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Table of Contents

 

 

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 June 30, 2011

OR

 

¨ 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: 000-53647

 

 

RICI® Linked – PAM Advisors Fund, LLC

(Exact name of registrant as specified in charter)

 

 

 

Delaware   38-3743129

(State or other jurisdiction of

incorporation or organization)

 

(IRS Employer

Identification No.)

 

c/o Price Asset Management, Inc.

141 West Jackson Blvd., Suite 1340A

Chicago, IL

  60604
(Address of Principal Executive Offices)   (Zip Code)

(312) 261-4431

(Registrant’s telephone number, including area code)

Not applicable

(Former name, former address and former fiscal years, if changed since last report)

 

 

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  ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, 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  ¨    No  ¨

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

 

Large accelerated filer   ¨    Accelerated filer   ¨
Non-accelerated filer   x  (Do not check if a smaller reporting company)    Smaller reporting company   ¨

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

 

 

 


Table of Contents

PART I - FINANCIAL INFORMATION

 

ITEM 1. FINANCIAL STATEMENTS

The following unaudited financial statements of RICI® Linked – PAM Total Index Series, RICI® Linked - PAM Agricultural Sector Series, and RICI® Linked - PAM Energy Sector Series, each a series of RICI® Linked – PAM Advisors Fund, LLC, as well as the consolidated, unaudited financial statements of RICI® Linked – PAM Advisors Fund, LLC, are included in Item 1:

 

     Page  

Financial Statements

  

Statements of Financial Condition as of June 30, 2011 (Unaudited) and December 31, 2010 (Audited)

     3   

Condensed Schedule of Investments as of June 30, 2011 (Unaudited)

     4   

Condensed Schedule of Investments as of December 31, 2010 (Audited)

     5   

Statements of Operations for the Three Months and Six Months Ended June 30, 2011 and 2010 (Unaudited)

     6   

Statements of Changes in Members’ Equity (Net Assets) for the Six Months ended June  30, 2011 and 2010 (Unaudited)

     7   

Notes to Financial Statements

     8   

 

2


Table of Contents

RICI ® Linked - PAM Advisors Fund, LLC

Statements of Financial Condition

June 30, 2011 (Unaudited) and December 31, 2010 (Audited)

 

    Total Index Series     Agricultural Sector Series     Energy Sector Series    

Total for RICI ® Linked -

PAM Advisors Fund, LLC

 
    June 30, 2011     December 31, 2010     June 30, 2011     December 31, 2010     June 30, 2011     December 31, 2010     June 30, 2011     December 31, 2010  

Assets

               

Equity in broker trading account

               

Cash

  $ 52,580,007      $ 14,326,003      $ 4,270,931      $ 1,061,906      $ —        $ —        $ 56,850,938      $ 15,387,909   

Net unrealized gain (loss) on open futures contracts

    (14,068,551     20,897,933        (1,408,196     1,791,496        —          —          (15,476,747     22,689,429   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    38,511,456        35,223,936        2,862,735        2,853,402        —          —          41,374,191        38,077,338   

Cash and cash equivalents

    5,932,948        26,361,701        594,805        886,273        3,290        14,555        6,531,043        27,262,529   

Investments

               

Government-sponsored enterprise securities, at fair value

    281,964,280        282,847,260        11,498,250        13,489,960        —          —          293,462,530        296,337,220   

Mutual funds, at fair value

    3,438,641        329,030        1,079,700        575,299        —          —          4,518,341        904,329   

Interest receivable

    242        1,480        10        111        —          —          252        1,591   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

  $ 329,847,567      $ 344,763,407      $ 16,035,500      $ 17,805,045      $ 3,290      $ 14,555      $ 345,886,357      $ 362,583,007   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities and Members’ Equity (Net Assets)

               

Accrued operating expenses

  $ 116,332      $ 182,020      $ 23,666      $ 37,549      $ 3,290      $ 14,555      $ 143,288      $ 234,124   

Management fee payable to Managing Member

    176,308        178,285        8,643        9,565        —          —          184,951        187,850   

Support services fee payable

    27,110        27,414        1,329        1,471        —          —          28,439        28,885   

Servicing fee payable to selling agent

    37,294        32,142        8,093        7,099        —          —          45,387        39,241   

Withdrawals payable

    1,697,567        3,346,945        256,948        130,892        —          —          1,954,515        3,477,837   

Subscriptions received in advance

    4,173,420        15,378,230        10,000        60,000        —          —          4,183,420        15,438,230   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    6,228,031        19,145,036        308,679        246,576        3,290        14,555        6,540,000        19,406,167   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Members’ equity (net assets)

    323,619,536        325,618,371        15,726,821        17,558,469        —          —          339,346,357        343,176,840   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities and members’ equity (net assets)

  $ 329,847,567      $ 344,763,407      $ 16,035,500      $ 17,805,045      $ 3,290      $ 14,555      $ 345,886,357      $ 362,583,007   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The accompanying notes are an integral part of these financial statements.

 

3


Table of Contents

RICI ® Linked - PAM Advisors Fund, LLC

Condensed Schedule of Investments

June 30, 2011 (Unaudited)

 

     Total Index Series     Agricultural Sector Series     Energy Sector Series     Total for RICI ® Linked -
PAM Advisors Fund, LLC
 
     Net Unrealized
Gain (Loss)
on Open
Long Futures
Contracts
    Percent of
Members’
Equity
(Net Assets)
    Net Unrealized
Gain (Loss)
on Open
Long Futures
Contracts
    Percent of
Members’
Equity
(Net Assets)
    Net Unrealized
Gain (Loss)
on Open
Long Futures
Contracts
     Percent of
Members’
Equity
(Net Assets)
    Net Unrealized
Gain (Loss)
on Open
Long Futures
Contracts
    Percent of
Members’
Equity
(Net Assets)
 

Futures contracts *

                 

United States

                 

Agriculture

   $ (9,492,518     (2.93 )%    $ (1,321,220     (8.40 )%    $ —           —     $ (10,813,738     (3.19 )% 

Energy

     (1,482,318     (0.46     —          —          —           —          (1,482,318     (0.44

Metals

     (1,034,570     (0.32     —          —          —           —          (1,034,570     (0.30
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Total futures contracts - United States

     (12,009,406     (3.71     (1,321,220     (8.40     —           —          (13,330,626     (3.93
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Foreign

                 

Agriculture

     (186,993     (0.06     (86,976     (0.55     —           —          (273,969     (0.08

Energy

     7,640        *     —          —          —           —          7,640        *

Metals

     (1,879,792     (0.58     —          —          —           —          (1,879,792     (0.55
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Total futures contracts - Foreign

     (2,059,145     (0.64     (86,976     (0.55     —           —          (2,146,121     (0.63
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Total net unrealized gain (loss) on open futures contracts

   $ (14,068,551     (4.35 )%    $ (1,408,196     (8.95 )%    $ —           —     $ (15,476,747     (4.56 )% 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

 

Government-
sponsored enterprise
securities
  Cost     Fair Value     Percent of
Members’
Equity
(Net Assets)
    Cost     Fair Value     Percent of
Members’
Equity
(Net Assets)
    Cost     Fair Value     Percent of
Members’
Equity
(Net Assets)
    Cost     Fair Value     Percent of
Members’
Equity
(Net Assets)
 

United States

                       

Federal Home Loan Bank

                       

$ 3,000,000 discount note, due 07/25/2011

  $ 2,998,037      $ 2,999,970        0.93   $ —        $ —          —     $ —        $ —          —     $ 2,998,037      $ 2,999,970        0.88

$ 54,000,000 discount note, due 07/26/2011

    53,922,976        53,999,460        16.69        —          —          —          —          —          —          53,922,976        53,999,460        15.91   

$ 5,000,000 discount note, due 07/26/2011

    —          —          —          4,993,778        4,999,950        31.79        —          —          —          4,993,778        4,999,950        1.47   

$ 20,000,000 discount note, due 07/27/2011

    19,987,250        19,999,800        6.18        —          —          —          —          —          —          19,987,250        19,999,800        5.89   

$ 1,000,000 discount note, due 07/27/2011

    —          —          —          999,362        999,990        6.36        —          —          —          999,362        999,990        0.29   

U.S. Treasury Bills

                       

$ 35,000,000 Treasury bill due 09/15/2011

    34,976,562        34,998,600        10.81        —          —          —          —          —          —          34,976,562        34,998,600        10.31   

$ 500,000 Treasury bill due 09/15/2011

    —          —          —          499,686        499,980        3.18        —          —          —          499,686        499,980        0.15   

$ 20,000,000 Treasury bill due 09/22/2011

    19,986,049        19,998,800        6.18        —          —          —          —          —          —          19,986,049        19,998,800        5.89   

$ 20,000,000 Treasury bill due 09/22/2011

    19,985,922        19,998,800        6.18        —          —          —          —          —          —          19,985,922        19,998,800        5.89   

$ 35,000,000 Treasury bill due 10/13/2011

    34,981,807        34,996,850        10.81        —          —          —          —          —          —          34,981,807        34,996,850        10.31   

$ 1,000,000 Treasury bill due 10/13/2011

    —          —          —          999,503        999,910        6.36        —          —          —          999,503        999,910        0.29   

$ 10,000,000 Treasury bill due 10/20/2011

    9,994,363        9,998,900        3.09        —          —          —          —          —          —          9,994,363        9,998,900        2.95   

$ 45,000,000 Treasury bill due 11/10/2011

    44,985,786        44,990,100        13.90        —          —          —          —          —          —          44,985,786        44,990,100        13.26   

$ 500,000 Treasury bill due 11/10/2011

    —          —          —          499,847        499,890        3.18        —          —          —          499,847        499,890        0.15   

$ 10,000,000 Treasury bill due 12/15/2011

    9,994,950        9,996,300        3.09        —          —          —          —          —          —          9,994,950        9,996,300        2.95   

$ 20,000,000 Treasury bill due 12/22/2011

    19,991,265        19,991,600        6.18        —          —          —          —          —          —          19,991,265        19,991,600        5.89   

$ 3,500,000 Treasury bill due 12/22/2011

    —          —          —          3,498,478        3,498,530        22.25        —          —          —          3,498,478        3,498,530        1.03   

$ 10,000,000 Treasury bill due 12/29/2011

    9,995,497        9,995,100        3.09        —          —          —          —          —          —          9,995,497        9,995,100        2.95   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Government-sponsored enterprise securities

  $ 281,800,464      $ 281,964,280        87.13   $ 11,490,654      $ 11,498,250        73.12   $ —        $ —          —     $ 293,291,118      $ 293,462,530        86.46
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual funds

                       

United States

                       

AIM Government & Agency

                       

Portfolio Institutional (3,438,641 shares)

  $ 3,438,641      $ 3,438,641        1.06   $ —        $ —          —     $ —        $ —          —     $ 3,438,641      $ 3,438,641        1.01

AIM Government & Agency

                       

Portfolio Institutional (1,079,700 shares)

    —          —          —          1,079,700        1,079,700        6.87        —          —          —          1,079,700        1,079,700        0.32   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total mutual funds

  $ 3,438,641      $ 3,438,641        1.06   $ 1,079,700      $ 1,079,700        6.87   $ —        $ —          —     $ 4,518,341      $ 4,518,341        1.33
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

* No individual futures contract position constituted greater than 1% of members’ equity (net assets).

Accordingly, the number of contracts and expiration dates are not presented.

 

** Represents less than 0.01% of members’ equity (net assets).

The accompanying notes are an integral part of these financial statements.

 

4


Table of Contents

RICI® Linked - PAM Advisors Fund, LLC

Condensed Schedule of Investments

December 31, 2010 (Audited)

 

     Total Index Series     Agricultural Sector Series     Energy Sector Series    

Total for RICI ® Linked -

PAM Advisors Fund, LLC

 
     Net Unrealized
Gain (Loss)
on Open
Long Futures
Contracts
     Percent of
Members’
Equity
(Net Assets)
    Net Unrealized
Gain (Loss)
on Open
Long Futures
Contracts
     Percent of
Members’
Equity
(Net Assets)
    Net Unrealized
Gain (Loss)
on Open
Long Futures
Contracts
     Percent of
Members’
Equity
(Net Assets)
    Net Unrealized
Gain (Loss)
on Open
Long Futures
Contracts
     Percent of
Members’
Equity
(Net Assets)
 

Futures contracts *

                    

United States

                    

Agriculture

   $ 11,473,080         3.52   $ 1,712,614         9.76   $ —           —     $ 13,185,694         3.84

Energy

     2,003,177         0.62        —           —          —           —          2,003,177         0.58   

Metals

     2,411,320         0.74        —           —          —           —          2,411,320         0.70   
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total futures contracts - United States

     15,887,577         4.88        1,712,614         9.76        —           —          17,600,191         5.12   
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Foreign

                    

Agriculture

     537,685         0.17        78,882         0.44        —           —          616,567         0.18   

Energy

     1,262,395         0.39        —           —          —           —          1,262,395         0.37   

Metals

     3,210,276         0.99        —           —          —           —          3,210,276         0.94   
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total futures contracts - Foreign

     5,010,356         1.55        78,882         0.44        —           —          5,089,238         1.49   
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total net unrealized gain (loss) on open futures contracts

   $ 20,897,933         6.43   $ 1,791,496         10.20   $ —           —     $ 22,689,429         6.61
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

 

Government-
Sponsored enterprise
securities
  Cost     Fair Value     Percent of
Members’
Equity
(Net Assets)
    Cost     Fair Value     Percent of
Members’
Equity
(Net Assets)
    Cost     Fair Value     Percent of
Members’
Equity
(Net Assets)
    Cost     Fair Value     Percent of
Members’
Equity
(Net Assets)
 

United States

                       

Federal Home Loan Bank

                       

$ 10,000,000 discount note, due 01/20/2011

  $ 9,996,533      $ 9,999,800        3.07   $ —        $ —          —     $ —        $ —          —     $ 9,996,533      $ 9,999,800        2.91

$ 10,000,000 discount note, due 02/23/2011

    9,993,121        9,998,900        3.07        —          —          —          —          —          —          9,993,121        9,998,900        2.91   

$ 3,000,000 discount note, due 02/23/2011

    2,998,095        2,999,670        0.92        —          —          —          —          —          —          2,998,095        2,999,670        0.87   

$ 20,000,000 discount note, due 03/23/2011

    19,979,000        19,995,600        6.14        —          —          —          —          —          —          19,979,000        19,995,600        5.83   

$ 20,000,000 discount note, due 03/25/2011

    19,978,000        19,995,400        6.14        —          —          —          —          —          —          19,978,000        19,995,400        5.83   

$ 20,000,000 discount note, due 04/06/2011

    19,977,250        19,994,400        6.14        —          —          —          —          —          —          19,977,250        19,994,400        5.83   

$ 5,000,000 discount note, due 04/07/2011

    4,994,283        4,998,550        1.54        —          —          —          —          —          —          4,994,283        4,998,550        1.46   

$ 1,000,000 discount note, due 04/07/2011

    —          —          —          998,857        999,710        5.69        —          —          —          998,857        999,710        0.29   

$ 10,000,000 discount note, due 05/18/2011

    9,992,650        9,995,100        3.07        —          —          —          —          —          —          9,992,650        9,995,100        2.91   

$ 33,000,000 discount note, due 06/22/2011

    32,959,062        32,974,920        10.13        —          —          —          —          —          —          32,959,062        32,974,920        9.61   

$ 6,000,000 discount note, due 06/22/2011

    —          —          —          5,992,593        5,995,440        34.15        —          —          —          5,992,593        5,995,440        1.75   

$ 34,000,000 discount note, due 06/28/2011

    33,962,978        33,973,480        10.43        —          —          —          —          —          —          33,962,978        33,973,480        9.90   

$ 34,000,000 discount note, due 07/26/2011

    33,951,342        33,965,320        10.43        —          —          —          —          —          —          33,951,342        33,965,320        9.90   

$ 20,000,000 discount note, due 07/26/2011

    19,971,633        19,979,600        6.14        —          —          —          —          —          —          19,971,633        19,979,600        5.82   

$ 5,000,000 discount note, due 07/26/2011

    —          —          —          4,993,778        4,994,900        28.45        —          —          —          4,993,778        4,994,900        1.46   

Federal National Mortgage Association

                       

$ 10,000,000 discount note, due 02/01/2011

    9,995,417        9,999,400        3.07        —          —          —          —          —          —          9,995,417        9,999,400        2.91   

$ 1,500,000 discount note, due 02/01/2011

    —          —          —          1,499,306        1,499,910        8.54        —          —          —          1,499,306        1,499,910        0.44   

U.S. Treasury Bills

                       

$ 20,000,000 Treasury bill due 03/24/2011

    19,983,408        19,994,800        6.14        —          —          —          —          —          —          19,983,408        19,994,800        5.83   

$ 34,000,000 Treasury bill due 05/12/2011

    33,971,908        33,982,320        10.44        —          —          —          —          —          —          33,971,908        33,982,320        9.90   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Government-sponsored enterprise securities

  $ 282,704,680      $ 282,847,260        86.87   $ 13,484,534      $ 13,489,960        76.83   $ —        $ —          —     $ 296,189,214      $ 296,337,220        86.36
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual funds

                       

United States

                       

AIM Government & Agency

                       

Portfolio Institutional (329,030 shares)

  $ 329,030      $ 329,030        0.10   $ —        $ —          —     $ —        $ —          —     $ 329,030      $ 329,030        0.10

AIM Government & Agency

                       

Portfolio Institutional (575,299 shares)

    —          —          —          575,299        575,299        3.28        —          —          —          575,299        575,299        0.17   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total mutual funds

  $ 329,030      $ 329,030        0.10   $ 575,299      $ 575,299        3.28   $ —        $ —          —     $ 904,329      $ 904,329        0.27
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

* No individual futures contract position constituted greater than 1% of members’ equity (net assets).

Accordingly, the number of contracts and expiration dates are not presented.

The accompanying notes are an integral part of these financial statements.

 

5


Table of Contents

RICI ® Linked - PAM Advisors Fund, LLC

Statements of Operations

For the Three Months and Six Months Ended June 30, 2011 and 2010 (Unaudited)

 

    Total Index Series     Agricultural Sector Series     Energy Sector Series     Total for RICI ® Linked -
PAM Advisors Fund, LLC
 
   

Three Months

Ended

June 30,

   

Six Months

Ended

June 30,

   

Three Months

Ended

June 30,

   

Six Months

Ended

June 30,

   

Three Months

Ended

June 30,

   

Six Months

Ended

June 30,

   

Three Months

Ended

June 30,

   

Six Months

Ended

June 30,

 
    2011     2010     2011     2010     2011     2010     2011     2010     2011     2010     2011     2010     2011     2010     2011     2010  

Realized and unrealized gains (losses) on investments

                               

Realized gains (losses) on futures contracts

  $ (7,739,981   $ (10,987,010   $ 39,546,924      $ (13,842,803   $ (526,201   $ (892,659   $ 2,027,624      $ (2,125,209   $ —        $ (271,243   $ —        $ (307,268   $ (8,266,182   $ (12,150,912   $ 41,574,548      $ (16,275,280

Realized gains on securities

    162,058        30,419        238,484        30,419        9,667        1,333        10,361        1,333        —          534        —          534      $ 171,725      $ 32,286      $ 248,845      $ 32,286   

Change in unrealized gains (losses) on open futures contracts

    (20,727,257     (7,357,435     (34,966,484     (7,935,698     (1,593,414     579,330        (3,199,691     (15,123     —          (59,056     —          2,829        (22,320,671     (6,837,161     (38,166,175     (7,947,992

Change in unrealized gains (losses) on securities

    (35,165     75,855        21,236        100,793        (5,221     6,656        2,170        9,838        —          585        —          1,030        (40,386     83,096        23,406        111,661   

Brokerage commissions

    (146,496     (128,633     (299,029     (238,864     (8,855     (12,981     (18,855     (27,776     —          (1,376     —          (2,953     (155,351     (142,990     (317,884     (269,593
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss) on investments

    (28,486,841     (18,366,804     4,541,131        (21,886,153     (2,124,024     (318,321     (1,178,391     (2,156,937     —          (330,556     —          (305,828     (30,610,865     (19,015,681     3,362,740        (24,348,918
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investment income

                               

Interest income

    8,854        32,987        28,145        63,284        478        152        1,286        2,243        —          177        —          751        9,332        33,316        29,431        66,278   

Expenses

                               

Management fees

    590,126        357,798        1,182,102        648,306        28,070        28,390        58,351        55,346        —          4,618        —          9,316        618,196        390,806        1,240,453        712,968   

Operating expenses

    112,135        105,374        235,319        212,208        12,591        12,291        24,904        24,587        —          6,606        —          13,184        124,726        124,271        260,223        249,979   

Support services fee

    90,739        18,722        181,763        18,722        4,316        1,346        8,972        1,346        —          209        —          209        95,055        20,277        190,735        20,277   

Servicing fees

    37,294        29,441        74,357        57,992        8,093        4,492        16,484        8,815        —          35        —          35        45,387        33,968        90,841        66,842   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    830,294        511,335        1,673,541        937,228        53,070        46,519        108,711        90,094        —          11,468        —          22,744        883,364        569,322        1,782,252        1,050,066   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

    (821,440     (478,348     (1,645,396     (873,944     (52,592     (46,367     (107,425     (87,851     —          (11,291     —          (21,993     (874,032     (536,006     (1,752,821     (983,788
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

  $ (29,308,281   $ (18,845,152   $ 2,895,735      $ (22,760,097   $ (2,176,616   $ (364,688   $ (1,285,816   $ (2,244,788   $ —        $ (341,847   $ —        $ (327,821   $ (31,484,897   $ (19,551,687   $ 1,609,919      $ (25,332,706
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The accompanying notes are an integral part of these financial statements.

 

6


Table of Contents

RICI ® Linked - PAM Advisors Fund, LLC

Statement of Changes in Members’ Equity (Net Assets)

For the six months Ended June 30, 2011 and 2010 (Unaudited)

 

    Total Index Series     Agricultural Sector Series     Energy Sector Series    

Total for RICI ® Linked -

PAM Advisors Fund, LLC

 
    Managing
Member
    Non-Managing
Members
    Total     Managing
Member
    Non-Managing
Members
    Total     Managing
Member
    Non-Managing
Members
    Total     Managing
Member
    Non-Managing
Members
    Total  

Members’ equity (net assets) December 31, 2010

  $  40,880      $  325,577,491      $  325,618,371      $  43,751      $  17,514,718      $  17,558,469      $ —        $ —        $ —        $  84,631      $  343,092,209      $  343,176,840   

Subscriptions, net

    —          42,036,172        42,036,172        —          1,537,034        1,537,034        —          —          —          —          43,573,206        43,573,206   

Withdrawals

    —          (46,930,742     (46,930,742     —          (2,082,866     (2,082,866     —          —          —          —          (49,013,608     (49,013,608

Net income (loss)

    403        2,895,332        2,895,735        (3,045     (1,282,771     (1,285,816     —          —          —          (2,642     1,612,561        1,609,919   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Members’ equity (net assets) June 30, 2011

  $ 41,283      $ 323,578,253      $ 323,619,536      $ 40,706      $ 15,686,115      $ 15,726,821      $ —        $ —        $ —        $ 81,989      $ 339,264,368      $ 339,346,357   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Members’ equity (net assets) December 31, 2009

  $ 34,479      $ 168,020,505      $ 168,054,984      $ 32,183      $ 10,071,867      $ 10,104,050      $ —        $ —        $ —        $ 66,662      $ 178,092,372      $ 178,159,034   

Subscriptions, net

    —          88,946,462        88,946,462        —          10,300,345        10,300,345        —          3,083,446        3,083,446        —          102,330,253        102,330,253   

Withdrawals

    —          (9,567,376     (9,567,376     —          (1,964,824     (1,964,824     —          (250,000     (250,000     —          (11,782,200     (11,782,200

Net income (loss)

    (3,497     (22,756,600     (22,760,097     (3,766     (2,241,022     (2,244,788     —          (327,821     (327,821     (7,263     (25,325,443     (25,332,706
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Members’ equity (net assets) June 30, 2010

  $ 30,982      $ 224,642,991      $ 224,673,973      $ 28,417      $ 16,166,366      $ 16,194,783      $ —        $ 2,505,625      $ 2,505,625      $ 59,399      $ 243,314,982      $ 243,374,381   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

The accompanying notes are an integral part of these financial statements.

 

7


Table of Contents

Notes to Financial Statements

Note. 1 Nature of Operations and Significant Accounting Policies

RICI® Linked - PAM Advisors Fund, LLC (the Company) is a limited liability company organized under the Delaware Limited Liability Company Act. The Company engages in the speculative trading of commodity futures, options on futures, forward contracts and other derivatives on exchanges and markets located in the United States and abroad. These financial statements incorporate the financial condition, results of operations and changes in members’ equity (net assets) of the Company as a whole as well as each Series of membership interest in the Company.

The Company consists of four series (each, a Series) of limited liability company interests (Interests): the RICI® Linked – PAM Total Index Series (Total Index Series), the RICI® Linked – PAM Agricultural Sector Series (Agricultural Sector Series), the RICI® Linked – PAM Energy Sector Series (Energy Sector Series), and the RICI® Linked – PAM Metals Sector Series (Metals Sector Series). Each Series invests substantially all of its assets in derivative contracts representing the commodity positions contained in the Rogers International Commodity Index® (Index), or a sub-index thereof. Currently, three Series have commenced trading, the Total Index Series, which began trading May 8, 2007, the Agricultural Sector Series, which began trading February 1, 2008, and the Energy Sector Series, which began trading January 1, 2010. At the end of July 2010, all the investors in the Energy Sector Series redeemed out of that Series, however, the Energy Sector Series has not been closed.

The Company has been granted a license to use the Index pursuant to a sub-licensing arrangement. If the sub-license arrangement were to terminate and the Company lost use of the Index, the Company will not be able to raise additional capital.

The Company is organized as a “series” limited liability company such that, pursuant to Section 18-215(b) of the Delaware Limited Liability Company Act, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Company generally or any other Series. Accordingly, the assets of one Series of the Company include only those funds and other assets that are paid to, held by or distributed to the Company on account of and for the benefit of that Series, including, without limitation, funds delivered to the Company for investment in that Series.

Total Index Series: trading is comprised of three commodity product sectors encompassing 38 markets worldwide.

Agricultural Sector Series: trading is comprised of one commodity product sector encompassing 22 agricultural markets worldwide.

Energy Sector Series: trading is comprised of one commodity product sector encompassing 6 energy markets worldwide.

Metals Sector Series: trading is comprised of one commodity product sector encompassing 10 metals markets worldwide.

Use of estimates: The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires the Company 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.

Cash and cash equivalents: Cash and cash equivalents include highly liquid instruments with original maturities of three months or less at the date of acquisition.

Net asset value: “Net Asset Value” or “Net Assets” associated with each Series is the sum of all cash plus investments, at fair value, plus the liquidating value of all open commodity positions maintained by the Series, plus interest receivable and other assets, less all liabilities of the Series determined in accordance with GAAP.

 

8


Table of Contents

Note 1. Nature of Operations and Significant Accounting Policies (Continued)

 

Securities and derivative financial instruments: Investments in securities and derivative financial instruments and related expenses are recorded on trade date and at fair value. Gains and losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts (the difference between contract purchase price and market price) at the date of the statements of financial condition are included in equity in broker trading accounts as a net unrealized gain or loss, as there exists a right to offset. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Brokerage commissions include clearing and exchange fees and are separately reported in the statements of operations.

Translation of foreign currencies: The Company’s functional currency is the U.S. dollar; however, it transacts business in foreign currencies. Investments denominated in foreign currencies are translated into U.S. dollars at the rates in effect at the date of the statements of financial condition. Income and expense items denominated in foreign currencies are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported as part of realized gains and losses in the statements of operations.

Subscriptions: Non-managing member subscriptions are presented in the statement of changes in members’ equity (net assets), net of sales fees, if any.

Withdrawals payable: Withdrawals approved by Price Asset Management, Inc. (the Managing Member) prior to month end with a fixed effective date and fixed amount are recorded as withdrawals payable as of month end.

Ongoing offering expenses: Ongoing offering expenses are charged to expense as incurred.

Income taxes: No provision for income taxes has been made in these financial statements because members are individually responsible for reporting income or loss based on their respective shares in the Company’s income and expenses as reported for income tax purposes.

The Financial Accounting Standards Board (FASB) provides guidance for how uncertain tax positions should be recognized, measured, disclosed and presented in the financial statements. The guidance requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. For the periods ended June 30, 2011 and 2010 management has determined that there are no material uncertain income tax positions.

The Company is not subject to examination by U.S. Federal and state tax authorities for years before 2007.

Reclassifications: certain balances for the period ended June 30, 2010, have been reclassified to conform to current period presentation with no effect on results from operations.

Statement of cash flows: The Company has elected not to provide statements of cash flows as permitted by GAAP as all of the following conditions have been met:

 

  a. During the period, substantially all of the Company’s investments were highly liquid;

 

  b. Substantially all of the Company’s investments are carried at fair value;

 

  c. The Company had little or no debt during the period; and

 

  d. The Company’s financial statements include a statement of changes in members’ equity (net assets).

New accounting pronouncements: In May 2011, the FASB issued Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (IFRS). This Accounting Standards Update (ASU) represents the converged guidance of the FASB and the International Accounting Standards Board (collectively, the Boards) on fair value measurement. The collective efforts of the Boards and their staffs have resulted in common requirements for measuring fair value and for disclosing information about fair value measurements, including a consistent meaning of the term “fair value” and enhanced disclosure requirements for investments that do not have readily determinable fair values. The Boards have concluded the common requirements will result in greater comparability of fair value measurements presented and disclosed in financial statements prepared in accordance with U.S. GAAP and IFRS. The amendments to the FASB Codification in this ASU are to be applied prospectively. For public entities, the amendments are effective during interim and annual periods beginning after December 15, 2011. The Company is currently assessing the impact of this ASU on its future consolidated financial statements.

 

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Table of Contents

Note 2. Fair Value of Financial Instruments

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Company utilizes valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs are broadly defined as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy are described below:

Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly; and fair value is determined through the use of models or other valuation methodologies. A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement.

Level 3. Inputs are unobservable for the asset or liability and include situations where there is little, if any, market activity for the asset or liability. The inputs into the determination of fair value are based upon the best information in the circumstances and may require significant management judgment or estimation.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following section describes the valuation techniques used by the Company to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.

The fair values of exchange traded futures contracts are based upon exchange settlement prices. Shares of mutual funds, which include money market funds, are valued at the net asset value based on quoted market prices. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices for identical assets in an active market. These financial instruments are classified as Level 1 of the fair value hierarchy.

The following table summarizes the Company’s assets measured at fair value on a recurring basis within the fair value hierarchy as of:

 

    Total Index Series     Agricultural Sector Series     Energy Sector Series    

Total for RICI ® Linked -

PAM Advisors Fund, LLC

 
    June 30,     December 31,     June 30,     December 31,     June 30,     December 31,     June 30,     December 31,  
    2011     2010     2011     2010     2011     2010     2011     2010  

Description

  Level 1     Level 1     Level 1     Level 1     Level 1     Level 1     Level 1     Level 1  

Equity in broker trading account

               

Futures contracts

  $ (14,068,551   $ 20,897,933      $ (1,408,196   $ 1,791,496      $ —        $ —        $ (15,476,747   $ 22,689,429   

Cash and cash equivalents

               

Money market funds

    186,718        173,142        —          —          —          —          186,718        173,142   

Investments

               

Government-sponsored enterprise securities

    281,964,280        282,847,260        11,498,250        13,489,960        —          —          293,462,530        296,337,220   

Mutual funds

    3,438,641        329,030        1,079,700        575,299        —          —          4,518,341        904,329   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $ 271,521,088      $ 304,247,365      $ 11,169,754      $ 15,856,755      $ —        $ —        $ 282,690,842      $ 320,104,120   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

10


Table of Contents

Note 2. Fair Value of Financial Instruments (Continued)

 

At June 30, 2011 and December 31, 2010 the Company had no Level 2 or Level 3 assets or liabilities.

In addition, substantially all of the Company’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.

Note. 3 Derivative Instruments

Expanded disclosure is presented, in accordance with recent FASB guidance, to provide the users of the financial statements with an enhanced understanding of the use of derivative instruments, and how derivative and hedging activities affect financial position and operations.

The Company’s derivative contracts are comprised of futures contracts. These derivative contracts are recorded on the statements of financial condition as assets measured at fair value and the related realized and unrealized gain (loss) associated with these derivatives is recorded in the statements of operations. The Company has considered the counterparty credit risk related to all its futures contracts and does not deem any counterparty credit risk material at this time. The Company does not consider any derivative instruments to be hedging instruments, as this term is generally understood under FASB guidance.

Total Index Series

As of June 30, 2011 and December 31, 2010 the Total Index Series’ derivative contracts had the following impact on the statement of financial condition:

 

    

Contract Risk

  

Location

   Asset Derivatives
June 30, 2011
     Liability Derivatives
June 30, 2011
    Net  

Futures:

   Commodity price    Equity in broker trading account        

Agriculture

         $ 1,370,557       $ (11,050,068   $ (9,679,511

Energy

           487,540         (1,962,218     (1,474,678

Metals

           3,551,728         (6,466,090     (2,914,362
        

 

 

    

 

 

   

 

 

 
         $ 5,409,825       $ (19,478,376   $ (14,068,551
        

 

 

    

 

 

   

 

 

 
    

Contract risk

  

Location

   Asset Derivatives
December 31, 2010
     Liability Derivatives
December 31, 2010
    Net  

Futures:

   Commodity price    Equity in broker trading account        

Agriculture

         $ 12,043,365       $ (32,599   $ 12,010,766   

Energy

           3,311,524         (45,953     3,265,571   

Metals

           10,616,348         (4,994,752     5,621,596   
        

 

 

    

 

 

   

 

 

 
         $ 25,971,237       $ (5,073,304   $ 20,897,933   
        

 

 

    

 

 

   

 

 

 

 

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Note 3. Derivative Instruments (Continued)

 

For the three and six months ended June 30, 2011 and 2010 the Total Index Series’ derivative contracts had the following impact on the statement of operations:

 

          Six months ended June 30, 2011  
    

Contract Risk

   Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures:

   Commodity price       

Agriculture

      $ 13,539,748      $ (21,794,437   $ (8,254,689

Energy

        16,362,187        (4,740,250     11,621,937   

Metals

        9,644,989        (8,431,797     1,213,192   
     

 

 

   

 

 

   

 

 

 
      $ 39,546,924      $ (34,966,484   $ 4,580,440   
     

 

 

   

 

 

   

 

 

 
          Six months ended June 30, 2010  
     

Contract Risk

   Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures

   Commodity price       

Agriculture

      $ (7,993,148   $ 3,906      $ (7,989,242

Energy

        (9,684,033     (245,343     (9,929,376

Metals

        3,834,378        (7,694,261     (3,859,883
     

 

 

   

 

 

   

 

 

 
      $ (13,842,803   $ (7,935,698   $ (21,778,501
     

 

 

   

 

 

   

 

 

 
          Three months ended June 30, 2011  
    

Contract Risk

   Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures:

   Commodity price       

Agriculture

      $ (3,465,088   $ (11,155,355   $ (14,620,443

Energy

        (6,607,312     (5,217,290     (11,824,602

Metals

        2,332,419        (4,354,612     (2,022,193
     

 

 

   

 

 

   

 

 

 
      $ (7,739,981   $ (20,727,257   $ (28,467,238
     

 

 

   

 

 

   

 

 

 
          Three months ended June 30, 2010  
    

Contract Risk

   Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures

   Commodity price       

Agriculture

      $ (4,017,960   $ 2,429,140      $ (1,588,820

Energy

        (9,726,755     (1,729,510     (11,456,265

Metals

        2,757,705        (8,057,065     (5,299,360
     

 

 

   

 

 

   

 

 

 
      $ (10,987,010   $ (7,357,435   $ (18,344,445
     

 

 

   

 

 

   

 

 

 

 

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Table of Contents

Note 3. Derivative Instruments (Continued)

 

For the six months ended June 30, 2011 and 2010, the monthly average number of futures contracts bought and sold was approximately 7,427 and 6,936, respectively.

Agricultural Sector Series

As of June 30, 2011 and December 31, 2010 the Agricultural Sector Series’ derivative contracts had the following impact on the statement of financial condition:

 

    

Contract Risk

  

Location

   Asset Derivatives
June 30, 2011
     Liability Derivatives
June 30, 2011
    Net  

Futures:

   Commodity price    Equity in broker trading account        

Agriculture

         $ 199,798       $ (1,607,994   $ (1,408,196

Energy

           —           —          —     

Metals

           —           —          —     
        

 

 

    

 

 

   

 

 

 
         $ 199,798       $ (1,607,994   $ (1,408,196
        

 

 

    

 

 

   

 

 

 
    

Contract risk

  

Location

   Asset Derivatives
December 31, 2010
     Liability Derivatives
December 31, 2010
    Net  

Futures:

   Commodity price    Equity in broker trading account        

Agriculture

         $ 1,796,274       $ (4,778   $ 1,791,496   

Energy

           —           —          —     

Metals

           —           —          —     
        

 

 

    

 

 

   

 

 

 
         $ 1,796,274       $ (4,778   $ 1,791,496   
        

 

 

    

 

 

   

 

 

 

 

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Table of Contents

Note 3. Derivative Instruments (Continued)

 

For the three and six months ended March 31, 2011 and 2010 the Agricultural Sector Series’ derivative contracts had the following impact on the statement of operations:

 

          Six months ended June 30, 2011  
      Contract Risk    Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures:

   Commodity price       

Agriculture

      $ 2,027,624      $ (3,199,691   $ (1,172,067

Energy

        —          —          —     

Metals

        —          —          —     
     

 

 

   

 

 

   

 

 

 
      $ 2,027,624      $ (3,199,691   $ (1,172,067
     

 

 

   

 

 

   

 

 

 
          Six months ended June 30, 2010  
     Contract Risk    Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures

   Commodity price       

Agriculture

      $ (2,125,209   $ (15,123   $ (2,140,332

Energy

        —          —          —     

Metals

        —          —          —     
     

 

 

   

 

 

   

 

 

 
      $ (2,125,209   $ (15,123   $ (2,140,332
     

 

 

   

 

 

   

 

 

 
          Three months ended June 30, 2011  
     Contract Risk    Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures:

   Commodity price       

Agriculture

      $ (526,201   $ (1,593,414   $ (2,119,615

Energy

        —          —          —     

Metals

        —          —          —     
     

 

 

   

 

 

   

 

 

 
      $ (526,201   $ (1,593,414   $ (2,119,615
     

 

 

   

 

 

   

 

 

 
          Three months ended June 30, 2010  
     Contract Risk    Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures

   Commodity price       

Agriculture

      $ (892,659   $ 579,330      $ (313,329

Energy

        —          —          —     

Metals

        —          —          —     
     

 

 

   

 

 

   

 

 

 
      $ (892,659   $ 579,330      $ (313,329
     

 

 

   

 

 

   

 

 

 

 

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Table of Contents

Note 3. Derivative Instruments (Continued)

 

For the six months ended June 30, 2011 and 2010, the monthly average number of futures contracts bought and sold was approximately 410 and 630, respectively.

Energy Sector Series

As of June 30, 2011 and December 31, 2010 the Energy Sector Series’ derivative contracts had no impact on the statement of financial condition.

For the three and six months ended June 30, 2011 the Energy Sector Series’ derivative contracts had no impact on the statement of operations.

For the three and six months ended June 30, 2010 the Energy Sector Series’ derivative contracts had the following impact on the statement of operations:

 

          Six months ended June 30, 2010  
     Contract Risk    Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures

   Commodity price       

Agriculture

      $ —        $ —        $ —     

Energy

        (307,268     2,829        (304,439

Metals

        —          —          —     
     

 

 

   

 

 

   

 

 

 
      $ (307,268   $ 2,829      $ (304,439
     

 

 

   

 

 

   

 

 

 
          Three months ended June 30, 2010  
     Contract Risk    Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains
(losses)
 

Futures

   Commodity price       

Agriculture

      $ —        $ —        $ —     

Energy

        (271,243     (59,055     (330,298

Metals

        —          —          —     
     

 

 

   

 

 

   

 

 

 
      $ (271,243   $ (59,055   $ (330,298
     

 

 

   

 

 

   

 

 

 

For the six months ended June 30, 2010, the monthly average number of futures contracts bought and sold was approximately 75.

Note 4. Equity in Broker Trading Account

Cash and financial instruments held at the Company’s clearing broker collateralize amounts due to the clearing broker, if any, and may serve to satisfy regulatory or clearing broker margin requirements. The Company earns interest on its assets deposited with the broker. At June 30, 2011 and December 31, 2010, the following amounts of cash and futures contracts were held at the clearing broker to satisfy margin requirements.

 

     June 30, 2011      December 31, 2010  

Total Index Series

   $ 25,633,377       $ 21,752,248   

Agricultural Sector Series

     1,393,150         1,284,994   

Energy Sector Series

     —           —     

 

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Table of Contents

Note 5. Subscriptions, Withdrawals, and Distributions

Subscriptions are effective at the opening of business on the first day of trading of the next calendar month.

Non-managing members may withdraw some or all of their interest in the Company as of the end of any calendar month upon five business days prior written notice. Withdrawals from any Series made prior to the end of the sixth full calendar month following a non-managing member’s initial investment in such Series are subject to a withdrawal charge, payable to the relevant Series, equal to 1 percent of the amount withdrawn, provided that such charge will not apply if the withdrawal results from a request to exchange Interests in one Series for Interests in another Series. The Managing Member may defer or suspend withdrawal rights under certain circumstances.

Distributions may be made at the discretion of the Managing Member.

Note 6. The Managing Member

Price Asset Management, Inc., an Illinois corporation, is the managing member, commodity pool operator and commodity trading advisor of the Company.

The Managing Member will maintain a capital account balance in each Series sufficient for such Series to be treated as a partnership for federal income tax purposes (which may be $0) and may make withdrawals from its capital accounts without notice to the non-managing members. The Managing Member is not subject to the Managing Member’s management fee, but will otherwise bear its proportionate share of each Series’ expenses.

Note 7. Fees and Expenses

Each Series pays the Managing Member in respect of each non-managing member in the Series, monthly in arrears, a management fee equal to 0.054167 of 1% of the month-end Net Asset Value of each non-managing member’s capital account in a Series (a 0.65% annual rate). The Managing Member may waive or reduce its management fee in respect of any non-managing member without entitling any other non-managing member to a similar waiver or reduction. There were no waived management fees for the three and six months ended June 30, 2011 and 2010. The management fees for the three and six months ended June 30, 2011 and 2010 were as follows and are reflected in the statements of operations.

 

     Six months ended  
     June 30, 2011      June 30, 2010  

Total Index Series

   $ 1,182,102       $ 648,306   

Agricultural Sector Series

     58,351         55,346   

Energy Sector Series

     —           9,316   
     Three months ended  
     June 30, 2011      June 30, 2010  

Total Index Series

   $ 590,126       $ 357,798   

Agricultural Sector Series

     28,070         28,390   

Energy Sector Series

     —           4,618   

Beginning June 1, 2010, each Series began to pay the Managing Member in respect of each non-managing member in the Series, monthly in arrears, a support services fee equal to 0.0083 of 1% of the month-end Net Asset Value of each non-managing member’s capital account in a Series (a 0.10% annual rate). The Managing Member may waive or reduce its support services fee in respect of any non-managing member without entitling any other non-managing member to a similar waiver or reduction. The Managing Member anticipates that a substantial majority of the support services fee will be used to pay broker-dealers for distribution related services to the Company such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member. The support services fees for the three and six months ended June 30, 2011 and 2010 were as follows and are reflected in the statements of operations.

 

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Table of Contents

Note 7. Fees and Expenses (Continued)

 

     Six months ended  
     June 30, 2011      June 30, 2010  

Total Index Series

   $ 181,763       $ 18,722   

Agricultural Sector Series

     8,972         1,346   

Energy Sector Series

     —           209   
     Three months ended  
     June 30, 2011      June 30, 2010  

Total Index Series

   $ 90,739       $ 18,722   

Agricultural Sector Series

     4,316         1,346   

Energy Sector Series

     —           209   

Non-managing members in a Series introduced to the Company by their selling agents are charged a monthly servicing fee of up to 1% per annum as agreed, or as otherwise agreed between the non-managing member and such non-managing member’s selling agent. The servicing fee is deducted from a non-managing member’s capital account and paid to such non-managing member’s selling agent monthly in arrears based on the month-end Net Asset Value of such non-managing member’s capital account. Non-managing members introduced through qualified advisors, including the marketing representative, Uhlmann Price Securities, LLC, will not be charged a servicing fee. Uhlmann Price Securities, LLC, an affiliate of the Managing Member, will be paid its introducing fee by the Managing Member without reimbursement from a Series or the Company. The Series incurred the following amount of servicing fees to the selling agents for the three and six months ended June 30, 2011 and 2010, respectively.

 

     Six months ended  
     June 30, 2011      June 30, 2010  

Total Index Series

   $ 13,669       $ 16,750   

Agricultural Sector Series

     5,353         7,831   

Energy Sector Series

     —           —     
     Three months ended  
     June 30, 2011      June 30, 2010  

Total Index Series

   $ 4,374       $ 3,250   

Agricultural Sector Series

     864         500   

Energy Sector Series

     —           —     

Non-managing members introduced to the Company by selling agents may also be charged an up-front sales commission up to 1% of such investment, or as otherwise agreed between the investor and such investor’s selling agent. Sales commissions for the three and six months ended June 30, 2011 and 2010 were as follows.

 

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Table of Contents

Note 7. Fees and Expenses (Continued)

 

     Six months ended  
     June 30, 2011      June 30, 2010  

Total Index Series

   $ 74,357       $ 57,992   

Agricultural Sector Series

     16,484         8,815   

Energy Sector Series

     —           35   
     Three months ended  
     June 30, 2011      June 30, 2010  

Total Index Series

   $ 37,294       $ 29,441   

Agricultural Sector Series

     8,093         4,492   

Energy Sector Series

     —           35   

The Company pays all of its own legal, accounting, auditing, reporting, administrative and initial offering expenses.

Any expenses of the Company as a whole, and not specific to any Series of the Company, will be allocated ratably among the Series, in the ratio that the Net Asset Value of each Series bears to the aggregate Net Asset Value of all Series. The Managing Member believes this allocation method to be reasonable.

The Price Futures Group, Inc. (PFG), a related party to the Managing Member through common management, acts as the introducing broker for the Company, whereby certain accounts of the Company are introduced to the Company’s clearing broker. A portion of the brokerage fee paid by the Company for clearing transactions is paid to PFG by the clearing broker.

Note 8. Trading Activities and Related Risks

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

Market risk: The Company engages in the speculative trading of derivative financial instruments that involve varying degrees of off balance sheet market risk whereby changes in the market values of the underlying commodities may result in changes in the value of the derivative financial instruments in excess of the amounts reflected in the statements of financial condition. Theoretically, the Company is exposed to a market risk equal to the notional value of futures and forward contracts purchased.

Credit risk and concentration of credit risk: Credit risk arises primarily from the potential inability of counterparties, such as clearing brokers, banks or other financial institutions, to perform in accordance with the terms of a contract. The Company’s exposure to credit risk associated with counterparty nonperformance is limited to the current cost to replace all contracts in which the Company has a gain. Exchange traded financial instruments, such as financial futures, generally do not give rise to significant counterparty exposure due to daily cash settlement procedures for daily gains and losses and the margin requirements of the individual exchanges. The Company clears all of its trades through MF Global, Inc. In the event this broker does not fulfill its obligations, the Company may be exposed to risk.

The Company maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Company does not believe it is exposed to any significant credit risk.

The Managing Member has established procedures to actively monitor the creditworthiness of the counterparties with which it conducts business in order to minimize market and credit risks. The non-managing members bear the risk of loss only to the extent of the value of their respective investments and, in certain circumstances, distributions and withdrawals received.

 

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Table of Contents

Note 9. Financial Highlights

Financial highlights for non-managing members of each Series for the three and six months ended June 30, 2011 and 2010 are as follows:

 

     Total Index Series     Agricultural Sector Series     Energy Sector Series  
     Three months ended June 30,     Three months ended June 30,     Three months ended June 30,  
     2011
(Unaudited)
    2010
(Unaudited)
    2011
(Unaudited)
    2010
(Unaudited)
    2011
(Unaudited)
    2010
(Unaudited)
 

Total Return

     (8.08 )%      (8.05 )%      (11.90 )%      (2.12 )%      —       (11.36 )% 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average members’ equity (net assets)

            

Total expenses (1) (3)

     0.89     0.90     1.18     1.06     —       1.55
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss (2) (3)

     (0.88 )%      (0.85 )%      (1.17 )%      (1.05 )%      —       (1.53 )% 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     Total Index Series     Agricultural Sector Series     Energy Sector Series  
     Six months ended June 30,     Six months ended June 30,     Six months ended June 30,  
     2011
(Unaudited)
    2010
(Unaudited)
    2011
(Unaudited)
    2010
(Unaudited)
    2011
(Unaudited)
    2010
(Unaudited)
 

Total Return

     0.59     (10.47 )%      (7.39 )%      (12.04 )%      —       (10.94 )% 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average members’ equity (net assets)

            

Total expenses (1) (3)

     0.92     0.92     1.20     1.04     —       1.56
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss (2) (3)

     (0.91 )%      (0.86 )%      (1.18 )%      (1.01 )%      —       (1.51 )% 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(1) 

The ratio of operating expenses to average members’ equity (net asset) values does not include brokerage commissions.

(2) 

Net investment loss does not include net realized and unrealized gains and losses and the related brokerage commissions of the Series.

(3)

Annualized

Each ratio is calculated for the non-managing members taken as a whole. Total return is based on the change in value during the period of a theoretical investment made in each Series at the beginning of each calendar month during the year. The computation of an individual non-managing member’s ratios may vary from the ratios calculated above based on any fee waivers and the timing of capital transactions.

The total returns and ratios exclude the effects of any 1 percent sales fees charged by the selling agents.

Note 10. Indemnifications

In the normal course of business, the Company enters into contracts and agreements that contain a variety of representations and warranties that provide indemnifications under certain circumstances. The Company’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Company that have not yet occurred. The Managing Member expects the risk of any future obligations under these indemnifications to be remote.

Note 11. Interim Financial Statements

The statements of financial condition, including the condensed schedule of investments, as of June 30, 2011, the statements of operations for the three and six months ended June 30, 2011 and 2010 and changes in members’ equity (net assets) for the three and six months ended June 30, 2011 and 2010 and the accompanying notes to the financial statements are unaudited. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of the Managing Member, such financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of the financial position as of June 31, 2011, results of operations for the three months ended June 30, 2011 and 2010 and changes in members’ equity (net asset) for the three and six months ended

 

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Note 11. Interim Financial Statements (Continued)

 

June 30, 2011 and 2010. The results of operations for the three and six months ended June 30, 2011 and 2010 are not necessarily indicative of the results to be expected for the full year or any other period. These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Company’s Form 10-K as filed with the SEC.

Note 12. Subsequent Events

The Company’s management evaluated subsequent events for potential recognition and/or disclosure through the date that these financial statements were issued.

Subsequent to June 30, 2011, subscriptions and withdrawals of interests were as follows:

 

     Total Index Series      Agricultural Sector Series      Energy Sector Series      Total for RICI ® Linked -
PAM Advisors Fund, LLC
 
     Subscriptions      Withdrawals      Subscriptions      Withdrawals      Subscriptions      Withdrawals      Subscriptions      Withdrawals  

July

   $ 4,172,670       $ 2,930,079       $ 60,535       $ 462,577       $ —         $ —         $ 4,233,205       $ 3,392,656   

August

     4,348,954         —           274,500         —           —           —           4,623,454         —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 8,521,624       $ 2,930,079       $ 335,035       $ 462,577       $ —         $ —         $ 8,856,659       $ 3,392,656   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

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ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

INTRODUCTION

RICI® Linked – PAM Advisors Fund, LLC (the “Company”) consists of four series (each, a “Series”): the RICI® Linked – PAM Total Index Series (the “Total Index Series”), the RICI® Linked – PAM Agricultural Sector Series (the “Agricultural Sector Series”), the RICI® Linked – PAM Energy Sector Series (the “Energy Sector Series”), and the RICI® Linked – PAM Metals Sector Series (the “Metals Sector Series”). The Total Index Series, Agricultural Sector Series and Energy Sector Series commenced operations on May 8, 2007, February 7, 2008 and January 1, 2010, respectively. The Energy Sector Series temporarily ceased operations after paying out withdrawal proceeds with respect to the July 31, 2010 withdrawal date. The Metals Sector Series has not yet commenced operations.

For the avoidance of doubt, the Company is organized as a “series” limited liability company such that, pursuant to Section 18-215(b) of the Delaware Limited Liability Company Act (the “Act”), the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Company generally or any other Series. Accordingly, the assets of one Series of the Company include only those funds and other assets that are paid to, held by or distributed to the Company on account of and for the benefit of that Series, including, without limitation, funds delivered to the Company for investment in that Series.

LIQUIDITY

The Company generally holds approximately 90% of its assets as cash, cash equivalents in U.S. government-sponsored enterprise securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other CFTC-authorized investments, shares of mutual funds and certain other money market investments (e.g., bankers acceptances and Eurodollar or other time deposits) through one or more federally chartered U.S. banking institutions. The aforementioned positions are withdrawn, as necessary, to pay withdrawals and expenses. Price Asset Management, Inc. (the “Managing Member”) will commit the remaining assets of each Series to margin such Series’ futures, forward and swap positions such that the total market exposure of each Series is approximately equal to its net assets. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the futures trading, the Company’s assets are highly liquid and are expected to remain so. During its operations through June 30, 2011, the Company experienced no meaningful periods of illiquidity in any of the markets traded by the Managing Member on behalf of the Company.

CAPITAL RESOURCES

The Company raises additional capital only through the sale of interests (“Interests”) and capital is increased through trading profits (if any) and through interest income. The Company does not engage in borrowing.

The amount of capital raised for the Company should not have a significant impact on its operations, as the Company has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses. Within broad ranges of capitalization, the Company’s trading positions should increase or decrease in approximate proportion to the size of the Company.

Due to the nature of the Company’s business, approximately 90% of its assets are represented by cash, cash equivalents with maturities of three months or less, U.S. government-sponsored enterprise securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other CFTC-authorized investments, shares of mutual funds and certain other money market investments (e.g., bankers acceptances and Eurodollar or other time deposits) through one or more federally chartered U.S. banking institutions, while the Company currently maintains its market exposure through open futures contract positions.

The Company trades futures contracts on U.S. and non-U.S. markets, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Company’s counterparties or brokers may require margin in excess of minimum exchange requirements. Risk arises from changes in the value of these instruments (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is

 

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generally to be measured by the notional value, or face amount, of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The counterparty for futures contracts traded in the U.S. is the clearinghouse associated with the relevant exchange. Clearinghouse arrangements are generally perceived to reduce credit risk because, in general, clearinghouses are backed by the corporate members of the clearinghouses, which are required to share any financial burden resulting from the non-performance of any one of the members of the clearinghouse.

Clearinghouse arrangements are generally perceived to reduce credit risk because, in general, clearinghouses are backed by the corporate members of the clearinghouses, which are required to share any financial burden resulting from the non-performance of any one of the members of the clearinghouse.

All of the contracts currently traded by the Managing Member on behalf of the Company are exchange-traded, although the Managing Member is authorized to, and may in the future, trade over-the-counter forward and swap contracts. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions since, in over-the-counter transactions, the Company must rely solely on the credit of its respective trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the clearinghouse. In the future, the Company may enter into non-exchange traded contracts and be subject to the credit risk associated with counterparty non-performance. The Managing Member attempts to control credit risk associated with off-exchange transactions, if any, by dealing exclusively with large, well capitalized banks and dealers.

Critical Accounting Estimates

The Company’s securities and derivative financial instruments are recorded at fair value. The fair values of exchange-traded futures contracts are based upon exchange settlement prices. Fair value of non-exchange traded futures contracts is based on third-party quoted dealer values on the Interbank market. Shares of mutual funds, which include money market funds, are valued at the net asset value based on quoted market prices. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices for identical assets in an active market.

The Company accounts for subscriptions, allocations and withdrawals on a per member (“Member”) capital account basis. Income or loss is allocated pro rata to the capital accounts of all Members.

The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires the Managing Member to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Company, the Managing Member believes that the estimates utilized in preparing the Company’s financial statements are appropriate and reasonable; however, actual results could differ from these estimates.

The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The Managing Member further believes that, based on the nature of the business and operations of the Company, no other reasonable assumptions relating to the application of the Company’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

RESULTS OF OPERATIONS

The rules the Managing Member follows in replicating the Rogers International Commodity Index® (the “Index”), or a sub-set of the Index, on behalf of the Company, on a Series by Series basis, do not predict price movements, nor do they rely on fundamental economic supply or demand analysis or on macroeconomic assessments of the relative strengths of different national economies or economic sectors. Instead, the rules are designed to follow passively, on an essentially unleveraged basis, changes in an index of raw materials traded in the world markets and, unlike with operating companies, operational or micro-economic trends have no relevance to the results. Generally, if prices of the relevant commodities rise, then the value of an investment should appreciate. Correspondingly, if prices of the relevant commodities decline, then the value of an investment should go down.

The performance summary set forth below is an outline description of how the Company, on a Series by Series basis, has performed in the past. The portfolios of the Series are marked-to-market every trading day and their trading accounts are credited or debited with their daily gains or losses. Past performance is not necessarily indicative of how they will perform in the future.

 

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Three Months ended June 30, 2011

Total Index Series

During the second quarter of 2011, the Total Index Series achieved a net realized and unrealized loss of $28,486,841 from its trading operations, which is net of brokerage commissions of $146,496. The Total Index Series incurred total expenses of $830,294, including $590,126 in Management Fees (paid to the Managing Member), $37,294 in Servicing Fees (paid to Selling Agents), $112,135 in operating expenses, and $90,739 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index Series earned $8,854 in interest income. An analysis of trading losses (net of all trading fees and expenses) by market sector is as follows:

 

Sector

   %(Loss)  

Agricultural

     (4.16 )% 

Energy

     (3.26 )% 

Metals

     (0.54 )% 
  

 

 

 

Total Portfolio

     (7.96 )% 
  

 

 

 

The Total Index Series posted a net gain of 3.1% in April. The energy and metals sectors posted gains of 3.00% and 0.80%, respectively, while the agricultural sector posted a loss of (0.74)%. Highest grossing commodities for the Total Index Series’ performance in April were silver, coffee, cocoa, RBOB gasoline and gold.

The Total Index Series posted a net loss of (5.3)% in May. All three sectors, agricultural, energy and metals, posted losses of (0.56)%, (3.74)% and (0.95)%, respectively. Highest grossing commodities for the Total Index Series’ performance in May were greasy wool, rapeseed, milling wheat, oats and orange juice.

The Total Index Series posted a net loss of (5.8)% in June. All three sectors, agricultural, energy and metals, posted losses of (2.86)%, (2.53)% and (0.39)%, respectively. Highest grossing commodities for the Total Index Series’ performance in June were sugar, greasy wool, lead, live cattle and orange juice.

Agricultural Sector Series

During the second quarter of 2011, the Agricultural Sector Series achieved a net realized and unrealized loss of $2,124,024 from its trading operations, which is net of brokerage commissions of $8,855. The Agricultural Sector Series incurred total expenses of $53,070, including $28,070 in Management Fees (paid to the Managing Member), $8,093 in Servicing Fees (paid to selling agents), $12,591 in operating expenses, and $4,316 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector Series earned $478 in interest income.

The Agricultural Sector Series posted a net loss of (2.20)% in April. Highest grossing commodities for the Agricultural Sector Series’ performance in April were coffee, cocoa, corn, orange juice and rice.

The Agricultural Sector Series posted a net loss of (1.78)% in May. Highest grossing commodities for the Agricultural Sector Series’ performance in May were greasy wool, rapeseed, milling wheat, oats and orange juice.

The Agricultural Sector Series posted a net loss of (8.28)% in June. Highest grossing commodities for the Agricultural Sector Series’ performance in June were sugar, greasy wool, live cattle, orange juice and cocoa.

 

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Three Months ended March 31, 2011

Total Index Series

During the first quarter of 2011, the Total Index Series achieved a net realized and unrealized gain of $33,027,972 from its trading operations, which is net of brokerage commissions of $152,534. The Total Index Series incurred total expenses of $843,247, including $591,976 in Management Fees (paid to the Managing Member), $37,063 in Servicing Fees (paid to selling agents), $123,184 in operating expenses, and $91,024 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index series earned $19,291 in interest income. An analysis of trading gains (net of all trading fees and expenses) by market sector is as follows:

 

Sector

   % Gain  

Agricultural

     1.96

Energy

     6.73

Metals

     0.93
  

 

 

 

Total Portfolio

     9.62
  

 

 

 

The Total Index Series posted a net gain of 3.3% in January. The agricultural and energy sectors posted gains of 2.06% and 1.29%, respectively, while the metals sector posted a loss of (0.04)%. Highest grossing commodities for the Total Index Series’ performance in January were cotton, rubber, tin, lean hogs and nickel.

The Total Index Series posted a net gain of 3.9% in February. All three sectors, agricultural, energy and metals, posted gains of 0.54%, 2.38% and 0.98%, respectively. Highest grossing commodities for the Total Index Series’ performance in February were silver, cotton, gas oil, brent oil and coffee.

The Total Index Series posted a net gain of 2.4% in March. The energy sector posted a gain of 3.04% while the agricultural and metals sectors posted losses of (0.61)% and (0.01)%, respectively. Highest grossing commodities for the Total Index Series’ performance in March were silver, greasy wool, WTI crude, natural gas and RBOB gasoline.

Agricultural Sector Series

During the first quarter of 2011, the Agricultural Sector Series achieved a net realized and unrealized gain of $945,633 from its trading operations, which is net of brokerage commissions of $9,998. The Agricultural Sector Series incurred total expenses of $55,641, including $30,281 in Management Fees (paid to the Managing Member), $8,391 in Servicing Fees (paid to selling agents), $12,313 in operating expenses, and $4,656 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector series earned $808 in interest income.

The Agricultural Sector Series posted a net gain of 5.52% in January. Highest grossing commodities for the Agricultural Sector Series’ performance in January were cotton, rubber, lean hogs, greasy wool and cocoa.

The Agricultural Sector Series posted a net gain of 1.48% in February. Highest grossing commodities for the Agricultural Sector Series’ performance in February were cotton, coffee, cocoa, corn and orange juice.

The Agricultural Sector Series posted a net loss of (1.83)% in March. Highest grossing commodities for the Agricultural Sector Series’ performance in March were greasy wool, rapeseed, live cattle, cotton and lean hogs.

 

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Three Months ended June 30, 2010

Total Index Series

During the second quarter of 2010, the Total Index Series achieved a net realized and unrealized loss of $18,366,804 from its trading operations, which is net of brokerage commissions of $128,633. The Total Index Series incurred total expenses of $511,335, including $357,798 in Management Fees (paid to the Managing Member), $29,441 in Servicing Fees (paid to Selling Agents) and $105,374 in operating expenses. The Total Index Series also accrued $18,722 in Support Services Fees in June (accrued to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index Series earned $32,987 in interest income. An analysis of trading losses (net of all trading fees and expenses) by market sector is as follows:

 

Sector

   % (Loss)  

Agricultural

     (0.70 )% 

Energy

     (5.06 )% 

Metals

     (2.34 )% 
  

 

 

 

Total Portfolio

     (8.10 )% 
  

 

 

 

The Total Index Series posted a net gain of 2.8% in April. All three sectors, agricultural, energy and metals, posted gains of 1.10%, 1.51% and 0.15%, respectively. Highest grossing commodities for the Total Index Series’ performance in April were palladium, soybean, hard red winter wheat, soft red winter wheat and cocoa.

The Total Index Series posted a net loss of (10.3)% in May. All three sectors, agricultural, energy and metals, posted losses of (2.09)%, (6.53)% and (1.72)%, respectively. Highest grossing commodities for the Total Index Series’ performance in May were natural gas, orange juice, gold, rapeseed and greasy wool.

The Total Index Series posted a net gain of 0.02% in June. The agricultural and energy sectors posted gains of 0.42% and 0.29%, respectively, while the metals sector posted a loss of (0.69)%. Highest grossing commodities for the Total Index Series’ performance in June were oats, coffee, canola, sugar and rapeseed.

Agricultural Sector Series

During the second quarter of 2010, the Agricultural Sector Series achieved a net realized and unrealized loss of $318,321 from its trading operations, which is net of brokerage commissions of $12,981. The Agricultural Sector Series incurred total expenses of $46,519, including $28,390 in Management Fees (paid to the Managing Member), $4,492 in Servicing Fees (paid to selling agents) and $12,291 in operating expenses. The Agricultural Sector Series also accrued $1,346 in Support Services Fees in June (accrued to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fee will be used to pay broker dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or producing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector Series earned $152 in interest income.

The Agricultural Sector Series posted a net gain of 3.13% in April. Highest grossing commodities for the Agricultural Sector Series’ performance in April were soybean meal, hard red winter wheat, soft red winter wheat, cocoa and azuki beans.

The Agricultural Sector Series posted a net loss of (6.12)% in May. Highest grossing commodities for the Agricultural Sector Series’ performance in May were orange juice, rapeseed, greasy wool, coffee and rubber.

The Agricultural Sector Series posted a net gain of 1.09% in June. Highest grossing commodities for the Agricultural Sector Series’ performance in June were oats, coffee, canola, sugar and rapeseed.

Energy Sector Series

During the second quarter of 2010, the Energy Sector Series achieved a net realized and unrealized loss of $330,556 from its trading operations, which is net of brokerage commissions of $1,376. The Energy Sector Series incurred total

 

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expenses of $11,468, including $4,618 in Management Fees (paid to the Managing Member), $35 in Servicing Fees (paid to selling agents) and $6,606 in operating expenses. The Energy Sector Series also accrued $209 in Support Services Fees in June (accrued to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fee will be used to pay broker-dealers for distribution related services to the Energy Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Energy Sector Series earned $177 in interest income.

The Energy Sector Series posted a net gain of 3.14% in April. Highest grossing commodities for the Energy Sector Series’ performance in April were gas, oil, heating oil and brent oil.

The Energy Sector Series posted a net loss of (14.57)% in May. Highest grossing commodities for the Energy Sector Series’ performance in May were natural gas, gas oil and heating oil.

The Energy Sector Series posted a net gain of 0.60% in June. Highest grossing commodities for the Energy Sector Series’ performance in June were brent oil, heating oil and crude oil.

Three Months ended March 31, 2010

Total Index Series

During the first quarter of 2010, the Total Index Series achieved a net realized and unrealized loss of $3,519,350 from its trading operations, which is net of brokerage commissions of $110,231. The Total Index Series incurred total expenses of $425,893, including $290,508 in Management Fees (paid to the Managing Member), $28,550 in Servicing Fees (paid to selling agents) and $106,835 in operating expenses. The Total Index Series earned $30,297 in interest income. An analysis of trading gains and losses (net of all trading fees and expenses) by market sector is as follows:

 

Sector

   % Gain (Loss)  

Agricultural

     (3.50 )% 

Energy

     0.83

Metals

     0.84
  

 

 

 

Total Portfolio

     (1.83 )% 
  

 

 

 

The Total Index Series posted a net loss of (7.9)% in January. The agricultural, energy and metals sectors posted losses of (2.62)%, (3.79)% and (1.44)%, respectively. Highest grossing commodities for the Total Index Series’ performance in January were sugar, orange juice, lumber, azuki beans and greasy wool.

The Total Index Series posted a net gain of 5.3% in February. The agricultural, energy and metals sectors all posted gains of 1.39%, 3.07% and 0.86%, respectively. Highest grossing commodities for the Total Index Series’ performance in February were cotton, nickel, crude oil, soybean oil and RBOB gasoline.

The Total Index Series posted a net gain of 0.7% in March. The energy and metals sectors posted a net gain of 1.63% and 1.38%, respectively, while the agricultural sector posted a loss of (2.31)%. Highest grossing commodities for the Total Index Series’ performance in March were nickel, palladium, aluminum, copper and tin.

Agricultural Sector Series

During the first quarter of 2010, the Agricultural Sector Series achieved a net realized and unrealized loss of $1,838,616 from its trading operations, which is net of brokerage commissions of $14,796. The Agricultural Sector Series incurred total expenses of $43,575, including $26,956 in Management Fees (paid to the Managing Member), $4,322 in Servicing Fees (paid to selling agents) and $12,297 in operating expenses. The Agricultural Sector Series earned $2,090 in interest income.

The Agricultural Sector Series posted a net loss of (7.72)% in January. Highest grossing commodities for the Agricultural Sector Series’ performance in January were sugar, orange juice, lumber, azuki beans and greasy wool.

The Agricultural Sector Series posted a net gain of 3.97% in February. Highest grossing commodities for the Agricultural Sector Series’ performance in February were cotton, soybean oil, rubber, soft red winter wheat and lean hogs.

 

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The Agricultural Sector Series posted a net loss of (6.33)% in March. Highest grossing commodities for the Agricultural Sector Series’ performance in March were lumber, rapeseed, rubber, coffee and live cattle.

Energy Sector Series

During the first quarter of 2010, the Energy Sector Series achieved a net realized and unrealized gain of $24,730 from its trading operations, which is net of brokerage commissions of $1,577. The Energy Sector Series incurred total expenses of $11,277, including $4,699 in Management Fees (paid to the Managing Member), $0 in Servicing Fees (paid to selling agents) and $6,578 in operating expenses. The Energy Sector Series earned $574 in interest income.

The Energy Sector Series posted a net loss of (8.77)% in January. Highest grossing commodities for the Energy Sector Series’ performance in January were gas oil, RBOB gasoline and natural gas.

The Energy Sector Series posted a net gain of 6.66% in February. Highest grossing commodities for the Energy Sector Series’ performance in February were crude oil, RBOB gasoline and brent oil.

The Energy Sector Series posted a net gain of 3.25% in March. Highest grossing commodities for the Energy Sector Series’ performance in March were gas oil, heating oil and brent oil.

OFF-BALANCE SHEET RISK

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Company trades in futures, and may trade in forward and swap, contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Company at the same time, the Company could experience substantial losses. Because the Company is designed to replicate the Index, or a sub-index thereof, the Managing Member adjusts the Company’s portfolios, on a Series by Series basis, only as necessary to accommodate expirations in particular commodity futures contracts and to adjust overall position size for changes resulting from subscriptions and withdrawals. The Managing Member does not exercise discretion over the positions a Series maintains. Consequently, the Managing Member does not apply risk management techniques in its trading decisions. The Company initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques. The Company maintains approximately 90% of its assets in cash, cash equivalents with maturities of three months or less, U.S. government-sponsored enterprise securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other CFTC-authorized investments, shares of mutual funds and certain money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits) through one or more federally chartered U.S. banking institutions, for which the Managing Member believes the market-risk to be minimal.

In addition to market risk, in entering into futures, and potentially forward and swap, contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Company. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

OFF-BALANCE SHEET ARRANGEMENTS

The Company does not enter into off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

The Company does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Company’s sole business is trading long (contracts to buy) futures, and potentially forward and swap, contracts. All such contracts are settled by offset, not delivery. The Financial Statements of the Company present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the open futures and other contracts at June 30, 2011 and December 31, 2010.

 

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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

 

ITEM 4. CONTROLS AND PROCEDURES

The Managing Member, with the participation of its principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Company and each Series as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the Managing Member’s internal controls over financial reporting during the quarter ended June 30, 2011 that have materially affected, or are reasonably likely to materially affect, the Managing Member’s internal control over financial reporting with respect to the Company and each Series.

The Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer, Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer, Section 1350 Certification of Principal Executive Officer and Section 1350 Certification of Principal Financial Officer, Exhibit 31.1, Exhibit 31.2, Exhibit 32.1 and Exhibit 32.2 hereto, respectively, are applicable with respect to each Series individually, as well as to the Company as a whole.

PART II - OTHER INFORMATION

 

ITEM 1. LEGAL PROCEEDINGS

None.

 

ITEM 1A. RISK FACTORS

Risk of Loss. An investor in the Company (an “Investor”) may incur significant losses on an investment in the Company. The Managing Member cannot provide any assurance that Investors will not lose all or substantially all of their investment.

Futures and Forward Contract Trading Is Volatile. Trading in the futures and forward markets typically results in volatile performance. Several occasions in the recent past have witnessed sudden and major reversals in these markets, resulting in major losses for traders.

Highly Leveraged Trading. Commodity futures contracts are traded on margin, which typically range from about 2% to 20% of the value of the contracts. The average margin is less than 10% of the value of the contract. Low margin provides a large amount of leverage, i.e., commodity contracts for a large number of units (bushels, pounds, etc.) of a commodity, having a value substantially greater than the margin, may be traded for a relatively small amount of money. The use of leverage can magnify both profits and losses.

Markets May Be Illiquid or Disrupted. Most United States futures exchanges limit fluctuations in some futures contract prices during a single day by regulations referred to as “daily limits.” During a single trading day, no trades may be executed in such contracts at prices beyond the daily limit. Once the price of a futures contract has increased or decreased to the limit point, positions can be neither taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent a Series from executing trades and subject a Series to substantial losses. Also, the CFTC or exchanges may suspend or limit trading. Trading on non-United States exchanges and in the forward currency markets is not subject to daily limits, although such trading is also subject to periods of significant illiquidity.

Speculative Position Limits May Alter Investment Decisions for the Company. The CFTC has established limits on the maximum net long or net short positions which any person may hold or control in certain futures contracts. Exchanges also have established such limits. In January 2011, the CFTC proposed a separate position limits regime for 28 so-called “exempt” (i.e., metal and energy) and agricultural futures and option contacts and their economically equivalent swap transactions. All accounts controlled by the Managing Member, including the account of each Series, are combined for

 

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speculative position limit purposes. If positions in those accounts were to approach the level of the particular speculative position limit, such limits could cause a modification of the Managing Member’s investment decisions for each Series or force liquidation of certain futures positions.

Failure of Brokerage Firms and Forward and Swaps Market Participants. The Commodity Exchange Act requires a clearing broker to segregate all funds received from such broker’s customers in respect of futures (but not forward) transactions from such broker’s proprietary funds. If any of a Series’ commodity brokers were not to do so to the full extent required by law, or in the event of a substantial default by one or more of such broker’s other customers, the assets of a Series might not be fully protected in the event of the bankruptcy of such broker. Furthermore, in the event of such a bankruptcy, a Series would be limited to recovering only a pro rata share of all available funds segregated on behalf of the affected commodity broker’s combined customer accounts, even though certain property specifically traceable to a Series (for example, United States Treasury bills or cash deposited by a Series with such broker) was held by such broker. Commodity broker bankruptcies have occurred in which customers were not able to recover from the broker’s estate the full amount of their funds on deposit with such broker and owing to them. Commodity broker bankruptcies are not insured by any governmental agency, and Investors would not have the benefit of any protection such as that afforded customers of bankrupt securities broker-dealers by the Securities Investors Protection Corporation.

Each Series intends to hold no more than 20% of its assets at CFTC-registered commodity brokers within customer segregated accounts. The remainder will be held at one or more major federally chartered banks.

In respect of its forward or swaps trading, if any, a Series is subject to the risk of the inability or refusal to perform with respect to such contracts on the part of the principals or agents with or through which a Series trades. Any failure or refusal to discharge their contractual obligations by the counterparties with which a Series deals on the forward or swaps markets, whether due to insolvency, bankruptcy or other causes, could subject a Series to substantial losses. The Series intend to deal in the forward and swaps markets only with counterparties which the Managing Member considers to be creditworthy. However, defaults have occurred in the forward and swaps markets, and the risk of such defaults cannot be eliminated from a Series’ trading.

None of the CFTC, NFA, futures exchanges or banking authorities currently regulate forward trading with respect to “eligible contract participants” such as the Series. Because a Series may trade in the forward markets, prospective investors must recognize that this portion of a Series’ activity takes place in unregulated markets rather than on futures exchanges subject to the jurisdiction of the CFTC or other regulatory bodies. While the forward markets are well established, it is impossible to predict how, given certain unusual market scenarios, the unregulated nature of these markets might affect a Series. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) amended the definition of “eligible contract participant,” and the CFTC is interpreting that definition in such a manner that each Series may no longer be permitted to engage in currency forward transactions by directly accessing the interbank market. Rather, each Series may be limited to engaging in “retail forex transactions” which could limit each Series’ potential currency forward counterparties. Thus, limiting each Series’ potential currency forward counterparties could lead to each Series bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. The “retail forex” markets could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of such currency forward counterparties with whom each Series may be required to trade could be significantly weaker than the creditworthiness of the financial institutions with whom each Series currently engages for its currency forward transactions. The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to the Reform Act might limit such forward trading to less than that which the Managing Member would otherwise recommend, to the possible detriment of each Series.

Forwards, Swaps and Other Derivatives are Subject to Varying CFTC Regulation. Enacted in July 2010, the Reform Act includes provisions that comprehensively regulate the over-the-counter derivatives markets for the first time. The Reform Act will require that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. Over-the-counter trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as possible SEC- or CFTC-mandated margin requirements. The regulators also have broad discretion to impose margin requirements on non-cleared over-the-counter derivatives. Over-the-counter derivative dealers also will be required to post margin to the clearinghouses through which they clear their customers’ trades instead of using such margin in their operations, as they currently are allowed to do. This will further increase the dealers’ costs, which costs are expected to be passed through to other market participants in the form of higher fees and less favorable dealer marks.

 

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The SEC and CFTC may also require a substantial portion of derivative transactions that are currently executed on a bi-lateral basis in the over-the-counter markets to be executed through a regulated securities, futures, or swap exchange or execution facility. Such requirements may make it more difficult and costly for investment funds, including the Series, to enter into highly tailored or customized transactions.

Although the Reform Act will require many over-the-counter derivative transactions previously entered into on a principal-to-principal basis to be submitted for clearing by a regulated clearinghouse, certain of the derivatives that may be traded by a Series may remain principal-to-principal or over-the-counter contracts between such Series and third parties entered into privately. The risk of counterparty nonperformance can be significant in the case of these over-the-counter instruments, and “bid-ask” spreads may be unusually wide in these heretofore substantially unregulated markets. While the Reform Act is intended in part to reduce these risks, its success in this respect may not be evident for some time after the Reform Act is fully implemented, a process that may take several years. To the extent not mitigated by implementation of the Reform Act, if at all, the risks posed by such instruments and techniques, which can be extremely complex and may involve leveraging of the Series’ assets, include: (1) credit risks (the exposure to the possibility of loss resulting from a counterparty’s failure to meet its financial obligations); (2) market risk (adverse movements in the price of a financial asset or commodity); (3) legal risks (the characterization of a transaction or a party’s legal capacity to enter into it could render the financial contract unenforceable, and the insolvency or bankruptcy of a counterparty could preempt otherwise enforceable contract rights); (4) operational risk (inadequate controls, deficient procedures, human error, system failure or fraud); (5) documentation risk (exposure to losses resulting from inadequate documentation); (6) liquidity risk (exposure to losses created by inability to prematurely terminate the derivative); (7) systemic risk (the risk that financial difficulties in one institution or a major market disruption will cause uncontrollable financial harm to the financial system); (8) concentration risk (exposure to losses from the concentration of closely related risks such as exposure to a particular industry or exposure linked to a particular entity); and (9) settlement risk (the risk faced when one party to a transaction has performed its obligations under a contract but has not yet received value from its counterparty).

Trading on Futures Exchanges outside the United States. The Managing Member trades on futures exchanges outside the United States on behalf of a Series. Trading on such exchanges is not regulated by any United States government agency and may involve certain risks not applicable to trading on United States exchanges. For example, some foreign exchanges are “principals’ markets” in which performance is the responsibility only of the individual member with whom a Series has traded, not that of the exchange or a clearing facility. In such cases, a Series will be subject to the risk that the Member with whom the Series has traded is unable or unwilling to perform its obligations under the transaction. Trading on foreign exchanges also involves the additional risks of expropriation, burdensome or confiscatory taxation, moratoriums, exchange or investment controls and political or diplomatic disruptions, each of which might materially adversely affect a Series’ trading activities. In trading on foreign exchanges, a Series is also subject to the risk of changes in the exchange rates between the United States dollar and the currencies in which the foreign contracts are settled.

Failure of Futures Commission Merchants. FCMs are required to segregate assets pursuant to CFTC regulations. If the assets of a Series were not so segregated, a Series would be subject to the risk of the failure of such FCMs. Even given proper segregation, in the event of the insolvency of an FCM, a Series may be subject to a risk of loss of its funds and would be able to recover only a pro rata share (together with all other commodity customers of such FCM) of assets, such as United States Treasury bills, specifically traceable to the account of a Series and its Investors. In commodity broker insolvencies, customers have, in fact, been unable to recover from the broker’s estate the full amount of their “customer” funds. In addition, under certain circumstances, such as the inability of another client of an FCM or the FCM itself to satisfy substantial deficiencies in such other client’s account, a client may be subject to a risk of loss of the funds on deposit with the FCM, even if such funds are properly segregated. In the case of any such bankruptcy or client loss, a client might recover only a pro rata share of all property available for distribution to all of the FCM’s clients or possibly, nothing at all.

A Bankruptcy Court Could Find the Assets of One Series to be Available to Offset the Liabilities of the Other Series. The Company is organized as a limited liability company pursuant to Section 18-215 (“Section 18-215”) of the Act, with separate series of limited liability company interests and assets. Section 18-215 provides that, if certain conditions (as set forth in Section 18-215) are met, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular series shall be enforceable only against the assets of such series and not against the assets of the limited liability company generally or any other series. Accordingly, the assets of one Series of the Company include only those funds and other assets that are paid to, held by or distributed to the Company on account of and for the benefit of that Series, including, without limitation, funds delivered to the Company for the purchase of Interests in that Series. However, the limitations on inter-series liability provided by Section 18-215 have never been tested in court. Thus there is a risk that a court, and in particular, a Bankruptcy Court, could determine that the assets of one Series should be applied to meet the liabilities of the other Series or the liabilities of the Company generally where the assets of such other Series or of the Company generally are insufficient to meet its liabilities.

 

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Termination of License to the Index and of Trading Activities. The Company has been granted a license to use the Index pursuant to a sub-licensing arrangement with Beeland Management Company, L.L.C. (“Beeland”). If Beeland’s license to the Index were to terminate, or the licensing arrangement with the Company were to otherwise terminate, and if the Company was not able to otherwise license the use of the Index, the Company will terminate the offering of its Interests and, if a Series were to experience sufficient withdrawals such that its assets were not sufficient to trade the Index or relevant Sub-Index, such Series would terminate its trading activities, possibly incurring losses in doing so.

 

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

During the second fiscal quarter of 2011, the Total Index Series issued Interests, to both new and existing Members, in the following dollar amounts: April: $5,797,858; May: $3,328,308; and June: $7,392,863.

During the second fiscal quarter of 2011, the Agricultural Sector Series issued Interests, to both new and existing Members, in the following dollar amounts: April: $285,580; May: $10,000; and June: $358,312.

During the second fiscal quarter of 2011, the Energy Sector Series issued no Interests.

Each of the foregoing Interests was privately offered and sold only to “accredited investors,” as defined in Rule 501(a) under the Securities Act of 1933, as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506 under the 1933 Act, and are persons with whom the Managing Member, Uhlmann Price Securities, LLC, the Company’s marketing representative, or a selling agent have a pre-existing substantive relationship and with respect to whom it has been determined that the Interests are a suitable investment.

Pursuant to the Company’s Limited Liability Company Agreement, Members may withdraw capital from their capital accounts as of the end of each calendar month. The withdrawal of capital by Members has no impact on the value of the capital accounts of other Members.

The following table summarizes the withdrawals by Members from the Total Index Series during the three months ended June 30, 2011:

 

Date of Closing

   Total Amount of Withdrawals  

April 30, 2011

   $ 2,391,669   

May 31, 2011

   $ 34,165,183   

June 30, 2011

   $ 1,697,568   

The following table summarizes the withdrawals by Members from the Agricultural Sector Series during the three months ended June 30, 2011:

 

Date of Closing

   Total Amount of Withdrawals  

April 30, 2011

   $ 938,635   

May 31, 2011

   $ 272,486   

June 30, 2011

   $ 256,948   

 

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not applicable.

 

ITEM 4. (REMOVED AND RESERVED)

 

ITEM 5. OTHER INFORMATION

None.

 

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ITEM 6. EXHIBITS

The following exhibits are included herewith:

 

31.1    Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.2    Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32.1    Section 1350 Certification of Principal Executive Officer
32.2    Section 1350 Certification of Principal Financial Officer
101    The following financial information from our Quarterly Report on Form 10-Q for the second quarter of 2011, filed with the SEC on August 15, 2011, formatted in Extensible Business Reporting Language (XBRL): (i) the Unaudited Consolidated Balance Sheets as of June 30, 2011 and December 31, 2010, (ii) the Unaudited Consolidated Statements of Operations for the quarters and years to date ended June 30, 2011 and June 30, 2010, (iii) the Unaudited Consolidated Statements of Cash Flows for the years to date ended June 30, 2011 and June 30, 2010, and (iv) Notes to Unaudited Consolidated Financial Statements.

 

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SIGNATURES

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

 

Date: August 15, 2011

    RICI® Linked – PAM Advisors Fund, LLC
    (Registrant)
    By: Price Asset Management, Inc.
    Managing Member
   

By: /s/ Walter Thomas Price III

    Walter Thomas Price III
    Principal Executive Officer
   

By: /s/ Allen D. Goodman

    Allen D. Goodman
    Principal Financial Officer

 

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EXHIBIT INDEX

 

Exhibit

Number

  

Description of Document

  

Page Number

 
31.1    Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer      E-2   
31.2    Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer      E-3   
32.1    Section 1350 Certification of Principal Executive Officer      E-4   
32.2    Section 1350 Certification of Principal Financial Officer      E-5   
101    The following financial information from our Quarterly Report on Form 10-Q for the second quarter of 2011, filed with the SEC on August 15, 2011, formatted in Extensible Business Reporting Language (XBRL): (i) the Unaudited Consolidated Balance Sheets as of June 30, 2011 and December 31, 2010, (ii) the Unaudited Consolidated Statements of Operations for the quarters and years to date ended June 30, 2011 and June 30, 2010, (iii) the Unaudited Consolidated Statements of Cash Flows for the years to date ended June 30, 2011 and June 30, 2010, and (iv) Notes to Unaudited Consolidated Financial Statements.   

 

E-1