BlackRock Global Horizons I L.P. - FORM 10-Q

Attached files

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EX-31.02 - EX-31.02 - BlackRock Global Horizons I L.P.	a11-12062_1ex31d02.htm
EX-31.01 - EX-31.01 - BlackRock Global Horizons I L.P.	a11-12062_1ex31d01.htm
EX-32.02 - EX-32.02 - BlackRock Global Horizons I L.P.	a11-12062_1ex32d02.htm
EX-32.01 - EX-32.01 - BlackRock Global Horizons I L.P.	a11-12062_1ex32d01.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended March 31, 2011

o TRANSITION 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 o No o

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

Large Accelerated Filer o		Accelerated filer o

Non-Accelerated filer x		Smaller reporting company o

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 March 31, 2011 ON FORM 10-Q

Table of Contents

		PAGE

PART I

Item 1.	Consolidated Financial Statements	2

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	16

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	25

Item 4.	Controls and Procedures	26

PART II

Item 1.	Legal Proceedings	27

Item 1A.	Risk Factors	27

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	27

Item 3.	Defaults Upon Senior Securities	29

Item 4.	Reserved	29

Item 5.	Other Information	29

Item 6.	Exhibits	29

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)

	March 31,		December 31,
	2011		2010

ASSETS:
Cash and cash equivalents	$	296,827,871	$	292,600,273
Equity in commodity futures trading accounts:
Cash (restricted cash $37,595,424 and $30,299,187)	84,792,219		80,889,133
Net unrealized profit/market value on open contracts/options	6,189,036		11,011,532
Accrued interest and other assets	37,141		47,090

TOTAL ASSETS	$	387,846,267	$	384,548,028

LIABILITIES AND PARTNERS’ CAPITAL
LIABILITIES:

Net unrealized loss/market value on open contracts/options	$	1,794,656	$	836,750
Redemptions payable	7,977,516		2,920,771
Profit Shares payable	252,650		2,826,765
Distribution fees payable	947,422		906,196
Trading Advisors’ management fees payable	463,515		422,572
Sponsor fees payable	399,052		381,761
Administrator fees payable	439,500		282,914
Professional fees payable	544,686		521,140
Other fees payable	97,054		53,446

Total liabilities	12,916,051		9,152,315

PARTNERS’ CAPITAL:
General Partner (3,119,296 and 2,935,456 Units)	3,843,702		3,705,350
Limited Partners (319,987,597 and 314,444,048 Units)	371,086,514		371,690,363

Total partners’ capital	374,930,216		375,395,713

TOTAL LIABILITIES AND PARTNERS’ CAPITAL	$	387,846,267	$	384,548,028

NET ASSET VALUE PER UNIT (Note 2)

See notes to consolidated financial statements.

BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three
	months ended			months ended
	March 31,			March 31,
	2011			2010
TRADING PROFITS (LOSSES):

Realized	$	5,827,473		$	(1,896,627	)
Change in unrealized	(5,241,337		)	5,237,835
Brokerage commissions and clearing costs	(763,905		)	(528,627		)

Total trading profits (losses)	(177,769		)	2,812,581

INVESTMENT INCOME:
Interest	116,344			66,343

EXPENSES:
Distribution fees	2,852,248			2,117,497
Trading Advisors’ management fees	1,381,288			1,038,228
Sponsor fees	1,199,320			888,028
Profit Shares	293,056			254,927
Administrator fees	273,000			226,000
Professional fees	156,259			196,259
Other	115,500			154,000
Total expenses	6,270,671			4,874,939

NET INVESTMENT LOSS	(6,154,327		)	(4,808,596		)

NET LOSS	$	(6,332,096	)	$	(1,996,015	)

NET INCOME (LOSS) PER WEIGHTED AVERAGE UNIT:(1)

Weighted average number of General Partner and Limited Partner Units outstanding
Series A	297,988,615			219,302,384
Series F	96,347			105,082
Series G	26,951,719			30,194,766
Series I	2,574,311			1,278,174

Net income (loss) per weighted average General Partner and Limited Partner Unit
Series A	$	(0.0181	)	$	(0.0069	)
Series F	$	(4.31	)	$	(2.10	)
Series G	$	(0.0187	)	$	(0.0089	)
Series I	$	(0.0123	)	$	0.0102

See notes to consolidated financial statements.

(1) The weighted average number of Units outstanding is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding for the three-month periods ended March 31, 2011 and 2010 equals the Units outstanding as of such date, adjusted proportionately for Units sold and redeemed based on the respective length of time each was outstanding during the period.

BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)

			General			Limited
	Units		Partner			Partners			Total

PARTNERS’ CAPITAL, December 31, 2009	229,150,870		$	2,846,697		$	272,916,221		$	275,762,918

Additions	38,230,314		300,000			40,409,627			40,709,627

Net loss	—		(16,523		)	(1,979,492		)	(1,996,015		)

Redemptions	(12,497,324	)	—			(14,093,391		)	(14,093,391		)

PARTNERS’ CAPITAL, March 31, 2010	254,883,860		$	3,130,174		$	297,252,965		$	300,383,139

PARTNERS’ CAPITAL, December 31, 2010	317,379,504		$	3,705,350		$	371,690,363		375,395,713

Additions	21,094,984		199,999			22,863,732			23,063,731

Net loss	—		(61,647		)	(6,270,449		)	(6,332,096		)

Redemptions	(15,367,595	)	—			(17,197,132		)	(17,197,132		)

PARTNERS’ CAPITAL, March 31, 2011	323,106,893		$	3,843,702		$	371,086,514		$	374,930,216

See notes to consolidated financial statements.

BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

CONSOLIDATED FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2011

(unaudited)

The following per Unit data and ratios have been derived from information provided in the consolidated financial statements. An individual Partner’s results may vary from these ratios due to timing of income and expenses and capital transactions.

Per Unit Operating Performance:	Series A			Series F			Series G			Series I

Net asset value, beginning of period	$	1.0968		$	264.28		$	1.1446		$	1.2798

Realized trading profits	0.0183			4.06			0.0176			0.0197
Change in unrealized trading losses	(0.0166		)	(3.65		)	(0.0158		)	(0.0178		)
Interest	0.0003			0.08			0.0003			0.0004
Expenses	(0.0200		)	(4.83		)	(0.0209		)	(0.0146		)

Net asset value, end of period	$	1.0788		$	259.94		$	1.1258		$	1.2675

Total Return:

Total return (before Profit Shares)	-1.57		%	-1.57		%	-1.57		%	-0.77		%
Profit Shares	-0.08		%	-0.07		%	-0.07		%	-0.20		%
Total return	-1.64		%	-1.64		%	-1.64		%	-0.96		%

Ratios to Average Net Assets:(1) (2)

Expenses (before Profit Shares)	7.03		%	7.03		%	7.03		%	3.80		%
Profit Shares	0.08		%	0.08		%	0.07		%	0.20		%
Expenses	7.11		%	7.11		%	7.10		%	4.00		%

Net investment loss	-6.99		%	-6.99		%	-6.98		%	-3.87		%

(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.

See notes to consolidated financial statements.

BLACKROCK GLOBAL HORIZONS I L.P.

(A DELAWARE LIMITED PARTNERSHIP)

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

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

The interim financial information at March 31, 2011 and for the periods ended March 31, 2011 and 2010 is unaudited. However, in the opinion of management, the interim financial information includes all normal recurring adjustments necessary for the fair presentation of the operating results of BlackRock Global Horizons I L.P. (the “Partnership”) for the interim periods presented. The operating results for the interim periods may not be indicative of the results for the full year.

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

The preparation of consolidated financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

BlackRock Investment Management, LLC (the “General Partner” or “BRIM”), a wholly owned subsidiary of BlackRock, Inc. (“BlackRock”), is the general partner of the Partnership.

PFPC Trust Company (“PTC”), an affiliate of the General Partner through July 1, 2010, provides custody services for the Partnership. The Partnership’s assets are held in cash and customer segregated accounts at Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), an affiliate of the General Partner, Newedge USA, LLC (“NUSA”), J.P. Morgan Inc. (“JPMFI”), UBS AG (“UBS”), State Street Bank and Trust (“SSBT”) and any other clearing brokers that may be utilized by the Partnership in the future (the “Clearing Brokers”) or allocated to one or more Portfolio Funds for which custodians and clearing brokers are selected by the independent professional advisors of such Portfolio Funds or managed accounts (the “Trading Advisors”). As of March 31, 2011, there were no assets held in any Portfolio Funds.

The General Partner has formed a number of subsidiaries 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. The General Partner anticipates that in the future other funds and accounts managed by the General Partner or its affiliates may also invest in such subsidiaries in order to

gain exposure to the relevant Trading Advisor. Transactions between consolidated subsidiaries, to the extent they occur, are eliminated upon consolidation.

Valuation

The Partnership’s policy is to value its financial instruments at fair market value. The Partnership’s commodities futures contracts traded on exchanges are valued at their close price. Foreign currency exchange contracts are valued at the midpoint between the bid and ask prices and are determined as of the close of business of the New York Stock Exchange. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Exchange-traded written options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the prior day’s close price, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options are valued by single broker quotes which use mathematical models which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

Net Unrealized Profit (Loss)/Market Value on Open Contracts/Options

The Partnership, either directly or indirectly through its subsidiaries, in its normal course of business, enters into various derivatives contracts with MLPF&S, NUSA, JPMFI, UBS, and SSBT each acting as the Partnership’s clearing brokers or derivatives counterparties. Pursuant to the brokerage agreements with MLPF&S, NUSA, JPMFI, and UBS (which include netting arrangements within each subsidiary), to the extent that such trading results in receivables from and payables to MLPF&S, NUSA, JPMFI, and UBS 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.

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 condensed Consolidated Financial Statements.

Distributions

The Limited Partners are entitled to receive, equally per Unit, any distributions which may be made by the Partnership. No such distributions have been declared for the three-month periods ended March 31, 2011 and 2010.

2. PARTNERS’ CAPITAL

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

March 31, 2011	Net Asset Value		Number of Units	Net Asset Value per Unit

Series A	$	317,179,976	294,009,146	$	1.0788
Series F	24,737,619		95,165	$	259.94
Series G	29,784,369		26,455,632	$	1.1258
Series I	3,228,252		2,546,950	$	1.2675
Total Partners’ Capital	$	374,930,216	323,106,893

December 31, 2010	Net Asset Value		Number of Units	Net Asset Value per Unit

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

3. FAIR VALUE DISCLOSURES

The Partnership qualifies as an investment company under the provisions of the American Institute of Certified Public Accountants Audit and Accounting Guide for Investment Companies and therefore, all investments including derivatives are stated at fair value in the Consolidated Statements of Financial Condition, and changes in fair value are included in realized and change in unrealized trading profits and losses in the Consolidated Statements of Operations.

The Partnership records derivatives contracts held in commodities futures trading accounts and cash equivalents at fair value in accordance with Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value as the price that the Partnership would receive upon selling an investment or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. ASC 820 emphasizes that valuation techniques maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk to the extent the asset or liability is not traded on an exchange or an active market. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Partnership. Unobservable inputs are inputs that reflect the General Partner’s assumptions about what information market participants would use to price an asset or liability developed based on the best information available under the circumstances.

ASC 820 establishes a hierarchy that classifies these inputs into the three broad levels listed below:

Level 1 — Price quotations (unadjusted) in active markets/exchanges for identical instruments.

Level 2 — Other than quoted prices included within Level 1 that are observable for substantially the full term of the asset or liability, either directly or indirectly. Level 2 includes quoted prices (unadjusted) for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities that are not active; and inputs other than quoted prices that are observable, such as those used in models or other valuation methodologies.

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 March 31, 2011 and December 31, 2010 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 March 31, 2011 and December 31, 2010.

				Fair Value at Reporting Date Using
Description	3/31/2011			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)
Cash Equivalents	$	296,827,871		$	296,827,871	$	—
Futures (1)	3,391,590			3,391,590		—
Forwards (1)	1,783,832			—		1,783,832
Options (1)	(781,042		)	—		(781,042		)
	$	301,222,251		$	300,219,461	$	1,002,790

Description	12/31/2010
Cash Equivalents	$	292,600,273		$	292,600,273	$	—
Futures (1)	7,156,999			7,156,999		—
Forwards (1)	3,019,683			—		3,019,683
Options (1)	(1,900		)	—		(1,900		)
	$	302,775,055		$	299,757,272	$	3,017,783

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

4. DERIVATIVE CONTRACTS AND OFF-BALANCE SHEET RISK

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

The Partnership, through its Trading Advisors, engages in the speculative trading of derivative contracts on interest rates, commodities, currencies, metals, energy, agriculture and stock indices. The following

were the primary trading risk exposures of such derivative contracts as of at March 31, 2011, organized by market sector:

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

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

Energy. The Partnership’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy 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 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, which may include a Merrill Lynch & Co., Inc. (“Merrill Lynch”) entity.

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 may purchase and write (sell) both exchange listed and over-the-counter, 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.

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

Market Risk

Derivative contracts involve varying degrees of off-balance sheet market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial contracts or commodities underlying such open derivative contracts frequently result in changes in the Partnership’s net unrealized profit (loss)/market value on such derivative contracts as reflected in the Consolidated Statements of Financial Condition. The Partnership’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative contracts held by the Partnership as well as the volatility and liquidity of the markets in which the derivative contracts are traded. Investments in foreign markets may also entail legal and political risks.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short.

BRIM has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Trading Advisors, calculating the net asset value of the Partnership as of the close of business on each day and reviewing outstanding positions, or reallocating Partnership assets among Trading Advisors (although typically only as of the end of a month) for over-concentrations. BRIM’s basic risk control procedures consist simply of the ongoing process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisors themselves.

Credit Risk

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

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 market value of cash and cash equivalents held to satisfy such

requirements at March 31, 2011 and December 31, 2010 was $37,595,424 $30,299,187 respectively, which equals 10.03% and 8.07% of net asset value of the Partnership, respectively.

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

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 March 31, 2011, 110,697 contracts were closed, respectively. The fair value of options held as of March 31, 2011 includes premiums paid of $304,403 and received of $845,658. The fair value of the Partnership’s futures, forwards, and options contracts by type, defined as Net unrealized profit (loss) on open contracts in the Consolidated Statements of Financial Condition as of March 31, 2011 are as follows:

							Long Positions												Short Positions					Net Unrealized
	Long Positions						Unrealized					Short Positions							Unrealized					Profit (Loss)/
Commodity	Number						Profit (Loss)/			Percent of		Number							Profit (Loss)/			Percent of		Market Value on			Percent of
Industry Sector	of Contracts	Gross Unrealized					Market Value			Net Assets		of Contracts		Gross Unrealized					Market Value			Net Assets		Open Contracts/Options			Net Assets		Maturity Dates

Futures		Gains		Losses										Gains		Losses
Agriculture	1,236	$	1,498,140	$	(247,153	)	$	1,250,987		0.33	%	(360	)	$	84,215	$	(668,391	)	$	(584,176	)	-0.16	%	$	666,811		0.17	%	May 11 - August 11
Currencies	1,706	1,394,407		(282,189		)	1,112,218			0.30	%	(249	)	130,096		(16,182		)	113,914			0.03	%	1,226,132			0.33	%	April 11 - June 11
Energy	890	1,855,921		(6,580		)	1,849,341			0.49	%	(379	)	40		(1,001,008		)	(1,000,968		)	-0.27	%	848,373			0.22	%	April 11 - October 11
Interest rates	4,984	148,638		(690,037		)	(541,399		)	-0.14	%	(2,473	)	800,311		(241,896		)	558,415			0.15	%	17,016			0.01	%	April 11 - June 13
Metals	894	1,596,362		(871,398		)	724,964			0.19	%	(477	)	289,727		(1,133,190		)	(843,463		)	-0.22	%	(118,499		)	-0.03	%	April 11 - February 12
Stock indices	1,475	1,764,486		(97,030		)	1,667,456			0.44	%	(833	)	42,232		(957,931		)	(915,699		)	-0.24	%	751,757			0.20	%	April 11 - June 11
Subtotal	11,185	8,257,954		(2,194,387		)	6,063,567			1.61	%	(4,771	)	1,346,621		(4,018,598		)	(2,671,977		)	-0.71	%	3,391,590			0.90	%

Forwards
Currencies		4,282,902		(2,411,117		)	1,871,785			0.50	%			3,191,240		(3,279,193		)	(87,953		)	-0.02	%	1,783,832			0.48	%	April 11 - September 11
Subtotal		4,282,902		(2,411,117		)	1,871,785			0.50	%			3,191,240		(3,279,193		)	(87,953		)	-0.02	%	1,783,832			0.48	%

Options
Currencies		86,258		—			86,258			0.02	%			—		(641,829		)	(641,829		)	-0.17	%	(555,571		)	-0.15	%	April 11 - September 11
Energy	—	—		—			—			0.00	%	(11	)	—		(61,490		)	(61,490		)	-0.02	%	(61,490		)	-0.02	%	May 11
Interest Rates	189	30,844		—			30,844			0.01	%	(462	)	—		(163,395		)	(163,395		)	-0.04	%	(132,551		)	-0.03	%	April 11 - September 11
Stock indices	25	31,914		—			31,914			0.01	%	(101	)	—		(63,344		)	(63,344		)	-0.02	%	(31,430		)	-0.01	%	April 11 - June 11
Subtotal	214	149,016		—			149,016			0.04	%	(574	)	—		(930,058		)	(930,058		)	-0.25	%	(781,042		)	-0.21	%

Total	11,399	$	12,689,872	$	(4,605,504	)	$	8,084,368		2.15	%	(5,345	)	$	4,537,861	$	(8,227,849	)	$	(3,689,988	)	-0.98	%	$	4,394,380		1.17	%

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

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

							Long Positions											Short Positions					Net Unrealized
	Long Positions						Unrealized				Short Positions							Unrealized					Profit (Loss)/
Commodity	Number						Profit (Loss)/		Percent of		Number							Profit (Loss)/			Percent of		Market Value on			Percent of
Industry Sector	of Contracts	Gross Unrealized					Market Value		Net Assets		of Contracts		Gross Unrealized					Market Value			Net Assets		Open Contracts/Options			Net Assets		Maturity Dates

Futures		Gains		Losses									Gains		Losses
Agriculture	1,885	$	2,648,562	$	(82,267	)	$	2,566,295	0.68	%	(243	)	$	—	$	(917,686	)	$	(917,686	)	-0.24	%	$	1,648,609		0.44	%	January 11 - June 11
Currencies	1,301	2,128,950		(64,615		)	2,064,335		0.55	%	(348	)	67,761		(165,042		)	(97,281		)	-0.03	%	1,967,054			0.52	%	January 11 - March 11
Energy	596	1,036,864		(122,523		)	914,341		0.25	%	(158	)	6,925		(186,976		)	(180,051		)	-0.05	%	734,290			0.20	%	January 11 - July 11
Interest rates	3,535	918,017		(38,715		)	879,302		0.24	%	(731	)	356,924		(240,344		)	116,580			0.03	%	995,882			0.27	%	January 11 - December 12
Metals	1,034	4,619,730		(97,797		)	4,521,933		1.20	%	(666	)	41,164		(3,233,011		)	(3,191,847		)	-0.85	%	1,330,086			0.35	%	January 11 - April 11
Stock indices	2,071	701,119		(418,004		)	283,115		0.08	%	(392	)	234,291		(36,328		)	197,963			0.05	%	481,078			0.13	%	January 11 - March 11
Subtotal	10,422	12,053,242		(823,921		)	11,229,321		3.00	%	(2,538	)	707,065		(4,779,387		)	(4,072,322		)	-1.09	%	7,156,999			1.91	%

Forwards
Currencies		3,910,819		(2,433,754		)	1,477,065		0.39	%			3,697,767		(2,155,149		)	1,542,618			0.41	%	3,019,683			0.80	%	January 11 - June 11
Subtotal		3,910,819		(2,433,754		)	1,477,065		0.39	%			3,697,767		(2,155,149		)	1,542,618			0.41	%	3,019,683			0.80	%

Options
Stock indices	4	2,065		—			2,065		0.00	%	(4	)	—		(3,965		)	(3,965		)	0.00	%	(1,900		)	0.00	%	January 11 - March 11
Subtotal	4	2,065		—			2,065		0.00	%	(4	)	—		(3,965		)	(3,965		)	0.00	%	(1,900		)	0.00	%

Total	10,426	$	15,966,126	$	(3,257,675	)	$	12,708,451	3.39	%	(2,542	)	$	4,404,832	$	(6,938,501	)	$	(2,533,669	)	-0.68	%	$	10,174,782		2.71	%

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

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 March 31, 2011 and 2010 are as follows:

March, 31 2011

				Change in Net
Commodity	Realized Profits			Unrealized			Net Trading
Industry Sector	(Losses)			Profits (Losses)			Profits (Losses)

Futures
Agriculture	$	940,772		$	(981,798	)	$	(41,026	)
Currencies	(23,681		)	(740,922		)	(764,603		)
Energy	4,301,798			114,083			4,415,881
Interest rates	(4,254,878		)	(978,866		)	(5,233,744		)
Metals	1,956,464			(1,448,585		)	507,879
Stock indices	158,011			270,679			428,690
Subtotal	3,078,486			(3,765,409		)	(686,923		)

Forwards
Currencies	1,318,030			(1,235,851		)	82,179
	1,318,030			(1,235,851		)	82,179
Options
Currencies	658,047			(223,801		)	434,246
Energy	56,078			(24,883		)	31,195
Interest rates	485,593			4,734			490,327
Metals	4,386			—			4,386
Stock indices	226,853			3,873			230,726
Subtotal	1,430,957			(240,077		)	1,190,880

Total	$	5,827,473		$	(5,241,337	)	$	586,136

March 31, 2010

				Change in Net
Commodity	Realized Profits			Unrealized			Net Trading
Industry Sector	(Losses)			Profits (Losses)			Profits (Losses)

Futures
Agriculture	$	(1,220,922	)	$	84,701		$	(1,136,221	)
Currencies	(524		)	457,572			457,048
Energy	(2,231,319		)	942,451			(1,288,868		)
Interest rates	784,015			918,892			1,702,907
Metals	876,343			(913,712		)	(37,369		)
Stock indices	1,334,398			297,607			1,632,005
Subtotal	(458,009		)	1,787,511			1,329,502

Forwards
Currencies	(1,333,320		)	3,365,982			2,032,662
Subtotal	(1,333,320		)	3,365,982			2,032,662

Options
Agriculture	(68,414		)	68,414			—
Currencies	(34,479		)	12,331			(22,148		)
Energy	(7,990		)	7,990			—
Metals	5,585			(4,393		)	1,192
Subtotal	(105,298		)	84,342			(20,956		)

Total	$	(1,896,627	)	$	5,237,835		$	3,341,208

5. RELATED PARTY TRANSACTIONS

Some of the Partnership’s U.S. dollar assets are maintained at MLPF&S. MLPF&S is a wholly owned subsidiary of Merrill Lynch, which in turn maintains a significant ownership interest in BlackRock. On assets held in U.S. dollars, Merrill Lynch credits the Partnership with interest at the prevailing 91-day U.S. Treasury bill rate. The Partnership is credited with interest on any of its net gains actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch. Merrill Lynch may derive certain economic benefit, in excess of the interest which Merrill Lynch pays to the Partnership, from possession of such assets.

As of March 31, 2011 and December 31, 2010, $4,783,733 and $5,565,891, respectively, was held in trading accounts at MLPF&S. For the three-month periods ended March 31, 2011 and 2010, the Partnership incurred $14,247 and $77,342 respectively, for brokerage commissions payable to MLPF&S.

PTC provides custody services for the Partnership. As of March 31, 2011 and December 31, 2010, $296,827,871 and $292,600,273, respectively, was held in custody at PTC and invested in an affiliated BlackRock money market fund.

Merrill Lynch charges the Partnership Merrill Lynch’s cost of financing on realized and unrealized losses on the Partnership’s non-U.S. dollar denominated positions. Such amounts are netted against interest income due to the insignificance of such amounts.

6. RECENT ACCOUNTING PRONOUNCEMENT

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

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 (known as Commodity Pool Operators or “CPO”), the portion of the Partnership’s assets that each controlled as of March 1, 2011, the general trading focus of each such Trading Advisor, an indication as to whether each Trading Advisor’s program is discretionary or systematic, as well as the commodity pool operator 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).

Trading Advisors	Systematic / Discretionary	General Trading Focus	Allocation		CPO Registration Status	Investment Adviser Registration Status
Abraham Capital Management	Systematic	Long-term trend-following	9.10	%	Not Registered	Not Registered

Boronia Capital PTY Ltd	Systematic	Short-term trend-following	9.10	%	Registered	Not Registered

Blackwater Capital Management LLC	Systematic	Medium-term trend-following	8.75	%	Registered	Not Registered

Cantab Capital Partners LLP	Systematic	Medium-term trend-following and mean reversion	8.95	%	Exempt CPO	Not Registered

Crabel Capital Management LLC	Systematic	Short-term trend-following	8.40	%	Registered	Not Registered

G Capital Fund Management LLC	Discretionary	Fundemental Global Macro	8.30	%	Exempt CPO	Not Registered

Mapleridge Capital Corporation	Systematic	Short-term trend-following and mean reversion	8.00	%	Registered	Not Registered

Nuwave Investment Management LLC	Systematic	Medium-term pattern recognition	6.80	%	Registered	Registered

Ortus Capital Management Ltd	Systematic	Medium-term econometric	9.95	%	Not Registered	Not Registered

Quantitative Investment Management - Global Program	Systematic	Short-term pattern recognition	7.60	%	Registered	Not Registered

Winton Capital Management Limited	Systematic	Medium-term trend-following	14.55	%	Registered	Not Registered

Cash			0.50	%

*The cash is held at clearing brokers and with PTC, the Fund’s custodian.

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

One of the objectives of the Partnership is to provide diversification for a limited portion of the risk segment of the Limited Partners’ portfolios. Commodity pool performance has historically demonstrated a low degree of performance correlation with traditional stock and bond holdings. Past performance is not indicative of future results.

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. The principal terms of this form of advisory agreement include the management fees (the “Management Fees”),

performance-based allocations (the “Profit Shares”), indemnification provisions and the term of the advisory agreement. Set forth below are descriptions of each of these terms. Other than the differences in fees, as described in the ranges provided below, the other key term that differs among the agreements with the Trading Advisors is the minimum account maintenance level. The minimum account maintenance level for each Trading Advisor is described below.

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

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

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). Most Trading Advisor may terminate the advisory agreement if the equity in the Partnership’s account drops below a specified minimum amount as of the close of business on any day, among other reasons. The General Partner may terminate the advisory agreements as of any month-end.

Minimum Investment Maintenance Levels. The minimum investment maintenance levels with each Trading Advisor are as follows: Abraham Capital Management: $1,000,000; Blackwater Capital Management LLC: $1,000,000; Boronia Capital Pty Ltd.: $1,000,000; Cantab Capital Partners LLP: $15,000,000; Crabel Capital Management LLC: $1,000,000; G Capital Fund Management LLC: $25,000,000; Mapleridge Capital Corporation: $1,000,000; NuWave Investment Management, LLC: $5,000,000; Ortus Capital Management Ltd.: $20,000,000; Quantitative Investment Management-Global Program: none; 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.
2010	$	252.82	$	253.45	$	257.28
2011	$	262.13	$	263.54	$	259.94

Set forth below is a list of the year-to-date net trading profit (loss) from each Trading Advisor as measured at March 31, 2011.

Trading Advisors	Realized			Change in Unrealized			Brokerage Commissions and Clearing Costs			Total Trading Profit (Losses)
Abraham Capital Management	$	1,006,698		$	(1,353,084	)	$	(73,136	)	$	(419,522	)
Blackwater Capital Management LLC	3,457,097			(2,012,873		)	(27,352		)	1,416,872
Boronia Capital PTY Ltd	(149,916		)	(916,796		)	(191,725		)	(1,258,437		)
Cantab Capital Partners LLP	1,702,729			338,306			(58,841		)	1,982,194
Crabel Capital Management LLC	(741,842		)	(346,769		)	(94,286		)	(1,182,897		)
G Capital Fund Management LLC	263,326			(25,012		)	(10,942		)	227,372
Mapleridge Capital Corporation	(2,072,761		)	121,419			(230,943		)	(2,182,285		)
Nuwave Investment Management LLC	(1,463,817		)	332,372			(14,247		)	(1,145,692		)
Ortus Capital Management Ltd.	1,914,643			(1,570,216		)	—			344,427
Quantitative Investment Management - Global Program	(318,335		)	957,014			(51,838		)	586,841
Winton Capital Management Limited	2,229,651			(765,698		)	(10,595		)	1,453,358
Total	$	5,827,473		$	(5,241,337	)	$	(763,905	)	$	(177,769	)

The weighted average Management Fee rate of the Trading Advisors based on allocations as of March 31, 2011 was 1.44% and the weighted average Profit Share was 21%. The range of Management Fees as of March 31, 2011 was 0% to 2.5% (annualized) and the range of Profit Shares was 15% to 30%.

Performance Summary - Results of Trading

January 1, 2011 to March 31, 2011

The Partnership posted a slight net loss for the first quarter in a period marked by a number of significant geopolitical developments around the world, including escalating turmoil in the Middle East and North Africa, and the earthquake, tsunami and ensuing nuclear catastrophe in Japan. Even as the repercussions of these events were felt around the world, global economies showed signs of resilience. By the period’s end, market valuations held their ground as corporate profits remained strong and manufacturing data and capital expenditures were on the rise despite escalating oil prices. Meanwhile, the US labor market seemed to turn a corner as private sector job creation posted impressive figures as overall unemployment dropped. In Japan, investors were optimistic on reconstruction opportunities. Throughout the quarter, market volatility remained low relative to recent years. In general, asset classes offered somewhat mixed results for the Fund during the first quarter, with energy, equities, metals, agricultures and foreign exchange posting profits, while fixed income activity an 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. Managers 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 managers 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 US stock market remained relatively stable even as a near-government shutdown dominated headlines domestically. In particular, long exposures to the S&P 500 were profitable for underlying funds throughout the quarter, while long exposures to the Eurostoxx were positive early, but lost ground as the index declined nearly 300 points in mid-March.

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

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

Amidst foreign exchange activity, managers entered the period predominantly short the US dollar, a position largely maintained throughout the quarter. This exposure generally hurt performance in January, impacted by positive fourth quarter 2010 GDP reports and an increased demand for safe assets as social unrest unfurled in Egypt. However, short dollar trades were generally beneficial through the rest of the period. Meanwhile, long holdings in both the euro and Swedish krona strengthened as the focal point of geopolitical tensions swung from European economies to the Middle East early in the quarter, and commodity rich currencies, including the Australian and Canadian dollars, benefited against the US dollar as managers 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 underlying managers as they were positioned for a general lack of conviction around Treasury securities. However, Treasury prices generally stood their ground as

global tensions simmered, US economic reports painted a modestly positive picture, and many investors speculated that turmoil in the Middle East and North Africa would not derail US economic recovery. During the period, underlying managers lost money on short exposures to 30-Year Treasurys and 10-year German bunds in February as well as 5- and 10-year Treasurys in March, which experienced mid-month reversals. Underlying managers 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.

January 1, 2010 to March 31, 2010

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

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

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

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

Energy trading struggled early, but generally was able to recover lost ground in March. A commodity sell-off in crude oil and low volatility in natural gas prices created a difficult start to the year, leading many to short the sector. However, sharp reversals in crude oil prices frustrated a number of underlying managers. Following these losses, several underlying managers built up long exposures, setting up

notable gains throughout the second half of the period as oil prices reached 18-month highs, bolstered by a growing appeal of commodities relative to corporate securities, as well as the US dollar’s decline. Furthermore, natural gas stockpiles reached above-average levels, profitably affecting underlying short natural gas exposures and pushing the overall sector into positive territory for the month.

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

Agriculture-based commodity trading has experienced a very challenging environment year-to-date. Soybeans led losses within a rangebound trading environment for the crop, and wheat hit a five-month low in March due to light demand and higher-than-expected global supply. Furthermore, underlying long exposures to sugar experienced initial gains due to poor recent crops in India and Brazil, but the commodity aggressively reversed after hitting a 25-year high, ultimately suffering a 15% price collapse on news of increasing output in the two regions.

Performance Summary — Factors Affecting Interest Income and Expenses

Cash held in accounts at the Clearing Brokers and PTC earns interest on all such assets which are not used for trading. The improved level of interest rates in 2011 in the United States positively impacted interest income revenues. The Partnership estimates that approximately 90% of its assets are earning interest. For the three months ended March 31, 2011 and 2010 the Partnership earned $116,344 and $66,343, respectively, in interest income, or approximately 0.03% and 0.02%, respectively, of the Partnership’s average month-end net assets. The average interest rates for the three month periods ended March 31, 2011 and 2010 were 0.16% and 0.11%, respectively.

The overall expenses of the Partnership (excluding Profit Shares) generally vary with changes in net assets. As such, expenses that vary with net assets are higher as of March 31, 2011 when compared to the same period ending March 31, 2010 due to the overall increase in the Partnership’s net assets. For the three month period ended March 31, 2011, distribution fees, Trading Advisors’ management fees and Sponsor fees increased approximately 33% and 35%, respectively when compared to the three month period ended March 31, 2010. This is due mostly to a 31% increase in average net assets in the three month periods ended March 31, 2011 when compared to three months ended March 31, 2010, partially offset by the variation of the level of traded assets during the respective periods. Profit Shares increased for the period ending March 31, 2011, when compared to the period ending March 31, 2010 primarily due to slightly more profitable Trading Advisors.

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

Liquidity; Capital Resources

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

Substantially all of the Partnership’s assets are currently held in cash except for the net unrealized profit (loss) on open positions. 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 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 Fund will generally be made approximately ten (10) days following the Redemption Date, although there can be no assurance as to the timing of such payments.

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

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

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 March 31, 2011, the end of the most recent reporting period.

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.

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 March 31, 2011. During this period, the Partnership’s average capitalization was $384,995,771.

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agriculture	$	1,437,653	0.37	%	$	1,807,484	$	985,528
Currencies	14,316,807		3.72	%	17,343,450		12,022,424
Energy	1,129,538		0.30	%	1,416,199		813,273
Interest Rates	15,397,559		4.00	%	18,873,733		9,498,555
Metals	1,042,622		0.27	%	1,557,649		440,183
Stock Indices	2,541,286		0.66	%	3,537,936		1,605,383

TOTAL	$	35,865,465	9.32	%	$	44,536,451	$	25,365,346

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 March 31, 2011, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. Additionally, there were no significant changes in the General Partner’s internal controls with respect to the Partnership over financial reporting which materially affect such internal controls.

Changes in Internal Control over Financial Reporting

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

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
Jan-11	$	7,464,928	6,806,098	$	1.0968
Feb-11	6,735,971		6,191,719	1.0879
Mar-11	8,792,934		8,042,563	1.0933

SERIES I

	Subscription
	Amount		Units	NAV
Jan-11	$	29,899	23,362	$	1.2798
Feb-11	—		—	—
Mar-11	39,999		31,242	1.2803

(b) None.

(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 first calendar quarter of 2011:

Series F

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
January 31, 2011	417	$	262.13	$	109,308
February 28, 2011	988	263.54		260,378
March 31, 2011	384	259.94		99,817

Total	1,789			$	469,503

Series A

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
January 31, 2011	2,027,626	$	1.0879	$	2,205,854
February 28, 2011	5,575,359	1.0933		6,095,540
March 31, 2011	7,012,303	1.0788		7,564,873

Total	14,615,288			$	15,866,267

Series G

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
January 31, 2011	134,072	$	1.1353	$	152,212
February 28, 2011	278,516	1.1414		317,898
March 31, 2011	265,719	1.1258		299,146

Total	678,307			$	769,256

Series I

		Redemption Date		Redemption
Month	Units Redeemed	NAV Per Unit		Amount
January 31, 2011	16,225	$	1.2719	$	20,636
February 28, 2011	39,635	1.2803		50,745
March 31, 2011	16,351	1.2675		20,725

Total	72,211			$	92,106

Item 3. Defaults Upon Senior Securities

None.

Item 4. Reserved

Item 5. Other Information

None.

Item 6. Exhibits

(a) Exhibits

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

31.01 and

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

Exhibit 31.01

and 31.02: Are filed herewith.

32.01 and

32.02 Section 1350 Certifications

Exhibit 32.01

and 32.02 Are filed herewith.

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: May 13, 2011	By	/s/ EDWARD RZESZOWSKI
		Edward Rzeszowski
		President
		(Principal Executive Officer)


Date: May 13, 2011	By	/s/ MICHAEL L. PUNGELLO
		Michael L. Pungello
		Chief Financial Officer
		(Chief Financial Officer)

BlackRock Global Horizons I L.P. - FORM 10-Q - May 13, 2011

Attached files

BlackRock Global Horizons I L.P. Reports