BlackRock Global Horizons I 10-Q 2011 Q3 Quarterly report

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

xQUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2011

OR

oTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                  to               

Commission File Number 0-23240

BLACKROCK GLOBAL HORIZONS I L.P.

(Exact Name of Registrant as

specified in its charter)

Delaware	13-3716393
(State or other jurisdiction of	(IRS Employer Identification No.)
incorporation or organization)

c/o BlackRock Investment Management LLC

55 East 52nd Street

New York, New York 10055

(Address of principal executive offices)

(Zip Code)

609-282-6996

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes  x  No  o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).  Yes  x  No  o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of  “large accelerated filer,” “accelerated filer” and “small reporting company” in Rule 12b-2 of the Exchange Act. (Check one)

Large Accelerated Filer o	Accelerated filer o
Non-Accelerated filer o	Smaller reporting company x

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes  o  No  x

BLACKROCK GLOBAL HORIZONS I L.P.

QUARTERLY REPORT FOR September 30, 2011 ON FORM 10-Q

Table of Contents

		PAGE
PART I
Item 1.	Consolidated Financial Statements	2
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	33
Item 4.	Controls and Procedures	34
PART II
Item 1.	Legal Proceedings	35
Item 1A.	Risk Factors	35
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	37
Item 3.	Defaults Upon Senior Securities	39
Item 4.	Reserved	39
Item 5.	Other Information	39
Item 6.	Exhibits	39

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PART I - FINANCIAL INFORMATION

Item 1.    Consolidated Financial Statements

BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	September 30,		December 31,
	2011		2010
ASSETS:
Cash and cash equivalents	$	273,732,112	$	292,600,273
Equity in commodity futures trading accounts:
Cash (restricted cash $23,306,626 and $30,299,187)	94,590,448		80,889,133
Net unrealized profit / market value on open contracts / options	5,952,038		11,011,532
Investment in Non-Consolidated LLC (cost $28,187,949 and $0) (See note 4)	28,215,773		—
Accrued interest and other assets	125,665		47,090
TOTAL ASSETS	$	402,616,036	$	384,548,028
LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:
Net unrealized loss / market value on open contracts / options	$	1,644,753	$	836,750
Due to Investment in Non-Consolidated LLC	44,627		—
Redemptions payable	2,046,258		2,920,771
Profit Shares payable	1,772,004		2,826,765
Distribution fees payable	979,917		906,196
Trading Advisors’ management fees payable	462,625		422,572
Sponsor fees payable	412,810		381,761
Administrator fees payable	172,117		282,914
Professional fees payable	414,291		521,140
Other fees payable	124,024		53,446
Total liabilities	8,073,426		9,152,315
PARTNERS’ CAPITAL:
General Partner (3,119,296 and 2,935,456 Units)	3,876,488		3,705,350
Limited Partners (335,918,072 and 314,444,048 Units)	390,666,122		371,690,363
Total partners’ capital	394,542,610		375,395,713
TOTAL LIABILITIES AND PARTNERS’ CAPITAL	$	402,616,036	$	384,548,028
NET ASSET VALUE PER UNIT (Note 2)

See notes to consolidated financial statements.

2

BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three			For the nine			For the nine
	months ended			months ended			months ended			months ended
	September 30,			September 30,			September 30,			September 30,
	2011			2010			2011			2010
TRADING PROFITS (LOSSES):
Realized	$	16,799,041		$	11,132,293		$	23,795,660		$	10,401,960
Change in unrealized	5,548,929			5,519,239			(5,551,388		)	10,450,918
Change in value of investment in Non-Consolidated LLC (2)	2,244,990			—			27,824			—
Brokerage commissions and clearing costs	(520,301		)	(768,142		)	(1,914,704		)	(1,979,724		)
Total trading profits	24,072,659			15,883,390			16,357,392			18,873,154
INVESTMENT INCOME:
Interest	45,666			174,832			224,924			344,080
EXPENSES:
Distribution fees	2,688,936			2,498,024			8,240,408			6,911,641
Trading Advisors’ management fees	1,376,669			1,181,133			4,141,275			3,326,587
Sponsor fees	1,131,034			1,050,267			3,465,517			2,903,724
Profit Shares	1,699,540			1,141,654			2,311,389			2,121,877
Administrator fees	270,703			270,000			820,643			736,000
Professional fees	143,693			166,259			447,551			548,776
Other	115,447			42,501			347,291			295,501
Total expenses	7,426,022			6,349,838			19,774,074			16,844,106
NET INVESTMENT LOSS	(7,380,356		)	(6,175,006		)	(19,549,150		)	(16,500,026		)
NET INCOME / (LOSS)	$	16,692,303		$	9,708,384		$	(3,191,758	)	$	2,373,128
NET INCOME / (LOSS) PER UNIT: (1)
Weighted average number of General Partner and Limited Partner Units outstanding
Series A	312,831,615			273,646,831			306,004,547			247,252,047
Series F	93,433			100,000			94,843			102,303
Series G	25,494,239			28,313,021			26,247,668			29,138,551
Series I	2,730,581			2,412,345			2,652,998			1,984,521
Net income / (loss) per weighted average General Partner and Limited Partner Unit
Series A	$	0.0454		$	0.0295		$	(0.0091	)	$	0.0090
Series F	$	11.41		$	6.89		$	(2.0315	)	$	0.2846
Series G	$	0.0496		$	0.0298		$	(0.0095	)	$	0.0012
Series I	$	0.0624		$	0.0411		$	0.0160		$	0.0435

See notes to consolidated financial statements.

(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 three-month and nine-month periods ended September 30, 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 period.

(2) Includes the Partnership’s proportionate share of income and expenses from its investment in Non-Consolidated LLC.

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BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011 AND 2010

(unaudited)

			General			Limited
	Units		Partner			Partners			Total
PARTNERS’ CAPITAL, December 31, 2009	229,150,870		$	2,846,697		$	272,916,221		$	275,762,918
Additions	108,860,974		599,999			114,805,195			115,405,194
Net income	—		25,140			2,347,988			2,373,128
Redemptions	(33,149,990	)	—			(36,999,450		)	(36,999,450		)
PARTNERS’ CAPITAL, September 30, 2010	304,861,854		$	3,471,836		$	353,069,954		$	356,541,790
PARTNERS’ CAPITAL, December 31, 2010	317,379,504		$	3,705,350		$	371,690,363		$	375,395,713
Additions	59,201,750		199,999			63,911,036			64,111,035
Net loss	—		(28,861		)	(3,162,897		)	(3,191,758		)
Redemptions	(37,543,886	)	—			(41,772,380		)	(41,772,380		)
PARTNERS’ CAPITAL, September 30, 2011	339,037,368		$	3,876,488		$	390,666,122		$	394,542,610

See notes to consolidated financial statements.

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BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011

(unaudited)

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.

Per Unit Operating Performance:	Series A			Series F			Series G			Series I
Net asset value, beginning of period	$	1.0968		$	264.28		$	1.1446		$	1.2798
Realized trading profits	0.0657			15.90			0.0689			0.0783
Change in unrealized trading losses	(0.0154		)	(3.76		)	(0.0163		)	(0.0186		)
Change in value of investment in Non-Consolidated LLC (3)	0.0000			0.00			0.0000			0.0013
Interest	0.0006			0.15			0.0007			0.0007
Expenses	(0.0607		)	(14.22		)	(0.0616		)	(0.0459		)
Net asset value, end of period	$	1.0870		$	262.35		$	1.1363		$	1.2956
Total Return: (3)
Total return (before Profit Shares)	-0.31		%	-0.30		%	-0.30		%	2.12		%
Profit Shares	-0.64		%	-0.46		%	-0.46		%	-0.94		%
Total return	-0.89		%	-0.73		%	-0.73		%	1.23		%
Ratios to Average Net Assets:(1) (2) (4)
Expenses (before Profit Shares)	6.67		%	6.68		%	6.68		%	3.59		%
Profit Shares	0.62		%	0.45		%	0.44		%	0.90		%
Expenses	7.29		%	7.13		%	7.12		%	4.49		%
Net investment loss	-7.21		%	-7.05		%	-7.04		%	-4.41		%

(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) The expenses (before Profit Shares) and the interest portion of net investment loss for the net investment loss ratios have been annualized.

(3) Includes the Partnership’s proportionate share of income and expenses from its investment in Non-Consolidated LLC.

(4) Excludes the Partnership’s proportionate share of expenses from its investment in Non-Consolidated LLC. If the Partnership’s proportionate share of expenses from its investment in Non-Consolidated LLC were included, the ratios for Expenses (before Profit Shares), Expenses and Net investment loss for Series A, are 6.88%, 7.50%, and (7.42)% respectively and for Series F and Series G are 6.88%, 7.33%, and (7.25)% respectively and for Series I are 3.67%, 4.57% and (4.49)% respectively. The Profit Share ratios were unchanged as there were no profit shares associated with the investment in Non-Consolidated LLC.

See notes to consolidated financial statements.

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BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(unaudited)

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

These consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“US GAAP”) and include the accounts of the Partnership and its wholly owned subsidiaries.

The interim financial information at September 30, 2011 and for the periods ended September 30, 2011 and 2010 is unaudited. However, in the opinion of management, the interim financial information includes all normal recurring adjustments necessary for the fair presentation of the operating results of BlackRock Global Horizons I L.P. (the “Partnership”) for the interim periods presented. The operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with US GAAP have been omitted. These consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Partnership’s Annual Report on Form 10-K filed with the Securities and Exchange Commission, for the year ended December 31, 2010.

The preparation of consolidated financial statements in conformity with US 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 and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates.

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 each 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.

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. Transactions between consolidated subsidiaries, to the extent they occur, are eliminated upon consolidation. The Partnership’s pro-rata share of its investments in a subsidiary which may have investments from other funds and accounts managed by the General Partner or its affiliates will not be consolidated.

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Effective May 1, 2011, other funds managed by the General Partner invested in a subsidiary of the Partnership. As a result, the Partnership’s pro-rata share of its investment in such subsidiary was not consolidated; instead, the Partnership’s interest in such subsidiary (the “Non-Consolidated LLC”) was presented as Investment in Non-Consolidated LLC (“Investment in Non-Consolidated LLC”) on the Consolidated Statements of Financial Condition.

BNY Mellon Investment Servicing Trust Company (“BNY Mellon Trust”) 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”, formerly J.P. Morgan Futures Inc.), 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 (“SSBT”). As of September 30, 2011, there were no assets held in any Portfolio Funds.

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 Investment in Non-Consolidated LLC 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 LLC. The Non-Consolidated LLC’s valuation policy is the same as that of the Partnership discussed above. Changes in the value of Investment in Non-Consolidated LLC are reflected in the Consolidated Statement of Operations as Change in value of investment in Non-Consolidated LLC, and includes the Partnership’s proportionate share of the Non-Consolidated LLC’s income and expenses.

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, UBS Securities, UBS AG (“UBS”), and SSBT each acting as the Partnership’s clearing brokers or derivatives counterparties. Pursuant to the brokerage agreements with MLPF&S, Newedge USA, JPMS, 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, 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/

7

market value on open contracts/options. Receivables and payables are netted by counterparty and Trading Advisor, as appropriate under US 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.

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.

There are no uncertain tax positions which require recognition or measurement in the Partnership’s 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 nine-month periods ended September 30, 2011 and 2010.

2.PARTNERS’ CAPITAL

At September 30, 2011 and December 31, 2010, the Net Asset Values of the different series of Units were:

September 30, 2011	Net Asset Value		Number of Units	Net Asset Value per Unit
Series A	$	338,110,156	311,045,178	$	1.0870
Series F	24,300,817		92,626	$	262.35
Series G	28,647,522		25,210,356	$	1.1363
Series I	3,484,115		2,689,208	$	1.2956
Total Partners’ Capital	$	394,542,610	339,037,368

December 31, 2010	Net Asset Value		Number of Units	Net Asset Value per Unit
Series A	$	315,434,540	287,584,054	$	1.0968
Series F	25,622,524		96,954	$	264.28
Series G	31,056,541		27,133,939	$	1.1446
Series I	3,282,108		2,564,557	$	1.2798
Total Partners’ Capital	$	375,395,713	317,379,504

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3.FAIR VALUE DISCLOSURES

The Partnership qualifies as an investment company under the provisions of the American Institute of Certified Public Accountants Audit and Accounting Guide for Investment Companies and therefore, 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 Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“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 NAV (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 September 30, 2011, December 31, 2010 or during the periods then ended.

The following table summarizes the valuation of the Partnership’s investments by the above ASC 820 fair value hierarchy levels as of September 30, 2011 and December 31, 2010.

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				Fair Value at Reporting Date Using
Description	September 30, 2011			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)
Cash Equivalents	$	273,732,112		$	273,732,112		$	—
Investment in Non-Consolidated LLC (1)	28,215,773			—			28,215,773
Futures (1)	5,676,744			5,676,744			—
Forwards (1)	(935,463		)	—			(935,463		)
Options (1)	(433,996		)	(332,305		)	(101,691		)
	$	306,255,170		$	279,076,551		$	27,178,619

Description	December 31, 2010
Cash Equivalents	$	292,600,273		$	292,600,273	$	—
Futures (1)	7,156,999			7,156,999		—
Forwards (1)	3,019,683			—		3,019,683
Options (1)	(1,900		)	—		(1,900		)
	$	302,775,055		$	299,757,272	$	3,017,783

(1) See the condensed consolidated schedules of investments in Note 4 for the values in each commodity industry sector within this table.

There were no significant transfers between Level 1 and Level 2 during the period.

4.   INVESTMENTS, DERIVATIVE CONTRACTS AND OFF-BALANCE SHEET RISK

The Partnership, through its Trading Advisors, trades in the international futures, forwards and options markets with the objective of achieving, through speculative trading, substantial capital appreciation over time. The Partnership’s assets are allocated and reallocated by the General Partner to subsidiaries managed by the Trading Advisors on behalf of the Partnership, applying proprietary strategies in numerous markets.

The Partnership, through its Trading Advisors, engages in the speculative trading of derivative contracts on interest rates, commodities, currencies, metals, energy, agriculture and stock indices. The following were the primary trading risk exposures of such derivative contracts as of at September 30, 2011, organized by market sector:

Agricultural.  The Partnership’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions.

Currencies.  Exchange rate risk is a principal market exposure of the Partnership.  The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs.  The fluctuations are influenced by interest rate changes as well as political and general economic conditions.  The Partnership, through its Trading Advisors, trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

Energy.  The Partnership’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide.  Energy

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prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Interest rates.  Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions.  Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability.  The Partnership’s primary interest rate exposure is to interest rate fluctuations in the United States and other major industrialized, or Group of Seven countries (Canada, France, Germany, Italy, Japan, United Kingdom and United States, collectively, “G-7”).  However, the Partnership, through its Trading Advisors, also may hold positions in futures contracts on the government debt of other nations.

Metals. The Partnership’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, silver, tin and zinc.

Stock Indices.  The Partnership’s equity exposure, through stock index futures, is to equity price risk in the G-7 countries, as well as other countries.

The Partnership, through the trading activities of the Trading Advisors, also engages in the speculative trading of forward currency contracts. Substantially all of the Partnership’s off-exchange trading takes place in the highly liquid, institutional spot and forward foreign exchange markets (the “FX Markets”) where there are no direct execution costs. Instead, the participant banks and dealers in the FX Markets take a “spread” between the prices at which they are prepared to buy and sell a particular currency, and such spreads are built into the pricing of the spot or forward contracts traded with the Partnership. In its exchange of futures for physical (“EFP”) trading, the Partnership acquires or may acquire cash currency positions through banks and dealers. The Partnership pays a spread when it exchanges these positions for futures. This spread reflects, in part, the different settlement dates of the cash and the futures contracts, as well as prevailing interest rates, but also includes a pricing spread in favor of the banks and dealers.

The Partnership may purchase and write (sell), both exchange listed and OTC, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Partnership writes an option, the premium received is recorded as a liability in the Consolidated Statements of Financial Condition and marked to market daily.

As both a buyer and seller (writer) of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership does not consider these contracts to be guarantees as described in ASC 460 Guarantees.

The Partnership is exposed to both market risk, the risks arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

11

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 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 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 over-the-counter markets.

Concentration Risk

The amount of required margin and good faith deposits with the brokers usually ranges from 5% to 30% of net asset value of the Partnership.  The cash and cash equivalents held to satisfy such requirements at September 30, 2011 and December 31, 2010 was $23,306,626 and $30,299,187 respectively, which equals 5.91% and 8.07% 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.

12

Condensed Consolidated Schedules of Investments

The Partnership trades futures, forwards, and options contracts.  The level of trading is affected by conditions in those markets.  During the period ended September 30, 2011, 269,381 futures and options contracts were closed.  The fair value of options held as of September 30, 2011 includes premiums paid of $417,107 and received of $735,405. The fair value of the Partnership’s futures, forwards, and options contracts by type, defined as Net unrealized profit (loss) on open contracts in the Consolidated Statements of Financial Condition as of September 30, 2011, are as follows:

							Long Positions												Short Positions					Net Unrealized Profit
	Long Positions						Unrealized					Short Positions							Unrealized					(Loss)/Market Value
Commodity	Number	Gross Unrealized					Profit (Loss)/			Percent of		Number		Gross Unrealized					Profit (Loss)/			Percent of		on Open			Percent of
Industry Sector	of Contracts	Gains		Losses			Market Value			Net Assets		of Contracts		Gains		Losses			Market Value			Net Assets		Contracts/Options			Net Assets		Maturity Dates
																								��
Futures
Agriculture	553	$	171,574	$	(1,382,968	)	$	(1,211,394	)	-0.31	%	(1,033	)	$	2,838,049	$	(113,736	)	$	2,724,313		0.69	%	$	1,512,919		0.38	%	Oct 11 - May 12
Currencies	512	186,399		(822,793		)	(636,394		)	-0.16	%	(663	)	1,656,261		(26,195		)	1,630,066			0.41	%	993,672			0.25	%	Oct 11 - Dec 11
Energy	372	—		(2,575,847		)	(2,575,847		)	-0.65	%	(776	)	3,533,093		(3,472		)	3,529,621			0.89	%	953,774			0.24	%	Oct 11 - Dec 11
Interest rates	5,962	1,152,947		(860,506		)	292,441			0.08	%	(1,688	)	217,828		(11,673		)	206,155			0.05	%	498,596			0.13	%	Oct 11 - Dec 13
Metals	524	3,713		(6,741,904		)	(6,738,191		)	-1.71	%	(693	)	8,414,760		(1,531		)	8,413,229			2.13	%	1,675,038			0.42	%	Oct 11 - Aug 12
Stock indices	203	9,547		(330,963		)	(321,416		)	-0.08	%	(646	)	623,444		(259,283		)	364,161			0.09	%	42,745			0.01	%	Oct 11 - Dec 11
Subtotal	8,126	1,524,180		(12,714,981		)	(11,190,801		)	-2.83	%	(5,499	)	17,283,435		(415,890		)	16,867,545			4.26	%	5,676,744			1.43	%
Forwards
Currencies		3,656,702		(2,848,355		)	808,347			0.20	%			3,142,584		(4,886,394		)	(1,743,810		)	-0.44	%	(935,463		)	-0.24	%	Oct 11 - Dec 11
Subtotal		3,656,702		(2,848,355		)	808,347			0.20	%			3,142,584		(4,886,394		)	(1,743,810		)	-0.44	%	(935,463		)	-0.24	%
Options
Currencies	—	95,791		—			95,791			0.03	%	—		—		(306,170		)	(306,170		)	-0.08	%	(210,379		)	-0.05	%	Oct 11 - Jan 12
Energy	14	53,340		—			53,340			0.01	%	(28	)	—		(52,360		)	(52,360		)	-0.01	%	980			0.00	%	Nov 11
Interest Rates	530	163,188		—			163,188			0.04	%	(894	)	—		(376,616		)	(376,616		)	-0.09	%	(213,428		)	-0.05	%	Dec 11 - June 12
Stock indices	41	84,700		—			84,700			0.02	%	(73	)	—		(95,869		)	(95,869		)	-0.02	%	(11,169		)	0.00	%	Oct 11 - Dec 11
Subtotal	585	397,019		—			397,019			0.10	%	(995	)	—		(831,015		)	(831,015		)	-0.20	%	(433,996		)	-0.10	%
Total	8,711	$	5,577,901	$	(15,563,336	)	$	(9,985,435	)	-2.53	%	(6,494	)	$	20,426,019	$	(6,133,299	)	$	14,292,720		3.62	%	$	4,307,285		1.09	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Partnership’s capital as of September 30, 2011.

The Partnership’s investment in the Non-Consolidated LLC represents approximately 63.93% of the net asset value of that subsidiary at September 30, 2011. The Partnership recorded its change in value of its investment in the Non-Consolidated LLC in the Consolidated Statements of Operations, which includes its proportionate share of income and expenses in the Non-Consolidated LLC. The Trading Advisor for the Non-Consolidated LLC does not charge a management fee, receives profit shares of 30% of any net capital appreciation, if any. The Partnership, and other funds managed by the General Partner, may redeem their investments in the Non-Consolidated LLC as of any month end.

13

The Partnership trades futures, forwards, and options contracts. The level of trading is affected by conditions in those markets. During the year ended December 31, 2010, 547,419 contracts were closed. The fair value of the Partnership’s futures, forwards, and option contracts by type, defined as Net unrealized profit (loss) on open contracts in the Consolidated Statements of Financial Condition as of December 31, 2010, are as follows:

							Long Positions											Short Positions					Net Unrealized Profit
	Long Positions						Unrealized				Short Positions							Unrealized					(Loss)/Market Value
Commodity	Number	Gross Unrealized					Profit (Loss)/		Percent of		Number		Gross Unrealized					Profit (Loss)/			Percent of		on Open			Percent of
Industry Sector	of Contracts	Gains		Losses			Market Value		Net Assets		of Contracts		Gains		Losses			Market Value			Net Assets		Contracts/Options			Net Assets		Maturity Dates
Futures
Agriculture	1,885	$	2,648,562	$	(82,267	)	$	2,566,295	0.68	%	(243	)	$	—	$	(917,686	)	$	(917,686	)	-0.24	%	$	1,648,609		0.44	%	January 11 - June 11
Currencies	1,301	2,128,950		(64,615		)	2,064,335		0.55	%	(348	)	67,761		(165,042		)	(97,281		)	-0.03	%	1,967,054			0.52	%	January 11 - March 11
Energy	596	1,036,864		(122,523		)	914,341		0.25	%	(158	)	6,925		(186,976		)	(180,051		)	-0.05	%	734,290			0.20	%	January 11 - July 11
Interest rates	3,535	918,017		(38,715		)	879,302		0.24	%	(731	)	356,924		(240,344		)	116,580			0.03	%	995,882			0.27	%	January 11 - December 12
Metals	1,034	4,619,730		(97,797		)	4,521,933		1.20	%	(666	)	41,164		(3,233,011		)	(3,191,847		)	-0.85	%	1,330,086			0.35	%	January 11 - April 11
Stock indices	2,071	701,119		(418,004		)	283,115		0.08	%	(392	)	234,291		(36,328		)	197,963			0.05	%	481,078			0.13	%	January 11 - March 11
Subtotal	10,422	12,053,242		(823,921		)	11,229,321		3.00	%	(2,538	)	707,065		(4,779,387		)	(4,072,322		)	-1.09	%	7,156,999			1.91	%
Forwards
Currencies		3,910,819		(2,433,754		)	1,477,065		0.39	%			3,697,767		(2,155,149		)	1,542,618			0.41	%	3,019,683			0.80	%	January 11 - June 11
Subtotal		3,910,819		(2,433,754		)	1,477,065		0.39	%			3,697,767		(2,155,149		)	1,542,618			0.41	%	3,019,683			0.80	%
Options
Stock indices	4	2,065		—			2,065		0.00	%	(4	)	—		(3,965		)	(3,965		)	0.00	%	(1,900		)	0.00	%	January 11 - March 11
Subtotal	4	2,065		—			2,065		0.00	%	(4	)	—		(3,965		)	(3,965		)	0.00	%	(1,900		)	0.00	%
Total	10,426	$	15,966,126	$	(3,257,675	)	$	12,708,451	3.39	%	(2,542	)	$	4,404,832	$	(6,938,501	)	$	(2,533,669	)	-0.68	%	$	10,174,782		2.71	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Partnership’s capital as of December 31, 2010.

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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 three month period ended September 30, 2011 and 2010 are as follows:

2011

Commodity Industry Sector	Realized Profits (Losses)			Change in Net Unrealized Profits (Losses)			Net Trading Profits (Losses)
Futures
Agriculture	$	(2,962,848	)	$	1,296,341		$	(1,666,507	)
Currencies	(2,352,567		)	696,049			(1,656,518		)
Energy	(5,156,002		)	1,226,004			(3,929,998		)
Interest rates	23,692,472			793,364			24,485,836
Metals	2,156,403			2,679,470			4,835,873
Stock indices	344,883			(153,539		)	191,344
Subtotal	15,722,341			6,537,689			22,260,030
Forwards
Currencies	(1,742,127		)	(1,031,759		)	(2,773,886		)
Subtotal	(1,742,127		)	(1,031,759		)	(2,773,886		)
Options
Currencies	1,371,334			5,233			1,376,567
Energy	99,360			7,043			106,403
Interest Rates	969,987			21,516			991,503
Metals	41,364			—			41,364
Stock Indices	336,782			9,207			345,989
Subtotal	2,818,827			42,999			2,861,826
Total	$	16,799,041		$	5,548,929		$	22,347,970

2010

Commodity Industry Sector	Realized Profits (Losses)			Change in Net Unrealized Profits (Losses)			Net Trading Profits (Losses)
Futures
Agriculture	$	660,544		$	1,857,976		$	2,518,520
Currencies	(915,911		)	2,766,089			1,850,178
Energy	(4,580,938		)	23,315			(4,557,623		)
Interest rates	13,157,316			(1,056,863		)	12,100,453
Metals	474,781			1,273,427			1,748,208
Stock indices	(2,234,413		)	232,109			(2,002,304		)
Subtotal	6,561,379			5,096,053			11,657,432
Forwards
Currencies	4,570,914			432,894			5,003,808
Subtotal	4,570,914			432,894			5,003,808
Options
Currencies	—			(9,708		)	(9,708		)
Subtotal	—			(9,708		)	(9,708		)
Total	$	11,132,293		$	5,519,239		$	16,651,532

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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 nine month period ended September 30, 2011 and 2010 are as follows:

2011

Commodity Industry Sector	Realized Profits (Losses)			Change in Net Unrealized Profits (Losses)			Net Trading Profits (Losses)
Futures
Agriculture	$	(5,146,578	)	$	(135,690	)	$	(5,282,268	)
Currencies	752,178			(973,382		)	(221,204		)
Energy	(2,243,805		)	219,484			(2,024,321		)
Interest rates	23,183,158			(497,286		)	22,685,872
Metals	2,457,807			344,952			2,802,759
Stock indices	(3,843,592		)	(438,333		)	(4,281,925		)
Subtotal	15,159,168			(1,480,255		)	13,678,913
Forwards
Currencies	3,190,181			(3,955,146		)	(764,965		)
Subtotal	3,190,181			(3,955,146		)	(764,965		)
Options
Currencies	2,517,297			(127,290		)	2,390,007
Energy	292,091			7,043			299,134
Interest Rates	1,904,716			10,033			1,914,749
Metals	36,800			—			36,800
Stock Indices	695,407			(5,773		)	689,634
Subtotal	5,446,311			(115,987		)	5,330,324
Total	$	23,795,660		$	(5,551,388	)	$	18,244,272

2010

Commodity Industry Sector	Realized Profits (Losses)			Change in Net Unrealized Profits (Losses)			Net Trading Profits (Losses)
Futures
Agriculture	$	(2,679,284	)	$	963,995		$	(1,715,289	)
Currencies	(604,131		)	2,394,214			1,790,083
Energy	(7,955,795		)	(56,527		)	(8,012,322		)
Interest rates	22,552,066			2,731,237			25,283,303
Metals	1,267,173			108,756			1,375,929
Stock indices	(5,956,513		)	(529,771		)	(6,486,284		)
Subtotal	6,623,516			5,611,904			12,235,420
Forwards
Currencies	3,887,534			4,803,722			8,691,256
Subtotal	3,887,534			4,803,722			8,691,256
Options
Agriculture	(18,925		)	18,925			—
Currencies	(131,018		)	7,377			(123,641		)
Energy	(8,990		)	8,990			—
Metals	49,843			—			49,843
Subtotal	(109,090		)	35,292			(73,798		)
Total	$	10,401,960		$	10,450,918		$	20,852,878

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5.   RELATED PARTY TRANSACTIONS

Some of the Partnership’s U.S. dollar assets are maintained at MLPF&S, an affiliate of the General Partner until June 1, 2011.  MLPF&S is a wholly owned subsidiary of Merrill Lynch, which in turn had maintained a significant ownership interest in BlackRock until June 1, 2011. 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.

As of May 31, 2011 and December 31, 2010, $4,883,043 and $5,565,891, respectively, was held in trading accounts at MLPF&S.  For the two-month period ended May 31, 2011 and three-month period ended September 30, 2010, the Partnership incurred $9,076 and $100,949 respectively, for brokerage commissions payable to MLPF&S. For the five-month period ended May 31, 2011 and the nine-month period ended September 30, 2010, the Partnership incurred $23,324 and $198,411 respectively, for brokerage commissions payable to MLPF&S.

As of September 30, 2011 and December 31, 2010, $273,732,112 and $292,600,273, were invested in an affiliated BlackRock money market fund.

6.   RECENT ACCOUNTING PRONOUNCEMENTS

In January 2010, the Financial Accounting Standards Board (“FASB”) issued ASU 2010-06, Improving Disclosures about Fair Value Measurements, to improve disclosures about fair value measurements which will require additional disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009, except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. The adoption on January 1, 2010 and January 1, 2011 of the applicable additional disclosure requirements of ASU 2010-06 did not materially impact the Partnership’s financial statements.

In May 2011, FASB issued ASU 2011-04, Fair Value Measurement and disclosure (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS (“ASU 2011-04”). The amendments in ASU 2011-04 result in common fair value measurement and disclosure requirements between US GAAP and International Financial Reporting Standards. Many of the amendments in ASU 2011-04 are not intended to result in a change in current measurement or disclosure requirements under ASC 820. Certain amendments are intended to clarify FASB’s intent about the application of the existing fair value measurement guidance under ASC 820 and could change how an entity applies the guidance within ASC 820, including: the highest and best use and valuation premise for nonfinancial assets, application to financial assets and financial liabilities with offsetting positions in market risks or counterparty credit risk, premiums or discounts in fair value measurement, and fair value of an instrument classified in a reporting entity’s shareholders’ equity. The amendments also expand the disclosure requirements of ASC 820 for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures in place and a narrative description of the sensitivity

17

of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. The General Partner is evaluating the impact of this guidance on the financial statements and disclosures.

7.   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 as described below.

On October 1, 2011, the General Partner made a subscription in the amount of $100,000 to increase it’s ownership in the Partnership.

Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of Operations

Operational Review

Set forth below is a chart which provides the Partnership’s current Trading Advisors, the portion of the Partnership’s assets that each controlled as of September 1, 2011, the general trading focus of each such Trading Advisor, an indication as to whether each Trading Advisor’s program is discretionary or systematic, as well as the commodity pool operator (“CPO”) and investment adviser registration status of each Trading Advisor (with the Commodity Futures Trading Commission (the “CFTC”) and Securities and Exchange Commission (the “SEC”), respectively).

18

Trading Advisors	Systematic / Discretionary	General Trading Focus	Allocation		CPO Registration Status	Investment Adviser Registration Status
Abraham Trading LP	Systematic	Long-term trend-following	7.95	%	Registered	Not Registered
Boronia Capital PTY Ltd	Systematic	Short-term trend-following	8.35	%	Registered	Not Registered
Blackwater Capital Management LLC	Systematic	Medium-term trend-following	8.30	%	Registered	Not Registered
Cantab Capital Partners LLP	Systematic	Medium-term trend-following and mean reversion	9.00	%	Exempt CPO	Not Registered
Crabel Capital Management LLC	Systematic	Short-term trend-following	7.10	%	Registered	Not Registered
G Capital Fund Management LLC	Discretionary	Fundemental Global Macro	9.25	%	Exempt CPO	Not Registered
Mapleridge Capital Corporation	Systematic	Short-term trend-following and mean reversion	4.10	%	Registered	Not Registered
NuWave Investment Management LLC	Systematic	Medium-term pattern recognition	7.70	%	Registered	Registered
Ortus Capital Management Ltd	Systematic	Medium-term econometric	9.80	%	Exempt CPO	Not Registered
Quantitative Investment Management - Global Program **	Systematic	Short-term pattern recognition	6.75	%	Registered	Not Registered
Solaise Capital Management LLP	Systematic	Medium-term trend-following	6.00	%	Not Registered	Not Registered
Winton Capital Management Limited	Systematic	Medium-term trend-following	14.70	%	Registered	Not Registered
Cash			1.00	%

*The cash is held at clearing brokers and with BNY Mellon Trust and SSBT, the Partnership’s custodians.

** Currently reflected on the Partnership’s consolidated financial statements as Investment in Non-Consolidated LLC.

BRIM may, from time to time, direct certain individual Trading Advisors to manage their respective Partnership accounts as if they were managing more equity than the actual capital allocated to them.

One of the objectives of the Partnership is to provide diversification for a limited portion of the risk segment of the Limited Partners’ portfolios.  Commodity pool performance has historically demonstrated

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a low degree of performance correlation with traditional stock and bond holdings.  Past performance is not indicative of future results.

The General Partner has, in its discretion, formed one or more subsidiaries to hold Partnership assets allocated to a particular Trading Advisor. The 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. Other funds or accounts managed by BRIM or its affiliates may also allocate capital to these subsidiaries, pari passu with the Partnership, in order to consolidate investments with a Trading Advisor into a single entity. Potential benefits of aggregating investments in subsidiaries include preservation of high water marks, greater liquidity with respect to the account of the subsidiary (e.g., with respect to lock-ups), reduced fees (e.g., redemption fees) and efficiency associated with subscriptions and redemptions. The collective nature of these subsidiaries also has potential costs, risks and conflicts, particularly at times when the Partnership, other funds or accounts managed by BRIM and/or the applicable Trading Advisor(s) are experiencing sustained or high levels of redemption pressure or markets are illiquid. There is no limitation on the amount or number of such funds or accounts or the amount of their respective allocation to any such subsidiary and such allocations may be significant. There will be no segregation of liabilities between the Partnership and any other such funds or accounts that allocate assets to the same subsidiary as the Partnership. When investing in a subsidiary, no management fees or performance-based compensation will be charged to the Partnership by any subsidiary; however, such subsidiary will be charged management fees and performance-based compensation by the Trading Advisors. However, the value of the Partnership’s investments in any subsidiary will be included in the calculation and assessment of the Partnership’s Sponsor’s Fee and the Partnership will pay its pro rata portion of such subsidiary’s expenses, including fees and expenses of the applicable Trading Advisor. As a result, the Partnership may be subject to higher operating expenses than if the Partnership allocated capital to Trading Advisors directly.

The advisory agreements between the Partnership (or a subsidiary of the Partnership), the General Partner and each Trading Advisor govern the relationships with the Trading Advisors, each of which have been attached as exhibits to certain Company’s prior filings.  The principal terms of this form of advisory agreement include the management fees (the “Management Fees”), performance-based allocations (the “Profit Shares”), indemnification provisions and the term of the advisory agreement.  Set forth below are descriptions of each of these terms.  Other than the differences in fees, as described in the ranges provided below, the other key term that differs among the agreements with the Trading Advisors is the minimum account maintenance level.  The minimum account maintenance level for each Trading Advisor is described below.

Management Fees. Generally, Management Fees approximate between 0% and 2.5% (annualized) of the net asset value of the Partnership’s account managed by a Trading Advisor.

Profit Shares. Profit Shares generally are between 15% and 30% of the net capital appreciation in the Partnership’s account managed by a Trading Advisor for the applicable period, generally quarterly or annually, and are calculated on a cumulative high water mark basis, including realized and unrealized gains and losses from futures trading.  Each Trading Advisor must earn back any losses previously experienced by the Trading Advisor prior to any new Profit Shares being paid.  However, Profit Shares once paid to a Trading Advisor are not subject to being repaid to the Partnership from the Trading Advisor as a result of subsequent realized or unrealized losses.

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Indemnification. The advisory agreements generally provide that the Partnership (or a subsidiary of the Partnership) will indemnify the relevant Trading Advisor, its affiliates and their respective directors, officers, shareholders, employees and controlling persons for conduct undertaken as a trading advisor or otherwise relating to any action or omission of such persons (or alleged action or omission) in connection with the advisory agreements; provided that such action or omission (or alleged action or omission) does not constitute negligence (or gross negligence in some cases), misconduct or breach of the advisory agreements and was done in good faith and in a manner reasonably believed to be in, or not opposed to, the best interests of the Partnership.  The advisory agreements generally provide that the foregoing indemnified parties shall not be liable to the Partnership for actions or omissions within the scope of the standards set forth in the foregoing indemnities.

Term. The advisory agreements will be automatically renewed for successive year periods, on the same terms, unless terminated by either the relevant Trading Advisor or the Partnership (or a subsidiary of the Partnership). In most instances, a Trading Advisor may terminate its advisory agreement if the equity in the Partnership’s account drops below a specified minimum amount as of the close of business on any day, among other reasons.  The General Partner may terminate the advisory agreements as of any month-end.

Minimum Investment Maintenance Levels. The minimum investment maintenance levels with each Trading Advisor are as follows: Abraham Trading LP: $1,000,000; Blackwater Capital Management LLC: $1,000,000; Boronia Capital Pty Ltd.: $1,000,000; Cantab Capital Partners LLP: $15,000,000; Crabel Capital Management LLC: $1,000,000; G Capital Fund Management LLC: $25,000,000; Mapleridge Capital Corporation: $1,000,000; NuWave Investment Management, LLC: $5,000,000; Ortus Capital Management Ltd.: $20,000,000; Quantitative Investment Management-Global Program: none; Solaise Capital Management LLP: $10,000,000; Winton Capital Management Limited: $1,000,000.  A failure to maintain the minimum investment maintenance level does not result in an automatic termination of the agreement with the Trading Advisor, rather it permits the Trading Advisor to terminate the advisory agreement.

Performance Summary and Net Asset Value Per Unit

MONTH-END NET ASSET VALUE PER SERIES F UNIT

	Jan.		Feb.		Mar.		Apr.		May		Jun.		July		Aug.		Sept.
2010	$	252.82	$	253.45	$	257.28	$	255.55	$	251.68	$	253.01	$	250.37	$	256.70	$	259.92
2011	$	262.13	$	263.54	$	259.94	$	268.50	$	258.18	$	250.97	$	258.98	$	259.84	$	262.35

Set forth below is a list of the year-to-date net trading profit (loss) from each Trading Advisor as measured at September 30, 2011.

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Trading Advisors	Realized			Change in Unrealized			Brokerage Commissions and Clearing Costs			Total Trading Profit (Losses)
Abraham Trading LP	$	1,506,280		$	(1,577,834	)	$	(177,043	)	$	(248,597	)
Blackwater Capital Management LLC	6,907,487			268,008			(73,044		)	7,102,451
Boronia Capital PTY Ltd	818,891			(546,436		)	(506,531		)	(234,076		)
Cantab Capital Partners LLP	7,293,595			(169,897		)	(207,226		)	6,916,472
Crabel Capital Management LLC	(742,199		)	(81,369		)	(277,666		)	(1,101,234		)
G Capital Fund Management LLC	1,319,667			(898,911		)	(25,393		)	395,363
Mapleridge Capital Corporation	(5,182,544		)	230,188			(490,088		)	(5,442,444		)
NuWave Investment Management LLC	1,726,578			2,011,640			(49,150		)	3,689,068
Ortus Capital Management Ltd.	5,376,855			(2,702,508		)	—			2,674,347
Quantitative Investment Management - Global Program (1)	(315,087		)	(221,677		)	(61,325		)	(598,089		)
Solaise Capital Management LLP	(967,987		)	(653,239		)	(12,428		)	(1,633,654		)
Winton Capital Management Limited	6,054,124			(1,209,353		)	(34,810		)	4,809,961
Total	$	23,795,660		$	(5,551,388	)	$	(1,914,704	)	$	16,329,568

(1) This includes the Partnership’s total net trading profit (loss) from this Non-Consolidated LLC through April 30, 2011 (see Note 1 to the Consolidated Financial Statements).

The weighted average Management Fee rate of the Trading Advisors based on allocations as of September 30, 2011 was 1.39% and the weighted average Profit Share was 20%. The range of Management Fees as of September 30, 2011 was 0% to 2.5% (annualized) and the range of Profit Shares was 15% to 30%.

Performance Summary - Results of Trading

January 1, 2011 to September 30, 2011

January 1, 2011 to March 31, 2011

The Partnership posted a slight net loss for the first quarter in a period marked by a number of significant geopolitical developments around the world, including escalating turmoil in the Middle East and North Africa, and the earthquake, tsunami and ensuing nuclear catastrophe in Japan. Even as the repercussions of these events were felt around the world, global economies showed signs of resilience. By the period’s end, market valuations held their ground as corporate profits remained strong and manufacturing data and capital expenditures were on the rise despite escalating oil prices. Meanwhile, the US labor market seemed to turn a corner as private sector job creation posted impressive figures as overall unemployment dropped. In Japan, investors were optimistic on reconstruction opportunities. Throughout the quarter, market volatility remained low relative to recent years. In general, asset classes offered somewhat mixed results for the Partnership during the first quarter, with energy, equities, metals, agricultures and foreign exchange posting profits, while fixed income activity underperformed.

Increasing civil unrest in the Middle East and Africa created volatility for oil markets during the first quarter, fueling concerns of supply disruptions amid fears over the potential for tighter supplies should the economy continue to recover. Oil prices had already climbed in January as a result of a colder-than-expected winter in the Northern Hemisphere when dramatic political events in oil-producing countries erupted. These price movements were exacerbated in March following the events in Japan, in which the nuclear plant crisis was seen as a possible trigger for increased demand in fossil fuel consumption. Trading Advisors benefited from the price movements during the latter half of the quarter, but experienced some losses from short exposures to natural gas, the price of which Trading Advisors had expected to decline on growing production surpluses.

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Equity strategies experienced a positive quarter, helped primarily by ongoing improvement in corporate fundamentals and resurgence in shareholder-centered corporate activity. The asset class declined in March as broader Japanese indices sold off substantially amidst the tragedy, and as concerns resurfaced around the long-term solvency of peripheral Europe. However, despite broader global uncertainty, the US stock market remained relatively stable even as a near-government shutdown dominated headlines domestically. In particular, long exposures to the S&P 500 were profitable for underlying funds throughout the quarter, while long exposures to the Eurostoxx were positive early, but lost ground as the index declined nearly 300 points in mid-March.

Even as sentiment generally improved during the quarter, precious metals continued to rise as inflation-wary investors continued to see value in safe haven assets. Furthermore, the political contention over the US budget in March coupled with renewed problems with Portugal and Ireland in the eurozone also drove some to the precious metals complex. Silver in particular benefited, increasing more than 30 percent, advancing both from its status as an alternative currency and as an industrial metal. Gold prices were also up on the quarter despite a choppy March, responding in particular to the weakening US dollar mid-quarter. Long gold continued to be a significant portfolio holding during the first quarter. Meanwhile, nickel prices traded at a 52-week high in late-February, but fell off throughout the remainder of the period.

After a strong start, performance for agricultural holdings tapered off throughout the rest of the quarter, even as retail food prices soared for consumers. Wheat prices experienced 29-month highs in late January due largely to increased global demand for milling wheat, and spot prices for corn rose above the $6.50 mark for the first time since July 2008, but prices for both grains fell off in March. Sugar prices also peaked in January and dropped substantially throughout the quarter prompted by expanded production internationally, particularly in Thailand and an earlier-than-expected harvest in Brazil. Meanwhile, livestock prices, particular in cattle, were generally on the rise as supplies were tight and exports to Japan and Asia in general increased following the natural disaster.

Amidst foreign exchange activity, Trading Advisors entered the period predominantly short the US dollar, a position largely maintained throughout the quarter. This exposure generally hurt performance in January, impacted by positive fourth quarter 2010 GDP reports and an increased demand for safe assets as social unrest unfurled in Egypt.  However, short dollar trades were generally beneficial through the rest of the period. Meanwhile, long holdings in both the euro and Swedish krona strengthened as the focal point of geopolitical tensions swung from European economies to the Middle East early in the quarter, and commodity rich currencies, including the Australian and Canadian dollars, benefited against the US dollar as Trading Advisors tactically traded around economic data and regional inflation concerns. Following the natural disaster in March, activity was focused around the Japanese yen, which rapidly appreciated in the wake of the crisis, but depreciated at month-end as central banks worked to provide some economic relief to the region.

Fixed income activity continued to challenge Trading Advisors as they were positioned for a general lack of conviction around Treasury securities. However, Treasury prices generally stood their ground as global tensions simmered, US economic reports painted a modestly positive picture, and many investors speculated that turmoil in the Middle East and North Africa would not derail US economic recovery. During the period, Trading Advisors lost money on short exposures to 30-Year Treasurys and 10-year German bunds in February as well as 5- and 10-year Treasurys in March, which experienced mid-month reversals. Trading Advisors generally reversed their positioning within the space over the course of the month, ending the period net short the 10-year and net long the 5-year Treasury.

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April 1, 2011 to June 30, 2011

The Partnership posted a net loss for the second quarter in a period marked by a number of significant geopolitical developments throughout the world. Renewed concerns over peripheral Europe and weaker-than-expected economic growth in the US were among the factors that contributed to a downturn in risk assets.  The market once again turned its attention to fiscal problems in Greece, as the European Central Bank stepped up financial and political efforts to preserve investor confidence in Greek sovereign debt and, by extension, held back from putting financial pressure on other heavily indebted countries, such as Portugal, Spain and Italy.  While it seems increasingly likely that some form of debt restructuring will occur in Greece, investors appear to worry that the turmoil in Greece may only be a precursor to more challenging situations in coming months. Developments in the US did little to quell investor concerns.  Weak job growth reports during the period disappointed investors, a prolonged stand-off between the two major political parties over raising the budget ceiling prodded unease over the possibility of a technical default on US debt, and the end of the second round of quantitative easing by the US Federal Reserve bank fueled worries that the US economy may not have reached a sufficient and self-sustaining level of growth in the absence of further government support.

Fixed income activity was the greatest contributor to the Partnership’s performance for the quarter, helped primarily by US dollar-based positions. 10-year Treasury yields steadily fell from 3.47% at the end of the first quarter to 3.18% at the end of June, as investors fled risk assets toward the safety of Treasury securities, benefiting Trading Advisors with net long exposures to long-end Treasury assets. Treasury prices continued to rise amid growing discomfort with the potential for a Greek default as well as over skepticism over the US economic recovery. However, in the last few days in the quarter, a relief rally in equity and credit markets prompted a sharp shift from Treasurys to risk assets, causing a 30bp spike in 10-Year yields. As a result, certain Trading Advisors gave back some gains late in the quarter.

With respect to foreign exchange holdings, performance for the quarter was roughly flat. Trading Advisors were predominantly short the US dollar, anticipating the consequences of an accommodative monetary stance combined with persistently weak economic growth. This stance persisted throughout the quarter, and was accretive to performance early in the period, but caused losses later in the quarter, notably as long exposure to the euro detracted, and as long Australian dollar holdings traded down against the US dollar more than 4% in May. Toward quarter-end, long holdings in the New Zealand dollar versus the US dollar also lost ground, but long US dollar holdings against the yen helped to mitigate overall losses for the period as the dollar gradually strengthened as the quarter came to a close.

After modest appreciation in April, performance in the energy sector finished the quarter down slightly. Overall, Trading Advisors took a bullish view of the space and expressed this primarily through positions in crude oil and natural gas. Trading Advisors holding positions in West Texas Intermediate crude oil (WTI) and Brent crude oil saw the price spread between the two remain wide early in the quarter, driven by a glut of supply of WTI coming to the Cushing, Oklahoma facility (a major price settlement point for WTI) from Canada, and Middle Eastern stress driving up prices for Brent. Furthermore, as energy prices declined through May and June, momentum models for several Trading Advisors drove a gradual shift toward net short exposures. However, this tactical shift hurt overall results in late June, as investor optimism drove a sharp rally in energy prices in the final trading days of the quarter.

Holdings in metals modestly detracted from performance over the quarter. Early in the quarter, Trading Advisors were positioned long metals, with gold being one of the more active sectors for this space as it reached record highs in late-April. However, choppy performance in May and declines in June challenged most Trading Advisors, who responded by reducing net exposures significantly over the course of June, softening the impact of price declines on performance toward the end of the quarter. 

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Long silver exposures were also volatile during the period, as a 27% price gain in the metal in April was followed by a nearly equal loss in early May. An 84% increase in margin requirements for silver implemented by COMEX in early May had a discouraging impact, returning prices back to March levels, and netting flat results for the rest of the quarter.

Within the agricultural sector, performance suffered somewhat as well.  Many Trading Advisors were positioned long livestock towards the beginning of the quarter, as foot-and-mouth disease has devastated supply, particularly in Asia, leading to increased demand for imports, but falling demand and signs of increasing supply in the US in April led to losses. Long coffee positions were also initially profitable based in part on a reduced supply of Arabica beans, but prices deflated through May and June as demand destruction continued to play itself out. Grain markets whipsawed violently in May and the USDA’s Grain Stocks and Acreage report surprised the market with higher-than-expected supply numbers. For example, the report had June 1 stock numbers for corn at 3.57 billion bushels — 350 million bushels more than the consensus estimate.

Despite modest early gains, equity-based strategies ultimately suffered by quarter-end. Long exposures to US and European indices in May hurt performance, highlighted by a sharp intra-month Eurostoxx decline as investor confidence in Greece’s ability to remain solvent rapidly eroded. A sharp reversal in late June helped Trading Advisors who maintained their long S&P 500 Index exposures, but Asian exposures to the Hang Seng and Nikkei Indices drove late period losses.

July 1, 2011 to September 30, 2011

The Partnership posted a net gain for the third quarter in a period marked by compounding fears regarding economic and financial developments in Europe, the US and Asia, ushering large-scale sell-offs across most risk assets in August and September. The potential for a Greek default, and its potential ramifications on regional banks and other troubled countries, was the prominent concern, driving broad-based volatility and investor caution.

A convergence of woes in Europe, Asia and the US continued to dampen investor sentiment in the third quarter, leading to material market declines.  European events were once again in focus, as sentiment vacillated between positive developments keeping Greece from insolvency, and fears that a default or restructuring may decimate Eurozone banks holding Greek debt. While Greece dominated the spotlight, the specter of further bailouts in the European periphery set investors further on edge. News out of the US was not comforting either. High unemployment and a decelerating economy promoted a cautious investor sentiment that quickly turned dour. Real GDP grew at an annualized rate of a little over 1% during the second quarter. With few apparent catalysts and strong political divides over governmental roles in the recovery, prospects for substantial near-term improvement seem dim. Further, in China, worries that economic deceleration in the west will cripple export demand, and a potential for corrections in real estate prices and broader lending have spurred concerns that its economic growth may be sputtering, inciting a 20.7% drop in the Hang Seng Index (performance in US dollar) during the third quarter.

Fixed income activity was the greatest contributor to the Fund’s performance for the quarter, helped by both USD and non-USD positions. From a broad perspective, global interest rate moves were impacted significantly by sovereign debt concerns and global monetary policy initiatives. Specifically, the US Federal Reserve’s policy measures, and developments surrounding the European sovereign debt crisis, shaped performance. As investors sought refuge from these macroeconomic concerns, 5-year and 10-year Treasury yields, and 5-year and 10-year German bund yields declined through much of the quarter, contributing to Trading Advisors positioned with long exposures to these benchmark securities.  The

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portfolio reduced its net long USD exposure as the quarter came to a close and Trading Advisors were generally positioned net short with respect to long-duration Treasury exposure.

Metals were additive to performance throughout the quarter. In the midst of ongoing US economic concerns, and as investors sparked a flight-to-quality early in the quarter, gold and silver traded higher for most of the quarter. This was accretive to early performance as many Trading Advisors entered the period with a long view on the complex. However, later in September, precious metals prices experienced a sharp decline, trimming gains for certain Trading Advisors.  Lack of demand from China in a weak US housing market and a strengthening US dollar put pressure on industrial metals. This was beneficial with the portfolio positioned net short non-ferrous metals.

Agricultural holdings gave mixed performance during the quarter. Poor crop conditions throughout the quarter reduced estimated grain yields and resulted in a bearish crop report from the USDA at quarter-end, lifting prices. This generated early losses for Trading Advisors, but late period gains as exposures gradually shifted to the long side. Sugar prices were volatile during the quarter, as early gains were spurred by markdowns in Brazilian crop estimates, but prices declined, rallied, and declined again, closing the quarter down overall, creating a challenging trading environment for Trading Advisors.

Foreign exchange strategy performance for the quarter showed modest gains. Underlying Trading Advisors benefited from early trading in major currency pairs, such as the US dollar versus the Japanese yen, the Australian dollar, and the Swiss franc. Trading in these currency pairs subsequently gave back some gains in August, with the only gain mid-quarter coming from long Swiss franc exposures as investors fled to safer currencies. However, currency strategies positively contributed to Trading Advisor results in September, particularly short euro exposures as investors continued to move away from the region.

Energy detracted from performance throughout the quarter. Crude oil and its products initially traded in tight ranges compared to previous months, but fell sharply mid-quarter on news of significant supply in the marketplace, and the potential for Libyan oil production to restart. Trading Advisors suffered losses stemming from positions in West Texas Intermediate crude oil and natural gas early in the quarter and suffered additional losses mid-quarter on positions in Brent crude. However, short positions in natural gas helped Trading Advisors limit overall losses, as futures declined more than 10% at the close of September.

Equity-based strategies bore out a challenging quarter with sharp declines in equity prices during August and September, creating headwinds for Trading Advisors positioned net long US indices. However, the sector regained some of its losses in September, derived from a number of short exposures to non-US markets, particularly with respect to Germany’s DAX and Europe’s DJ STOXX indices.

January 1, 2010 to September 30, 2010

January 1, 2010 to March 31, 2010

The Partnership posted a net loss for the quarter as broadly mixed performance across Trading Advisors reflected a period with numerous news shocks that proved to be difficult for many systematic models to capture. Overall, foreign exchange led the quarter’s contributing sectors, with equities, fixed income and energy also producing positive results. Meanwhile, commodities trading generally struggled during the quarter, as agriculture and metals detracted.

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Leading foreign exchange activity, underlying long US dollar exposures versus a troubled euro and a sympathetic British pound were largely additive during the quarter. In particular, continued concerns around Greece’s sovereign debt crisis, and the Eurozone in general, influenced a general sell-off of the euro resulting in seven-month lows against the US dollar. The British pound also experienced weakness over local debt concerns and political uncertainty. Additional performance gains were generally the result of underlying long exposures to the currencies of commodity-dominant Australia and Canada. Meanwhile, underlying long Japanese yen holdings largely suffered during the quarter as the yen experienced its largest monthly decline versus the euro since early 2009 despite the euro’s troubles, and fell to three-month lows versus the US dollar.

Equities struggled early in the quarter as European fiscal concerns drove investors to sell risky assets. Following these long-side losses, including notable declines in the Dow Jones Eurostoxx and Hang Seng indices, many Trading Advisors ultimately reduced net long exposure through stop-loss levels and a reduction in signal strength. This led to further negative Trading Advisor results when markets strongly rebounded mid-quarter as investors looked favorably on indications that the EU would support Greece. Additionally, economic data releases late in the quarter also appeared to support investor optimism that the economy was on a recovery path, benefiting underlying long US and Japanese exposures particularly. Trading Advisors were generally able to successfully navigate the continued upswing in March, accruing enough gains to overcome a large part of earlier losses.

The shift away from risky assets was a predominant theme for bond markets in January and early February. In particular, underlying long exposures to Euribor and German bunds profited, perceived as a safer alternative to the more heavily-indebted economies in the Eurozone, chiefly Greece. Gilts also appreciated mid-quarter after the Bank of England signaled concerns late in the month of a shrinking economy. However, range-bound global rates and a lack of clear market direction created a difficult trading environment later in the period. German bunds reversed from their previous upswing and Japanese government bond prices declined in anticipation of improved economic reports. Meanwhile, US Treasury trading was mixed throughout the quarter as rising longer-term yields reflected increased issuance and perceived improvements in the economy, while record-low short-term rates reflected the apparent intention of policy makers to remain accommodative.

Energy trading struggled early, but generally was able to recover lost ground in March. A commodity sell-off in crude oil and low volatility in natural gas prices created a difficult start to the year, leading many to short the sector. However, sharp reversals in crude oil prices frustrated a number of Trading Advisors. Following these losses, several Trading Advisors built up long exposures, setting up notable gains throughout the second half of the period as oil prices reached 18-month highs, bolstered by a growing appeal of commodities relative to corporate securities, as well as the US dollar’s decline. Furthermore, natural gas stockpiles reached above-average levels, profitably affecting underlying short natural gas exposures and pushing the overall sector into positive territory for the month.

First quarter metals sector declines were driven by gold and copper exposures. Most notably, underlying short gold positions generally lost ground as historically low central bank sales and a rebounding market in India and China supported prices. Meanwhile, underlying long nickel exposures helped to partially mitigate losses as the industrial metal’s prices reached 22-month highs in March, bolstered by the improving economic outlook. Platinum also contributed as anticipated demand from a global auto recovery augmented the metal’s performance over the quarter.

Agriculture-based commodity trading has experienced a very challenging environment year-to-date. Soybeans led losses within a rangebound trading environment for the crop, and wheat hit a five-month low in March due to light demand and higher-than-expected global supply. Furthermore, underlying long

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exposures to sugar experienced initial gains due to poor recent crops in India and Brazil, but the commodity aggressively reversed after hitting a 25-year high, ultimately suffering a 15% price collapse on news of increasing output in the two regions.

April 1, 2010 to June 30, 2010

The Partnership posted a net loss for the quarter on broadly mixed performance across Trading Advisors. The period reflected increasing uncertainty over the health of the global recovery, affected in part by weak economic data from the developed world and the unknown impact of various financial and fiscal reforms. Overall, select long sovereign fixed income exposures led the quarter’s contributors as investors favored safe havens, and metals and foreign exchange activity experienced flat returns. Meanwhile, energy, agricultures and equities all detracted during the quarter.

Increasingly risk-averse investor attitudes during the second quarter contributed to significant gains for Trading Advisors in the fixed income sector, as investors continued to seek low-risk assets. Underlying long exposures to German bunds, US Treasurys and Japanese government bonds were generally profitable throughout the period as bond yields in many developed countries declined, particularly on poor economic news in China and the US. Specifically, US 10-year yields reached a 13-month low during the period. However, bond prices in peripheral Europe fell as disappointing macroeconomic data reignited worries about sovereign debt in the region, despite the European Union’s and IMF’s announced €75 billion bail-out of Greece.

The metals sector was largely flat during the quarter as trades hedging a flight-to-quality mitigated losses from weaker industrial metal pricing. Gold was a notable winner for the sector as investors increasingly favored it as a safe haven, with prices rising throughout the quarter. Copper shorts also contributed as the metal sold off, falling as much as 12% in June before partially recovering in the last two weeks of the quarter. Meanwhile, nickel prices peaked in late April, declining in May on factors including rising global inventories and increased production of low-cost alternatives in China.

Foreign exchange activity was mixed during the quarter. Gains from select major currencies trades offset losses in emerging market and minor currency trading. In particular, concerns in Europe continued to drive the decreasing value of the euro to a four-year low against the US dollar, ultimately aiding Trading Advisors short the euro versus the rallying US dollar. Meanwhile, the Swiss franc experienced a volatile quarter, as the Swiss National Bank sought to prevent significant currency appreciation against the euro, causing a decline in the currency in May, but later improving in June after further intervention was abandoned on improving economic data. The Australian and Canadian dollars also struggled in May as commodity-related currencies generally sold-off, only to reverse in June. In addition, the British pound and Japanese yen experienced mixed results during the quarter.

Despite gains in April, energy trading experienced significant losses in May, ultimately driving negative quarterly performance for the sector. Oil prices and investor sentiment were on the rise in April, but a sharp reversal occurred in May upon concerns of curbed demand and growing stockpiles in the Eurozone and China, the world’s second largest consumer of oil. Crude oil rallied in June as the US dollar weakened, and natural gas prices gained ground on positive inventory data, however Trading Advisors added to energy shorts following May’s declines, hurting overall performance.

The agriculture sector continued to experience a challenging environment, garnering losses in cotton, soybeans, corn, coffee and lumber trading. Corn and wheat exposures proved difficult for short-biased Trading Advisors when prices rose early in the quarter on speculation of adverse weather during the growing season. After reports of expanded planting and inventory relaxed prices somewhat, the grains

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finished the quarter on an uptick, again generating losses. In the meantime, cotton performance was negatively affected by a strengthening US dollar and weakening equity prices, while coffee improved when NYMEX futures notably increased due to global supply uncertainties, creating short-side losses.

Equities suffered throughout the quarter, experiencing wide and volatile trading ranges. In general, continued concerns over the European sovereign debt crisis and Chinese policy tightening overshadowed positive developments in corporate profitability and rising economic growth forecasts. Furthermore, the May 6th “flash crash” sell-off, and the May 10th recovery spike resulting from the announcement of the European Union’s and IMF’s planned €75 billion bail-out of Greece contributed to a more than 20-point surge in the VIX during the month. While the S&P 500 was able to maintain positive performance in April, both domestic and international indices, including the CAC 40, DAX, FTSE, S&P 500, NASDAQ and Nikkei 225 indices, contributed to the sector’s overall losses during the quarter.

July 1, 2010 to September 30, 2010

The Partnership posted a net gain for the quarter as underlying managers generated momentum following a rocky start. The period reflected oscillating investor perspectives on employment, production and the potential for further quantitative easing efforts, fueling vast market swings. However, the US passed its financial regulation bill into law in July, and European banks largely passed stress tests in late July, removing notable sources of uncertainty that had vexed investors in previous months. By quarter’s end, many underlying managers felt confident enough in the economic environment to begin taking moderate risk in their portfolios. Overall, foreign exchange, fixed income and agriculture commodities all posted solid gains, and metals experienced modest returns. Meanwhile, energy and equities both detracted during the quarter.

The difference of investor risk perspectives during the third quarter was especially evident in the fixed income sector. Bond markets experienced mixed performance, declining in July as certain investors moved away from safe havens into more cyclical assets, only to benefit from investor unease in August as US securities richened and long-term yields dove to early-2009 levels. They once again declined in September as Treasury yields hit their lowest levels of the year. Meanwhile, the Eurodollar started the period strong, in contrast to a German bund that faltered early but experienced significant improvements by the end of August. Both bunds and gilts fell off a month later as non-dollar denominated rates positions underperformed US dollar positions. Underlying managers generally ended the quarter by beginning to reduce long positions in their fixed income portfolios.

Amidst foreign exchange activity by managers, short dollar exposures were generally additive as the US dollar weakened on economic concerns. Long exposures to currencies of commodity-dominant economies also contributed gains throughout the quarter as both the Australian and Canadian dollars improved. Furthermore, long exposures to the Japanese yen profited as the currency spiked to a 15-year high in September before the Japanese monetary authorities intervened to stop the currency’s gains. In contrast, short exposures to the US dollar versus a basket of emerging market currencies struggled throughout the period, hurting performance.

Agriculture-based commodity trading experienced its first positive quarter of the year as underlying managers in aggregate successfully navigated swings in the sector. Wheat dominated activity early in the period, as prices improved nearly twofold in July on news of suspended grain shipments in Russia due to a severe draught. The crop then launched into a period of heightened volatility that culminated in the steepest three-day decline in nearly two years as investors speculated that importers would cut purchase prices. Meanwhile, corn, cotton and soybeans all experienced increased demand during the quarter, while demand for cocoa fell.

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Following a difficult start, the metals sector experienced positive performance as flight-to-quality long precious metals exposures dominated trades during the second half of the period. Gold experienced its first monthly decline in seven months in July, only to bounce back the following month, breaking through a record $1,300/oz in September as risk-sensitive investors increasingly viewed the metal as a safe haven in the long-term. Silver also bolstered performance later in the quarter, notably in September when prices hit a 30-year high. Declining inventory levels boosted copper prices during the period, while aluminum prices declined on lowered expectations for industrial demand.

Energy trading experienced notable losses in July and September, and despite gains in August, ultimately drove negative quarterly performance for the sector. Oil and natural gas prices were on the decline for much of the period, battered by concerns surrounding weak consumer demand and increasing petroleum stockpiles. Following July’s losses, underlying managers generally repositioned by adding energy shorts, which subsequently profited from further price declines in August. However, during the last two weeks of September, many Trading Advisors experienced significant losses as crude oil rallied nearly 7% due to an improving global growth outlook and faltering US dollar. Gasoil, heating oil and natural gas trading further contributed to losses for the asset class.

Equity strategies challenged managers yet again, as mixed macroeconomic news and volatile investor sentiment contributed to a choppy trading environment. Increasing clarity on a number of sovereign fiscal issues, including US financial reform, the European Union’s financial status and evidence of success in the managed deceleration of China’s economy, drove a rally at the end of July. However, downward revisions to US GDP, persistent unemployment and unrelenting weakness in the housing market led to a market reversal in August, leading to losses for most major indices and peaking correlation for S&P constituents. Equity markets reversed yet again in September as modest evidence of economic growth and hints of further quantitative easing fueled positive investor sentiment, catalyzing long position gains for exposures to the NASDAQ 100, FTSE 100 and Hang Sang indices.

Performance Summary — Factors Affecting Interest Income and Expenses

Cash held in accounts at the Clearing Brokers and BNY Mellon Trust earns interest on all such assets which are not used for trading.  The decreased level of interest rates in 2011 in the US negatively impacted interest income revenues. The Partnership estimates that approximately 90% of its assets are earning interest.  For the nine and three months ended September 30, 2011 the Partnership earned $224,924 and $45,666, respectively, in interest income, or approximately 0.06% and 0.01%, respectively, of the Partnership’s average month-end net assets. For the nine and three months ended September 30, 2010 the Partnership earned $344,080 and $174,832, respectively, in interest income, or approximately 0.11% and 0.05%, respectively, of the Partnership’s average month-end net assets. The average interest rates for the nine and three month periods ended September 30, 2011 were 0.12% and 0.08%, respectively. The average interest rates for the nine and three month periods ended September 30, 2010 were 0.16% and 0.23%, respectively.

The overall expenses of the Partnership (excluding Profit Shares) generally vary with changes in net assets. As such, expenses that vary with net assets are higher as of September 30, 2011 when compared to the same period ending September 30, 2010 due to the overall increase in the Partnership’s net assets.  For the nine and three month period ended September 30, 2011, distribution fees, Trading Advisors’ management fees and Sponsor fees increased approximately 21% and 10%, respectively when compared to the nine and three month period ended September 30, 2010.  This is due mostly to a 21% and 12% increase in average net assets in the nine and three month periods ended September 30, 2011 when compared to nine and three months ended September 30, 2010, partially offset by the variation of the

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level of traded assets during the respective periods.  Profit Shares increased for the period ending September 30, 2011, when compared to the period ending September 30, 2010 primarily due to more profitable Trading Advisors.

The distribution fee is paid to the General Partner, who will then pay the distribution fee to the third-party selling agents, if any. Such selling agents in turn may use cash funds to compensate financial advisors and/or to cover the costs of supporting client accounts within the third party organization. If there are no payments to third-party selling agents with respect to a particular investor, the distribution fee will be returned by the General Partner or paid to an affiliate. Management fees are paid to the Trading Advisors. Sponsor fees are paid to the General Partner.

Liquidity; Capital Resources

The Partnership may borrow only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Partnership’s U.S. dollar deposits.  Any borrowings would be at a prevailing short-term rate in the relevant currency.  They have been immaterial to the Partnership’s operation to date and are expected to continue to be so.

A significant portion of the Partnership’s assets are currently held in cash.  The Net Asset Value of the Partnership’s cash is not affected by inflation.  However, changes in interest rates could cause periods of strong up or down price trends.  Inflation in commodity prices could also generate price movements.

With respect to assets allocated primarily to managed accounts rather than Portfolio Funds, except in unusual circumstances, the Partnership should be able to close out of its open trading positions and liquidate its securities holdings quickly and at market prices.  This should permit a Trading Advisor to seek to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.  In addition, because there generally is a readily available market value for the Partnership’s positions and assets not allocated to Portfolio Funds, payment of redemption proceeds from the Partnership will generally be made approximately ten (10) days following the Redemption Date, although there can be no assurance as to the timing of such payments.

Although the Partnership has not done so to date, the Partnership may allocate assets to Portfolio Funds which typically are subject to redemption restrictions which may include advance written notice for redemptions, monthly or quarterly redemptions and such Portfolio Fund’s ability to limit or suspend redemptions. Certain Trading Advisors accounts may also require advance notice to liquidate positions.

Most US exchanges (but generally not foreign exchanges, or banks or broker-dealer firms in the case of foreign currency forward contracts) limit by regulation the amount of fluctuation limits. The daily limits establish the maximum amount the price of a futures contract may vary either up or down from the previous day’s settlement price at the end of the trading session.  Once the “daily limit” has been reached in a particular commodity, no trades may be made at a price beyond the limit.  Positions in the commodity can then be taken or liquidated only if traders are willing to effect trades at or within the limit during the period for trading on such day.  Because the “daily limit” rule only governs price movement for a particular trading day, it does not limit losses.  The rule may, in fact, substantially increase losses because it may prevent the liquidation of unfavorable positions.  Futures prices have occasionally moved the daily limit for several consecutive trading days, and thereby prevented prompt liquidation of futures positions on one side of the market, subjecting those futures traders involved to substantial losses.

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Liquidity will be of concern to the Partnership primarily in that the futures markets in which the Trading Advisors take positions may have periods in which illiquidity makes it impossible or economically undesirable to execute trades which its respective trading strategy would otherwise suggest.  Other than in respect of the functioning of the markets in which it trades, liquidity will be of little relevance.

The Partnership has not made any investments in Portfolio Funds to date so it has not had to raise funds from Portfolio Funds.  Instead, the Partnership pays its redemptions with the cash held in its various operating accounts.  Due to the nature of its futures trading, the Partnership has significant amounts of cash available to it.  When it needs to fund redemptions, the General Partner anticipates that it will adjust the net assets allocated to the Partnership’s various Trading Advisors as appropriate based upon its asset allocation process. The individual Trading Advisors decide which trading positions to liquidate in the accounts they manage, when necessary.  To date the Partnership has been able to satisfy all of its redemption requests in a timely manner, although no assurances can be given that it will be able to do so in the future.

There were no material commitments for capital expenditures as of September 30, 2011, the end of the most recent reporting period.

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Item 3.   Quantitative and Qualitative Disclosures About Market Risk

Quantifying the Partnership’s Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Partnership’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act and Section 21E of the Exchange Act).  All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Partnership’s risk exposure in the various market sectors traded by the Trading Advisors is quantified below in terms of Value at Risk.  Due to the Partnership’s mark-to-market accounting, any loss in the fair value of the Partnership’s open positions is directly reflected in the Partnership’s earnings (realized or unrealized) and cash flows (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk.  Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95% - 99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels.  Maintenance margin levels are established by dealers and exchanges using historical price studies, as well as an assessment of current market volatility and economic fundamentals, to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Partnership), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

The fair value of the Partnership’s futures and forward positions does not have any optionality component. However, certain of the Trading Advisors trade commodity options.  The Value at Risk associated with options is reflected in the following table as the margin requirement attributable to the instrument underlying each option.

In quantifying the Partnership’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate Value at Risk.  The diversification effects resulting from the fact that the Partnership’s positions are rarely, if ever, 100% positively correlated, have not been reflected.

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The Partnership’s Trading Value at Risk in Different Market Sectors

The measurement of the Partnership’s Trading Value at Risk is based upon the margin requirements imposed upon the Partnership for the positions it maintains across the various market sectors it invests in, which are calculated for each of its clearing accounts. The Partnership’s margin requirements are then allocated across the various market sectors disclosed in the table based upon the relative size of the positions held in each sector. The Partnership’s disclosure does not attempt to reduce this exposure based upon any assumptions on the correlation of positions held across the different clearing accounts to each other. The following table indicates the average, highest and lowest trading Value at Risk associated with the Partnership’s open positions by market category for the quarterly period ended September 30, 2011. During this period, the Partnership’s average capitalization was $388,715,539.

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agriculture	$	377,240	0.10	%	$	726,907	$	154,939
Currencies	5,992,574		1.54	%	6,328,720		5,416,461
Energy	182,970		0.05	%	417,764		4,657
Interest Rates	19,749,513		5.08	%	24,865,187		16,551,924
Metals	328,326		0.08	%	742,424		79,958
Stock Indices	411,307		0.11	%	567,885		158,028
TOTAL	$	27,041,930	6.96	%	$	33,648,887	$	22,365,967

Average, Highest and Lowest Value at Risk amounts relate to the average, highest and lowest month-end amounts for each month-end during the period. The Percentage of Average Capitalization is the average of the Partnership’s capitalization at the end of each calendar month during the period.

Item 4. Controls and Procedures

The General Partner, with the participation of the Partnership’s President as principal executive officer of the Partnership (“President”) and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of and for the period which ended September 30, 2011, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective.  Additionally, there were no significant changes in the General Partner’s internal controls with respect to the Partnership over financial reporting which materially affect such internal controls.

Changes in Internal Control over Financial Reporting

There were no significant changes in the Partnership’s internal controls or in other factors that could significantly affect those controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

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PART II - OTHER INFORMATION

Item 1.      Legal Proceedings

None.

Item 1A.   Risk Factors

Speculative Position Limits

The CFTC and certain exchanges have established speculative position limits on the maximum net long or short futures and options positions which any person or group of persons acting in concert may hold or control in particular futures contracts. The CFTC has adopted a rule generally requiring each domestic US exchange to set speculative position limits, subject to CFTC approval, for all futures contracts and options on futures contracts traded on such exchanges which are not already subject to speculative position limits established by the CFTC or such exchange. The CFTC has jurisdiction to establish speculative position limits with respect to all futures contracts and options on futures contracts traded on exchanges located in the United States, and any such exchange may impose additional limits on positions on that exchange. Generally, no speculative position limits are in effect with respect to the trading of forward contracts or trading on non-US exchanges.

Pursuant to the Reform Act and regulatory rulemakings, in the future all trading accounts owned or managed by each of the Trading Advisors acting on behalf of the Partnership (or a subsidiary of the Partnership), its respective principals and affiliates, may be required to be aggregated for speculative position limit purposes depending upon the outcome of the rulemaking under the Reform Act. Because futures position limits allow a commodity trading advisor and its principals to control only a limited number of contracts in any one commodity, the Trading Advisors and their principals are potentially subject to a conflict among the interests of all accounts the Partnership and its principals control which are competing for shares of that limited number of contracts. Although the relevant Trading Advisor may be able to achieve the same performance results with OTC substitutes for futures contracts, the OTC market may be subject to differing prices, lesser liquidity and greater counterparty credit risks than the regulated US commodities exchanges. The relevant Trading Advisor may in the future reduce the size of the positions which would otherwise be taken or not trade in certain markets on behalf of the Partnership (or a subsidiary of the Partnership) in order to avoid exceeding such limits. Modification of such trades that would otherwise be made by the relevant Trading Advisor, if required, could adversely affect the Partnership’s operations and profitability. Such modification, if required, could require the Partnership to liquidate certain positions more rapidly than might otherwise be desirable, and could adversely affect the performance of the Partnership. A violation of speculative position limits by the Partnership could lead to regulatory action materially adverse to the Partnership’s prospects for profitability. Additionally, the CFTC could lower any applicable position limits, apply such limits to additional futures or commodity index contracts or restrict potentially relevant position limits exemptions.

The Reform Act significantly expands the CFTC’s authority to impose position limits with respect to futures contracts, options on futures contracts, swaps that are economically equivalent to futures or options on futures, swaps that are traded on a regulated exchange and certain swaps that perform a significant price discovery function. Although the CFTC had previously proposed a new rule to implement speculative position limits for futures and options contracts in certain energy commodities, it withdrew its proposed rule.

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In January 2011, the CFTC issued a notice of proposed rulemaking (the “Proposed Limits Rule”) which outlines position limits for 28 so-called “exempt” (e.g. metal and energy contracts) and agricultural commodity derivatives, futures and option contracts and their economically equivalent swaps.  The Proposed Limits Rule also narrows the definition of a bona fide hedging transaction for the purpose of obtaining an exemption from position limits, sets forth more stringent account aggregation standards and establishes visibility reporting requirements for exempt contracts (i.e. non-agricultural contracts).

Depending on the outcome of the rulemaking and any future CFTC regulatory actions, the rules may be amended in a manner that is either detrimental or favorable to the Partnership. For example, if the amended rules are detrimental to the Partnership, the Partnership’s ability to invest in additional commodity futures contracts may be limited to the extent these activities would cause the Partnership to exceed the applicable speculative position limits.

In addition, it is possible that the CFTC may propose additional new rules that would consider futures contracts underlying OTC transactions in calculating position limits. Any such changes could alter, perhaps to a material extent, the nature of an investment in the Partnership and the ability of the Partnership to continue to implement its investment approach.

On June 17, 2011, the CFTC published a proposed order that would provide persons and entities with temporary exemptive relief from certain of the provisions of the CEA, as added or amended by the Reform Act, while certain rulemaking proceedings necessary to implement the Reform Act are ongoing.  The proposed order was adopted substantially as proposed on July 14, 2011.  The impact of the Reform Act on the Partnership cannot be known until these rulemaking procedures have been completed.

Risks Associated With Investing Through Subsidiaries

The Partnership will bear its pro rata share of expenses of any subsidiary that holds Partnership assets, including any extraordinary expenses incurred, in addition to the fees and expenses charged at the Partnership level.  Therefore, the Partnership generally will be subject to an additional level of expenses or liabilities as a result of its investments in these structures rather than investing directly with a Trading Advisor.

Because investments in a subsidiary are ultimately commingled with the investments from other partnerships or accounts managed by BRIM or its affiliates, these investment structures share risks commonly associated with a direct investment with a Trading Advisor.  In addition, an investment through a subsidiary may result in different investment outcomes (including with respect to performance and liquidity) than if the Partnership invested with the Trading Advisor directly.  The specific terms and rights associated with the Partnership’s investment with a Trading Advisor generally will be aggregated with Other Clients invested in the same subsidiary, rather than being tracked individually for the Partnership and each participating Other Client.  This means that the Partnership generally will share in any open positions, including any side pockets or other illiquid investments, held by the subsidiary.  There will be no segregation of liabilities between the Partnership and any other partnerships or accounts that allocate assets to the same subsidiary as the Partnership, and the Partnership’s assets allocated to a subsidiary may become exposed to liabilities related to such subsidiary’s investment on behalf of any such other partnerships or accounts.

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Item 2.Unregistered Sales of Equity Securities and Use of Proceeds.

(a)The table below represents the units issued to accredited investors pursuant to Regulation D and Section 4(2) under the Securities Act.

SERIES A

	Subscription
	Amount		Units	NAV
Jul-11	$	6,272,937	6,022,983	$	1.0415
Aug-11	6,321,966		5,884,183	1.0744
Sep-11	4,500,977		4,179,180	1.0770

SERIES I

	Subscription
	Amount		Units	NAV
Jul-11	$	120,000	97,284	$	1.2335
Aug-11	—		—	—
Sep-11	—		—	—

(b) None.

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(c) Limited Partners may redeem their Units at the end of each calendar month at the then current month-end Net Asset Value per Unit.  The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.

The following table summarizes the redemptions by Limited Partners during the third calendar quarter of 2011:

Series F

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
July 31, 2011	500	$	258.98	$	129,490
August 31, 2011	111	259.84		28,842
September 30, 2011	576	262.35		151,114
Total	1,187			$	309,446

Series A

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
July 31, 2011	2,457,713	$	1.0744	$	2,640,567
August 31, 2011	6,176,756	1.0770		6,652,366
September 30, 2011	1,596,876	1.0870		1,735,804
Total	10,231,345			$	11,028,737

Series G

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
July 31, 2011	265,793	$	1.1216	$	298,113
August 31, 2011	87,320	1.1254		98,270
September 30, 2011	137,072	1.1363		155,755
Total	490,185			$	552,138

Series I

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
July 31, 2011	20,237	$	1.2743	$	25,788
August 31, 2011	39,635	1.2808		50,765
September 30, 2011	8,204	1.2956		10,629
Total	68,076			$	87,182

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Item 3.	Defaults Upon Senior Securities
	None.
Item 4.	Reserved
Item 5.	Other Information
	None.
Item 6.	Exhibits

(a) Exhibits

The following exhibits are incorporated by reference or are filed herewith to this Quarterly Report on Form 10-Q:

10.01:Advisory Agreement between the Partnership, BRIM and Surya Global Horizons, LLC, dated August 1, 2011*

Exhibit 10.01: Is filed herewith.

31.01 and

31.02Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02:Are filed herewith.

32.01 and

32.02Section 1350 Certifications

Exhibit 32.01

and 32.02Are filed herewith.

101The financial information from the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2011 formatted in Extensible Business Reporting Language (XBRL), include: (i) the Condensed Consolidated Statements of Income, (ii) the Condensed Consolidated Balance Sheets, and (iii) related notes (furnished herewith).

*Portions of these exhibits have been redacted pursuant to a confidential treatment request filed with the Securities and Exchange Commission pursuant to Exchange Act Rule 24 b-2. Such redacted portions have been marked with an asterisk.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	BLACKROCK GLOBAL HORIZONS I L.P.
	By: BLACKROCK INVESTMENT MANAGEMENT, LLC
	(General Partner)
Date: November 14, 2011	By	/s/ EDWARD RZESZOWSKI
		Edward Rzeszowski
		President
		(Principal Executive Officer)
Date: November 14, 2011	By	/s/ MICHAEL L. PUNGELLO
		Michael L. Pungello
		Chief Financial Officer
		(Chief Financial Officer)

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