | -0.02 | % | January 13 - February 13 |
| |||||||
Metals |
| 79 |
| 254,000 |
| — |
| 254,000 |
| 0.10 | % | — |
| — |
| — |
| — |
| 0.00 | % | 254,000 |
| 0.10 | % | January 13 - November 13 |
| |||||||
Stock indices |
| 44 |
| 75,350 |
| — |
| 75,350 |
| 0.03 | % | (88 | ) | — |
| (68,200 | ) | (68,200 | ) | -0.03 | % | 7,150 |
| 0.00 | % | January 13 |
| |||||||
Subtotal |
| 266 |
| 383,828 |
| — |
| 383,828 |
| 0.15 | % | (528 | ) | — |
| (413,321 | ) | (413,321 | ) | -0.16 | % | (29,493 | ) | -0.01 | % |
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Total |
| 7,788 |
| $ | 4,592,978 |
| $ | (2,322,256 | ) | $ | 2,270,722 |
| 0.87 | % | (2,526 | ) | $ | 1,855,318 |
| $ | (5,811,158 | ) | $ | (3,955,840 | ) | -1.51 | % | $ | (1,685,118 | ) | -0.64 | % |
|
|
No individual contract’s unrealized profit or loss comprised greater than 5% of the Partnership’s capital as of December 31, 2012.
During the year ended December 31, 2011, 305,162 contracts were closed. The fair value of options held as of December 31, 2011 includes premiums paid of $144,782 and received of $506,379. The fair value of the Partnership’s futures, forwards and options contracts by type, are presented as Net unrealized profit (loss) / market value on open contracts / options in the Consolidated Statements of Financial Condition as of December 31, 2011 are as follows:
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| Long Positions |
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| Short Positions |
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| |||||||
|
| Long Positions |
| Unrealized |
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| Short Positions |
| Unrealized |
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| Net Unrealized Profit |
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| |||||||||||||||
Commodity |
| Number |
| Gross Unrealized |
| Profit (Loss)/ |
| Percent of |
| Number |
| Gross Unrealized |
| Profit (Loss)/ |
| Percent of |
| (Loss) Market Value on |
| Percent of |
|
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| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Market Value |
| Net Assets |
| of Contracts |
| Gains |
| Losses |
| Market Value |
| Net Assets |
| Open Contracts/Options |
| Net Assets |
| Maturity Dates |
| |||||||
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| |||||||
Futures |
|
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|
|
|
|
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|
|
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|
|
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| |||||||
Agriculture |
| 339 |
| $ | 139,401 |
| $ | (136,604 | ) | $ | 2,797 |
| 0.00 | % | (488 | ) | $ | 351,394 |
| $ | (243,839 | ) | $ | 107,555 |
| 0.03 | % | $ | 110,352 |
| 0.03 | % | January 12 - June 12 |
|
Currencies |
| 228 |
| 262,274 |
| (9,831 | ) | 252,443 |
| 0.06 | % | (320 | ) | 468,713 |
| (21,679 | ) | 447,034 |
| 0.12 | % | 699,477 |
| 0.18 | % | January 12 - March 12 |
| |||||||
Energy |
| 128 |
| 57,091 |
| (68,814 | ) | (11,723 | ) | 0.00 | % | (210 | ) | 242,395 |
| (32,440 | ) | 209,955 |
| 0.05 | % | 198,232 |
| 0.05 | % | January 12 - July 12 |
| |||||||
Interest rates |
| 3,736 |
| 1,667,533 |
| (53,994 | ) | 1,613,539 |
| 0.41 | % | (112 | ) | 4,516 |
| (68,995 | ) | (64,479 | ) | -0.02 | % | 1,549,060 |
| 0.39 | % | January 12 - March 14 |
| |||||||
Metals |
| 294 |
| 27,528 |
| (797,833 | ) | (770,305 | ) | -0.19 | % | (359 | ) | 727,792 |
| (129,151 | ) | 598,641 |
| 0.15 | % | (171,664 | ) | -0.04 | % | January 12 - December 12 |
| |||||||
Stock indices |
| 548 |
| 165,282 |
| (69,952 | ) | 95,330 |
| 0.02 | % | (443 | ) | 87,807 |
| (148,469 | ) | (60,662 | ) | -0.02 | % | 34,668 |
| 0.00 | % | January 12 - March 12 |
| |||||||
Subtotal |
| 5,273 |
| 2,319,109 |
| (1,137,028 | ) | 1,182,081 |
| 0.30 | % | (1,932 | ) | 1,882,617 |
| (644,573 | ) | 1,238,044 |
| 0.31 | % | 2,420,125 |
| 0.61 | % |
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Forwards |
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| |||||||
Currencies |
|
|
| 737,517 |
| (366,613 | ) | 370,904 |
| 0.09 | % |
|
| 973,241 |
| (1,225,815 | ) | (252,574 | ) | -0.06 | % | 118,330 |
| 0.03 | % | January 12 - July 12 |
| |||||||
Subtotal |
|
|
| 737,517 |
| (366,613 | ) | 370,904 |
| 0.09 | % |
|
| 973,241 |
| (1,225,815 | ) | (252,574 | ) | -0.06 | % | 118,330 |
| 0.03 | % |
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Options |
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|
|
|
| |||||||
Currencies |
| — |
| 31,990 |
| — |
| 31,990 |
| 0.01 | % | — |
| — |
| (40,141 | ) | (40,141 | ) | -0.01 | % | (8,151 | ) | 0.00 | % | January 12 - February 12 |
| |||||||
Interest rates |
| 140 |
| 17,516 |
| — |
| 17,516 |
| 0.00 | % | (232 | ) | — |
| (234,001 | ) | (234,001 | ) | -0.06 | % | (216,485 | ) | -0.06 | % | January 12 - March 12 |
| |||||||
Stock indices |
| 4 |
| 1,507 |
| — |
| 1,507 |
| 0.00 | % | (32 | ) | — |
| (52,285 | ) | (52,285 | ) | -0.01 | % | (50,778 | ) | -0.01 | % | January 12 - June 12 |
| |||||||
Subtotal |
| 144 |
| 51,013 |
| — |
| 51,013 |
| 0.01 | % | (264 | ) | — |
| (326,427 | ) | (326,427 | ) | -0.08 | % | (275,414 | ) | -0.07 | % |
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total |
| 5,417 |
| $ | 3,107,639 |
| $ | (1,503,641 | ) | $ | 1,603,998 |
| 0.40 | % | (2,196 | ) | $ | 2,855,858 |
| $ | (2,196,815 | ) | $ | 659,043 |
| 0.17 | % | $ | 2,263,041 |
| 0.57 | % |
|
|
No individual contract’s unrealized profit or loss comprised greater than 5% of the Partnership’s capital as of December 31, 2011.
The following tables represent the Partnership’s investment in each Non-Consolidated LLC as well as the financial statements, condensed schedules of investments, and relevant financial information of the Non-Consolidated LLCs as of and for the periods indicated through December 31, 2012 and 2011:
2012
|
| Partnership’s |
| Partnership’s |
| Partnership’s investment % |
|
|
|
|
|
|
| ||
Non-Consolidated LLC |
| Fair Value |
| Cost |
| of Non-Consolidated LLC |
| Management Fee |
| Profit Share |
| Redemptions Permitted |
| ||
Alamo Global Horizons, LLC |
| $ | 17,559,155 |
| $ | 20,116,405 |
| 76.18 | % | 2 | % | 20 | % | Monthly |
|
Breakout Global Horizons, LLC |
| 18,966,146 |
| 23,560,266 |
| 48.24 | % | 1 | % | 15 | % | Monthly |
| ||
Cambridge Global Horizons, LLC |
| 24,462,897 |
| 21,260,160 |
| 59.84 | % | 2 | % | 20 | % | Monthly |
| ||
Nets Global Horizons, LLC |
| 17,110,071 |
| 22,837,847 |
| 57.54 | % | 2 | % | 17 | % | Monthly |
| ||
Quantum Global Horizons, LLC |
| 21,164,490 |
| 20,640,437 |
| 47.64 | % | 0 | % | 30 | % | Monthly |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
| $ | 99,262,759 |
| $ | 108,415,115 |
|
|
|
|
|
|
|
|
|
2011
|
| Partnership’s |
| Partnership’s |
| Partnership’s investment % |
|
|
|
|
|
|
| ||
Non-Consolidated LLC |
| Fair Value |
| Cost |
| of Non-Consolidated LLC |
| Management Fee |
| Profit Share |
| Redemptions Permitted |
| ||
Alamo Global Horizons, LLC |
| $ | 30,058,051 |
| $ | 29,710,429 |
| 79.57 | % | 2 | % | 20 | % | Monthly |
|
Breakout Global Horizons, LLC |
| 32,953,719 |
| 34,228,076 |
| 56.48 | % | 1 | % | 15 | % | Monthly |
| ||
Cambridge Global Horizons, LLC |
| 35,431,925 |
| 35,240,173 |
| 72.80 | % | 2 | % | 20 | % | Monthly |
| ||
Nets Global Horizons, LLC |
| 31,341,984 |
| 32,675,816 |
| 62.57 | % | 2 | % | 17 | % | Monthly |
| ||
Quantum Global Horizons, LLC |
| 27,688,447 |
| 26,050,520 |
| 58.69 | % | 0 | % | 30 | % | Monthly |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
| $ | 157,474,126 |
| $ | 157,905,014 |
|
|
|
|
|
|
|
|
|
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2012
|
| Alamo |
| Breakout |
| Cambridge |
| Nets |
| Quantum |
| |||||
|
| Global Horizons, LLC |
| Global Horizons, LLC |
| Global Horizons, LLC |
| Global Horizons, LLC |
| Global Horizons, LLC |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
ASSETS: |
|
|
|
|
|
|
|
|
|
|
| |||||
Cash and cash equivalents |
| $ | 20,377,477 |
| $ | 21,595,885 |
| $ | 4,757,862 |
| $ | 26,712,321 |
| $ | 24,812,881 |
|
Equity in commodity futures trading accounts: |
|
|
|
|
|
|
|
|
|
|
| |||||
Cash (1) |
| 3,478,994 |
| 18,089,465 |
| 38,461,055 |
| 5,138,261 |
| 21,435,349 |
| |||||
Net unrealized profit on open contracts |
| 262,603 |
| 1,042,090 |
| — |
| — |
| — |
| |||||
Accrued interest and other assets |
| 2,712 |
| 3,325 |
| 2,720 |
| 1,319 |
| 4,094 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
TOTAL ASSETS |
| $ | 24,121,786 |
| $ | 40,730,765 |
| $ | 43,221,637 |
| $ | 31,851,901 |
| $ | 46,252,324 |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
LIABILITIES AND MEMBERS’ CAPITAL |
|
|
|
|
|
|
|
|
|
|
| |||||
LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net unrealized loss on open contracts |
| $ | — |
| $ | — |
| $ | 175,044 |
| $ | 91,517 |
| $ | 521,711 |
|
Due to Partnership |
| 1,026,163 |
| 1,108,537 |
| 1,680,015 |
| 997,556 |
| 1,237,006 |
| |||||
Redemptions payable |
| — |
| 230,000 |
| — |
| 950,000 |
| — |
| |||||
Profit Shares payable |
| — |
| — |
| 407,841 |
| — |
| — |
| |||||
Trading Advisors’ management fees payable |
| 9,166 |
| 17,164 |
| 28,093 |
| 22,700 |
| — |
| |||||
Administrator fees payable |
| 8,224 |
| 19,706 |
| 15,569 |
| 17,468 |
| 22,826 |
| |||||
Professional fees payable |
| 27,361 |
| 30,833 |
| 26,116 |
| 31,250 |
| 33,333 |
| |||||
Other fees payable |
| 1,368 |
| 9,307 |
| 6,247 |
| 5,667 |
| 8,148 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total liabilities |
| 1,072,282 |
| 1,415,547 |
| 2,338,925 |
| 2,116,158 |
| 1,823,024 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
TOTAL MEMBERS’ CAPITAL |
| 23,049,504 |
| 39,315,218 |
| 40,882,712 |
| 29,735,743 |
| 44,429,300 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
TOTAL LIABILITIES AND MEMBERS’ CAPITAL |
| $ | 24,121,786 |
| $ | 40,730,765 |
| $ | 43,221,637 |
| $ | 31,851,901 |
| $ | 46,252,324 |
|
(1) Includes restricted cash of $1,359,877, $7,597,881, $14,557,619, $2,095,713 and $7,392,494, respectively.
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2011
|
| Alamo |
| Breakout |
| Cambridge |
| Nets |
| Quantum |
| |||||
|
| Global Horizons, LLC |
| Global Horizons, LLC |
| Global Horizons, LLC |
| Global Horizons, LLC |
| Global Horizons, LLC |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
ASSETS: |
|
|
|
|
|
|
|
|
|
|
| |||||
Cash and cash equivalents |
| $ | 32,531,776 |
| $ | 50,348,817 |
| $ | 36,251,279 |
| $ | 43,367,169 |
| $ | 35,571,819 |
|
Equity in commodity futures trading accounts: |
|
|
|
|
|
|
|
|
|
|
| |||||
Cash (1) |
| 4,734,333 |
| 8,411,097 |
| 13,323,485 |
| 7,851,906 |
| 13,558,210 |
| |||||
Net unrealized profit on open contracts |
| 499,820 |
| 342,261 |
| — |
| — |
| — |
| |||||
Due from Partnership |
| — |
| — |
| — |
| 161,240 |
| 809,141 |
| |||||
Accrued interest and other assets |
| 3,874 |
| 5,325 |
| — |
| 5,425 |
| 2,950 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
TOTAL ASSETS |
| $ | 37,769,803 |
| $ | 59,107,500 |
| $ | 49,574,764 |
| $ | 51,385,740 |
| $ | 49,942,120 |
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
LIABILITIES AND MEMBERS’ CAPITAL |
|
|
|
|
|
|
|
|
|
|
| |||||
LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net unrealized loss on open contracts |
| $ | — |
| $ | — |
| $ | 139,082 |
| $ | 202,983 |
| $ | 850,736 |
|
Due to Partnership |
| 744,272 |
| 104,738 |
| 439,502 |
| — |
| — |
| |||||
Redemptions payable |
| — |
| 225,000 |
| — |
| 225,000 |
| 75,000 |
| |||||
Profit Shares payable |
| — |
| — |
| — |
| — |
| 113,321 |
| |||||
Trading Advisors’ management fees payable |
| 12,886 |
| 21,367 |
| 22,102 |
| 31,716 |
| — |
| |||||
Administrator fees payable |
| 1,214 |
| 2,885 |
| 1,880 |
| 3,254 |
| 7,113 |
| |||||
Professional fees payable |
| 1,360 |
| 2,016 |
| 1,532 |
| 2,640 |
| 8,113 |
| |||||
Other fees payable |
| 1,350 |
| 702,581 |
| 702,418 |
| 701,655 |
| 903,101 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total liabilities |
| 761,082 |
| 1,058,587 |
| 1,306,516 |
| 1,167,248 |
| 1,957,384 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
TOTAL MEMBERS’ CAPITAL |
| 37,008,721 |
| 58,048,913 |
| 48,268,248 |
| 50,218,492 |
| 47,984,736 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
TOTAL LIABILITIES AND MEMBERS’ CAPITAL |
| $ | 37,769,803 |
| $ | 59,107,500 |
| $ | 49,574,764 |
| $ | 51,385,740 |
| $ | 49,942,120 |
|
(1) Includes restricted cash of $3,320,183, $4,778,193, $2,845,479, $1,710,003 and $3,727,149, respectively.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2012
|
| Alamo |
| Breakout |
| Cambridge |
| Nets |
| Quantum |
| |||||
|
| Global Horizons, LLC |
| Global Horizons, LLC |
| Global Horizons, LLC |
| Global Horizons, LLC |
| Global Horizons, LLC |
| |||||
TRADING PROFITS (LOSSES): |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Realized |
| $ | (695,043 | ) | $ | (6,295,144 | ) | $ | 9,438,281 |
| $ | (6,661,564 | ) | $ | 5,853,021 |
|
Change in unrealized |
| (239,088 | ) | 687,004 |
| 380,791 |
| 128,008 |
| 309,294 |
| |||||
Brokerage commissions and clearing costs |
| (155,012 | ) | (151,374 | ) | (624,299 | ) | (73,267 | ) | (269,264 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total trading profits (losses) |
| (1,089,143 | ) | (5,759,514 | ) | 9,194,773 |
| (6,606,823 | ) | 5,893,051 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
| |||||
Interest |
| 43,077 |
| 52,475 |
| — |
| 47,328 |
| 53,066 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
EXPENSES: |
|
|
|
|
|
|
|
|
|
|
| |||||
Trading Advisors’ management fees |
| 614,518 |
| 488,959 |
| 953,699 |
| 851,236 |
| — |
| |||||
Profit Shares |
| — |
| — |
| 1,173,623 |
| — |
| 2,756,131 |
| |||||
Administrator fees |
| 88,694 |
| 95,739 |
| 113,056 |
| 94,334 |
| 91,946 |
| |||||
Professional fees |
| 152,733 |
| 160,459 |
| 185,622 |
| 158,204 |
| 155,086 |
| |||||
Other fees |
| 1,058,674 |
| 1,132,442 |
| 1,435,287 |
| 1,110,434 |
| 1,115,510 |
| |||||
Total expenses |
| 1,914,619 |
| 1,877,599 |
| 3,861,287 |
| 2,214,208 |
| 4,118,673 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
NET INVESTMENT LOSS |
| (1,871,542 | ) | (1,825,124 | ) | (3,861,287 | ) | (2,166,880 | ) | (4,065,607 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
NET INCOME / (LOSS) |
| $ | (2,960,685 | ) | $ | (7,584,638 | ) | $ | 5,333,486 |
| $ | (8,773,703 | ) | $ | 1,827,444 |
|
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 2011
|
| Alamo |
| Breakout |
| Cambridge |
| Nets |
| Quantum |
| |||||
|
| Global Horizons, LLC (3) |
| Global Horizons, LLC (3) |
| Global Horizons, LLC (3) |
| Global Horizons, LLC (2) |
| Global Horizons, LLC (1) |
| |||||
TRADING PROFITS (LOSSES): |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Realized |
| $ | 417,335 |
| $ | (2,044,281 | ) | $ | 1,247,299 |
| $ | (1,308,915 | ) | $ | 4,940,817 |
|
Change in unrealized |
| 496,905 |
| 342,261 |
| (187,072 | ) | (202,984 | ) | (850,675 | ) | |||||
Brokerage commissions and clearing costs |
| (50,900 | ) | (29,510 | ) | (82,306 | ) | (16,827 | ) | (135,855 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total trading profits (losses) |
| 863,340 |
| (1,731,530 | ) | 977,921 |
| (1,528,726 | ) | 3,954,287 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
| |||||
Interest |
| 6,320 |
| 6,470 |
| 542 |
| 9,038 |
| 22,125 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
EXPENSES: |
|
|
|
|
|
|
|
|
|
|
| |||||
Trading Advisors’ management fees |
| 128,242 |
| 97,373 |
| 163,276 |
| 251,426 |
| — |
| |||||
Profit Shares |
| — |
| — |
| 121,673 |
| (153,999 | ) | 217,527 |
| |||||
Administrator fees |
| 16,445 |
| 17,977 |
| 19,134 |
| 25,182 |
| 56,988 |
| |||||
Professional fees |
| 9,086 |
| 10,465 |
| 10,529 |
| 14,915 |
| 37,367 |
| |||||
Other fees |
| 223,369 |
| 239,151 |
| 260,344 |
| 346,064 |
| 815,185 |
| |||||
Total expenses |
| 377,142 |
| 364,966 |
| 574,956 |
| 483,588 |
| 1,127,067 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
NET INVESTMENT LOSS |
| (370,822 | ) | (358,496 | ) | (574,414 | ) | (474,550 | ) | (1,104,942 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
NET INCOME / (LOSS) |
| $ | 492,518 |
| $ | (2,090,026 | ) | $ | 403,507 |
| $ | (2,003,276 | ) | $ | 2,849,345 |
|
(1) For the period from May 1, 2011 through December 31, 2011.
(2) For the period from October 1, 2011 through December 31, 2011.
(3) For the period from November 1, 2011 through December 31, 2011.
The Non-Consolidated LLCs trade futures and forwards contracts. The fair value of the Non-Consolidated LLCs’ futures and forwards contracts by type, are presented as Net unrealized profit (loss) on open contracts in their respective Statements of Financial Condition as of December 31, 2012 are as follows:
Alamo Global Horizons, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long Positions |
| Long Positions |
|
|
| Short Positions |
| Short Positions |
|
|
| Net Unrealized |
|
|
|
|
| |||||||||||||||
Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
|
|
| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Futures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Agriculture |
| 53 |
| $ | 41,903 |
| $ | — |
| $ | 41,903 |
| 0.18 | % | (247 | ) | $ | 192,660 |
| $ | (95,359 | ) | $ | 97,301 |
| 0.42 | % | $ | 139,204 |
| 0.60 | % | March 13 |
|
Currencies |
| 215 |
| 76,513 |
| (174,782 | ) | (98,269 | ) | -0.43 | % | (56 | ) | 259,056 |
| — |
| 259,056 |
| 1.13 | % | 160,787 |
| 0.70 | % | March 13 |
| |||||||
Energy |
| 9 |
| 13,066 |
| (12,524 | ) | 542 |
| 0.00 | % | — |
| — |
| — |
| — |
| 0.00 | % | 542 |
| 0.00 | % | February 13 |
| |||||||
Interest rates |
| 275 |
| 1,880 |
| (39,810 | ) | (37,930 | ) | -0.16 | % | — |
| — |
| — |
| — |
| 0.00 | % | (37,930 | ) | -0.16 | % | March 13 - June 13 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total |
| 552 |
| $ | 133,362 |
| $ | (227,116 | ) | $ | (93,754 | ) | -0.41 | % | (303 | ) | $ | 451,716 |
| $ | (95,359 | ) | $ | 356,357 |
| 1.55 | % | $ | 262,603 |
| 1.14 | % |
|
|
Breakout Global Horizons, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long Positions |
| Long Positions |
|
|
| Short Positions |
| Short Positions |
|
|
| Net Unrealized |
|
|
|
|
| |||||||||||||||
Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
|
|
| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Futures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Agriculture |
| — |
| $ | — |
| $ | — |
| $ | — |
| 0.00 | % | (264 | ) | $ | 337,925 |
| $ | — |
| $ | 337,925 |
| 0.86 | % | $ | 337,925 |
| 0.86 | % | March 13 |
|
Currencies |
| 968 |
| 729,065 |
| (307,440 | ) | 421,625 |
| 1.07 | % | (183 | ) | 365,402 |
| — |
| 365,402 |
| 0.93 | % | 787,027 |
| 2.00 | % | March 13 |
| |||||||
Energy |
| 15 |
| — |
| (9,341 | ) | (9,341 | ) | -0.02 | % | (80 | ) | 53,800 |
| (225,120 | ) | (171,320 | ) | -0.44 | % | (180,661 | ) | -0.46 | % | January 13 - March 13 |
| |||||||
Interest rates |
| 553 |
| 206,994 |
| (238,994 | ) | (32,000 | ) | -0.08 | % | — |
| — |
| — |
| — |
| 0.00 | % | (32,000 | ) | -0.08 | % | March 13 - June 13 |
| |||||||
Metals |
| 158 |
| — |
| (266,278 | ) | (266,278 | ) | -0.68 | % | (103 | ) | — |
| (335,677 | ) | (335,677 | ) | -0.85 | % | (601,955 | ) | -1.53 | % | February 13 - March 13 |
| |||||||
Stock indices |
| 444 |
| 756,597 |
| (24,843 | ) | 731,754 |
| 1.86 | % | — |
| — |
| — |
| — |
| 0.00 | % | 731,754 |
| 1.86 | % | January 13 - March 13 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total |
| 2,138 |
| $ | 1,692,656 |
| $ | (846,896 | ) | $ | 845,760 |
| 2.15 | % | (630 | ) | $ | 757,127 |
| $ | (560,797 | ) | $ | 196,330 |
| 0.50 | % | $ | 1,042,090 |
| 2.65 | % |
|
|
Cambridge Global Horizons, LLC
|
| Long Positions |
| Long Positions |
|
|
| Short Positions |
| Short Positions |
|
|
| Net Unrealized |
|
|
|
|
| |||||||||||||||
Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
|
|
| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Futures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Agriculture |
| 95 |
| $ | 1,398 |
| $ | (159,683 | ) | $ | (158,285 | ) | -0.38 | % | (211 | ) | $ | 159,461 |
| $ | (49,206 | ) | $ | 110,255 |
| 0.27 | % | $ | (48,030 | ) | -0.11 | % | February 13 - May 13 |
|
Currencies |
| 251 |
| 21,950 |
| (195,816 | ) | (173,866 | ) | -0.43 | % | (60 | ) | 115,239 |
| (12,222 | ) | 103,017 |
| 0.25 | % | (70,849 | ) | -0.18 | % | March 13 |
| |||||||
Energy |
| 333 |
| 988,215 |
| (17,519 | ) | 970,696 |
| 2.37 | % | (275 | ) | 23,595 |
| (668,170 | ) | (644,575 | ) | -1.58 | % | 326,121 |
| 0.79 | % | January 13 - March 13 |
| |||||||
Interest rates |
| 4,585 |
| 272,084 |
| (392,660 | ) | (120,576 | ) | -0.29 | % | (309 | ) | 13,922 |
| (8,114 | ) | 5,808 |
| 0.01 | % | (114,768 | ) | -0.28 | % | January 13 - December 14 |
| |||||||
Metals |
| 179 |
| 130,109 |
| (110,636 | ) | 19,473 |
| 0.05 | % | (238 | ) | 120,327 |
| (521,274 | ) | (400,947 | ) | -0.98 | % | (381,474 | ) | -0.93 | % | January 13 - April 13 |
| |||||||
Stock indices |
| 926 |
| 253,558 |
| (396,736 | ) | (143,178 | ) | -0.35 | % | (16 | ) | 2,200 |
| (11,350 | ) | (9,150 | ) | -0.02 | % | (152,328 | ) | -0.37 | % | January 13 - March 13 |
| |||||||
Subtotal |
| 6,369 |
| 1,667,314 |
| (1,273,050 | ) | 394,264 |
| 0.97 | % | (1,109 | ) | 434,744 |
| (1,270,336 | ) | (835,592 | ) | -2.05 | % | (441,328 | ) | -1.08 | % |
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
| |||||||
Forwards |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Currencies |
|
|
| 1,626,302 |
| (815,193 | ) | 811,109 |
| 1.98 | % |
|
| 1,137,882 |
| (1,682,707 | ) | (544,825 | ) | -1.33 | % | 266,284 |
| 0.65 | % | March 13 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total |
| 6,369 |
| $ | 3,293,616 |
| $ | (2,088,243 | ) | $ | 1,205,373 |
| 2.95 | % | (1,109 | ) | $ | 1,572,626 |
| $ | (2,953,043 | ) | $ | (1,380,417 | ) | -3.38 | % | $ | (175,044 | ) | -0.43 | % |
|
|
Nets Global Horizons, LLC
|
| Long Positions |
| Long Positions |
|
|
| Short Positions |
| Short Positions |
|
|
| Net Unrealized |
|
|
|
|
| |||||||||||||||
Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
|
|
| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Futures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Agriculture |
| 50 |
| $ | — |
| $ | (128,932 | ) | $ | (128,932 | ) | -0.43 | % | (176 | ) | $ | 141,311 |
| $ | (25,300 | ) | $ | 116,011 |
| 0.39 | % | $ | (12,921 | ) | -0.04 | % | February 13 - March 13 |
|
Currencies |
| 102 |
| 21,032 |
| (71,651 | ) | (50,619 | ) | -0.17 | % | (20 | ) | 120,000 |
| — |
| 120,000 |
| 0.40 | % | 69,381 |
| 0.23 | % | March 13 |
| |||||||
Energy |
| 10 |
| 4,989 |
| (6,964 | ) | (1,975 | ) | -0.01 | % | (34 | ) | 33,953 |
| (31,918 | ) | 2,035 |
| 0.01 | % | 60 |
| 0.00 | % | January 13 - February 13 |
| |||||||
Interest rates |
| 72 |
| 16,661 |
| (9,829 | ) | 6,832 |
| 0.02 | % | (18 | ) | 12,104 |
| (3,084 | ) | 9,020 |
| 0.03 | % | 15,852 |
| 0.05 | % | March 13 - June 13 |
| |||||||
Metals |
| 31 |
| 48,405 |
| (35,391 | ) | 13,014 |
| 0.05 | % | (52 | ) | 26,378 |
| (79,691 | ) | (53,313 | ) | -0.18 | % | (40,299 | ) | -0.13 | % | January 13 - March 13 |
| |||||||
Stock indices |
| 10 |
| 3,246 |
| (6,325 | ) | (3,079 | ) | -0.01 | % | (127 | ) | 67,767 |
| (188,278 | ) | (120,511 | ) | -0.41 | % | (123,590 | ) | -0.42 | % | January 13 - March 13 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total |
| 275 |
| $ | 94,333 |
| $ | (259,092 | ) | $ | (164,759 | ) | -0.55 | % | (427 | ) | $ | 401,513 |
| $ | (328,271 | ) | $ | 73,242 |
| 0.24 | % | $ | (91,517 | ) | -0.31 | % |
|
|
Quantum Global Horizons, LLC
|
| Long Positions |
| Long Positions |
|
|
| Short Positions |
| Short Positions |
|
|
| Net Unrealized |
|
|
|
|
| |||||||||||||||
Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
|
|
| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Futures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Agriculture |
| 35 |
| $ | 2,559 |
| $ | (11,257 | ) | $ | (8,698 | ) | -0.02 | % | (17 | ) | $ | 5,557 |
| $ | (1,671 | ) | $ | 3,886 |
| 0.01 | % | $ | (4,812 | ) | -0.01 | % | February 13 - March 13 |
|
Currencies |
| 247 |
| 17,613 |
| (141,677 | ) | (124,064 | ) | -0.28 | % | (94 | ) | 10,408 |
| (14,539 | ) | (4,131 | ) | -0.01 | % | (128,195 | ) | -0.29 | % | March 13 |
| |||||||
Energy |
| 13 |
| 8,471 |
| — |
| 8,471 |
| 0.02 | % | (18 | ) | 22,753 |
| (835 | ) | 21,918 |
| 0.05 | % | 30,389 |
| 0.07 | % | January 13 - February 13 |
| |||||||
Interest rates |
| 436 |
| 675,970 |
| (2,705 | ) | 673,265 |
| 1.52 | % | (970 | ) | 73,045 |
| (357,958 | ) | (284,913 | ) | -0.64 | % | 388,352 |
| 0.88 | % | March 13 |
| |||||||
Metals |
| 23 |
| 36,135 |
| — |
| 36,135 |
| 0.08 | % | (23 | ) | 303 |
| (1,184 | ) | (881 | ) | 0.00 | % | 35,254 |
| 0.08 | % | February 13 - April 13 |
| |||||||
Stock indices |
| 75 |
| 4,031 |
| (64,252 | ) | (60,221 | ) | -0.14 | % | (1,296 | ) | 106,146 |
| (888,624 | ) | (782,478 | ) | -1.76 | % | (842,699 | ) | -1.90 | % | January 13 - March 13 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total |
| 829 |
| $ | 744,779 |
| $ | (219,891 | ) | $ | 524,888 |
| 1.18 | % | (2,418 | ) | $ | 218,212 |
| $ | (1,264,811 | ) | $ | (1,046,599 | ) | -2.35 | % | $ | (521,711 | ) | -1.17 | % |
|
|
The level of trading is affected by conditions in those markets. The fair value of the Non-Consolidated LLCs’ futures and forwards contracts by type, are presented as Net unrealized profit (loss) on open contracts in their respective Statements of Financial Condition as of December 31, 2011 are as follows:
Alamo Global Horizons, LLC
|
| Long Positions |
| Long Positions |
|
|
| Short Positions |
| Short Positions |
|
|
| Net Unrealized |
|
|
|
|
| |||||||||||||||
Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
|
|
| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Futures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Agriculture |
| 293 |
| $ | 122,526 |
| $ | (53,900 | ) | $ | 68,626 |
| 0.19 | % | (300 | ) | $ | 120,283 |
| $ | (90,608 | ) | $ | 29,675 |
| 0.08 | % | $ | 98,301 |
| 0.27 | % | February 12 - April 12 |
|
Currencies |
| 92 |
| 32,162 |
| (1,732 | ) | 30,430 |
| 0.08 | % | (108 | ) | 69,706 |
| (11,735 | ) | 57,971 |
| 0.16 | % | 88,401 |
| 0.24 | % | March 12 |
| |||||||
Energy |
| 15 |
| 1,192 |
| (17,247 | ) | (16,055 | ) | -0.04 | % | (48 | ) | 95,000 |
| — |
| 95,000 |
| 0.25 | % | 78,945 |
| 0.21 | % | January 12 - February 12 |
| |||||||
Interest rates |
| 438 |
| 198,327 |
| (7,059 | ) | 191,268 |
| 0.52 | % | (107 | ) | 16,963 |
| (2,099 | ) | 14,864 |
| 0.04 | % | 206,132 |
| 0.56 | % | March 12 - June 12 |
| |||||||
Metals |
| 57 |
| 48,763 |
| (117,901 | ) | (69,138 | ) | -0.19 | % | (151 | ) | 200,209 |
| (134,256 | ) | 65,953 |
| 0.18 | % | (3,185 | ) | -0.01 | % | February 12 - April 12 |
| |||||||
Stock indices |
| 23 |
| 26,467 |
| (2,710 | ) | 23,757 |
| 0.06 | % | (28 | ) | 12,741 |
| (5,272 | ) | 7,469 |
| 0.02 | % | 31,226 |
| 0.08 | % | January 12 - March 12 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total |
| 918 |
| $ | 429,437 |
| $ | (200,549 | ) | $ | 228,888 |
| 0.62 | % | (742 | ) | $ | 514,902 |
| $ | (243,970 | ) | $ | 270,932 |
| 0.73 | % | $ | 499,820 |
| 1.35 | % |
|
|
Breakout Global Horizons, LLC
|
| Long Positions |
| Long Positions |
|
|
| Short Positions |
| Short Positions |
|
|
| Net Unrealized |
|
|
|
|
| |||||||||||||||
Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
|
|
| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Futures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Agriculture |
| — |
| $ | — |
| $ | — |
| $ | — |
| 0.00 | % | (295 | ) | $ | — |
| $ | (670,687 | ) | $ | (670,687 | ) | -1.15 | % | $ | (670,687 | ) | -1.15 | % | March 12 |
|
Currencies |
| 317 |
| 72,800 |
| (101,690 | ) | (28,890 | ) | -0.05 | % | (329 | ) | 651,153 |
| (66,288 | ) | 584,865 |
| 1.01 | % | 555,975 |
| 0.96 | % | February 12 - March 12 |
| |||||||
Energy |
| — |
| — |
| — |
| — |
| 0.00 | % | (92 | ) | 109,560 |
| (67,675 | ) | 41,885 |
| 0.07 | % | 41,885 |
| 0.07 | % | March 12 |
| |||||||
Interest rates |
| 285 |
| 459,553 |
| — |
| 459,553 |
| 0.79 | % | (402 | ) | — |
| (4,257 | ) | (4,257 | ) | -0.01 | % | 455,296 |
| 0.78 | % | March 12 - June 12 |
| |||||||
Metals |
| — |
| — |
| — |
| — |
| 0.00 | % | (189 | ) | 47,950 |
| (101,838 | ) | (53,888 | ) | -0.09 | % | (53,888 | ) | -0.09 | % | February 12 - March 12 |
| |||||||
Stock indices |
| — |
| — |
| — |
| — |
| 0.00 | % | (17 | ) | 13,680 |
| — |
| 13,680 |
| 0.02 | % | 13,680 |
| 0.02 | % | January 12 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total |
| 602 |
| $ | 532,353 |
| $ | (101,690 | ) | $ | 430,663 |
| 0.74 | % | (1,324 | ) | $ | 822,343 |
| $ | (910,745 | ) | $ | (88,402 | ) | -0.15 | % | $ | 342,261 |
| 0.59 | % |
|
|
Cambridge Global Horizons, LLC
|
| Long Positions |
| Long Positions |
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| Short Positions |
| Short Positions |
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| Net Unrealized |
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Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
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Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
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Futures |
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Agriculture |
| 95 |
| $ | 121,374 |
| $ | (9,648 | ) | $ | 111,726 |
| 0.23 | % | (137 | ) | $ | 13,910 |
| $ | (179,729 | ) | $ | (165,819 | ) | -0.34 | % | $ | (54,093 | ) | -0.11 | % | February 12 - May 12 |
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Currencies |
| 1 |
| — |
| (433 | ) | (433 | ) | 0.00 | % | — |
| — |
| — |
| — |
| 0.00 | % | (433 | ) | 0.00 | % | March 12 |
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Energy |
| 73 |
| — |
| (85,176 | ) | (85,176 | ) | -0.18 | % | (85 | ) | 65,091 |
| (90 | ) | 65,001 |
| 0.13 | % | (20,175 | ) | -0.05 | % | January 12 - April 12 |
| |||||||
Interest rates |
| 1,136 |
| 316,281 |
| (28,778 | ) | 287,503 |
| 0.60 | % | (750 | ) | 9,978 |
| (36,453 | ) | (26,475 | ) | -0.05 | % | 261,028 |
| 0.55 | % | January 12 - December 13 |
| |||||||
Metals |
| 216 |
| 172,075 |
| (342,767 | ) | (170,692 | ) | -0.35 | % | (251 | ) | 262,743 |
| (164,615 | ) | 98,128 |
| 0.20 | % | (72,564 | ) | -0.15 | % | January 12 - April 12 |
| |||||||
Stock indices |
| 60 |
| 17,980 |
| (16,768 | ) | 1,212 |
| 0.00 | % | (16 | ) | 169 |
| — |
| 169 |
| 0.00 | % | 1,381 |
| 0.00 | % | January 12 - March 12 |
| |||||||
Subtotal |
| 1,581 |
| 627,710 |
| (483,570 | ) | 144,140 |
| 0.30 | % | (1,239 | ) | 351,891 |
| (380,887 | ) | (28,996 | ) | -0.06 | % | 115,144 |
| 0.24 | % |
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Forwards |
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Currencies |
|
|
| 1,355,926 |
| (474,587 | ) | 881,339 |
| 1.82 | % |
|
| 615,879 |
| (1,751,444 | ) | (1,135,565 | ) | -2.35 | % | (254,226 | ) | -0.53 | % | March 12 |
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Total |
| 1,581 |
| $ | 1,983,636 |
| $ | (958,157 | ) | $ | 1,025,479 |
| 2.12 | % | (1,239 | ) | $ | 967,770 |
| $ | (2,132,331 | ) | $ | (1,164,561 | ) | -2.41 | % | $ | (139,082 | ) | -0.29 | % |
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Nets Global Horizons, LLC
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| Long Positions |
| Long Positions |
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| Short Positions |
| Short Positions |
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| Net Unrealized |
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Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
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Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
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Futures |
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Agriculture |
| — |
| $ | — |
| $ | — |
| $ | — |
| 0.00 | % | (171 | ) | $ | 123,497 |
| $ | (133,455 | ) | $ | (9,958 | ) | -0.02 | % | $ | (9,958 | ) | -0.02 | % | February 12 - March 12 |
|
Currencies |
| 30 |
| 47,905 |
| (887 | ) | 47,018 |
| 0.09 | % | (61 | ) | 5,251 |
| (4,825 | ) | 426 |
| 0.00 | % | 47,444 |
| 0.09 | % | March 12 |
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Energy |
| 15 |
| 10,456 |
| (18,160 | ) | (7,704 | ) | -0.02 | % | — |
| — |
| — |
| — |
| 0.00 | % | (7,704 | ) | -0.02 | % | January 12 - March 12 |
| |||||||
Interest rates |
| 41 |
| 46,408 |
| — |
| 46,408 |
| 0.09 | % | (148 | ) | 4,225 |
| (191,075 | ) | (186,850 | ) | -0.36 | % | (140,442 | ) | -0.27 | % | March 12 - September 12 |
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Metals |
| 30 |
| 43,748 |
| (174,083 | ) | (130,335 | ) | -0.25 | % | (68 | ) | 230,872 |
| (185,972 | ) | 44,900 |
| 0.09 | % | (85,435 | ) | -0.16 | % | January 12 - March 12 |
| |||||||
Stock indices |
| 8 |
| 13,116 |
| (1,170 | ) | 11,946 |
| 0.02 | % | (52 | ) | 49,940 |
| (68,774 | ) | (18,834 | ) | -0.04 | % | (6,888 | ) | -0.02 | % | January 12 - March 12 |
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Total |
| 124 |
| $ | 161,633 |
| $ | (194,300 | ) | $ | (32,667 | ) | -0.07 | % | (500 | ) | $ | 413,785 |
| $ | (584,101 | ) | $ | (170,316 | ) | -0.33 | % | $ | (202,983 | ) | -0.40 | % |
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Quantum Global Horizons, LLC
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| Long Positions |
| Long Positions |
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| Short Positions |
| Short Positions |
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| Net Unrealized |
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Commodity |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Number |
| Gross Unrealized |
| Unrealized |
| Percent of |
| Profit (Loss) on |
| Percent of |
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| |||||||||||
Industry Sector |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| of Contracts |
| Gains |
| Losses |
| Profit (Loss) |
| Members’ Capital |
| Open Contracts |
| Members’ Capital |
| Maturity Dates |
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Futures |
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Agriculture |
| 13 |
| $ | 15,504 |
| $ | (1,508 | ) | $ | 13,996 |
| 0.03 | % | (94 | ) | $ | 1,051 |
| $ | (125,130 | ) | $ | (124,079 | ) | -0.26 | % | $ | (110,083 | ) | -0.23 | % | February 12 - March 12 |
|
Currencies |
| 32 |
| 20,890 |
| (1,841 | ) | 19,049 |
| 0.04 | % | (86 | ) | 6,846 |
| (38,877 | ) | (32,031 | ) | -0.07 | % | (12,982 | ) | -0.03 | % | March 12 |
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Energy |
| 43 |
| 1,601 |
| (24,435 | ) | (22,834 | ) | -0.05 | % | (5 | ) | 6,144 |
| — |
| 6,144 |
| 0.01 | % | (16,690 | ) | -0.04 | % | January 12 - February 12 |
| |||||||
Interest rates |
| 109 |
| 184,811 |
| — |
| 184,811 |
| 0.39 | % | (1,020 | ) | — |
| (719,141 | ) | (719,141 | ) | -1.49 | % | (534,330 | ) | -1.10 | % | March 12 - December 12 |
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Metals |
| 15 |
| 5,203 |
| (30,930 | ) | (25,727 | ) | -0.05 | % | (7 | ) | 155 |
| (2,928 | ) | (2,773 | ) | -0.01 | % | (28,500 | ) | -0.06 | % | February 12 - April 12 |
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Stock indices |
| 14 |
| 2,036 |
| — |
| 2,036 |
| 0.00 | % | (176 | ) | 3,174 |
| (153,361 | ) | (150,187 | ) | -0.31 | % | (148,151 | ) | -0.31 | % | January 12 - March 12 |
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Total |
| 226 |
| $ | 230,045 |
| $ | (58,714 | ) | $ | 171,331 |
| 0.36 | % | (1,388 | ) | $ | 17,370 |
| $ | (1,039,437 | ) | $ | (1,022,067 | ) | -2.13 | % | $ | (850,736 | ) | -1.77 | % |
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The trading profits (losses) of the Partnership’s derivatives by instrument type, as well as the location of those gains and losses on the Consolidated Statements of Operations for the years ended December 31, 2012, 2011 and 2010 are as follows:
2012
|
|
|
| Change in Net |
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|
| |||
Commodity |
| Realized Profits |
| Unrealized |
| Net Trading |
| |||
Industry Sector |
| (Losses) |
| Profits (Losses) |
| Profits (Losses) |
| |||
|
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|
| |||
Futures |
|
|
|
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|
|
| |||
Agriculture |
| $ | (2,820,296 | ) | $ | (199,915 | ) | $ | (3,020,211 | ) |
Currencies |
| (3,263,268 | ) | (232,086 | ) | (3,495,354 | ) | |||
Energy |
| 465,650 |
| (37,269 | ) | 428,381 |
| |||
Interest rates |
| 2,717,223 |
| (1,279,367 | ) | 1,437,856 |
| |||
Metals |
| (2,136,315 | ) | (325,359 | ) | (2,461,674 | ) | |||
Stock indices |
| (403,550 | ) | 313,805 |
| (89,745 | ) | |||
Subtotal |
| (5,440,556 | ) | (1,760,191 | ) | (7,200,747 | ) | |||
|
|
|
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| |||
Forwards |
|
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| |||
Currencies |
| (5,225,167 | ) | (2,190,759 | ) | (7,415,926 | ) | |||
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| |||
Options |
|
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| |||
Agriculture |
| (25,197 | ) | — |
| (25,197 | ) | |||
Currencies |
| 1,030,112 |
| (185,404 | ) | 844,708 |
| |||
Energy |
| 1,006,201 |
| 21,872 |
| 1,028,073 |
| |||
Interest rates |
| 4,555,729 |
| (45,727 | ) | 4,510,002 |
| |||
Metals |
| 62,913 |
| (56,144 | ) | 6,769 |
| |||
Stock indices |
| 1,354,178 |
| (16,165 | ) | 1,338,013 |
| |||
Subtotal |
| 7,983,936 |
| (281,568 | ) | 7,702,368 |
| |||
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| |||
Total |
| $ | (2,681,787 | ) | $ | (4,232,518 | ) | $ | (6,914,305 | ) |
2011
|
|
|
| Change in Net |
|
|
| |||
Commodity |
| Realized Profits |
| Unrealized |
| Net Trading |
| |||
Industry Sector |
| (Losses) |
| Profits (Losses) |
| Profits (Losses) |
| |||
|
|
|
|
|
|
|
| |||
Futures |
|
|
|
|
|
|
| |||
Agriculture |
| $ | (5,774,791 | ) | $ | (1,538,257 | ) | $ | (7,313,048 | ) |
Currencies |
| (992,911 | ) | (1,267,577 | ) | (2,260,488 | ) | |||
Energy |
| (4,011,563 | ) | (536,058 | ) | (4,547,621 | ) | |||
Interest rates |
| 20,886,245 |
| 553,178 |
| 21,439,423 |
| |||
Metals |
| 3,345,246 |
| (1,501,750 | ) | 1,843,496 |
| |||
Stock indices |
| (7,339,014 | ) | (446,410 | ) | (7,785,424 | ) | |||
Subtotal |
| 6,113,212 |
| (4,736,874 | ) | 1,376,338 |
| |||
|
|
|
|
|
|
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| |||
Forwards |
|
|
|
|
|
|
| |||
Currencies |
| 564,076 |
| (2,901,353 | ) | (2,337,277 | ) | |||
|
|
|
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| |||
Options |
|
|
|
|
|
|
| |||
Currencies |
| 3,351,068 |
| 8,090 |
| 3,359,158 |
| |||
Energy |
| 586,225 |
| — |
| 586,225 |
| |||
Interest rates |
| 3,962,742 |
| 58,130 |
| 4,020,872 |
| |||
Metals |
| 108,137 |
| — |
| 108,137 |
| |||
Stock indices |
| 1,133,607 |
| 21,863 |
| 1,155,470 |
| |||
Subtotal |
| 9,141,779 |
| 88,083 |
| 9,229,862 |
| |||
|
|
|
|
|
|
|
| |||
Total |
| $ | 15,819,067 |
| $ | (7,550,144 | ) | $ | 8,268,923 |
|
2010
|
|
|
| Change in Net |
|
|
| |||
Commodity |
| Realized Profits |
| Unrealized |
| Net Trading |
| |||
Industry Sector |
| (Losses) |
| Profits (Losses) |
| Profits (Losses) |
| |||
|
|
|
|
|
|
|
| |||
Futures |
|
|
|
|
|
|
| |||
Agriculture |
| $ | 2,727,967 |
| $ | 888,476 |
| $ | 3,616,443 |
|
Currencies |
| 1,488,006 |
| 1,953,679 |
| 3,441,685 |
| |||
Energy |
| (9,107,488 | ) | 804,131 |
| (8,303,357 | ) | |||
Interest rates |
| 18,957,767 |
| 1,481,914 |
| 20,439,681 |
| |||
Metals |
| 5,037,153 |
| 444,331 |
| 5,481,484 |
| |||
Stock indices |
| (2,288,205 | ) | (216,105 | ) | (2,504,310 | ) | |||
Subtotal |
| 16,815,200 |
| 5,356,426 |
| 22,171,626 |
| |||
|
|
|
|
|
|
|
| |||
Forwards |
|
|
|
|
|
|
| |||
Currencies |
| 7,971,614 |
| 4,804,823 |
| 12,776,437 |
| |||
|
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|
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|
| |||
Options |
|
|
|
|
|
|
| |||
Agriculture |
| (18,925 | ) | 18,925 |
| — |
| |||
Currencies |
| (131,018 | ) | 7,377 |
| (123,641 | ) | |||
Energy |
| (8,990 | ) | 8,990 |
| — |
| |||
Metals |
| 49,843 |
| — |
| 49,843 |
| |||
Stock indices |
| 2,779 |
| (1,900 | ) | 879 |
| |||
Subtotal |
| (106,311 | ) | 33,392 |
| (72,919 | ) | |||
|
|
|
|
|
|
|
| |||
Total |
| $ | 24,680,503 |
| $ | 10,194,641 |
| $ | 34,875,144 |
|
4. RELATED PARTY TRANSACTIONS
Some of the Partnership’s U.S. dollar assets are maintained at MLPF&S, which was an affiliate of the General Partner until June 1, 2011. MLPF&S is a wholly owned subsidiary of Bank of America Merrill Lynch, which in turn had maintained a significant ownership interest in BlackRock and was an affiliate of the General Partner until June 1, 2011. For assets held in U.S. dollars, Merrill Lynch credits the Partnership with interest at the prevailing 91-day U.S. Treasury Bill rate. The Partnership is credited with interest on any of its net gains actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch. Merrill Lynch may derive certain economic benefit, in excess of the interest which Merrill Lynch pays to the Partnership, from possession of such assets.
As of May 31, 2011, $4,883,043 was held in trading accounts at MLPF&S. For the period ended May 31, 2011, and the year ended December 31, 2010, the Partnership incurred $23,324 and $355,643, respectively, for brokerage commissions payable to MLPF&S.
Series A, F and G pay sponsor fees to BRIM at an annual rate of 1.25% and Series I pays sponsor fees at a rate of 1.00% of each Series’ month-end net assets. Series A, F and G pay distribution fees at 3.00% of month-end net assets. Series I does not pay distribution fees.
BRIM reimburses the Partnership for fees and expenses paid by the Partnership, not including the Trading Advisors’ Profit Shares (such fees and expenses, exclusive of the Trading Advisors’ Profit Shares, collectively referred to herein as “Capped Expenses”) that would be in excess of 1/12 of 7.25% of the Partnership’s net asset value (the “Expense Cap”) on the last business day of each month (each a “Regularly Scheduled Calculation Date”). Because Series I is not subject to the 3.0% distribution fee, the Expense Cap for Series I is 4.25% annually, rather than the 7.25% annual Expense Cap for all other Series. On each Regularly Scheduled Calculation Date, BRIM will waive the portion of the sponsor fees that would otherwise be payable to BRIM that is necessary to reduce the Capped Expenses until they equal the Expense Cap. If the waiver of the sponsor fees is not sufficient to lower the Partnership’s Capped Expenses to the Expense Cap, BRIM will pay those Capped Expenses necessary so that Capped Expenses do not exceed the Expense Cap. However, if on any Regularly Scheduled Calculation Date Capped Expenses are less than the Expense Cap, the difference is used to reimburse BRIM for any sponsor fees that were waived or any Capped Expenses paid by BRIM on preceding Calculation Dates in the same calendar year. Any such amounts may not be used to reimburse BRIM for any sponsor fees that were waived or any Capped Expenses paid by BRIM in preceding calendar years.
As of December 31, 2012 and 2011, $117,403,824 and $196,117,766, respectively, were invested in an affiliated BlackRock money market fund. The Due from Non-Consolidated LLCs balance of $6,049,277 included in the Consolidated Statements of Financial Condition as of December 31, 2012 represents amounts owed to the Partnership by the Non-Consolidated LLCs for expenses paid on the Non-Consolidated LLCs’ behalf and subscriptions, redemptions and allocations of capital from the Partnership. The Due from Non-Consolidated LLCs and Due to Non-Consolidated LLCs balances of $37,488 and $254,832 as of December 31, 2011, respectively, represents amounts owed to and by the Partnership by the Non-Consolidated LLCs for expenses paid on the Non-Consolidated LLCs’ behalf and subscriptions, redemptions and allocations of capital from the Partnership.
5. ADVISORY AGREEMENTS
The Partnership and the Trading Advisors have each entered into Advisory Agreements. These Advisory Agreements generally renew one year after they are entered into, subject to certain renewal rights exercisable by the Partnership. The Trading Advisors determine the commodity futures, options on futures, forwards and options contracts trades to be made on behalf of their respective Partnership accounts, subject to certain trading policies and to certain rights reserved by BRIM. Each Series pays management fees to the Trading Advisors up to 2.50% of that Series net assets allocated to each individual Trading Advisor.
Profit Shares, generally ranging from 15% to 30% of any New Trading Profit, as defined, recognized by each Trading Advisor considered individually, irrespective of the overall performance of the Partnership, as of either the end of each calendar quarter or year and upon the net reallocation of assets away from a Trading Advisor, are paid by the Partnership to each Trading Advisor. Profit Shares are also paid out in respect of Units redeemed as of the end of interim months, to the extent of the applicable percentage of any New Trading Profit attributable to such Units.
6. WEIGHTED AVERAGE UNITS
The weighted average number of Units outstanding is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding for the years ended December 31, 2012, 2011 and 2010 equals the Units outstanding as of such date, adjusted proportionately for Units subscribed and redeemed based on the respective length of time each was outstanding during the year.
7. PARTNERS’ CAPITAL
At December 31, 2012 and 2011, the Net Asset Values of the different Series of the Units were:
December 31, 2012 |
| Net Asset Value |
| Number of |
| Net Asset |
| ||
|
|
|
|
|
|
|
| ||
Series A |
| $ | 220,539,487 |
| 230,899,814 |
| $ | 0.9551 |
|
Series F |
| 17,551,923 |
| 76,090 |
| $ | 230.67 |
| |
Series G |
| 21,236,500 |
| 21,255,467 |
| $ | 0.9991 |
| |
Series I |
| 2,335,058 |
| 1,973,082 |
| $ | 1.1835 |
| |
Total Partners’ Capital |
| $ | 261,662,968 |
| 254,204,453 |
|
|
|
December 31, 2011 |
| Net Asset Value |
| Number of |
| Net Asset |
| ||
|
|
|
|
|
|
|
| ||
Series A |
| $ | 343,083,496 |
| 327,160,840 |
| $ | 1.0487 |
|
Series F |
| 23,238,718 |
| 91,900 |
| $ | 252.87 |
| |
Series G |
| 26,834,991 |
| 24,502,547 |
| $ | 1.0952 |
| |
Series I |
| 2,652,761 |
| 2,107,616 |
| $ | 1.2586 |
| |
Total Partners’ Capital |
| $ | 395,809,966 |
| 353,862,903 |
|
|
|
BRIM generally holds 1% of the total capital in the Partnership. BRIM and each Limited Partner share in the profits and losses of the Partnership in proportion to their respective interests in the Partnership.
8. FAIR VALUE DISCLOSURES
All investments including derivatives are stated at fair value in the Consolidated Statements of Financial Condition, and changes in fair value are included in Realized and Change in unrealized trading profits and losses in the Consolidated Statements of Operations.
The Partnership records derivatives contracts held in commodities futures trading accounts and cash equivalents at fair value in accordance with ASC 820. ASC 820 defines fair value as the price that the Partnership would receive upon selling an investment or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. ASC 820 emphasizes that valuation techniques maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk to the extent the asset or liability is not traded on an exchange or an active market. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Partnership. Unobservable inputs are inputs that reflect the General Partner’s assumptions about what information market participants would use to price an asset or liability developed based on the best information available under the circumstances.
ASC 820 establishes a hierarchy that classifies these inputs into the three broad levels listed below:
Level 1 — Price quotations (unadjusted) in active markets/exchanges for identical instruments.
Level 2 — Other than quoted prices included within Level 1 that are observable for substantially the full term of the asset or liability, either directly or indirectly. Level 2 includes quoted prices (unadjusted) for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities that are not active; and inputs other than quoted prices that are observable or that can be generally corroborated by observable market data, such as those used in models or other valuation methodologies. As a practical expedient, the Partnership relies on the net asset value (or its equivalent) of certain investments as their fair value.
Level 3 — Primarily inputs and significant assumptions that are unobservable in the market place. Level 3 includes instruments for which there is little, if any, market activity. These inputs require significant judgment or estimation by the General Partner of the Partnership.
There were no Level 3 assets held at December 31, 2012, December 31, 2011 or during the years then ended.
The following table summarizes the valuation of the Partnership’s investments by the above ASC 820 fair value hierarchy levels as of December 31, 2012 and 2011.
|
|
|
| Fair Value at Reporting Date Using |
| |||||
Description |
| December 31, 2012 |
| Quoted Prices in |
| Significant Other |
| |||
Cash Equivalents |
| $ | 117,403,824 |
| $ | 117,403,824 |
| $ | — |
|
Investments in Non-Consolidated LLCs |
| 99,262,759 |
| — |
| 99,262,759 |
| |||
Futures (1) |
| 416,804 |
| 416,804 |
| — |
| |||
Forwards (1) |
| (2,072,428 | ) | — |
| (2,072,428 | ) | |||
Options (1) |
| (29,494 | ) | 132,601 |
| (162,095 | ) | |||
|
| $ | 214,981,465 |
| $ | 117,953,229 |
| $ | 97,028,236 |
|
|
|
|
|
|
|
|
| |||
Description |
| December 31, 2011 |
|
|
|
|
| |||
Cash Equivalents |
| $ | 196,117,766 |
| $ | 196,117,766 |
| $ | — |
|
Investments in Non-Consolidated LLCs |
| 157,474,126 |
| — |
| 157,474,126 |
| |||
Futures (1) |
| 2,420,125 |
| 2,420,125 |
| — |
| |||
Forwards (1) |
| 118,330 |
| — |
| 118,330 |
| |||
Options (1) |
| (275,414 | ) | (267,264 | ) | (8,150 | ) | |||
|
| $ | 355,854,933 |
| $ | 198,270,627 |
| $ | 157,584,306 |
|
(1) See Condensed Consolidated Schedules of Investments in Note 3 for the values in each commodity industry sector within this table
ASC 820 permits as a practical expedient, the Partnership to measure the fair value of its investments in the Non-Consolidated LLCs on the basis of the net asset value per unit of such investment or the equivalent if the net asset value per share of such investments (or the monetary equivalent) is calculated in a manner consistent with the measurement principles of the Audit and Accounting Guide as of the Partnership’s reporting date. The fair value of the investments in Non-Consolidated LLCs is based on the Partnership’s proportionate share of the fair value of the financial instruments held by the Non-Consolidated LLC, plus any other assets and less any other liabilities held by the Non-Consolidated LLCs which approximates the net asset value per unit. In accordance with ASC 820, investments in Non-Consolidated LLCs have been considered Level 2 in the fair value hierarchy as the Partnership has the ability to increase or decrease its ownership in the Non-Consolidated LLC at the above basis on the measurement date.
There were no transfers between Level 1 and Level 2 during the year.
9. OFF-BALANCE SHEET RISK
The nature of this Partnership has certain risks, which cannot all be presented on the consolidated financial statements. The following summarizes some of those risks.
Market Risk
Derivative contracts involve varying degrees of off-balance sheet market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial contracts or commodities underlying such open derivative contracts frequently result in changes in the Partnership’s net unrealized profit (loss) / market value on such derivative contracts as reflected in the Consolidated Statements of Financial Condition. The Partnership’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative contracts held by the Partnership as well as the volatility and liquidity of the markets in which the derivative contracts are traded. Investments in foreign markets may also entail legal and political risks.
For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short.
BRIM has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Trading Advisors, calculating the net asset value of the Partnership as of the close of business on each day and reviewing outstanding positions, or reallocating Partnership assets among Trading Advisors (although typically only as of the end of a month) for over-concentrations. BRIM’s basic risk control procedures consist simply of the ongoing process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisors themselves.
Credit Risk
The risks associated with exchange-traded contracts are typically perceived to be less than those associated with OTC (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In OTC transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the OTC markets.
The Partnership, in its normal course of business, enters into various contracts, with Clearing Brokers acting as its commodity brokers. Pursuant to the brokerage agreements with Clearing Brokers (which includes netting arrangements with each broker), to the extent that such trading results in receivables from and payables to Clearing Brokers, these receivables and payables are offset and reported as a net receivable or payable and included in the Consolidated Statements of Financial Condition under Equity in commodity futures trading accounts.
Concentration Risk
The amount of required margin and good faith deposits with the brokers usually ranges from 1% to 10% of net asset value of the Partnership. The cash and cash equivalents held to satisfy such requirements at December 31, 2012 and 2011 was $17,940,020 and $17,272,542 respectively, which equals 6.86% and 4.36% of net asset value of the Partnership, respectively.
The Partnership has a substantial portion of its assets on deposit with financial institutions. In the event of a financial institution’s insolvency, recovery of Partnership assets on deposit may be limited to account insurance or other protection afforded such deposits.
10. Selective Quarterly Financial Data (unaudited)
|
| Net Income / |
| Weighted average number of General Partner and Limited Partner Units |
| Net Income / (Loss) per weighted average |
| |||||||||||||||||
Quarter Ended |
| (Loss) |
| Series A |
| Series F |
| Series G |
| Series I |
| Series A |
| Series F |
| Series G |
| Series I |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
December 31, 2012 |
| $ | (10,922,919 | ) | 252,136,637 |
| 78,737 |
| 21,896,186 |
| 2,000,105 |
| $ | (0.0370 | ) | $ | (8.80 | ) | $ | (0.0381 | ) | $ | (0.0352 | ) |
September 30, 2012 |
| (3,396,176 | ) | 278,403,557 |
| 81,258 |
| 22,621,697 |
| 1,926,284 |
| (0.0104 | ) | (2.79 | ) | (0.0121 | ) | (0.0073 | ) | |||||
June 30, 2012 |
| (229,443 | ) | 303,708,654 |
| 86,373 |
| 23,497,617 |
| 1,996,632 |
| (0.0009 | ) | 0.13 |
| 0.0000 |
| 0.0103 |
| |||||
March 31, 2012 |
| (16,282,682 | ) | 327,717,234 |
| 90,659 |
| 24,305,942 |
| 2,152,850 |
| (0.0432 | ) | (10.34 | ) | (0.0448 | ) | (0.0427 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
December 31, 2011 |
| $ | (14,000,632 | ) | 324,770,222 |
| 92,337 |
| 25,041,655 |
| 2,686,980 |
| $ | (0.0369 | ) | $ | (9.52 | ) | $ | (0.0415 | ) | $ | (0.0370 | ) |
September 30, 2011 |
| 16,692,303 |
| 312,831,615 |
| 93,433 |
| 25,494,239 |
| 2,730,581 |
| 0.0454 |
| 11.41 |
| 0.0496 |
| 0.0624 |
| |||||
June 30, 2011 |
| (13,551,965 | ) | 307,193,411 |
| 94,738 |
| 26,297,047 |
| 2,654,107 |
| (0.0378 | ) | (8.90 | ) | (0.0385 | ) | (0.0362 | ) | |||||
March 31, 2011 |
| (6,332,096 | ) | 297,988,615 |
| 96,347 |
| 26,951,719 |
| 2,574,311 |
| (0.0181 | ) | (4.31 | ) | (0.0187 | ) | (0.0123 | ) | |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
December 31, 2010 |
| $ | 5,957,314 |
| 284,670,875 |
| 98,273 |
| 27,725,166 |
| 2,583,580 |
| $ | 0.0174 |
| $ | 4.30 |
| $ | 0.0187 |
| $ | 0.0266 |
|
September 30, 2010 |
| 9,708,384 |
| 273,646,831 |
| 100,000 |
| 28,313,021 |
| 2,412,345 |
| 0.0295 |
| 6.89 |
| 0.0298 |
| 0.0411 |
| |||||
June 30, 2010 |
| (5,339,241 | ) | 248,806,927 |
| 101,826 |
| 28,907,866 |
| 2,263,044 |
| (0.0174 | ) | (4.31 | ) | (0.0187 | ) | (0.0114 | ) | |||||
March 31, 2010 |
| (1,996,015 | ) | 219,302,384 |
| 105,082 |
| 30,194,766 |
| 1,278,174 |
| (0.0069 | ) | (2.10 | ) | (0.0089 | ) | 0.0102 |
|
11. RECENT ACCOUNTING PRONOUNCEMENTS
In December 2011, FASB issued ASU 2011-11, Balance Sheet (Topic 210), Disclosures about Offsetting Assets and Liabilities (“ASU 2011-11”), which requires entities to disclose information about financial instructions and derivative instruments that have been offset or that subject to enforceable master netting agreements, to enable users of its financial statements to understand the effect of those arrangements on its financial statements to understand the effect of those arrangements on its financial position. Entities will be required to provide both net (offset amounts) and gross information in the notes to the financial statements for relevant assets and liabilities that are offset or subject to the arrangements. The amendments in ASU 2011-11 are effective for interim and annual periods beginning on or after January 1, 2013, and an entity should provide the disclosures required by the amendments retrospectively for all comparable periods presented. The Partnership is in the process of evaluating the disclosure requirements and any impact the new disclosures will have on its financial statements.
In January 2013, FASB issued ASU 2013-01, Balance Sheet (Topic 210), clarifying the scope of the disclosure about Offsetting Assets and Liabilities (“ASU 2013-01”). This update clarifies that the scope of ASU 2011-11 applied to derivatives accounted for in accordance with Topic 815. This update is in effect for interim and annual periods beginning on or after January 1, 2013, and an entity should provide the disclosures required by the amendments retrospectively for all the comparable periods presented. The Partnership is in the process of evaluating the disclosure requirements and any impact the new disclosures will have on its financial statements.
12. SUBSEQUENT EVENTS
The General Partner has evaluated the impact of all subsequent events of the Partnership through the date these consolidated financial statements were available to be issued, and has determined that there were no subsequent events requiring adjustment or additional disclosure in the consolidated financial statements, other than described below.
The General Partner terminated the advisory agreement with the Trading Advisor for Nets Global Horizons, LLC on February 22, 2013 and expects to pay all proceeds to its members before the end of the first quarter of 2013.
* * * * * * * * * * * * *
To the best of the knowledge and belief of the
undersigned, the information contained in this
report is accurate and complete.
Michael Pungello
Chief Financial Officer
of BlackRock Global Horizons I L.P.
and
Managing Director of
BlackRock Investment Management, LLC
General Partner of
BlackRock Global Horizons I L.P.