Exhibit 13.01
|
| BLACKROCK GLOBAL HORIZONS I L.P. |
|
| (A Delaware Limited Partnership) |
|
|
|
|
|
|
|
| Financial Statements for the years ended |
|
| December 31, 2008, 2007 and 2006 |
|
| and Report of Independent Registered |
|
| Public Accounting Firm |
General Commodity Futures Trading Risk Disclosure Statement
Prospective investors reviewing the accompanying 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 maybe effected.
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
TABLE OF CONTENTS
| Page |
|
|
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 1 |
|
|
FINANCIAL STATEMENTS: |
|
|
|
Statements of Financial Condition as of December 31, 2008 and 2007 | 2 |
|
|
Statements of Operations for the years ended December 31, 2008, 2007 and 2006 | 3 |
|
|
Statements of Changes in Partners’ Capital for the years ended December 31, 2008, 2007 and 2006 | 4 |
|
|
Financial Data Highlights for the years ended December 31, 2008, 2007 and 2006 | 5-7 |
|
|
Notes to Financial Statements | 8-17 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Partners of
BlackRock Global Horizons I L.P.:
We have audited the accompanying statements of financial condition of BlackRock Global Horizons I L.P. (the “Partnership”) as of December��31, 2008 and 2007, and the related statements of operations, changes in partners’ capital, and financial data highlights for each of the three years in the period ended December 31, 2008. These financial statements and financial data highlights are the responsibility of the Partnership’s management. Our responsibility is to express an opinion on these financial statements and 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 financial statements and 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, the financial statements and 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, 2008 and 2007, the results of its operations, the changes in its partners’ capital, and financial data highlights for each of the three years in the period ended December 31, 2008, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
Princeton, New Jersey
March 27, 2009
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2008 AND 2007
|
| 2008 |
| 2007 |
| ||
ASSETS: |
|
|
|
|
| ||
|
|
|
|
|
| ||
Cash |
| $ | 169,133,129 |
| $ | 272,342 |
|
Equity in commodity futures trading accounts: |
|
|
|
|
| ||
Cash (restricted cash $10,090,467 and $13,675,285) |
| 67,504,316 |
| 182,801,160 |
| ||
Net unrealized profit on open contracts |
| 3,178,192 |
| 2,609,639 |
| ||
Accrued interest and other assets |
| 7,029 |
| 485,964 |
| ||
|
|
|
|
|
| ||
TOTAL ASSETS |
| $ | 239,822,666 |
| $ | 186,169,105 |
|
|
|
|
|
|
| ||
LIABILITIES AND PARTNERS’ CAPITAL |
|
|
|
|
| ||
|
|
|
|
|
| ||
LIABILITIES: |
|
|
|
|
| ||
|
|
|
|
|
| ||
Redemptions payable |
| $ | 4,637,184 |
| $ | 18,229,253 |
|
Profit Shares payable |
| 5,542,345 |
| 1,877,704 |
| ||
Distribution fees payable |
| 572,137 |
| 951,798 |
| ||
Trading Advisors’ management fees payable |
| 261,954 |
| 452,594 |
| ||
Brokerage commissions and clearing costs payable |
| 13,048 |
| 304,435 |
| ||
Sponsor fees payable |
| 240,269 |
| 280,101 |
| ||
Administrator fees payable |
| 104,106 |
| 181,732 |
| ||
Professional fees payable |
| 334,454 |
| 96,539 |
| ||
Other fees payable |
| 31,243 |
| 67,079 |
| ||
|
|
|
|
|
| ||
Total liabilities |
| 11,736,740 |
| 22,441,235 |
| ||
|
|
|
|
|
| ||
PARTNERS’ CAPITAL: |
|
|
|
|
| ||
|
|
|
|
|
| ||
General Partner (2,203,255 Units and 2,203,255 Units) |
| 3,098,146 |
| 2,589,473 |
| ||
Limited Partners (162,267,856 Units and 130,216,471 Units) |
| 224,987,780 |
| 161,138,397 |
| ||
|
|
|
|
|
| ||
Total partners’ capital |
| 228,085,926 |
| 163,727,870 |
| ||
|
|
|
|
|
| ||
TOTAL LIABILITIES AND PARTNERS’ CAPITAL |
| $ | 239,822,666 |
| $ | 186,169,105 |
|
|
|
|
|
|
| ||
NET ASSET VALUE PER UNIT (Note 8) |
|
|
|
|
|
See notes to financial statements. |
2
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006
|
| 2008 |
| 2007 |
| 2006 |
| |||
TRADING PROFITS (LOSSES): |
|
|
|
|
|
|
| |||
Realized |
| $ | 55,994,522 |
| $ | 16,070,669 |
| $ | 16,620,657 |
|
Change in unrealized |
| 568,553 |
| (4,406,932 | ) | 2,030,261 |
| |||
Brokerage commissions and clearing costs |
| (1,508,796 | ) | (621,832 | ) | — |
| |||
|
|
|
|
|
|
|
| |||
Total trading profits |
| 55,054,279 |
| 11,041,905 |
| 18,650,918 |
| |||
|
|
|
|
|
|
|
| |||
INVESTMENT INCOME: |
|
|
|
|
|
|
| |||
Interest |
| 3,051,305 |
| 9,194,631 |
| 12,178,428 |
| |||
|
|
|
|
|
|
|
| |||
EXPENSES: |
|
|
|
|
|
|
| |||
Brokerage commissions |
| — |
| 9,623,405 |
| 17,712,085 |
| |||
Profit Shares |
| 9,844,931 |
| 2,761,529 |
| 2,783,961 |
| |||
Distribution fees |
| 5,554,788 |
| 1,766,803 |
| — |
| |||
Trading Advisors’ management fees |
| 2,520,534 |
| 897,433 |
| — |
| |||
Sponsor fees |
| 2,278,530 |
| 739,849 |
| — |
| |||
Administrative fees |
| — |
| 344,493 |
| 615,580 |
| |||
Administrator fees |
| 681,190 |
| 279,460 |
| — |
| |||
Professional fees |
| 558,322 |
| 108,332 |
| — |
| |||
Other |
| 271,936 |
| 86,153 |
| — |
| |||
Total expenses before waiver |
| 21,710,231 |
| 16,607,457 |
| 21,111,626 |
| |||
Sponsor fee waiver |
| — |
| (98,165 | ) | — |
| |||
Total expenses |
| 21,710,231 |
| 16,509,292 |
| 21,111,626 |
| |||
NET INVESTMENT LOSS |
| (18,658,926 | ) | (7,314,661 | ) | (8,933,198 | ) | |||
NET INCOME |
| $ | 36,395,353 |
| $ | 3,727,244 |
| $ | 9,717,720 |
|
NET INCOME PER UNIT: |
|
|
|
|
|
|
| |||
Weighted average number of General Partner and Limited Partner Units outstanding |
|
|
|
|
|
|
| |||
Series A |
| 104,183,816 |
| 121,732,320 |
| 156,950,282 |
| |||
Series F |
| 129,265 |
| 143,617 |
| 166,816 |
| |||
Series G |
| 37,267,948 |
| 42,136,152 |
| n/a |
| |||
Series I |
| 671,149 |
| 4,151,130 |
| 8,339,614 |
| |||
Net income per weighted average General Partner and Limited Partner Unit* |
|
|
|
|
|
|
| |||
Series A |
| $ | 0.2195 |
| $ | 0.0173 |
| $ | 0.0380 |
|
Series F |
| $ | 45.68 |
| $ | 4.82 |
| $ | 9.38 |
|
Series G |
| $ | 0.1996 |
| $ | 0.0205 |
| n/a |
| |
Series I |
| $ | 0.2731 |
| $ | 0.0453 |
| $ | 0.0547 |
|
*Calculation of net income per weighted average General Partner and Limited Partner Unit excludes amounts allocated to non—unitized interests for the years ended December 31, 2007 and 2006.
See notes to financial statements. |
3
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006
|
|
|
| General |
| Limited Partners |
|
|
| ||||||
|
| Units |
| Partner |
| Unitized |
| Non-unitized |
| Total |
| ||||
PARTNERS’ CAPITAL, DECEMBER 31, 2005 |
| 177,514,593 |
| $ | 2,297,491 |
| $ | 201,750,316 |
| $ | 64,538,060 |
| $ | 268,585,867 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Additions |
| 20,464,172 |
| — |
| 19,607,506 |
| 713,222 |
| 20,320,728 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net income |
| — |
| 87,114 |
| 7,901,995 |
| 1,728,611 |
| 9,717,720 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Conversion (Note 8) |
| (24,826 | ) | — |
| — |
| — |
| — |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Redemptions |
| (53,113,724 | ) | (342,615 | ) | (56,725,088 | ) | (14,207,267 | ) | (71,274,970 | ) | ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
PARTNERS’ CAPITAL, DECEMBER 31, 2006 |
| 144,840,215 |
| 2,041,990 |
| 172,534,729 |
| 52,772,626 |
| 227,349,345 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Combination (Note 4) |
| 44,500,323 |
| 488,774 |
| 44,011,549 |
| (44,500,323 | ) | — |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Additions |
| 5,889,674 |
| — |
| 5,658,737 |
| — |
| 5,658,737 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net income |
| — |
| 58,709 |
| 3,792,645 |
| (124,110 | ) | 3,727,244 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Redemptions |
| (62,810,486 | ) | — |
| (64,859,263 | ) | (8,148,193 | ) | (73,007,456 | ) | ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
PARTNERS’ CAPITAL, DECEMBER 31, 2007 |
| 132,419,726 |
| 2,589,473 |
| 161,138,397 |
| — |
| 163,727,870 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Additions |
| 58,312,103 |
| — |
| 61,302,743 |
| — |
| 61,302,743 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net income |
| — |
| 508,673 |
| 35,886,680 |
| — |
| 36,395,353 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Redemptions |
| (26,260,718 | ) | — |
| (33,340,040 | ) | — |
| (33,340,040 | ) | ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
PARTNERS’ CAPITAL, DECEMBER 31, 2008 |
| 164,471,111 |
| $ | 3,098,146 |
| $ | 224,987,780 |
| $ | — |
| $ | 228,085,926 |
|
See notes to financial statements.
4
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2008
The following per Unit data and ratios have been derived from information provided in the financial statements. An individual Partner’s results may vary from these ratios due to timing of income and expenses and capital transactions.
Per Unit Operating Performance: |
| Series A |
| Series F |
| Series G |
| Series I |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Net asset value, beginning of year |
| $ | 0.9835 |
| $ | 236.19 |
| $ | 1.0224 |
| $ | 1.0520 |
|
|
|
|
|
|
|
|
|
|
| ||||
Realized trading profits |
| 0.3054 |
| 73.49 |
| 0.3189 |
| 0.3341 |
| ||||
Change in unrealized trading profits |
| (0.0015 | ) | (0.31 | ) | (0.0014 | ) | (0.0016 | ) | ||||
Interest |
| 0.0180 |
| 4.32 |
| 0.0189 |
| 0.0196 |
| ||||
Expenses |
| (0.1312 | ) | (31.20 | ) | (0.1354 | ) | (0.1069 | ) | ||||
|
|
|
|
|
|
|
|
|
| ||||
Net asset value, end of year |
| $ | 1.1742 |
| $ | 282.49 |
| $ | 1.2234 |
| $ | 1.2972 |
|
|
|
|
|
|
|
|
|
|
| ||||
Total Return: |
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Total return (before Profit Shares) |
| 25.46 | % | 25.50 | % | 25.58 | % | 29.92 | % | ||||
Profit Shares |
| -5.41 | % | -5.26 | % | -5.28 | % | -5.74 | % | ||||
Total return |
| 19.39 | % | 19.60 | % | 19.66 | % | 23.30 | % | ||||
|
|
|
|
|
|
|
|
|
| ||||
Ratios to Average Net Assets:(1) |
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Expenses (before Profit Shares) |
| 7.23 | % | 7.25 | % | 7.25 | % | 3.90 | % | ||||
Profit Shares |
| 5.49 | % | 5.03 | % | 5.07 | % | 6.29 | % | ||||
Expenses |
| 12.72 | % | 12.28 | % | 12.32 | % | 10.19 | % | ||||
|
|
|
|
|
|
|
|
|
| ||||
Net investment loss |
| -11.13 | % | -10.56 | % | -10.60 | % | -8.40 | % |
(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 Statement of Operations
See notes to financial statements.
5
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2007
The following per Unit data and ratios have been derived from information provided in the financial statements. An individual Partner’s results may vary from these ratios due to timing of income and expenses and capital transactions.
Per Unit Operating Performance: |
| Series A |
| Series F |
| Series G |
| Series I |
| Non-unitized |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net asset value, beginning of year |
| $ | 0.9625 |
| $ | 230.98 |
| $ | 1.0000 |
| $ | 1.0010 |
| n/a |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Realized trading profits |
| 0.0818 |
| 19.70 |
| 0.0861 |
| 0.0881 |
| n/a |
| ||||
Change in unrealized trading profits |
| (0.0211 | ) | (5.10 | ) | (0.0221 | ) | (0.0223 | ) | n/a |
| ||||
Interest |
| 0.0437 |
| 10.50 |
| 0.0448 |
| 0.0462 |
| n/a |
| ||||
Expenses |
| (0.0834 | ) | (19.89 | ) | (0.0864 | ) | (0.0610 | ) | n/a |
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net asset value, end of year |
| $ | 0.9835 |
| $ | 236.19 |
| $ | 1.0224 |
| $ | 1.0520 |
| n/a |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Total Return: |
|
|
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Total return (before Profit Shares) |
| 3.63 | % | 3.67 | % | 3.69 | % | 6.94 | % | 2.26 | % | ||||
Profit Shares |
| -1.50 | % | -1.45 | % | -1.49 | % | -1.83 | % | -1.72 | % | ||||
Total return |
| 2.18 | % | 2.26 | % | 2.24 | % | 5.09 | % | 0.59 | % | ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Ratios to Average Net Assets:(1) |
|
|
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Expenses (before Profit Shares) |
| 7.36 | % | 7.24 | % | 7.24 | % | 4.49 | % | 8.62 | % | ||||
Profit Shares |
| 1.39 | % | 1.39 | % | 1.43 | % | 1.54 | % | 1.33 | % | ||||
Expenses |
| 8.75 | % | 8.63 | % | 8.67 | % | 6.03 | % | 9.95 | % | ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Net investment loss |
| -4.03 | % | -4.04 | % | -4.14 | % | -1.04 | % | -5.27 | % |
(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 Statement of Operations.
See notes to financial statements.
6
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2006
The following per Unit data and ratios have been derived from information provided in the financial statements. An individual Partner’s results may vary from these ratios due to timing of income and expenses and capital transactions.
Per Unit Operating Performance: |
| Series A |
| Series F |
| Series I |
| Non-unitized |
| |||
|
|
|
|
|
|
|
|
|
| |||
Net asset value, beginning of year |
| $ | 0.9264 |
| $ | 221.81 |
| $ | 0.9385 |
| n/a |
|
|
|
|
|
|
|
|
|
|
| |||
Realized trading profits |
| 0.0609 |
| 13.48 |
| 0.0643 |
| n/a |
| |||
Change in unrealized |
| 0.0079 |
| 3.00 |
| 0.0057 |
| n/a |
| |||
Interest income |
| 0.0457 |
| 10.97 |
| 0.0470 |
| n/a |
| |||
Expenses |
| (0.0784 | ) | (18.28 | ) | (0.0545 | ) | n/a |
| |||
|
|
|
|
|
|
|
|
|
| |||
Net asset value, end of year |
| $ | 0.9625 |
| $ | 230.98 |
| $ | 1.0010 |
| n/a |
|
|
|
|
|
|
|
|
|
|
| |||
Total Return: |
|
|
|
|
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
| |||
Total return before Profit Shares |
| 5.09 | % | 5.09 | % | 8.17 | % | 3.59 | % | |||
Profit Shares |
| -1.19 | % | -0.94 | % | -1.45 | % | -0.94 | % | |||
Total return |
| 3.89 | % | 4.13 | % | 6.67 | % | 2.65 | % | |||
|
|
|
|
|
|
|
|
|
| |||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
| |||
Expenses (before Profit Shares) |
| 7.19 | % | 7.10 | % | 4.33 | % | 8.14 | % | |||
Profit Shares |
| 1.21 | % | 0.95 | % | 1.27 | % | 0.93 | % | |||
Expenses |
| 8.40 | % | 8.05 | % | 5.60 | % | 9.07 | % | |||
|
|
|
|
|
|
|
|
|
| |||
Net investment loss |
| -3.53 | % | -3.23 | % | -0.59 | % | -4.25 | % |
See notes to financial statements.
7
BLACKROCK GLOBAL HORIZONS I L.P.
(A Delaware Limited Partnership)
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
BlackRock Global Horizons I L.P. (the “Partnership”) was organized as an open-end fund 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.
As of September 29, 2006, the Partnership’s general partner became BlackRock Investment Management, LLC (“BlackRock” or the “General Partner”). The former general partner was Merrill Lynch Alternative Investments (“MLAI”). Until September 29, 2006, MLAI was a wholly-owned subsidiary of Merrill Lynch Investment Managers LP (“MLIM”), which in turn was an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). On September 29, 2006, Merrill Lynch and BlackRock, Inc. merged the asset management businesses of MLIM and BlackRock, Inc. to create a new independent asset management company. This resulted in BlackRock becoming the general partner of the Partnership. At the same time, the Partnership’s name was changed from Global Horizons I L.P. to BlackRock Global Horizons I L.P. No changes were made to the Partnership’s investment objective or to the Partnership’s structure as a result of these changes.
Effective after the close of business on December 29, 2006, two of the three “non-unitized” series of the Partnership (BlackRock Futures Investments L.P. and BlackRock Principal Protection L.P.), were merged into the Partnership in a tax-free reorganization. All of the investors in BlackRock Futures Investments L.P. and BlackRock Principal Protection L.P. received new Series G Units of the Partnership with an initial Net Asset Value per Unit of $1.00 equal to their December 31, 2006 Net Asset Value. Issuance of the new Units had no adverse economic effect on investors in the Partnership or either of the merged funds.
As of December 31, 2007, BlackRock liquidated Principal Protection Plus Ltd., the sole investor in the non-unitized series of the Partnership. As such, Principal Protection Plus Ltd. redeemed its investment in the Partnership as of December 31, 2007.
Effective September 1, 2007, the Partnership revised its expense structure related to the Series Units and the Partnership began paying its own operating expenses and no longer pays BlackRock an administrative fee of 0.25% annually. 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. Each Series pays a Profit Share to the Trading Advisors based upon each Series new trading profits, as defined. Other operating expenses incurred are allocated to each Series based upon its net assets.
8
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Revenue Recognition
Commodity futures, forwards and options contracts transactions are recorded on trade date and open contracts are reflected in Net unrealized profit on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value. The change in unrealized profit on open contracts from one period to the next is reflected in Change in unrealized in the 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 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 Statements of Operations.
Cash at Brokers
Beginning October 1, 2007, the Partnership added NewEdge Financial LLC (“NewEdge”) as a clearing broker. NewEdge provides its institutional clients with direct access to all major futures and options markets.
A portion of the assets maintained at Merrill Lynch, Pierce, Fenner & Smith (“MLPF&S”) and NewEdge are restricted to meet maintenance margin requirements. Typically, margin requirements range from 1% to 10% of the face value of the derivatives traded.
Income Taxes
No provision for income taxes has been made in these 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 Financial Accounting Standards Board (“FASB”) Interpretation No. 48 entitled Accounting for Uncertainty in Income Taxes (“FIN 48”). FIN 48 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.
There are no unrecognized tax benefits in the accompanying financial statements. The Partnership’s federal tax return is subject to examination by the Internal Revenue Service for the years ended 2008, 2007 and 2006.
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, 2008, 2007 or 2006.
9
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 must be submitted at least ten calendar days before the end of the preceding month. 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 BlackRock.
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 ten calendar days’ notice (“notice period”). 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 BlackRock. The amount of the fees paid for the years ended December 31, 2008, 2007 and 2006 are $19,900, $27,710 and $148,579, respectively.
Redemption requests are accepted within the notice period. The Partnership does not accept any redemption requests after the notice period. All redemption requests received after the notice period will be processed the following month.
Dissolution of the Partnership
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.
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.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America 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 financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
10
3. CONDENSED SCHEDULES OF INVESTMENTS
The Partnership’s investments, defined as Net unrealized profit on open contracts on the Statements of Financial Condition, as of December 31, 2008, and 2007, are as follows:
2008
|
|
|
| Long Positions |
|
|
|
|
| Short Positions |
|
|
| Net Unrealized |
|
|
|
|
| |||
Commodity |
| Number |
| Unrealized |
| Percent of |
| Number |
| Unrealized |
| Percent of |
| Profit (Loss) |
| Percent of |
|
|
| |||
Industry Sector |
| of Contracts |
| Profit (Loss) |
| Net Assets |
| of Contracts |
| Profit (Loss) |
| Net Assets |
| on Open Positons |
| Net Assets |
| Maturity Dates |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Agriculture |
| 219 |
| $ | 437,125 |
| 0.19 | % | (717 | ) | $ | (666,125 | ) | -0.29 | % | $ | (229,000 | ) | -0.10 | % | January 09 - December 09 |
|
Currencies |
| 191,254 |
| 792,161 |
| 0.35 | % | (66,850 | ) | (742,116 | ) | -0.33 | % | 50,045 |
| 0.02 | % | January 09 - December 09 |
| |||
Energy |
| 122 |
| (33,326 | ) | -0.01 | % | (251 | ) | 172,238 |
| 0.08 | % | 138,912 |
| 0.07 | % | January 09 - December 09 |
| |||
Interest rates |
| 1,979 |
| 2,514,795 |
| 1.10 | % | (131 | ) | 147,235 |
| 0.06 | % | 2,662,030 |
| 1.16 | % | March 09 - December 10 |
| |||
Metals |
| 431 |
| (1,055,524 | ) | -0.46 | % | (510 | ) | 1,653,688 |
| 0.73 | % | 598,164 |
| 0.27 | % | January 09 - October 09 |
| |||
Stock indices |
| 371 |
| 120,219 |
| 0.05 | % | (132 | ) | (162,178 | ) | -0.07 | % | (41,959 | ) | -0.02 | % | January 09 - March 09 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total |
|
|
| $ | 2,775,450 |
| 1.22 | % |
|
| $ | 402,742 |
| 0.18 | % | $ | 3,178,192 |
| 1.40 | % |
|
|
2007
|
|
|
| Long Positions |
|
|
|
|
| Short Positions |
|
|
| Net Unrealized |
|
|
|
|
| ||||
Commodity |
| Number |
| Unrealized |
| Percent of |
| Number |
| Unrealized |
| Percent of |
| Profit |
| Percent of |
|
|
| ||||
Industry Sector |
| of Contracts |
| Profit (Loss) |
| Net Assets |
| of Contracts |
| Profit (Loss) |
| Net Assets |
| on Open Positons |
| Net Assets |
| Maturity Dates |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Agriculture |
| 1,110 |
| $ | 771,016 |
| 0.47 | % | (290 | ) | $ | (86,650 | ) | -0.05 | % | $ | 684,366 |
| 0.42 | % | January 08 - December 08 |
| |
Currencies |
| 603,545 |
| 248,790 |
| 0.15 | % | (1,597,150 | ) | (109,974 | ) | -0.07 | % | 138,816 |
| 0.08 | % | January 08 - March 08 |
| ||||
Energy |
| 361 |
| 782,026 |
| 0.48 | % | (70 | ) | (175,400 | ) | -0.11 | % | 606,626 |
| 0.37 | % | January 08 - June 08 |
| ||||
Interest rates |
| 3,586 |
| 923,143 |
| 0.56 | % | (1,677 | ) | (395,147 | ) | -0.24 | % | 527,996 |
| 0.32 | % | March 08 - September 09 |
| ||||
Metals |
| 611 |
| (1,824,911 | ) | -1.11 | % | (536 | ) | 2,346,714 |
| 1.43 | % | 521,803 |
| 0.32 | % | January 08 - April 08 |
| ||||
Stock indices |
| 456 |
| 118,219 |
| 0.07 | % | (373 | ) | 11,813 |
| 0.01 | % | 130,032 |
| 0.08 | % | January 08 - March 08 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Total |
|
|
| $ | 1,018,283 |
| 0.62 | % |
|
| $ | 1,591,356 |
| 0.97 | % | $ | 2,609,639 |
| 1.59 | % |
|
| |
No individual contract’s unrealized profit or loss comprised greater than 5% of the Partnership’s capital as of December 31, 2008 or 2007.
11
4. COMBINATION OF THE FEEDER FUNDS
Effective after the close of business on December 31, 2006, the Feeder Funds were merged into the Partnership in a tax-free reorganization. All of the investors in the Feeder Funds received new Series G Units of the Partnership with an initial Net Asset Value per Unit of $1.00 equal to their December 31, 2006 Net Asset Value. Issuance of the new Units had no adverse economic effect on investors in any of the Feeder Funds. BlackRock contributed $2,788 to the Partnership, the amount necessary due to the effects of rounding to insure all investors received Units equal to the value of their original holdings (rounded up to the next whole dollar). The net assets of the Partnership as of December 31, 2006 were not affected by this transaction.
The following summarizes the affect of the transaction on the Partnership’s reported Partners’ Capital.
|
| Non-unitized |
|
|
| ||
|
| Series |
| Series G |
| ||
|
|
|
|
|
| ||
December 31, 2006 as reported |
| $ | 52,772,626 |
| $ | — |
|
|
|
|
|
|
| ||
Conversion to new Series |
| (44,500,323 | ) | 44,503,111 |
| ||
|
|
|
|
|
| ||
Balance as of January 1, 2007 |
| $ | 8,272,303 |
| $ | 44,503,111 |
|
5. RELATED PARTY TRANSACTIONS
Some of the Partnership’s U.S. dollar assets are maintained at MLPF&S. MLPF&S is a wholly owned subsidiary of Merrill Lynch, which in turn maintains a significant ownership interest in BlackRock, Inc., the parent company of the General Partner. On 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. Additionally some of the Partnership’s U.S. dollar assets are maintained at PFPC, Inc. (“PFPC”), an affiliate of the General Partner. PFPC is the Partnership’s Transfer Agent. The transfer agency fees paid to PFPC are included in Administrator fees on the Statement of Operations.
Merrill Lynch charges the Partnership Merrill Lynch’s cost of financing realized and unrealized losses on the Partnership’s non-U.S. dollar denominated positions. Such amounts are netted against interest income due to the insignificance of such amounts.
Series A, F and G pay sponsor fees to BlackRock 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.
Effective September 1, 2007, MLPF&S and NewEdge are paid actual commodity brokerage commissions and clearing costs at market rates on a per trade basis, and as such, are recorded as a reduction of trading profit. Prior to September 1, 2007, Series A, F and G Units paid brokerage commissions to MLPF&S at a flat monthly rate of .583 of 1% (a 7.00% annual rate) of the Series’ month-end trading assets and such amounts were not transaction-based and were included in expenses. Series I paid brokerage commissions to MLPF&S at a flat monthly rate of .333 of 1% (a 4.00% annual rate) of the Series’ month-end trading assets. Month-end trading assets were not reduced, for purposes of calculating brokerage commissions and administrative fees, by any accrued brokerage commissions, administrative fees, Profit Shares or other fees or charges.
12
BlackRock estimates that the round-turn equivalent commission rate charged to the Partnership by MLPF&S during the years ended December 31, 2008, 2007 and 2006 was approximately $8, $41 and $47, respectively (not including, in calculating round-turn equivalents, forward contracts on a futures-equivalent basis).
In addition, effective September 1, 2007, BlackRock will reimburse 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 Fund’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, BlackRock will waive the portion of the sponsor fees that would otherwise be payable to BlackRock 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, BlackRock 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 will be used to reimburse BlackRock for any sponsor fees that were waived or any Capped Expenses paid by BlackRock on preceding Calculation Dates in the same calendar year. Any such amounts may not be used to reimburse BlackRock for any sponsor fees that were waived or any Capped Expenses paid by BlackRock in preceeding calendar years.
6. 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 BlackRock. The terms of the Advisory Agreements have not changed as a result of the change in the General Partner of the Partnership. Each Series pays management fees to the Trading Advisors up to 3.00% of that Series net assets allocated to each individual Trading Advisor.
Profit Shares, generally ranging from 15% to 25% 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.
13
7. 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, 2008, 2007 and 2006 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.
8. PARTNER’S CAPITAL
At December 31, 2008 and 2007, the Net Asset Values of the different Series of the Partnership are as follows:
|
|
|
|
|
| Net Asset |
| ||
|
| Net Asset |
| Number of |
| Value per |
| ||
December 31, 2008 |
| Value |
| Units |
| Unit |
| ||
|
|
|
|
|
|
|
| ||
Series A |
| $ | 151,208,477 |
| 128,773,188 |
| $ | 1.1742 |
|
Series F |
| 33,304,503 |
| 117,896 |
| $ | 282.49 |
| |
Series G |
| 42,809,400 |
| 34,991,420 |
| $ | 1.2234 |
| |
Series I |
| 763,546 |
| 588,607 |
| $ | 1.2972 |
| |
|
| $ | 228,085,926 |
| 164,471,111 |
|
|
|
|
|
|
|
|
| Net Asset |
| ||
|
| Net Asset |
| Number of |
| Value per |
| ||
December 31, 2007 |
| Value |
| Units |
| Unit |
| ||
|
|
|
|
|
|
|
| ||
Series A |
| $ | 90,473,777 |
| 91,995,885 |
| $ | 0.9835 |
|
Series F |
| 32,035,694 |
| 135,637 |
| $ | 236.19 |
| |
Series G |
| 40,219,435 |
| 39,338,704 |
| $ | 1.0224 |
| |
Series I |
| 998,964 |
| 949,500 |
| $ | 1.0520 |
| |
|
| $ | 163,727,870 |
| 132,419,726 |
|
|
|
BlackRock has agreed to maintain a General Partner’s interest of at least 1% of the total capital of each Series in the Partnership. BlackRock and each Limited Partner share in the profits and losses of the Partnership in proportion to their respective interests in the Partnership.
On June 1, 2006, an investor in Series A converted 1,040,907 Units to 1,016,081 Units of Series I, both valued at $1,022,483 resulting in the net conversion of 24,826 Units. The conversion did not impact partners’ capital as a whole.
14
9. COPPER SETTLEMENT
The Partnership, as a member of a class of plaintiffs, received a settlement payment in February 2005 relating to certain copper trades made by a number of investors, including the Partnership, during a period in the mid-1990s. Members of the class were those who purchased or sold Comex copper futures or options contracts between June 24, 1993 and June 15, 1996. The amount of the settlement for the Partnership included in Realized under Trading profits (losses) on the Statements of Operations for the year ended December 31, 2006 is $42,374.
10. FAIR VALUE DISCLOSURES
Effective January 1, 2008, the Partnership adopted FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”). FAS 157 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. FAS 157 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 of the Partnership’s assumptions about what information market participants would use in pricing an asset or liability developed based on the best information available in the circumstances.
FAS 157 establishes a hierarchy that classifies these inputs into the three broad levels listed below:
· Level 1 — price quotations in active markets/exchanges for identical securities.
· 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 assets include quoted prices 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, such as those used in models or other valuation methodologies.
· Level 3 — Primarily unobservable inputs for the valuation of the asset or liability. Level 3 assets include investments for which there is little, if any, market activity. These inputs require significant judgment or estimation by the General Partner of the Partnership.
The following table summarizes the valuation of the Partnership’s investments by the above FAS 157 fair value hierarchy levels as of December 31, 2008.
|
|
|
| Quoted Prices in Active |
| Significant Other |
| |||
|
|
|
| Markets for Identical Assets |
| Observable Inputs |
| |||
|
| December 31, 2008 |
| (Level 1) |
| (Level 2) |
| |||
Net unrealized profit on open contracts |
| $ | 3,178,192 |
| $ | 3,049,859 |
| $ | 128,333 |
|
15
11. FAIR VALUE AND OFF-BALANCE SHEET RISK
The nature of this Partnership has certain risks, which cannot all be presented on the financial statements. The following summarizes some of those risks.
Market Risk
Derivative instruments 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 instruments or commodities underlying such derivative instruments frequently result in changes in the Partnership’s Net unrealized profit (loss) on such derivative instruments as reflected in the Statements of Financial Condition. The Partnership’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Partnership as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.
BlackRock has procedures in place intended to control market risk exposure, although there can be no assurance that they 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 itself reallocating Partnership assets among Trading Advisors (although typically only as of the end of a month) for over-concentrations. While BlackRock does not itself intervene in the markets to hedge or diversify the Partnership’s market exposure, BlackRock may urge the Trading Advisors to reallocate positions in an attempt to avoid over-concentrations. Except in cases in which it appears that the Trading Advisors have begun to deviate from past practice or trading policies or to be trading erratically, BlackRock’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 over-the-counter (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 over-the-counter 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 over-the-counter markets.
The Partnership, in its normal course of business, enters into various contracts, with MLPF&S and NewEdge acting as its commodity brokers. Pursuant to the brokerage agreements with MLPF&S and NewEdge (which includes netting arrangements with each broker), to the extent that such trading results in receivables from and payables to MLPF&S and NewEdge, these receivables and payables are offset and reported as a net receivable or payable and included in the Statements of Financial Condition under Equity in commodity futures trading accounts.
16
12. RECENT ACCOUNTING PRONOUNCEMENT
In October 2008, FASB issued FASB Staff Position 157-3 (“FSP157-3”), Determining the Fair Value of a Financial Asset When the Market for that Asset is not Active, which clarified the application of FAS 157 in a market that is not active. FSP 157-3 is effective upon issuance, including prior periods for which financial statements have not been issued. The implementation of FSP 157-3 did not have a material impact on the Partnership’s financial statements.
In March 2008, FASB issued SFAS No. 161, Disclosures about Derivative Instruments and Hedging Activities — an amendment of FASB Statement No. 133 (“FAS 161”). FAS 161 expands the disclosure requirements for derivative instruments and hedging activities. FAS 161 specifically requires enhanced disclosures addressing: a) how and why an entity uses derivative instruments, b) how derivative instruments and related hedged items are accounted for under SFAS No. 133, Accounting for Derivative Instruments and Hedging Activities, and its related interpretations and c) how derivative instruments and related hedged items affect an entity’s financial position, financial performance and cash flows. FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. The impact on the Partnership financial statements, if any, is currently being assessed.
13. SUBSEQUENT EVENT
On January 1, 2009, Bank of America Corporation announced that it had completed its acquisition of Merrill Lynch, the largest stockholder of BlackRock, Inc.
17
* * * * * * * * * * * * *
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
BlackRock Investment Management, LLC
General Partner of
BlackRock Global Horizons I L.P.
18