Delaware
|
36-4113382
|
(State or other jurisdiction of incorporation or organization)
|
(I.R.S. Employer Identification No.)
|
Large accelerated filer ¨
|
Accelerated filer ¨
|
Non-accelerated filer ¨ (Do not check if smaller reporting company)
|
Smaller reporting company x
|
PART I. FINANCIAL INFORMATION
|
3
|
|
Item 1. Financial Statements
|
3
|
|
Consolidated Statements of Financial Condition, as of September 30, 2011 (unaudited) and December 31, 2010
|
3
|
|
Condensed Consolidated Schedule of Investments, as of September 30, 2011 (unaudited) and December 31 2010
|
4
|
|
Consolidated Statements of Operations, for the three and nine months ended September 30, 2011 and 2010 (unaudited)
|
5
|
|
Consolidated Statement of Changes in Unitholders’ Capital, for the nine months ended September 30, 2011 (unaudited)
|
6
|
|
Notes to Consolidated Financial Statements
|
7
|
|
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
|
16
|
|
Item 3. Quantitative and Qualitative Disclosures about Market Risk
|
23
|
|
Item 4. Controls and Procedures
|
23
|
|
PART II. OTHER INFORMATION
|
23
|
|
Item 1. Legal Proceedings
|
23 | |
Item 1A. Risk Factors
|
23
|
|
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
|
23
|
|
Item 6. Exhibits
|
25
|
|
SIGNATURES
|
26
|
September 30,
|
December 31,
|
|||||||
2011
|
2010
|
|||||||
UNAUDITED
|
||||||||
Assets
|
||||||||
Assets:
|
||||||||
Equity in commodity Trading accounts:
|
||||||||
Cash on deposit with brokers
|
$ | 6,319,573 | $ | 22,388,362 | ||||
Unrealized gain on open contracts
|
836,887 | 1,357,343 | ||||||
Purchased options on futures contracts (premiums paid - $71,734 and $245,722, respectively)
|
88,213 | 120,263 | ||||||
Total due from brokers
|
7,244,673 | 23,865,968 | ||||||
Cash and cash equivalents on deposit with affiliate
|
14,526,211 | 18,737,332 | ||||||
Cash on deposit with bank
|
1,477 | 16,248 | ||||||
Fixed income securities (cost $16,491,553 and $11,544,636), held by affiliate
|
16,364,813 | 11,540,784 | ||||||
Interest receivable
|
96,113 | 36,141 | ||||||
Cash on deposit with bank - Non-Trading
|
5,766,226 | 5,133,598 | ||||||
Prepaid expenses - Non-Trading
|
74,319 | 81,602 | ||||||
Total Assets
|
$ | 44,073,832 | $ | 59,411,673 | ||||
Liabilities and Unitholders' Capital
|
||||||||
Liabilities:
|
||||||||
Equity in commodity Trading accounts:
|
||||||||
Options written on futures contracts (premiums received - $36,596)
|
$ | 19,725 | $ | - | ||||
Accrued commissions
|
115,074 | 151,916 | ||||||
Accrued management fees
|
53,708 | 76,511 | ||||||
Accrued incentive fees
|
38,017 | 278,042 | ||||||
Accrued offering expenses
|
14,275 | 16,588 | ||||||
Accrued operating expenses
|
250,001 | 201,344 | ||||||
Redemptions payable - Trading
|
899,805 | 1,549,974 | ||||||
Accrued management fees to U.S. Bank - Non-Trading
|
10,709 | 17,492 | ||||||
Distribution payable - Non-Trading
|
328,748 | 1,083,908 | ||||||
Total liabilities
|
1,730,062 | 3,375,775 | ||||||
Unitholders' capital:
|
||||||||
Unitholders’ capital (Trading):
|
||||||||
Beneficial owners:
|
||||||||
Class A (368,216 and 490,278 units outstanding at September 30, 2011 and December 31, 2010, respectively)
|
35,454,068 | 49,340,822 | ||||||
Class B (13,142 and 13,420 units outstanding at September 30, 2011 and December 31, 2010, respectively)
|
1,337,021 | 1,405,692 | ||||||
Managing owner (535 and 11,679 Class A units outstanding at September 30, 2011 and December 31, 2010, respectively)
|
51,513 | 1,175,357 | ||||||
Unitholders' capital (LLC equity/Non-Trading):
|
||||||||
Participating owners (320,369 and 407,463 units outstanding at September 30, 2011 and December 31, 2010, respectively)
|
775,293 | 737,509 | ||||||
Nonparticipating owners (1,952,919 and 1,865,825 units outstanding at September 30, 2011 and December 31, 2010, respectively)
|
4,725,875 | 3,376,518 | ||||||
Total unitholders' capital
|
42,343,770 | 56,035,898 | ||||||
Total Liabilities and Unitholders’ Capital
|
$ | 44,073,832 | $ | 59,411,673 | ||||
Net asset value per unit:
|
||||||||
Trading:
|
||||||||
Class A
|
$ | 96.29 | $ | 100.64 | ||||
Class B
|
$ | 101.74 | $ | 104.75 | ||||
LLC equity/Non-Trading
|
$ | 2.42 | $ | 1.81 |
September 30, 2011
|
December 31, 2010
|
|||||||||||||||
Percentage of
|
Percentage of
|
|||||||||||||||
Net Assets
|
Fair value
|
Net Assets
|
Fair value
|
|||||||||||||
Long Positions
|
UNAUDITED
|
|||||||||||||||
Fixed Income Securities
|
||||||||||||||||
Certificate of Deposit
|
||||||||||||||||
Chile
|
||||||||||||||||
Financials (cost $1,500,037)
|
- | $ | - | 2.68 | % | $ | 1,500,480 | |||||||||
Commercial Paper
|
||||||||||||||||
United States
|
||||||||||||||||
Financials (cost $1,498,072)
|
3.54 | % | 1,498,575 | - | - | |||||||||||
South Korea
|
||||||||||||||||
Financials (cost $1,496,831 and $1,499,660, respectively)
|
3.54 | % | 1,497,870 | 2.68 | % | 1,499,820 | ||||||||||
United States
|
||||||||||||||||
Insurance (cost $1,499,561)
|
- | - | 2.68 | % | 1,499,580 | |||||||||||
Total Commercial Paper
|
7.08 | % | 2,996,445 | 5.35 | % | 2,999,400 | ||||||||||
Corporate Bonds
|
||||||||||||||||
United States
|
||||||||||||||||
Financials (cost $4,762,579 and $1,345,903, respectively)
|
11.03 | % | 4,671,969 | 2.40 | % | 1,344,503 | ||||||||||
United States
|
||||||||||||||||
Computers (cost $509,133)
|
1.20 | % | 506,690 | - | - | |||||||||||
Great Britain
|
||||||||||||||||
Oil Comp-Integrated (cost $1,527,135)
|
3.58 | % | 1,513,875 | - | - | |||||||||||
United States
|
||||||||||||||||
Telephone-Integrated (cost $672,035)
|
1.55 | % | 654,641 | - | - | |||||||||||
Total Corporate Bonds
|
17.35 | % | 7,347,175 | 2.40 | % | 1,344,503 | ||||||||||
Government Agencies
|
||||||||||||||||
United States
|
||||||||||||||||
U.S. Government Agency (cost $5,999,850 and $3,393,729, respectively)
|
14.16 | % | 5,995,275 | 6.05 | % | 3,390,654 | ||||||||||
Short-Term Investment Funds
|
||||||||||||||||
United States
|
||||||||||||||||
Short-Term Investment Funds (cost $25,918 and $2,305,747, respectively)
|
0.06 | % | 25,918 | 4.11 | % | 2,305,747 | ||||||||||
Total Fixed Income Securities (cost $16,491,553 and $11,544,636, respectively)
|
38.65 | % | $ | 16,364,813 | 20.59 | % | $ | 11,540,784 | ||||||||
Long Positions
|
||||||||||||||||
Futures Positions
|
||||||||||||||||
Agriculture
|
-0.15 | % | $ | (63,120 | ) | 1.64 | % | $ | 920,055 | |||||||
Currency
|
-0.09 | % | (36,812 | ) | 0.45 | % | 251,310 | |||||||||
Energy
|
-0.23 | % | (98,030 | ) | 0.12 | % | 65,691 | |||||||||
Indices
|
0.00 | % | 389 | 0.03 | % | 19,608 | ||||||||||
Interest rates
|
0.02 | % | 8,941 | 0.21 | % | 117,158 | ||||||||||
Metals
|
-2.25 | % | (952,916 | ) | 1.41 | % | 789,173 | |||||||||
Forward Positions
|
||||||||||||||||
Currency
|
0.03 | % | 13,629 | -0.86 | % | (483,988 | ) | |||||||||
Total long positions on open contracts
|
$ | (1,127,919 | ) | $ | 1,679,007 | |||||||||||
Short Positions
|
||||||||||||||||
Futures Positions
|
||||||||||||||||
Agriculture
|
0.57 | % | $ | 239,277 | -0.58 | % | $ | (323,637 | ) | |||||||
Currency
|
0.14 | % | 60,570 | -0.04 | % | (23,476 | ) | |||||||||
Energy
|
0.58 | % | 247,146 | -0.08 | % | (45,099 | ) | |||||||||
Indices
|
0.05 | % | 21,588 | 0.10 | % | 57,841 | ||||||||||
Interest rates
|
0.02 | % | 6,679 | -0.02 | % | (13,742 | ) | |||||||||
Metals
|
3.30 | % | 1,399,205 | -1.16 | % | (651,198 | ) | |||||||||
Forward Positions
|
||||||||||||||||
Currency
|
-0.02 | % | (9,659 | ) | 1.21 | % | 677,647 | |||||||||
Total short positions on open contracts
|
$ | 1,964,806 | $ | (321,664 | ) | |||||||||||
Total unrealized gain (loss) on open contracts
|
$ | 836,887 | $ | 1,357,343 | ||||||||||||
Long put options on future contracts
|
||||||||||||||||
Currency (premiums paid - $ 71,734)
|
0.21 | % | $ | 88,213 | - | $ | - | |||||||||
Indices (premiums paid - $245,722)
|
- | 0.21 | % | 120,263 | ||||||||||||
Total long put options on future contracts
|
$ | 88,213 | $ | 120,263 | ||||||||||||
Short put options on future contracts
|
||||||||||||||||
Currency (premiums received - $ 36,596)
|
-0.05 | % | $ | (19,725 | ) | - | $ | - | ||||||||
Total short put options on future contracts
|
$ | (19,725 | ) | - | $ | - |
For the three months ended September 30,
|
For the nine months ended September 30,
|
|||||||||||||||
2011
|
2010
|
2011
|
2010
|
|||||||||||||
Trading gain (loss):
|
||||||||||||||||
Gain (loss) on trading of commodity contracts:
|
||||||||||||||||
Realized gain (loss) on closed positions
|
$ | 1,080,701 | $ | 626,298 | $ | 1,018,432 | $ | 1,258,995 | ||||||||
Change in unrealized gain (loss) on open positions
|
1,570,718 | 1,012,699 | (361,647 | ) | 1,005,065 | |||||||||||
Foreign currency transaction gain (loss)
|
(28,589 | ) | (8,473 | ) | 87,503 | (53,405 | ) | |||||||||
Total Trading gain (loss)
|
2,622,830 | 1,630,524 | 744,288 | 2,210,655 | ||||||||||||
Investment Income:
|
||||||||||||||||
Gain (loss) on trading of fixed income securities:
|
||||||||||||||||
Realized gain (loss) on closed positions
|
(10,280 | ) | - | (29,589 | ) | - | ||||||||||
Change in unrealized gain (loss) on open positions
|
(106,051 | ) | - | (110,082 | ) | - | ||||||||||
Interest income
|
89,762 | 18,744 | 195,896 | 42,652 | ||||||||||||
Total net investment gain (loss)
|
(26,569 | ) | 18,744 | 56,225 | 42,652 | |||||||||||
Expenses:
|
||||||||||||||||
Commissions - Class A
|
464,016 | 560,394 | 1,588,313 | 1,720,846 | ||||||||||||
Commissions - Class B
|
9,944 | 4,721 | 30,368 | 12,561 | ||||||||||||
Advisory fees
|
15,829 | - | 46,689 | - | ||||||||||||
Management fees
|
164,049 | 230,043 | 558,605 | 699,002 | ||||||||||||
Incentive fees
|
38,017 | 161 | 155,519 | 161 | ||||||||||||
Ongoing offering expenses
|
20,000 | 30,000 | 125,000 | 70,000 | ||||||||||||
Operating expenses
|
213,950 | 217,000 | 586,002 | 757,000 | ||||||||||||
Total expenses
|
925,805 | 1,042,319 | 3,090,496 | 3,259,570 | ||||||||||||
Trading income (loss)
|
1,670,456 | 606,949 | (2,289,983 | ) | (1,006,263 | ) | ||||||||||
Non-Trading income (loss):
|
||||||||||||||||
Interest on Non-Trading reserve
|
228 | 2,876 | 2,636 | 7,900 | ||||||||||||
Collections in excess of impaired value
|
1,328,832 | - | 1,672,495 | 16,024,600 | ||||||||||||
Legal and administrative fees
|
(2,408 | ) | 204,053 | (126,524 | ) | (906,638 | ) | |||||||||
Management fees paid to US Bank
|
(37,658 | ) | (100,104 | ) | (161,466 | ) | (261,850 | ) | ||||||||
Non-Trading income (loss)
|
1,288,994 | 106,825 | 1,387,141 | 14,864,012 | ||||||||||||
Net income (loss)
|
$ | 2,959,450 | $ | 713,774 | $ | (902,842 | ) | $ | 13,857,749 |
Unitholders' Capital (Trading)
|
Beneficial Owners - Trading Class A
|
Beneficial Owners - Trading Class B
|
Managing Owners - Trading Class A
|
|||||||||||||||||||||
Units
|
Dollars
|
Units
|
Dollars
|
Units
|
Dollars
|
|||||||||||||||||||
Balances at December 31, 2010
|
490,278 | $ | 49,340,822 | 13,420 | $ | 1,405,692 | 11,679 | $ | 1,175,357 | |||||||||||||||
Trading income (loss)
|
- | (2,151,381 | ) | - | (41,585 | ) | - | (97,017 | ) | |||||||||||||||
Unitholders’ contributions
|
3,974 | 392,000 | 2,066 | 210,000 | - | - | ||||||||||||||||||
Transfers from Class A to Class B
|
- | - | - | - | - | - | ||||||||||||||||||
Unitholders’ redemptions
|
(126,036 | ) | (12,127,373 | ) | (2,344 | ) | (237,086 | ) | (11,144 | ) | (1,026,827 | ) | ||||||||||||
Balances at September 30, 2011
|
368,216 | $ | 35,454,068 | 13,142 | $ | 1,337,021 | 535 | $ | 51,513 | |||||||||||||||
Unitholders' Capital (Trading)
|
Total Unitholders' Capital - Trading
|
|||||||||||||||||||||||
Units
|
Dollars
|
|||||||||||||||||||||||
Balances at December 31, 2010
|
515,377 | $ | 51,921,871 | |||||||||||||||||||||
Trading income (loss)
|
- | (2,289,983 | ) | |||||||||||||||||||||
Unitholders’ contributions
|
6,040 | 602,000 | ||||||||||||||||||||||
Transfers from Class A to Class B
|
- | - | ||||||||||||||||||||||
Unitholders’ redemptions
|
(139,524 | ) | (13,391,286 | ) | ||||||||||||||||||||
Balances at September 30, 2011
|
381,893 | $ | 36,842,602 | |||||||||||||||||||||
Unitholders' Capital (LLC Equity/Non-Trading)
|
Participating Owners-
|
Nonparticipating Owners-
|
Total Unitholders' Capital-
|
|||||||||||||||||||||
LLC Equity/Non-Trading
|
LLC Equity/Non-Trading
|
LLC Equity/Non-Trading
|
||||||||||||||||||||||
Units
|
Dollars
|
Units
|
Dollars
|
Units
|
Dollars
|
|||||||||||||||||||
Balances at December 31, 2010
|
407,463 | $ | 737,509 | 1,865,825 | $ | 3,376,518 | 2,273,288 | $ | 4,114,027 | |||||||||||||||
Non-Trading income (loss)
|
- | 196,205 | - | 1,190,936 | - | 1,387,141 | ||||||||||||||||||
Reallocation due to Redemptions
|
(87,094 | ) | (158,421 | ) | 87,094 | 158,421 | - | - | ||||||||||||||||
Balances at September 30, 2011
|
320,369 | $ | 775,293 | 1,952,919 | $ | 4,725,875 | 2,273,288 | $ | 5,501,168 | |||||||||||||||
Total Unitholders Capital at September 30, 2011
|
$ | 42,343,770 |
Unitholders' Capital
|
Unitholders' Capital
|
Unitholders' Capital
|
||||||||||||||||||||||
Trading Class A
|
Trading Class B
|
(LLC Equity/Non-Trading)
|
||||||||||||||||||||||
Net asset value per unit at December 31, 2010
|
$ | 100.64 | $ | 104.75 | $ | 1.81 | ||||||||||||||||||
Net change per unit
|
(4.35 | ) | (3.01 | ) | 0.61 | |||||||||||||||||||
Net asset value per unit at September 30, 2011
|
$ | 96.29 | $ | 101.74 | $ | 2.42 |
|
(a)
|
Any unitholder who had redeemed their entire interest in the Trust prior to distribution shall receive cash.
|
|
(b)
|
Any unitholder who had continued to own units in the Trust shall receive additional units in the Trust at the then net asset value of the Trust.
|
Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCM
|
||||||||||||||||||||||||
Amounts
Received from
|
Balance of
|
Collections in
Excess of
|
Cash Distributions to
Non-Participating
|
Additional Units in Trust for
Participating Owners
|
||||||||||||||||||||
Date
|
RCM
|
Impaired Value
|
Impaired Value
|
Owners
|
Units
|
Dollars
|
||||||||||||||||||
12/29/06
|
$ | 10,319,318 | $ | 6,643,944 | $ | - | $ | 4,180,958 | 54,914 | $ | 5,154,711 | |||||||||||||
04/20/07
|
2,787,629 | 3,856,315 | - | - | - | - | ||||||||||||||||||
06/07/07
|
265,758 | 3,590,557 | - | - | - | - | ||||||||||||||||||
06/28/07
|
4,783,640 | - | 1,193,083 | - | - | - | ||||||||||||||||||
07/03/07
|
5,654 | - | 5,654 | - | - | - | ||||||||||||||||||
08/29/07
|
- | - | - | 2,787,947 | 23,183 | 1,758,626 | ||||||||||||||||||
09/19/07
|
2,584,070 | - | 2,584,070 | - | - | - | ||||||||||||||||||
12/31/07
|
2,708,467 | - | 2,708,467 | - | - | - | ||||||||||||||||||
03/28/08
|
1,046,068 | - | 1,046,068 | - | - | - | ||||||||||||||||||
04/29/08
|
- | - | - | 2,241,680 | 10,736 | 1,053,815 | ||||||||||||||||||
06/26/08
|
701,148 | - | 701,148 | - | - | - | ||||||||||||||||||
12/31/08
|
769,001 | - | 769,001 | - | - | - | ||||||||||||||||||
06/29/09
|
2,748,048 | - | 2,748,048 | - | - | - | ||||||||||||||||||
12/30/09
|
1,102,612 | - | 1,102,612 | - | - | - | ||||||||||||||||||
05/19/10
|
1,695,150 | - | 1,695,150 | - | - | - | ||||||||||||||||||
06/04/10
|
14,329,450 | * | - | 14,329,450 | * | - | - | - | ||||||||||||||||
08/01/10
|
- | - | - | 16,076,112 | 40,839 | 3,928,806 | ||||||||||||||||||
10/15/10
|
282,790 | * | - | 282,790 | * | - | - | - | ||||||||||||||||
12/30/10
|
563,163 | * | - | 563,163 | * | - | - | - | ||||||||||||||||
06/02/11
|
343,664 | * | - | 343,664 | * | - | - | - | ||||||||||||||||
08/30/11
|
1,328,832 | * | - | 1,328,832 | * | - | - | - | ||||||||||||||||
Totals
|
$ | 48,364,462 | $ | - | $ | 31,401,200 | $ | 25,286,697 | 129,672 | $ | 11,895,958 |
September 30, 2011
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Unrealized gain on open contracts:
|
||||||||||||||||
Futures positions
|
$ | 832,918 | $ | - | $ | - | $ | 832,918 | ||||||||
Forward currency positions
|
- | 3,969 | - | 3,969 | ||||||||||||
Purchased options on futures contracts
|
88,213 | - | - | 88,213 | ||||||||||||
Written options on futures contracts
|
(19,725 | ) | - | - | (19,725 | ) | ||||||||||
Fixed income securities
|
25,918 | 16,338,895 | - | 16,364,813 | ||||||||||||
Total fair value
|
$ | 927,324 | $ | 16,342,864 | $ | - | $ | 17,270,188 | ||||||||
December 31, 2010
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Unrealized gain on open contracts:
|
||||||||||||||||
Futures positions
|
$ | 1,163,684 | $ | - | $ | - | $ | 1,163,684 | ||||||||
Forward currency positions
|
- | 193,659 | - | 193,659 | ||||||||||||
Purchased options on futures contracts
|
120,263 | - | - | 120,263 | ||||||||||||
Fixed income securities
|
- | 11,540,784 | - | 11,540,784 | ||||||||||||
Total fair value
|
$ | 1,283,947 | $ | 11,734,443 | $ | - | $ | 13,018,390 |
Recipient
|
Nature of Payment
|
Class A Units
|
Class B Units
|
|||||||
Managing Owner
|
Managing Owner fee
|
0.75 | % | 0.75 | % | |||||
Selling Agent
|
Selling commission
|
2.00 | % | 0.00 | % | |||||
Managing Owner
|
Underwriting expenses
|
0.35 | % | 0.35 | % | |||||
Managing Owner
|
Clearing, NFA, and
|
|||||||||
exchange fees (capped at)
|
1.57 | % | 1.57 | % | ||||||
Liberty Funds Group
|
Consulting fees
|
0.33 | % | 0.33 | % | |||||
Totals
|
5.00 | % | 3.00 | % |
Class A
|
Class B
|
Class A
|
Class B
|
|||||||||||||||||||||||||||||
Three months ended
|
Three months ended
|
Nine months ended
|
Nine months ended
|
|||||||||||||||||||||||||||||
September 30,
|
September 30,
|
September 30,
|
September 30,
|
|||||||||||||||||||||||||||||
2011
|
2010
|
2011
|
2010
|
2011
|
2010
|
2011
|
2010
|
|||||||||||||||||||||||||
Per share operating performance:
|
||||||||||||||||||||||||||||||||
Net asset value of Trading units, beginning of period
|
$ | 92.14 | $ | 99.96 | $ | 96.87 | $ | 103.00 | $ | 100.64 | $ | 102.84 | $ | 104.75 | $ | 104.91 | ||||||||||||||||
Total Trading income (loss):
|
||||||||||||||||||||||||||||||||
Trading gain (loss)
|
6.39 | 3.05 | 6.73 | 2.90 | 1.45 | 3.95 | 2.28 | 4.17 | ||||||||||||||||||||||||
Investment income
|
0.29 | 0.04 | 0.30 | 0.04 | 0.51 | 0.08 | 0.56 | 0.09 | ||||||||||||||||||||||||
Expenses
|
(2.53 | ) | (2.24 | ) | (2.16 | ) | (1.54 | ) | (6.31 | ) | (6.06 | ) | (5.85 | ) | (4.77 | ) | ||||||||||||||||
Trading income (loss)
|
4.15 | 0.85 | 4.87 | 1.40 | (4.35 | ) | (2.03 | ) | (3.01 | ) | (0.51 | ) | ||||||||||||||||||||
Net asset value of Trading units, end of period
|
$ | 96.29 | $ | 100.81 | $ | 101.74 | $ | 104.40 | $ | 96.29 | $ | 100.81 | $ | 101.74 | $ | 104.40 | ||||||||||||||||
Total return:
|
||||||||||||||||||||||||||||||||
Total return before incentive fees
|
4.61 | % | 0.85 | % | 5.13 | % | 1.36 | % | (3.96 | )% | (1.97 | )% | (2.54 | )% | (0.49 | )% | ||||||||||||||||
Less incentive fee allocations
|
(0.10 | )% | 0.00 | % | (0.10 | )% | 0.00 | % | (0.36 | )% | 0.00 | % | (0.34 | )% | 0.00 | % | ||||||||||||||||
Total return
|
4.51 | % | 0.85 | % | 5.03 | % | 1.36 | % | (4.32 | )% | (1.97 | )% | (2.88 | )% | (0.49 | )% | ||||||||||||||||
Ratios to average net assets:
|
||||||||||||||||||||||||||||||||
Trading income (loss)
|
4.43 | % | 1.13 | % | 4.94 | % | 1.81 | % | (5.39 | )% | (1.90 | )% | (3.13 | )% | 0.55 | % | ||||||||||||||||
Expenses:
|
||||||||||||||||||||||||||||||||
Expenses, less incentive fees
|
(2.58 | )% | (1.98 | )% | (2.04 | )% | (1.51 | )% | (7.07 | )% | (6.01 | )% | (5.59 | )% | (4.56 | )% | ||||||||||||||||
Incentive fees
|
(0.10 | )% | 0.00 | % | (0.10 | )% | 0.00 | % | (0.36 | )% | 0.00 | % | (0.34 | )% | 0.00 | % | ||||||||||||||||
Total expenses
|
(2.68 | )% | (1.98 | )% | (2.14 | )% | (1.51 | )% | (7.43 | )% | (6.01 | )% | (5.93 | )% | (4.56 | )% |
As of September 30, 2011
|
||||||||||||
Asset
|
Liability
|
|||||||||||
Type of
|
Derivatives
|
Derivatives
|
Net
|
|||||||||
Futures Contracts
|
Fair Value
|
Fair Value
|
Fair Value
|
|||||||||
Agriculture
|
$ | (63,120 | ) | $ | 239,277 | $ | 176,157 | |||||
Currency
|
65,030 | 31,186 | 96,216 | |||||||||
Energy
|
(98,030 | ) | 247,146 | 149,116 | ||||||||
Indices
|
389 | 21,588 | 21,977 | |||||||||
Interest Rates
|
8,941 | 6,679 | 15,620 | |||||||||
Metals
|
(952,916 | ) | 1,399,205 | 446,289 | ||||||||
$ | (1,039,706 | ) | $ | 1,945,081 | $ | 905,375 |
As of December 31, 2010
|
||||||||||||
Asset
|
Liability
|
|||||||||||
Type of
|
Derivatives
|
Derivatives
|
Net
|
|||||||||
Futures Contracts
|
Fair Value
|
Fair Value
|
Fair Value
|
|||||||||
Agriculture
|
$ | 920,055 | $ | (323,637 | ) | $ | 596,418 | |||||
Currency
|
928,957 | (507,464 | ) | 421,493 | ||||||||
Energy
|
65,691 | (45,099 | ) | 20,592 | ||||||||
Indices
|
197,712 | - | 197,712 | |||||||||
Interest Rates
|
117,158 | (13,742 | ) | 103,416 | ||||||||
Metals
|
789,173 | (651,198 | ) | 137,975 | ||||||||
$ | 3,018,746 | $ | (1,541,140 | ) | $ | 1,477,606 |
Three months ended September 30,
|
Nine months ended September 30,
|
||||||||||||||||
Type of Futures
Contracts
|
2011
|
2010
|
Type of Futures
Contracts
|
2011
|
2010
|
||||||||||||
Agriculture
|
(402,415 | ) | 1,688,457 |
Agriculture
|
$ | (1,014,096 | ) | 56,352 | |||||||||
Currency
|
(131,022 | ) | 742,038 |
Currency
|
(1,356,729 | ) | 965,736 | ||||||||||
Energy
|
(187,631 | ) | (524,873 | ) |
Energy
|
8,390 | (1,098,998 | ) | |||||||||
Indices
|
1,125,206 | (1,464,111 | ) |
Indices
|
1,391,291 | 215 | |||||||||||
Interest Rates
|
1,637,315 | 1,131,421 |
Interest Rates
|
1,250,639 | 2,999,170 | ||||||||||||
Metals
|
581,377 | 57,592 |
Metals
|
464,793 | (711,820 | ) | |||||||||||
$ | 2,622,830 | $ | 1,630,524 | $ | 744,288 | $ | 2,210,655 |
(12)
|
Subsequent Events
|
(a)
|
Introduction
|
(b)
|
Capital Resources
|
(c)
|
Liquidity
|
Units Redeemed
|
Redemption Date NAV per Unit
|
|||||||||||||||
Month
|
Class A
|
Class B
|
Class A
|
Class B
|
||||||||||||
July
|
4,947 | 271 | $ | 94.91 | $ | 99.94 | ||||||||||
August
|
16,259 | 68 | $ | 93.57 | $ | 98.71 | ||||||||||
September
|
9,359 | - | $ | 96.29 | $ | 101.74 | ||||||||||
Total
|
30,565 | 339 |
|
a)
|
Exhibits
|
Exhibit Number
|
Description of Document
|
|
3.01
|
Ninth Amended and Restated Declaration and Agreement of Trust of the Registrant, dated as of September 1, 2010.1
|
|
3.02
|
First Amendment to the Ninth Amended and Restated Declaration and Agreement of Trust of the Registrant, dated as of July 13, 2011.2
|
|
3.03
|
Restated Certificate of Trust of the Registrant.3
|
|
31.01
|
Rule 13a-14(a)/15d-14(a) Certifications of Principal Executive Officer.
|
|
31.02
|
Rule 13a-14(a)/15d-14(a) Certifications of Principal Financial Officer.
|
|
32.01
|
|
Section 1350 Certification of Principal Executive Officer and Principal Financial Officer.
|
101.INS**
|
XBRL Instance Document
|
|
101.SCH**
|
XBRL Taxonomy Extension Schema
|
|
101.CAL**
|
XBRL Taxonomy Extension Calculation Linkbase
|
|
101.DEF**
|
XBRL Taxonomy Extension Definition Linkbase
|
|
101.LAB**
|
XBRL Taxonomy Extension Label Linkbase
|
|
101.PRE**
|
|
XBRL Taxonomy Extension Presentation Linkbase
|
RJO Global Trust
|
||
Date:
|
November 14, 2011
|
|
By:
|
R.J. O’Brien Fund Management, LLC
|
|
Managing Owner
|
By:
|
/s/ Jason Manumaleuna
|
|
Jason Manumaleuna
|
||
Principal Financial Officer and duly authorized officer
|
1.
|
I have reviewed this quarterly report on Form 10-Q of RJO Global Trust;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:
|
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: November 14, 2011
|
||
By:
|
/s/ Gerald Corcoran | |
Gerald Corcoran, Chief Executive Officer
|
||
(principal executive officer)
|
||
R.J. O’Brien Fund Management, LLC, Managing Owner
|
1.
|
I have reviewed this quarterly report on Form 10-Q of RJO Global Trust;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:
|
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: November 14, 2011
|
||
By: |
/s/ Jason Manumaleuna
|
|
Jason Manumaleuna, Chief Financial Officer
|
||
(principal financial officer)
|
||
R.J. O’Brien Fund Management, LLC, Managing Owner
|
/s/ Gerald Corcoran
|
/s/ Jason Manumaleuna
|
|
Gerald Corcoran
|
Jason Manumaleuna
|
|
Chief Executive Officer
|
Chief Financial Officer
|
|
R. J. O’Brien Fund Management, LLC, Managing Owner
|
R. J. O’Brien Fund Management, LLC, Managing Owner
|
|
November 14, 2011
|
November 14, 2011
|
Consolidated Statements of Financial Condition (Parenthetical) (USD $) | Sep. 30, 2011 | Dec. 31, 2010 |
---|---|---|
Purchased options on futures contracts, premiums paid | $ 71,734 | $ 245,722 |
Fixed income securities, cost | 16,491,553 | 11,544,636 |
Options written on futures contracts, premiums | $ 36,596 | |
Trading | Beneficial owners | Class A | ||
Unitholders' capital, units outstanding | 368,216 | 490,278 |
Trading | Managing owner | Class A | ||
Unitholders' capital, units outstanding | 535 | 11,679 |
Trading | Beneficial owners | Class B | ||
Unitholders' capital, units outstanding | 13,142 | 13,420 |
Trading | ||
Unitholders' capital, units outstanding | 381,893 | 515,377 |
LLC equity/Non-Trading | ||
Unitholders' capital, units outstanding | 2,273,288 | 2,273,288 |
LLC equity/Non-Trading | Participating owners | ||
Unitholders' capital, units outstanding | 320,369 | 407,463 |
LLC equity/Non-Trading | Nonparticipating owners | ||
Unitholders' capital, units outstanding | 1,952,919 | 1,865,825 |
Consolidated Statements of Operations (USD $) | 3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2011 | Sep. 30, 2010 | Sep. 30, 2011 | Sep. 30, 2010 | |
Trading gain (loss): | ||||
Realized gain (loss) on closed positions | $ 1,080,701 | $ 626,298 | $ 1,018,432 | $ 1,258,995 |
Change in unrealized gain (loss) on open positions | 1,570,718 | 1,012,699 | (361,647) | 1,005,065 |
Foreign currency transaction gain (loss) | (28,589) | (8,473) | 87,503 | (53,405) |
Total Trading gain (loss) | 2,622,830 | 1,630,524 | 744,288 | 2,210,655 |
Investment Income: | ||||
Realized gain (loss) on closed positions | (10,280) | (29,589) | ||
Change in unrealized gain (loss) on open positions | (106,051) | (110,082) | ||
Interest income | 89,762 | 18,744 | 195,896 | 42,652 |
Total net investment gain (loss) | (26,569) | 18,744 | 56,225 | 42,652 |
Expenses: | ||||
Advisory fees | 15,829 | 46,689 | ||
Management fees | 164,049 | 230,043 | 558,605 | 699,002 |
Incentive fees | 38,017 | 161 | 155,519 | 161 |
Ongoing offering expenses | 20,000 | 30,000 | 125,000 | 70,000 |
Operating expenses | 213,950 | 217,000 | 586,002 | 757,000 |
Total expenses | 925,805 | 1,042,319 | 3,090,496 | 3,259,570 |
Trading income (loss) | 1,670,456 | 606,949 | (2,289,983) | (1,006,263) |
Non-Trading income (loss): | ||||
Interest on Non-Trading reserve | 228 | 2,876 | 2,636 | 7,900 |
Collections in excess of impaired value | 1,328,832 | 1,672,495 | 16,024,600 | |
Legal and administrative fees | (2,408) | 204,053 | (126,524) | (906,638) |
Management fees paid to US Bank | (37,658) | (100,104) | (161,466) | (261,850) |
Non-Trading income (loss) | 1,288,994 | 106,825 | 1,387,141 | 14,864,012 |
Net income (loss) | 2,959,450 | 713,774 | (902,842) | 13,857,749 |
Class A | ||||
Expenses: | ||||
Commissions | 464,016 | 560,394 | 1,588,313 | 1,720,846 |
Class B | ||||
Expenses: | ||||
Commissions | $ 9,944 | $ 4,721 | $ 30,368 | $ 12,561 |
Document and Entity Information | 9 Months Ended |
---|---|
Sep. 30, 2011 | |
Document Information [Line Items] | |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Sep. 30, 2011 |
Document Fiscal Year Focus | 2011 |
Document Fiscal Period Focus | Q3 |
Entity Registrant Name | RJO GLOBAL TRUST |
Entity Central Index Key | 0001027099 |
Current Fiscal Year End Date | --12-31 |
Entity Filer Category | Smaller Reporting Company |
Entity Common Stock, Shares Outstanding | 0 |
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Assets Held at Refco Capital Markets, Ltd. | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2011 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets Held at Refco Capital Markets, Ltd. |
(6)
Assets Held at Refco Capital Markets,
Ltd.
Effective
October 31, 2005, $57,544,206 of equity and 2,273,288 in substitute
units, which represented the assets held at RCM plus $1,000,000 in
cash, were transferred to a Non-Trading account, as explained in
Note (2)(g). On December 31, 2005 the $56,544,206 of
assets held at RCM were reduced by $39,580,944 for impairment to
$16,963,262, or 30% of the original value of the
assets. The table below summarizes all recoveries from
RCM and distributions to redeemed and continuing
unitholders.
*The
collections on June 4, October 15, December 30, 2010, June 2, 2011
and August 30, 2011 were from a settlement agreement reached with
Cargill, Inc. and Cargill Investors Services, Inc.
(together,
"Cargill"). The gross collections of $15,300,000 on June
4, 2010, $661,567 on October 15, 2010, $1,317,479 on December 30,
2010, $803,976 on June 2, 2011 and $3,108,706 were
reduced by $970,550, $378,777, $754,316, $460,312 and $1,779,874
respectively, which represented Cargill's percentage of
distributions, as defined in the Settlement Agreement.
|
Derivative Instruments and Hedging Activities | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Derivative Instruments and Hedging Activities |
(11) Derivative
Instruments and Hedging Activities
The
Trust does not utilize hedge accounting and marks its derivatives
to market through operations.
Derivatives not designated as hedging instruments:
The
above reported fair values are included in equity in commodity
Trading accounts – unrealized gain on open contracts on the
consolidated statements of financial condition as of September 30,
2011 and December 31, 2010 respectively.
Trading gain (loss) for the following periods:
See
Note (5) for additional information on the Trust’s purpose
for entering into derivatives not designed as hedging instruments
and its overall risk management strategies.
|
Summary of Significant Accounting Policies | 9 Months Ended |
---|---|
Sep. 30, 2011 | |
Summary of Significant Accounting Policies |
(2) Summary of
Significant Accounting Policies
The
accounting and reporting policies of the Trust conform to
accounting principles generally accepted in the United States of
America and to practices in the commodities
industry. The following is a description of the more
significant of those policies that the Trust follows in preparing
its consolidated financial statements.
(a) Basis of
Presentation
The
accompanying unaudited consolidated financial statements of the
Trust have been prepared in accordance with accounting principles
generally accepted in the United States of America for interim
financial information and with rules and regulations of the
SEC. Accordingly, they do not include all of the
information and footnotes required by accounting principles
generally accepted in the United States of America for complete
financial statements. In the opinion of management, all
adjustments (consisting only of normal recurring adjustments)
considered necessary for a fair presentation of the financial
condition and results of operations of the Trust for the periods
presented have been included.
The
Trust’s unaudited consolidated financial statements and the
related notes should be read together with the consolidated
financial statements and related notes included in the
Trust’s Annual Report on Form 10-K for the year ended
December 31, 2010.
(b) Principles
of Consolidation
The
accompanying consolidated financial statements include the accounts
of the Trust and its wholly-owned subsidiary, JWH Special
Circumstance, LLC. All material intercompany
transactions have been eliminated upon consolidation.
(c) Revenue
Recognition
Commodity
futures contracts, forward contracts, physical commodities, and
related options are recorded on the trade date. All such
transactions are recorded on the identified cost basis and measured
at fair value daily. Unrealized gains on open contracts
reflected in the consolidated statements of financial condition
represent the difference between original contract amount and fair
value (as determined by exchange settlement prices for futures
contracts and related options and cash dealer prices at a
predetermined time for forward contracts, physical commodities, and
their related options) as of the last business day of the year or
as of the last date of the consolidated financial
statements. As the broker has the right of offset, the
Trust presents unrealized gains and losses on open futures
contracts (the difference between contract trade price and quoted
market price) as a net amount in the consolidated statements of
financial condition. Any change in net unrealized gain
or loss on futures and forward contracts from the preceding period
is reported in the consolidated statements of
operations. Gains or losses are realized when contracts
are liquidated.
The
Trust may write (sell) and purchase exchange listed 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 Trust writes
an option, the premium received is recorded as a liability in the
statement of financial condition and measured at fair value
daily. When the Trust purchases an option, the premium
paid is recorded as an asset in the consolidated statements of
financial condition and measured at fair value
daily. Realized gains (losses) and changes in
unrealized gains (losses) on options contracts are included in
the consolidated statements of operations. When a
written option expires or the Trust enters into a closing purchase
transaction, the difference between the net premium received and
any amount paid at expiration or on executing a closing purchase
transaction, including commission, is recognized as a component of
realized gain (loss) on closed positions. When a
purchased option is exercised, the proceeds on the sale of an
underlying instrument (for a purchased put option), or the purchase
cost of an underlying instrument (for a purchased call option) is
adjusted by the amount of the premium paid.
At
September 30, 2011, the Trust earns interest on 100% of the
Trust’s average daily balances on deposit with RJO during
each month at 100% of the average four-week U.S. Treasury Bill rate
for that month in respect of deposits denominated in U.S.
dollars. For deposits denominated in other currencies,
the Trust earns interest at a rate of one-month LIBOR less 100
basis points. To the extent excess cash is not invested
in securities, such cash will be subject to the creditworthiness of
the institution where such funds are deposited. The
Trust also earns interest on cash and cash equivalents held at
Wells Fargo Bank N.A. and managed by RJO Investment Management LLC,
(“RJOIM”), an affiliate of the Managing
Owner. As of September 30, 2011, Wells Fargo Bank, N.A.
held approximately $31 million of the Trust’s
assets.
Fixed
income securities are recorded at fair value, with changes in fair
value recorded in the statement of operations as unrealized gain
(loss) on fixed income securities. Realized gains
(losses) from liquidation of fixed income securities are determined
in the specific identification basis. Premiums and
discounts on securities purchased are amortized over the lives of
the respective instruments. Interest income is
recognized on the accrual basis.
(d) Ongoing
Offering Costs
Ongoing
offering costs, subject to a ceiling of 0.50% of the Trust’s
average month-end net assets, are paid by the Trust and expensed as
incurred.
(e) Foreign
Currency Transactions
Trading
accounts in foreign currency denominations are susceptible to both
movements in the underlying contract markets as well as fluctuation
in currency rates. Foreign currencies are translated
into U.S. dollars for closed positions at an average exchange rate
for the year, while year-end balances are translated at the
year-end currency rates. The impact of the translation
is reflected in the consolidated statements of
operations.
(f) Use of
Estimates
The
preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during
the reporting period. Actual results could differ from
those estimates.
(g) Valuation
of Assets Held at Refco Capital Markets, Ltd.
The
Trust recorded an impairment charge against its assets held at RCM
at December 31, 2005, based on management’s estimate of fair
value at that time. Subsequent recoveries from RCM were
credited against the then book value of the claim. On
June 28, 2007, the Trust’s cumulative recoveries from RCM
exceeded the book value of the impaired assets held at RCM, which
resulted in no remaining book value for those
assets. All recoveries in excess of the book value of
the impaired assets have been recorded as “Collections in
excess of impaired value” on the Trust’s consolidated
statements of operations. Any future administrative
and/or legal expenses associated with liquidation of the assets
held at RCM have not been reflected as such future expenses are not
capable of being estimated. See Note (6) for further
details.
|
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Operations |
(8)
Operations
Redemptions
A
beneficial owner may cause any or all of his or her units to be
redeemed by the Trust effective as of the last business day of any
month based on the net asset value per unit on such date on five
business days’ written notice to ACS Securities Services,
Inc., (“ACS”) the Trust’s administrator, or the
Managing Owner. Payment will generally be made within 10
business days of the effective date of the
redemption. Any redemption made during the first 11
months of investment is subject to a 1.5% redemption penalty,
payable to the Managing Owner. Any redemption made in
the twelfth month of investment or later will not be subject to any
redemption penalty. The Trust’s Ninth Amended and
Restated Declaration and Agreement of Trust, as amended, contains a
full description of redemption and distribution
policies.
Subscriptions
Investors
that are eligible to participate in the private offering of the
Units may purchase Units in the Trust pursuant to the terms of the
Trust’s Confidential Private Placement Memorandum and
Disclosure Document and a signed subscription form. The
Trust’s Ninth Amended and Restated Declaration and Agreement
of Trust, as amended, and its Confidential Private Placement
Memorandum and Disclosure Document contain a full description of
subscription policies. An investment in the Trust does
not include a beneficial interest or investment in the
LLC.
Commissions
The
Managing Owner and/or affiliates act as commodity brokers for the
Trust through RJO. Commodity brokerage commissions are
typically paid upon the completion or liquidation of a trade and
are referred to as “round-turn commissions,” which
cover both the initial purchase (or sale) and the subsequent
offsetting sale (or purchase) of a commodity futures
contract.
The
Trust’s brokerage fee constitutes a “wrap fee” of
5.0% of the Trust’s month-end assets on an annual basis
(0.417% monthly) with respect to Class A units and 3.0% of the
Trust’s month-end assets on an annual basis (0.25% monthly)
with respect to Class B units, which covers the fees described
below. “Brokerage fee” includes the
following across each class of units:
Commissions
were not paid with respect to the LLC net assets.
|
Financial Highlights | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2011 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights |
(9) Financial
Highlights
The
following financial highlights show the Trust’s financial
performance for the three and nine-month periods ended September
30, 2011 and 2010. Total return is calculated as the
change in a theoretical beneficial owner’s investment over
the entire period and is not annualized. Total return is
calculated based on the aggregate return of the Trust taken as a
whole.
The
net loss and expense ratios are computed based upon the weighted
average net assets for the Trust for the three and nine-month
periods ended September 30, 2011 and 2010.
|
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