BlackRock Global Horizons I 10-Q 2012 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, 2012

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 “smaller 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, 2012 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	19
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	35
Item 3.	Defaults Upon Senior Securities	37
Item 4.	Reserved	37
Item 5.	Other Information	37
Item 6.	Exhibits	37

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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,
	2012		2011
ASSETS:
Cash and cash equivalents	131,906,218		$	196,117,766
Equity in commodity futures trading accounts:
Cash (restricted cash $20,372,919 and $17,272,542)	63,314,130		50,930,747
Net unrealized profit / market value on open contracts / options	603,660		2,633,381
Investments in Non-Consolidated LLCs (cost $123,252,405 and $157,905,014) (See note 4)	116,349,749		157,474,126
Due from investments in Non-Consolidated LLCs	3,728,057		37,488
Accrued interest and other assets	15,518		11,520
TOTAL ASSETS	$	315,917,332	$	407,205,028
LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:
Net unrealized loss / market value on open contracts / options	$	723,309	$	370,340
Due to investments in Non-Consolidated LLCs	—		254,832
Redemptions payable	9,769,197		7,402,636
Profit Shares payable	794,067		498,661
Distribution fees payable	776,558		980,952
Trading Advisors’ management fees payable	378,343		464,787
Sponsor fees payable	327,054		413,081
Administrator fees payable	533,318		375,692
Professional fees payable	604,114		437,409
Other fees payable	297,688		196,672
Total liabilities	14,203,648		11,395,062
PARTNERS’ CAPITAL:
General Partner (3,355,287 and 3,211,292 Units)	3,773,243		3,836,207
Limited Partners (280,395,757 and 350,651,611 Units)	297,940,441		391,973,759
Total partners’ capital	301,713,684		395,809,966
TOTAL LIABILITIES AND PARTNERS’ CAPITAL	$	315,917,332	$	407,205,028
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,
	2012			2011			2012			2011
TRADING PROFITS (LOSSES):
Realized	$	1,093,559		$	16,799,041		$	754,624		$	23,795,660
Change in unrealized	974,948			5,548,929			(2,251,979		)	(5,551,388		)
Change in value of investments in Non-Consolidated LLCs (2)	(1,963,090		)	2,244,990			(6,902,656		)	27,824
Brokerage commissions and clearing costs	(228,532		)	(520,301		)	(832,721		)	(1,914,704		)
Total trading profits (losses)	(123,115		)	24,072,659			(9,232,732		)	16,357,392
INVESTMENT INCOME:
Interest	50,912			45,666			170,270			224,924
EXPENSES:
Distribution fees	1,501,059			2,688,936			4,827,834			8,240,408
Trading Advisors’ management fees	721,888			1,376,669			2,274,430			4,141,275
Sponsor fees	630,509			1,131,034			2,027,412			3,465,517
Profit Shares	(18,496		)	1,699,540			253,474			2,311,389
Administrator fees	189,800			270,703			606,991			820,643
Professional fees	245,320			143,693			665,836			447,551
Other	53,893			115,447			189,862			347,291
Total expenses	3,323,973			7,426,022			10,845,839			19,774,074
NET INVESTMENT LOSS	(3,273,061		)	(7,380,356		)	(10,675,569		)	(19,549,150		)
NET INCOME / (LOSS)	$	(3,396,176	)	$	16,692,303		$	(19,908,301	)	$	(3,191,758	)
NET INCOME / (LOSS) PER WEIGHTED AVERAGE UNIT: (1)
Weighted average number of General Partner and Limited Partner Units outstanding
Series A	278,403,557			312,831,615			303,276,481			306,004,547
Series F	81,258			93,433			86,097			94,843
Series G	22,621,697			25,494,239			23,475,085			26,247,668
Series I	1,926,284			2,730,581			2,025,255			2,652,998
Net income / (loss) per weighted average General Partner and Limited Partner Unit
Series A	$	(0.0104	)	$	0.0454		$	(0.0571	)	$	(0.0091	)
Series F	$	(2.79	)	$	11.41		$	(13.40	)	$	(2.0315	)
Series G	$	(0.0121	)	$	0.0496		$	(0.0580	)	$	(0.0095	)
Series I	$	(0.0073	)	$	0.0624		$	(0.0421	)	$	0.0160

(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, 2012 and 2011 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 investments in Non-Consolidated LLCs.

See notes to consolidated financial statements.

3

BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2012 AND 2011

(unaudited)

			General			Limited
	Units		Partner			Partners			Total
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 income / (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
PARTNERS’ CAPITAL, December 31, 2011	353,862,903		$	3,836,207		$	391,973,759		$	395,809,966
Additions	19,267,845		150,000			19,757,512			19,907,512
Net income / (loss)	—		(212,964		)	(19,695,337		)	(19,908,301		)
Redemptions	(89,379,704	)	—			(94,095,493		)	(94,095,493		)
PARTNERS’ CAPITAL, September 30, 2012	283,751,044		$	3,773,243		$	297,940,441		$	301,713,684

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, 2012

(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	$	1.0487		$	252.87		$	1.0952		$	1.2586
Realized	0.0033			0.81			0.0035			0.0041
Change in unrealized	(0.0078		)	(1.88		)	(0.0081		)	(0.0095		)
Change in value of investments in Non-Consolidated LLCs (3)	(0.0201		)	(4.47		)	(0.0193		)	(0.0131		)
Interest	0.0005			0.12			0.0005			0.0006
Expenses	(0.0334		)	(8.05		)	(0.0349		)	(0.0223		)
Net asset value, end of period	$	0.9912		$	239.40		$	1.0369		$	1.2184
Total Return: (3)
Total return (before Profit Shares)	-5.41		%	-5.26		%	-5.26		%	-3.13		%
Profit Shares	-0.07		%	-0.06		%	-0.06		%	-0.06		%
Total return	-5.48		%	-5.33		%	-5.32		%	-3.19		%
Ratios to Average Net Assets:(1) (2) (4)
Expenses (before Profit Shares)	4.25		%	4.25		%	4.25		%	2.29		%
Profit Shares	0.07		%	0.07		%	0.07		%	0.07		%
Expenses	4.32		%	4.32		%	4.32		%	2.36		%
Net investment loss	-4.25		%	-4.25		%	-4.25		%	-2.30		%

(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 investments in Non-Consolidated LLCs.

(4) Excludes the Partnership’s proportionate share of expenses from its investments in Non-Consolidated LLCs. If the Partnership’s proportionate share of expenses from its investments in Non-Consolidated LLCs were included, the ratios for Expenses (before Profit Shares), Profit Shares, Expenses and Net investment loss for Series A, are 7.04%, 0.70%, 7.74% and (7.66)%, respectively and for Series F and Series G are 7.04%, 0.53%, 7.57% and (7.48)%, respectively and for Series I are 3.82%, 0.73%, 4.55% and (4.46)%, respectively.

See notes to consolidated financial statements.

5

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 BlackRock Global Horizons I L.P. (the “Partnership”) and its wholly owned subsidiaries.

The interim financial information at September 30, 2012 and 2011, and for the periods ended September 30, 2012 and 2011 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 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 consolidated 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, 2011.

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.

All wholly owned subsidiaries of the Partnership have been consolidated.  All transactions between consolidated subsidiaries have been eliminated in consolidation.  From time to time, other funds and accounts managed by the General Partner or its affiliates may also invest in such subsidiaries in order to gain exposure to the relevant Trading Advisor.  In such instances where the Partnership is not the sole investor in the subsidiary, the subsidiary will no longer be consolidated (the “Non-Consolidated LLCs”), and the Partnership’s investment in the Non-Consolidated LLCs will be presented as Investment in Non-Consolidated LLCs on the Consolidated Statements of Financial Condition.  Effective May 1, 2011, October 1, 2011 and November 1, 2011, other funds managed by the General Partner invested in one or more subsidiaries of the Partnership.  As a result, those subsidiaries were no longer consolidated; instead,

6

the Partnership’s interest in such Non-Consolidated LLCs is presented as Investment in Non-Consolidated LLCs on the Consolidated Statements of Financial Condition.  See Note 4 for further information on the Non-Consolidated LLCs.

The Bank of New York Mellon (“The Bank of New York Mellon”) provides custody services for the Partnership. The subsidiaries’ assets are or were held in cash and customer segregated managed accounts at Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), Newedge USA, LLC (“Newedge USA”), J.P. Morgan Securities LLC (“JPMS”), Morgan Stanley & Co. LLC (“MS&Co.”), 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, 2012, 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 incorporate a number of market data factors, such as the trades and prices of the underlying instruments.

The value of investments in Non-Consolidated LLCs is based on the Partnership’s proportionate share of the fair value of the financial instruments held by the Non-Consolidated LLCs plus any other assets and less any other liabilities held by the Non-Consolidated LLCs, which approximates the net assets value of the Non-Consolidated LLC. The Non-Consolidated LLCs’ valuation policy is the same as that of the Partnership discussed above. Changes in the value of investments in Non-Consolidated LLCs are reflected in the Consolidated Statement of Operations as Change in value of investments in Non-Consolidated LLCs, and includes the Partnership’s proportionate share of the Non-Consolidated LLCs’ 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 or entered into various derivatives contracts with MLPF&S, Newedge USA, JPMS, UBS AG (“UBS”), MS&Co., Morgan Stanley Capital Services LLC (“MSCS”), 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 MS&Co. (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 MS&Co., these receivables and payables are offset and reported as a net receivable or payable with each broker.  Net receivables are included in the Consolidated Statements of Financial Condition under Equity in commodity futures trading accounts in net unrealized profit/market value on open contracts/options; Net payables are included in the Consolidated Statements of Financial Condition under Liabilities in net unrealized loss / market value on open contracts/options. Receivables and payables are netted by counterparty and Trading Advisor, as appropriate under US GAAP.

7

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.

2.PARTNERS’ CAPITAL

At September 30, 2012 and December 31, 2011, the Net Asset Values of the different series of Units were:

September 30, 2012	Net Asset Value		Number of Units	Net Asset Value per Unit
Series A	$	257,233,076	259,504,384	$	0.9912
Series F	19,056,338		79,601	$	239.40
Series G	22,970,852		22,153,442	$	1.0369
Series I	2,453,418		2,013,617	$	1.2184
Total Partners’ Capital	$	301,713,684	283,751,044

December 31, 2011	Net Asset Value		Number of Units	Net Asset Value per Unit
Series A	$	343,083,496	327,160,840	$	1.0487
Series F	23,238,718		91,900	$	252.87
Series G	26,834,991		24,502,547	$	1.0952
Series I	2,652,761		2,107,616	$	1.2586
Total Partners’ Capital	$	395,809,966	353,862,903

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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 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, 2012, December 31, 2011 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, 2012 and December 31, 2011.

9

				Fair Value at Reporting Date Using
Description	September 30, 2012			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)
Cash Equivalents	$	131,906,218		$	131,906,218		$	—
Investments in Non-Consolidated LLCs	116,349,749			—			116,349,749
Futures (1)	543,936			543,936			—
Forwards (1)	(331,403		)	—			(331,403		)
Options (1)	(332,182		)	(278,237		)	(53,945		)
	$	248,136,318		$	132,171,917		$	115,964,401

Description	December 31, 2011
Cash Equivalents	$	196,117,766		$	196,117,766		$	—
Investments in Non-Consolidated LLCs	157,474,126			—			157,474,126
Futures (1)	2,420,125			2,420,125			—
Forwards (1)	118,330			—			118,330
Options (1)	(275,414		)	(267,264		)	(8,150		)
	$	355,854,933		$	198,270,627		$	157,584,306

(1) See the Condensed Consolidated Schedules of Investments in Note 4 for the values in each commodity industry sector within this table.

There were no 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 in its LLCs which includes both consolidated and non-consolidated LLCs, 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 in its LLCs which includes both consolidated and non-consolidated LLCs, 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, 2012, 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.

10

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 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 sell (write), 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 market risk, the risks arising from changes in the market value of the contracts; credit risk, the risk of failure by another party to perform according to the terms of a contract and concentration risk; the risk of financial institution insolvency.

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 OTC transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In OTC transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the OTC markets.

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, 2012 and December 31, 2011 was $20,372,919 and $17,272,542 respectively, which equals 6.75% and 4.36% of net asset value of the Partnership, respectively.

The Partnership has a substantial portion of its assets on deposit with financial institutions.  In the event of a financial institution’s insolvency, recovery of Partnership assets on deposit may be limited to account insurance or other protection afforded such deposits.

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, 2012, 141,964 futures and options contracts were closed.  The fair value of options held as of September 30, 2012 includes premiums paid of $213,750 and received of $509,392. The fair value of the Partnership’s futures, forwards and options contracts by type, defined as Net unrealized profit (loss) / market value on open contracts / options in the Consolidated Statements of Financial Condition as of September 30, 2012, are as follows:

							Long Positions												Short Positions
	Long Positions						Unrealized					Short Positions							Unrealized					Net Unrealized Profit (Loss)
Commodity	Number	Gross Unrealized					Profit (Loss)/			Percent of		Number		Gross Unrealized					Profit (Loss)/			Percent of		Market Value 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	480	$	141,511	$	(323,624	)	$	(182,113	)	-0.06	%	(208	)	$	116,322	$	(68,646	)	$	47,676		0.02	%	$	(134,437	)	-0.04	%	October 12 - October 13
Currencies	785	93,166		(371,201		)	(278,035		)	-0.09	%	(126	)	36,724		(6,550		)	30,174			0.01	%	(247,861		)	-0.08	%	October 12 - December 12
Energy	137	144,482		(41,690		)	102,792			0.03	%	(66	)	3,750		(125,240		)	(121,490		)	-0.04	%	(18,698		)	-0.01	%	October 12 - October 13
Interest rates	5,270	1,705,628		(89,142		)	1,616,486			0.54	%	(68	)	550		(84,687		)	(84,137		)	-0.03	%	1,532,349			0.51	%	October 12 - March 16
Metals	1,015	4,954,847		(72,926		)	4,881,921			1.62	%	(856	)	57,423		(4,885,041		)	(4,827,618		)	-1.60	%	54,303			0.02	%	October 12 - August 13
Stock indices	1,170	97,599		(774,794		)	(677,195		)	-0.23	%	(57	)	37,916		(2,441		)	35,475			0.01	%	(641,720		)	-0.22	%	October 12 - December 12
Subtotal	8,857	7,137,233		(1,673,377		)	5,463,856			1.81	%	(1,381	)	252,685		(5,172,605		)	(4,919,920		)	-1.63	%	543,936			0.18	%
Forwards
Currencies		106,960		(632,115		)	(525,155		)	-0.18	%			952,426		(758,674		)	193,752			0.06	%	(331,403		)	-0.12	%	October 12 - September 13
Subtotal		106,960		(632,115		)	(525,155		)	-0.18	%			952,426		(758,674		)	193,752			0.06	%	(331,403		)	-0.12	%
Options
Currencies	—	5,280		—			5,280			0.00	%	—		—		(90,383		)	(90,383		)	-0.03	%	(85,103		)	-0.03	%	October 12 - December 12
Energy	11	1,430		—			1,430			0.00	%	(22	)	—		(42,130		)	(42,130		)	-0.01	%	(40,700		)	-0.01	%	October 12 - November 12
Interest Rates	586	166,663		—			166,663			0.06	%	(723	)	—		(310,597		)	(310,597		)	-0.10	%	(143,934		)	-0.04	%	October 12 - March 13
Stock indices	29	15,525		—			15,525			0.01	%	(71	)	—		(77,970		)	(77,970		)	-0.03	%	(62,445		)	-0.02	%	October 12 - December 12
Subtotal	626	188,898		—			188,898			0.07	%	(816	)	—		(521,080		)	(521,080		)	-0.17	%	(332,182		)	-0.10	%
Total	9,483	$	7,433,091	$	(2,305,492	)	$	5,127,599		1.70	%	(2,197	)	$	1,205,111	$	(6,452,359	)	$	(5,247,248	)	-1.74	%	$	(119,649	)	-0.04	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Partnership’s capital as of September 30, 2012.

13

During the year ended December 31, 2011, 305,162 contracts were closed. The fair value of options held as of December 31, 2011 includes premiums paid of $144,782 and received of $506,379.  The fair value of the Partnership’s futures, forwards and option contracts by type, defined as Net unrealized profit (loss) / market value on open contracts / options in the Consolidated Statements of Financial Condition as of December 31, 2011, are as follows:

							Long Positions												Short Positions
	Long Positions						Unrealized					Short Positions							Unrealized					Net Unrealized Profit (Loss)
Commodity	Number	Gross Unrealized					Profit (Loss)/			Percent of		Number		Gross Unrealized					Profit (Loss)/			Percent of		Market Value 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	339	$	139,401	$	(136,604	)	$	2,797		0.00	%	(488	)	$	351,394	$	(243,839	)	$	107,555		0.03	%	$	110,352		0.03	%	January 12 - June 12
Currencies	228	262,274		(9,831		)	252,443			0.06	%	(320	)	468,713		(21,679		)	447,034			0.12	%	699,477			0.18	%	January 12 - March 12
Energy	128	57,091		(68,814		)	(11,723		)	0.00	%	(210	)	242,395		(32,440		)	209,955			0.05	%	198,232			0.05	%	January 12 - July 12
Interest rates	3,736	1,667,533		(53,994		)	1,613,539			0.41	%	(112	)	4,516		(68,995		)	(64,479		)	-0.02	%	1,549,060			0.39	%	January 12 - March 14
Metals	294	27,528		(797,833		)	(770,305		)	-0.19	%	(359	)	727,792		(129,151		)	598,641			0.15	%	(171,664		)	-0.04	%	January 12 - December 12
Stock indices	548	165,282		(69,952		)	95,330			0.02	%	(443	)	87,807		(148,469		)	(60,662		)	-0.02	%	34,668			0.00	%	January 12 - March 12
Subtotal	5,273	2,319,109		(1,137,028		)	1,182,081			0.30	%	(1,932	)	1,882,617		(644,573		)	1,238,044			0.31	%	2,420,125			0.61	%
Forwards
Currencies		737,517		(366,613		)	370,904			0.09	%			973,241		(1,225,815		)	(252,574		)	-0.06	%	118,330			0.03	%	January 12 - July 12
Subtotal		737,517		(366,613		)	370,904			0.09	%			973,241		(1,225,815		)	(252,574		)	-0.06	%	118,330			0.03	%
Options
Currencies	—	31,990		—			31,990			0.01	%	—		—		(40,141		)	(40,141		)	-0.01	%	(8,151		)	0.00	%	January 12 - February 12
Interest Rates	140	17,516		—			17,516			0.00	%	(232	)	—		(234,001		)	(234,001		)	-0.06	%	(216,485		)	-0.06	%	January 12 - March 12
Stock indices	4	1,507		—			1,507			0.00	%	(32	)	—		(52,285		)	(52,285		)	-0.01	%	(50,778		)	-0.01	%	January 12 - June 12
Subtotal	144	51,013		—			51,013			0.01	%	(264	)	—		(326,427		)	(326,427		)	-0.08	%	(275,414		)	-0.07	%
Total	5,417	$	3,107,639	$	(1,503,641	)	$	1,603,998		0.40	%	(2,196	)	$	2,855,858	$	(2,196,815	)	$	659,043		0.17	%	$	2,263,041		0.57	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Partnership’s capital as of December 31, 2011.

14

The following table represents the Partnership’s investment in each Non-Consolidated LLC and relevant financial information of the Non-Consolidated LLCs as of and for the periods indicated through September 30, 2012 and December 31, 2011, respectively:

September 30, 2012

	Partnership’s		Partnership’s		Partnership’s investment %
Non-Consolidated LLC	Fair Value		Cost		of Non-Consolidated LLC		Management Fee		Profit Share		Redemptions Permitted
Alamo Global Horizons, LLC	$	21,221,716	$	23,503,086	76.48	%	2	%	20	%	Monthly
Breakout Global Horizons, LLC	21,575,222		26,369,706		50.08	%	1	%	15	%	Monthly
Cambridge Global Horizons, LLC	28,015,670		24,861,476		63.36	%	2	%	20	%	Monthly
Nets Global Horizons, LLC	22,295,074		27,315,624		57.17	%	2	%	17	%	Monthly
Quantum Global Horizons, LLC	23,242,067		21,202,513		48.64	%	0	%	30	%	Monthly
Total	$	116,349,749	$	123,252,405

December 31, 2011

	Partnership’s		Partnership’s		Partnership’s investment %
Non-Consolidated LLC	Fair Value		Cost		of Non-Consolidated LLC		Management Fee		Profit Share		Redemptions Permitted
Alamo Global Horizons, LLC	$	30,058,051	$	29,710,429	79.57	%	2	%	20	%	Monthly
Breakout Global Horizons, LLC	32,953,719		34,228,076		56.48	%	1	%	15	%	Monthly
Cambridge Global Horizons, LLC	35,431,925		35,240,173		72.80	%	2	%	20	%	Monthly
Nets Global Horizons, LLC	31,341,984		32,675,816		62.57	%	2	%	17	%	Monthly
Quantum Global Horizons, LLC	27,688,447		26,050,520		58.69	%	0	%	30	%	Monthly
Total	$	157,474,126	$	157,905,014

15

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, 2012 and 2011 are as follows:

2012

Commodity Industry Sector	Realized Profits  (Losses)			Change in Net  Unrealized Profits  (Losses)			Net Trading Profits (Losses)
Futures
Agriculture	$	766,571		$	(256,494	)	$	510,077
Currencies	(513,798		)	(250,553		)	(764,351		)
Energy	(1,234,815		)	252,774			(982,041		)
Interest rates	(563,840		)	1,510,641			946,801
Metals	(109,822		)	(94,077		)	(203,899		)
Stock indices	1,237,452			(894,158		)	343,294
Subtotal	(418,252		)	268,133			(150,119		)
Forwards
Currencies	(507,442		)	895,424			387,982
Subtotal	(507,442		)	895,424			387,982
Options
Currencies	301,280			(46,385		)	254,895
Energy	337,720			123,200			460,920
Interest Rates	1,032,496			(139,380		)	893,116
Metals	46,549			—			46,549
Stock Indices	301,208			(126,044		)	175,164
Subtotal	2,019,253			(188,609		)	1,830,644
Total	$	1,093,559		$	974,948		$	2,068,507

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

16

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, 2012 and 2011 are as follows:

2012

Commodity Industry Sector	Realized Profits  (Losses)			Change in Net  Unrealized Profits  (Losses)			Net Trading Profits (Losses)
Futures
Agriculture	$	(885,136	)	$	(244,790	)	$	(1,129,926	)
Currencies	(3,505,286		)	(750,673		)	(4,255,959		)
Energy	1,452,691			(216,930		)	1,235,761
Interest rates	2,502,561			(16,711		)	2,485,850
Metals	(1,352,748		)	225,968			(1,126,780		)
Stock indices	(424,597		)	(676,388		)	(1,100,985		)
Subtotal	(2,212,515		)	(1,679,524		)	(3,892,039		)
Forwards
Currencies	(3,141,932		)	(449,733		)	(3,591,665		)
Subtotal	(3,141,932		)	(449,733		)	(3,591,665		)
Options
Currencies	874,033			(25,307		)	848,726
Energy	867,172			13,132			880,304
Interest rates	3,409,469			(63,560		)	3,345,909
Metals	114,703			—			114,703
Stock indices	843,694			(46,987		)	796,707
Subtotal	6,109,071			(122,722		)	5,986,349
Total	$	754,624		$	(2,251,979	)	$	(1,497,355	)

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

17

5.   RELATED PARTY TRANSACTIONS

Some of the Partnership’s U.S. dollar assets were maintained at MLPF&S until July 6, 2012.  MLPF&S is a wholly owned subsidiary of Merrill Lynch, which in turn had maintained a significant ownership interest in BlackRock and was an affiliate of the General Partner until June 1, 2011. On assets held in U.S. dollars, Merrill Lynch credited the Partnership with interest at the prevailing 91-day U.S. Treasury Bill rate. The Partnership was 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 could have derived certain economic benefit, in excess of the interest which Merrill Lynch paid to the Partnership, from possession of such assets.

As of May 31, 2011, $4,883,043 was held in trading accounts at MLPF&S.  For the five-month period ended May 31, 2011, the Partnership incurred $23,324 for brokerage commissions payable to MLPF&S.

As of September 30, 2012 and December 31, 2011, $131,906,218 and $196,117,766, were invested in an affiliated BlackRock money market fund.

6.   RECENT ACCOUNTING PRONOUNCEMENTS

In May 2011, Financial Accounting Standards Board (“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 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 adoption of additional disclosure requirements did not impact the Partnership’s financial statements.

In December 2011, FASB issued ASU 2011-11, Balance Sheet (Topic 210), Disclosures about Offsetting Assets and Liabilities (“ASU 2011-11”), which requires entities to disclose information about financial instructions and derivative instruments that have been offset or that subject to enforceable master netting agreements, to enable users of its financial statements to understand the effect of those arrangements on its financial statements to understand the effect of those arrangements on its financial position.  Entities will be required to provide both net (offset amounts) and gross information in the notes to the financial statements for relevant assets and liabilities that are offset or subject to the arrangements.  The amendments in ASU 2011-11 are effective for interim and annual periods beginning on or after January 1, 2013, and an entity should provide the disclosures required by the amendments retrospectively for all comparable periods presented.  The Partnership is in the process of evaluating the disclosure requirements and any impact the new disclosures will have on its financial statements.

18

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.

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, 2012, 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).

19

Trading Advisors	Systematic /  Discretionary	General Trading Focus	Allocation		CPO Registration Status	Investment Adviser Registration Status
Abraham Trading - Diversified Program *	Systematic	Long-term trend-following	7.25	%	Registered	Not Registered
Blackwater Capital Management - Diversified Program *	Systematic	Medium-term trend-following	7.25	%	Registered	Not Registered
Boronia Capital - Diversified Program	Systematic	Short-term trend-following	6.00	%	Registered	Not Registered
Cantab Capital Partners -CCP Quantitative Fund Program *	Systematic	Medium-term trend-following and mean reversion	9.25	%	Exempt CPO	Not Registered
Capital Fund Management S.A.	Systematic	Short-term trend-following	8.50	%	Registered	Registered
Crabel Capital Management - Two Plus Program	Systematic	Short-term trend-following	5.75	%	Registered	Not Registered
G Capital Fund Management LLC - Liquid Global Macro Portfolio	Discretionary	Fundamental Global Macro	11.10	%	Exempt CPO	Not Registered
NuWave Combined Futures Program *	Systematic	Medium-term pattern recognition	7.40	%	Registered	Registered
Ortus Capital Management Ltd -Currency Program	Systematic	Medium-term econometric	10.40	%	Exempt CPO	Not Registered
Quantitative Investment Management - Global Program *	Systematic	Short-term pattern recognition	7.55	%	Registered	Not Registered
Solaise Capital Management LLP - Systematic Program	Systematic	Medium-term trend-following	7.05	%	Not Registered	Not Registered
Winton Capital - Diversified Program	Systematic	Medium-term trend-following	12.50	%	Registered	Not Registered

* Currently reflected on the Partnership’s Consolidated Financial Statements as Investments in Non-Consolidated LLCs.

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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.

The General Partner has, in its discretion, formed 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 Partnership’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 general summary descriptions of these terms as well as the minimum account maintenance level for each Trading Advisor.   As each advisory agreement is specifically negotiated with each Trading Advisor, there are certain variations within the terms of each of the advisory agreements.  As noted above, each of these advisory agreements have been attached as exhibits to certain of the Partnership’s prior filings.

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 advisory agreements are terminable at the discretion of the General Partner.

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; Capital Fund Management S.A.: $50,000,000; Crabel Capital Management LLC: $1,000,000; G Capital Fund Management LLC: $25,000,000; 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; and 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.		Jul.		Aug.		Sep.
2011	$	262.13	$	263.54	$	259.94	$	268.50	$	258.18	$	250.97	$	258.98	$	259.84	$	262.35
2012	$	251.39	$	249.47	$	242.48	$	242.36	$	252.68	$	242.35	$	248.75	$	244.19	$	239.40

Set forth below is a list of the year-to-date net trading profit (loss) from each Trading Advisor as measured at September 30, 2012.

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Trading Advisors	Realized			Change in Unrealized			Brokerage Commissions and Clearing Costs			Total Trading Profit (Losses)
Boronia Capital PTY Ltd	$	181,746		$	(33,487	)	$	(341,316	)	$	(193,057	)
Capital Fund Management S.A.	(2,290,415		)	6,246			(120,598		)	(2,404,767		)
Crabel Capital Management LLC	(59,062		)	(126,177		)	(179,837		)	(365,076		)
G Capital Fund Management LLC	2,344,005			3,443			(58,036		)	2,289,412
Mapleridge Capital Corporation	347,453			(82,584		)	(43,947		)	220,922
Ortus Capital Management Ltd.	(649,708		)	(528,235		)	—			(1,177,943		)
Solaise Capital Management LLP	1,239,203			(658,509		)	(55,902		)	524,792
Winton Capital Management Limited	(358,598		)	(832,676		)	(33,085		)	(1,224,359		)
Total	$	754,624		$	(2,251,979	)	$	(832,721	)	$	(2,330,076	)

The weighted average Management Fee rate of the Trading Advisors based on allocations as of September 30, 2012 was 1.43% and the weighted average Profit Share was 21%. The range of Management Fees as of September 30, 2012 was 0% to 2.5% (annualized) and the range of Profit Shares was 15% to 30%.

Performance Summary - Results of Trading

January 1, 2012 to September 30, 2012

January 1, 2012 to March 31, 2012

Partnership performance was generally negative for the quarter, led primarily by losses from fixed income and currency strategies. Long equity positions were among the strongest contributors with strong risk-on sentiment driving higher valuation for risky assets, though few managers were positioned for this move at the beginning of the year. Across most strategies, volatile prices with little overall directionality made it difficult to capture trends that are important for momentum-based models, leading to mixed results for many other strategies. Overall, the first quarter appeared to be an inflection point for how managers were positioning their portfolios, with many Trading Advisors shifting out of exposures that had dominated their portfolios last year, such as long Treasury positions.

Fixed income holdings benefited early in the quarter from yield curve trades in the U.S. and Europe as the market worked to re-price securities given rate reductions by the European Central Bank and Federal Reserve announcements that anchored low rate expectations for the foreseeable future. In January, the portfolio experienced moderate gains from long-biased positions in 10-year U.S. Treasuries and exposure to 10-year German bunds. However, as investors moved money out of risk-free sovereigns to riskier segments of the market, long biases to Treasuries and German bunds dragged on performance.

Currency-based strategies also had a significant impact on Partnership performance. The Australian dollar also exhibited several steady weeks of strengthening in January and February after positive economic data added to speculation that Australia’s Reserve Bank would maintain one of the highest interest rates among developed countries. However, long holdings in the Australian dollar versus the U.S. dollar were the largest detractor for March as the currency lost steam, impacted by high oil prices and signs of weaker Chinese economic activity. Elsewhere, early gains from positions in the Turkish lira and Australian dollar against the U.S. dollar were offset by late period losses in the Japanese yen and a range-bound New Zealand dollar.

Equity index activity was generally positive. While the portfolio reaped gains from U.S. index holdings (such as the NASDAQ and S&P 500), these gains were diluted in part by mixed performance from a number of foreign equity future markets. Positive investor sentiment drove appreciation in long exposures to major US indices for most of the quarter, with further contributions from positions in the German DAX Index and the DJ Eurostoxx Index. However, modest losses were spread out across other foreign indices, with larger detractors including exposures to the FTSE 100 and Hang Seng indices.

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Performance within the energy sector was uneven over the period, but finished positive for most managers. The portfolio experienced January losses from falling Brent crude and WTI oil prices, but tensions in the Middle East grew over concerns of Iranian nuclear development in February, causing oil commodity prices to spike. Short natural gas positions added to these gains as prices continued to decline sharply over the period, breaking through their 52-week low at quarter-end. At the end of March, the portfolio was positioned long the energy complex, with the exception of natural gas.

Agricultural holdings were mixed for the period. Orange juice futures climbed to an all-time high on worries over poor January weather in Florida, and a clampdown on Brazilian oranges prevailed as US regulators discovered small amounts of a banned fungicide on recent imports.  Later period gains from short cattle and hog exposures also positively impacted performance. Cattle prices continued their steady decline on news of growing herd inventory. Strategy losses were generally driven by grains exposure, such as wheat and corn. While the portfolio had evolved to a net short position by the end of the month, wheat prices spiked over 7% on news of a month-end crop report, after bottoming out to a 2012 low on March 29.

Metals exposure also offered mixed results. Losses were predominantly attributed to long holdings in base metals, with the largest losses taking place in aluminum and copper. The Australian Bureau of Resources and Energy Economics suggested that the price of aluminum may slip this year as weaker global economic growth curbs demand, and investors more broadly worried that China faces a potential economic slowdown, fueling selling pressure for several industrial metals. The portfolio earned modest gains in gold, which remains its largest exposure. Gold prices benefited as the Federal Reserve (the “Fed”) pushed back its guidance for the timing of the first hike in the Federal Fund rate, but sold off in March in part due to anticipation that the Fed would not immediately pursue a third major quantitative easing effort.

April 1, 2012 to June 30, 2012

The Partnership’s performance was mixed across strategies during the second quarter, aggregating into slightly negative performance. Overall, many of our Trading Advisors perceive a wide potential distribution of outcomes where downside is driven by the potential for headline risks such as a collapse of the Eurozone or a double-dip recession in the U.S., and an upside driven by, for example, a comprehensive rescue plan in Europe. Thus investors remain skittish as incoming news favors one extreme or another, resulting in a market that rapidly fluctuates between risk-taking and caution. Amidst this backdrop, price reversals and shifting investor moods were common throughout the period, creating a volatile backdrop that challenged both fundamental macro-based and technical momentum-based models.

Foreign exchange activity was among the top detracting strategies for the period. Early in the quarter, losses were attributable to short Japanese yen/short U.S. dollar exposures as the yen strengthened on news that the Bank of Japan refrained from further monetary actions to stimulate economic growth. Also, large short euro exposures, which benefited in May from a deteriorating outlook in Europe, absorbed sharp losses in late June after European leaders took action to bolster confidence in Spain and its banking system. Meanwhile, long positions in the Turkish lira helped to offset overall losses, gaining on news that Turkey’s central bank committed to lowered inflation targets by mid-2013.

Performance within the energy sector was also uneven over the course of the quarter, resulting in slight losses. Short exposure to West Texas Intermediate benefited from sharp drops in oil prices driven by news of a slowing global economy and building inventory levels, but gains were watered down in part by losses in Brent crude and mixed returns from long gasoil exposures.

Equity index trading had more varied performance during the quarter, with early gains balanced by losses in June. Broadly speaking, global equity markets experienced slight losses in April, followed by a stronger sell-off in May, and a partial recovery in June in which investors experienced most gains in the final few trading days. U.S. markets were particularly profitable in general, with gains consistently registered from exposure to the S&P 500 Index.  Japanese markets were another story, however, as Trading Advisors found themselves on the wrong side of positions in the Nikkei 225 and the TOPIX Index throughout the quarter.

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Falling prices for gold played a prominent role early in the metals sector. After an initial sell-off in the first few days of April, early short positioning in the precious metal started Trading Advisors on the wrong foot as gold prices drifted upwards in April. A steep decline in early May proved to be profitable; however, for the rest of the quarter large fluctuations proved to be difficult for Trading Advisors to trade around. Short positions in industrial metals, such as aluminum and copper, benefited performance as base metals sold off on eroding industrial demand in China and Europe.

Long agricultural positions in U.S.-focused crops appreciated as supplies for soybeans and corn looked to be constrained by extreme drought conditions that were developing in the latter part of the period in select parts of South America and much of the U.S. Midwest. Unfortunately, some Trading Advisors were positioned short in corn, encouraged by strong negative momentum in May from early U.S. Department of Agriculture (“USDA”) projections of outsized domestic inventories — positions that generated losses as crop conditions deteriorated in June. Meanwhile, cattle holdings contributed gains early in the period, and coffee and cotton positions were profitable for the quarter.

Fixed income trading was the strongest contributor to performance. Core long positions in flight-to-safety assets such as 10-year U.S. Treasuries, German bunds and long Gilts experienced robust gains in April and May, reaching near-record prices as investors sought financial shelter from developments in Europe. However, gains were moderated somewhat in June as investor fears calmed and sovereign prices reversed as capital flowed back into riskier segments of the marketplace.

July 1, 2012 to September 30, 2012

The Partnership’s performance was buoyed by strong early results in the third quarter, producing overall gains for the period despite moderate losses in August and September. The third quarter was marked by a more relaxed posture towards risk by investors, encouraged in part by major monetary policy actions in the United States and Europe. In late July, the President of the European Central Bank (“ECB”) indicated a steadfast readiness to protect the euro “whatever it takes”, and proposed using ECB rescue funds to purchase 2-year bonds from troubled Eurozone countries, contingent on structural reforms from recipient countries. In the U.S., the Fed finally revealed its third major quantitative easing program, which unlike the first two, is designed to be open-ended, intending to extend asset purchases and current interest rate levels until after the economy improves.

Fixed income holdings were a primary driver of returns for the third quarter, bolstering gains early in the period. Long exposures to Eurodollar holdings and U.S. Treasuries drove strong returns as weak economic data fueled a “risk-off” posture by investors seeking safety.  However, long holdings in 5-year and 10-year German bunds lost ground in August, and momentum-based models struggled with reversals in 10-year Treasuries in September, partially mitigating early quarter gains.

Equity holdings were largely beneficial, with gains concentrated primarily in long exposures to U.S. and European indices.  Equity investor sentiment in major Western markets, particularly the S&P 500, NASDAQ, EuroStoxx and DAX indices, was largely responsive to central bank policy actions by both the Fed and the ECB.  However, gains were offset by exposure to a number of Asian markets, including Japanese, Hong Kong and Taiwanese markets, as investors were disappointed by a lack of central bank easing in the region.

Currency strategies were also mixed during the quarter, as late losses partially eroded early gains. Notably positive trades in July included the Australian dollar, Swiss franc and euro against the U.S. dollar, and the euro against the yen. Many of these currencies were supported by the possibility of a Eurozone resolution. However, late in the quarter, short euro holdings detracted on expectations that the ECB would affirmatively act to lower Spanish and Italian bond yields, and the Australian dollar stumbled on a weak regional GDP release.

Contributions from agriculture trading were also uneven throughout the period. Long positions in grains such as corn, wheat and soybeans appreciated as prices continued to rise amid drought conditions in the U.S. Midwest. As the quarter progressed, however, momentum in agriculture prices stalled and then fell as the actual impact of the drought on global supply turned out to be less than most investors expected,

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driving losses and active reductions in exposure to the space.  By quarter-end, agriculture exposures comprised the smallest strategy allocation by Trading Advisors.

Metals detracted throughout the third quarter. Long exposure to aluminum and copper early in the period suffered from a growing bearish economic sentiment in July, and Trading Advisors worked to reduced long positions and increase short positioning to take advantage of the momentum. However, stimulative central bank actions improved investor confidence, reversing base metal prices, and generating losses later in the quarter.  Precious metals contributed positively, however, as long exposures to gold benefited from sharp price appreciation in August and September.

Energy was also a drag on overall performance.  Short positioning in Brent crude early in the quarter worked against Trading Advisors as oil prices steadily climbed on improving economic sentiment and worries of supply disruptions during hurricane season in the Gulf of Mexico. As momentum models turned oil exposures long and gas exposure short in September, prices for both commodities reversed, adding further losses for the portfolio.

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 U.S. 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.

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 U.S. 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.

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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 U.S. 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 U.S. 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 U.S. 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, U.S. economic reports painted a modestly positive picture, and many investors speculated that turmoil in the Middle East and North Africa would not derail U.S. economic recovery. During the period, Trading Advisors lost money on short exposures to 30-Year Treasuries and 10-year German bunds in February as well as 5- and 10-year Treasuries 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.

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 U.S. 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

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challenging situations in coming months. Developments in the U.S. 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 debt ceiling prodded unease over the possibility of a technical default on U.S. debt, and the end of the second round of quantitative easing by the U.S. Federal Reserve bank fueled worries that the U.S. economy many 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 U.S. 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, benefitting 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 U.S. economic recovery. However, in the last few days in the quarter, a relief rally in equity and credit markets prompted a sharp shift from Treasuries to risk assets, causing a 30 basis point 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 U.S. 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 U.S. dollar more than 4% in May. Toward quarter-end, long holdings in the New Zealand dollar versus the U.S. dollar also lost ground, but long U.S. 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. 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 U.S. in April led to losses. Long coffee positions were also initially profitable

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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 U.S. 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 — 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 U.S. 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 U.S. 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 U.S. 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 U.S. dollar) during the third quarter.

Fixed income activity was the greatest contributor to the Partnership’s performance for the quarter, helped by both U.S. dollar and non-U.S. dollar positions. From a broad perspective, global interest rate moves were impacted significantly by sovereign debt concerns and global monetary policy initiatives. Specifically, the U.S. 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 portfolio reduced its net long U.S. dollar 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 U.S. 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

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in a weak U.S. housing market and a strengthening U.S. 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 U.S. 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 U.S. indices. However, the sector regained some of its losses in September, derived from a number of short exposures to non-U.S. markets, particularly with respect to Germany’s DAX and Europe’s DJ STOXX 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. For the periods presented subsequent to May 1, 2011, all dollar amounts for interest income and expenses exclude those indirectly related to the Partnership’s investments in Non-Consolidated LLCs.  However, each Non-Consolidated LLC has similar interest income and expense arrangements as the Partnership overall.  The decreased level of interest rates in 2012 in the U.S. 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, 2012, the Partnership earned $170,270 and $50,912, respectively, in interest income, or approximately 0.05% and 0.02%, respectively, of the Partnership’s average month-end net assets. 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. The average interest rates for the nine and three month periods ended September 30, 2012 were 0.10% and 0.09%, respectively. The average interest rates for the nine and three month periods ended September 30, 2011 were 0.12% and 0.08%, respectively.

The overall expenses of the Partnership (excluding Profit Shares) generally vary with changes in net assets.  For the nine month period ended September 30, 2012, distribution fees, Trading Advisors’

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management fees and Sponsor fees decreased approximately 42% when compared to the nine month period ended September 30, 2011.  Profit Shares decreased for the period ending September 30, 2012, when compared to the period ending September 30, 2011 primarily due to less 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.  Borrowings 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 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.  In those instances in which such notice is required by a Trading Advisor, the notice period does not exceed 90 days.

Most U.S. 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

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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.

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, 2012, the end of the most recent reporting period.

Rider 33

Off-Balance Sheet Arrangements

The Partnership does not engage in off-balance sheet arrangements with other entities and has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements.

Contractual Obligations

The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources.  The Partnership’s sole business is trading futures, forward and option contracts, both long and short.  The Partnership may also engage in trading derivatives.  The Partnership’s financial statements present the Condensed Consolidated Schedules of Investments setting forth net unrealized profit (loss) of the Partnership’s open futures, forward and options contracts at September 30, 2012.

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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, 2012. During this period, the Partnership’s average capitalization, excluding the Partnership’s investments in the Non-Consolidated LLCs, was $201,589,103.

As of September 30, 2012

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agriculture	$	161,487	0.08	%	$	181,989	$	150,163
Currencies	2,260,023		1.12	%	2,684,654		1,724,755
Energy	137,412		0.07	%	269,070		29,702
Interest Rates	17,411,792		8.64	%	18,367,764		16,483,837
Metals	163,879		0.08	%	290,846		96,880
Stock Indices	714,254		0.35	%	961,806		396,998
TOTAL	$	20,848,847	10.34	%	$	22,756,129	$	18,882,335

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, 2012, 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

No material changes.

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-12	$	888,989	885,977	$	1.0034
Aug-12	1,148,990		1,115,524	1.0300
Sep-12	432,992		428,239	1.0111

SERIES I

	Subscription
	Amount		Units	NAV
Jul-12	$	—	—	$	—
Aug-12	59,400		47,169	1.2593
Sep-12	197,999		159,741	1.2395

(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 2012:

Series F

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
July 31, 2012	1,486	$	248.75	$	369,643
August 31, 2012	565	244.19		137,967
September 30, 2012	785	239.40		187,929
Total	2,836			$	695,539

Series A

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
July 31, 2012	13,910,541	$	1.0300	$	14,327,857
August 31, 2012	8,197,464	1.0111		8,288,456
September 30, 2012	9,454,684	0.9912		9,371,482
Total	31,562,689			$	31,987,795

Series G

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
July 31, 2012	422,467	$	1.0774	$	455,166
August 31, 2012	191,747	1.0576		202,792
September 30, 2012	199,601	1.0369		206,966
Total	813,815			$	864,924

Series I

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
July 31, 2012	—	$	—	$	—
August 31, 2012	40,183	1.2395		49,807
September 30, 2012	8,095	1.2184		9,863
Total	48,278			$	59,670

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Item 3.Defaults Upon Senior Securities

None.

Item 4.Mine Safety Disclosures Not Applicable.

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:

10.01Advisory Agreement between the Partnership, BRIM and Highgate Global Horizons, LLC dated October 28, 2012*

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, 2012 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 9, 2012	By	/s/ EDWARD RZESZOWSKI
		Edward Rzeszowski
		President (Principal Executive Officer)
Date: November 9, 2012	By	/s/ MICHAEL L. PUNGELLO
		Michael L. Pungello
		Chief Financial Officer
		(Chief Financial Officer)

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