Exhibit 13.01

 

Message from the Managing Owner

 

Dear Unitholder:

 

The RJO Global Trust Class A units posted a loss of (9.26%) for 2011, Class B units posted a loss of (7.42%). The NAV per unit for Class A at year-end was $91.32 and for Class B at year end was $96.98 (please see Note (1) and Note (9) in the notes to financial statements for more information with respect to the calculation of Net Asset Value) compared to $100.64 per Class A unit at the beginning of the year and $104.75 per unit for Class B. Beneficial Owners purchased $943,530 worth of Class A units and $219,959 worth of Class B units in the Trust during 2011.

 

The stock market started the year with a solid gain. U.S. treasuries and the U.S. dollar were slightly weaker. Precious metals were decidedly weaker during the month but other commodities, lead higher by grains, allowed the Dow Jones-UBS Commodity Index to post a gain of 1%. The stock market benefitted from low interest rates and strong corporate earnings. The U.S. bond market has not responded to signs of inflation that have begun to surface in the emerging economies of China, India, and Brazil. In particular the economies of several Northern African countries have shown stress over food prices. The political stress in Egypt and Tunisia added significant support to grain and energy prices. Near month end, market participants saw evidence of those governments beginning to hoard food to make sure supplies are adequate at any cost. Concern over access to the Suez Canal and the flow of oil exports from the region were reasons given for strength in oil prices. Stocks kept climbing higher quietly during the month of February. The rally was disrupted in the latter part of February as violence erupted in Libya. Stress in the Middle East sparked a renewed rally in the petroleum markets. In an odd turn of events, market participants identified climbing fuel prices, which on their own might be considered inflationary and negative for fixed income markets, as a reason that global economies might slow and therefore lessen inflationary pressures. With this as a backdrop, U.S. treasuries posted a modest gain. Commodity indices led higher by energy and metals markets posted all-time highs. Domestically, the House and Senate have undertaken a project to revise and pass a budget that will reign in the country’s ballooning budget deficit. Negotiations do not appear to be going well. This all adds up to a volatile market outlook. In March, an earthquake in Japan and the tsunami that followed unleashed a series of events that will change that country forever. Stocks and commodities plunged following the disaster but recovered during the latter part of the month to finish unchanged. A coalition of foreign forces decided to intervene in Libya to support the rebel groups battling against Gaddafi. Unemployment in the U.S. was reported to be improving with the best number since 2008. The USDA reports the lowest corn inventories in years.

 

In April stocks scored another gain in what has been a near perfect environment for the market over the last 12 months. The S&P 500 has doubled since March 2009 and remains just 13% below an all time high. Interest rates have remained at near historic lows and economic activity has been quietly improving. Still, there is a certain uneasiness surrounding the current situation, as many prudent market watchers are concerned that the Federal Reserve Bank’s accommodative monetary policy is the only support underlying the market. If the Fed were unable to maintain accommodative monetary policy, the market would have to deal quickly with inflationary evidence and questions of currency stability. Commodities remain in a steady uptrend and, although experiencing some brief pullbacks, have been led higher by food, metal, and energy markets. Stocks lost just over 1% during May while commodities lost just over 5%. The markets seemed concerned that domestic global economic growth was slowing. Concerns over the European Union’s situation with Greece and its debt situation have brought credit market tensions to the forefront. As a result, U.S. treasuries showed strength again this month with the benchmark 10-year note closing out the month with its yield hovering near 3%. Given the markets concern over budget deficits and commodity led inflation, it is remarkable that the yield on the 10-year note is trading so low. The markets appear to be very nervous about the potential of a U.S. budget impasse and a double dip recession. Stocks staged a strong rally during the last few days of June but still finished the month down almost 2%. Commodities lost 5% during the month as crude oil and grains sold off dramatically from recent highs. On the energy front, the International Energy Agency orchestrated the release of 60 million barrels of oil to help loosen the oil market and to keep prices below $100 per barrel. The USDA reported that farmers have planted a record amount of corn. In fact, planted acreage is 9% higher than ever before. Greece avoided a financial default by approving an austerity package despite a series of violent domestic protests. Allowing Greece to solve its debt problem by creating more debt from within the European Community in a global environment that includes the U.S. fighting its own rising debt problems, finally got the attention of treasury markets around the world. The unfolding events caused rates to creep up slightly during the month. July should be interesting as politicians position themselves in the effort to increase the U.S. debt ceiling or face our own credit default.

 

 

Stocks continued their losing streak in July finishing with a lackluster 2% loss. The market continues to struggle with anemic economic data and a stressful political climate related to debt management both here in the U.S. and in Europe. While the European community avoided an immediate crisis in Greece, problems remain critical in Italy and in Spain. For the first time our country’s history, our government flirted with default as our leaders could not agree on a plan to increase our debt limit or a long term plan to balance the U.S. budget. With this environment as a backdrop and investors looking for safe havens to protect value, gold and the Swiss franc each made new highs. Interest rates remain at or near record lows. Many commodities began climbing back to higher price levels seen earlier this spring. As a result, the Dow Jones UBS-Commodity Index returned to positive territory at month end for the year to date. At one point during August, stocks were down almost 12%. The S&P rallied five straight days to finish the month with a loss of 5.43%. The final monthly result masks the fear that was present in early August. As stocks were in free fall, gold rocketed to an all time high nominal price of over $1,900 per ounce. The Swiss franc rose to an all time high against the U.S. dollar and against the Euro as global investors worried over the viability of the European Union and the ability of the U.S. economy to avoid another recession. Ten-year note yields dipped below 2% for a few days for the first time since 1960 seeming to signal desperation on the part of investors seeking to avoid stock exposure and market risk. With no evidence of a solution to numerous global economic and political problems, it was somewhat surprising to see that stocks and commodities finished the month on a positive note. The market seems to have embraced the Federal Reserve Bank’s plan to leave interest rates at or near zero until 2013. It seems that something would have to give between weakening global economies and increasing global debt problems. Global stock markets continued their slide during September and posted their worst quarterly performance since the fall of 2008. Concerns over slumping global demand for commodities caused a 15% drop in the Dow Jones-UBS Commodity Index, its second worst month ever and the worst month since October 2008. After making new highs earlier this summer gold and corn are each almost 25% below their peaks. Crude oil, coffee, and copper have fallen between 15 and 20%. It would appear that the markets are pricing in a Greek default and the impact such a default might have on the European Union. While the direct economic impact of such a problem is uncertain, the thought of it has created a lack of confidence that has been pervasive across many markets and has been reflected in many recent consumer and business reports. Consumers appear reluctant to spend and businesses are hesitant to hire new employees and invest in new projects. Not a good combination for economic growth.

 

After posting the worst quarterly performance since the fall of 2008, the stock market responded in October with a gain of 13%, its best single month since 1987. It is interesting to note the market’s increased volatility. For a record 68 consecutive days the S&P had an intraday trading range of over 1%. The string was interrupted on Friday, October 28 as the market seemed to pause to consider the announced European debt restructuring plan. A new string began on October 31 with the market losing 2.5%. Commodities, which had been tracking stocks closely for the last two years, decoupled and continued their losing streak. The Dow Jones-UBS Commodity Index rebounded gaining over 6% during the month. The index has lost 7.9% for the year to date. Interest rates experienced a reversal with the 10 year note yield rising 50 basis points from its early October low. This reversal was attributed to problems in Europe, inflationary concerns, and poor demand for treasuries at recent U.S. government debt auctions. At the close on the day before Thanksgiving, the S&P 500 had lost 8.5% during November. The market staged an amazing turn around to finish slightly positive for the month. This helped crude oil and gold but other commodities slumped and caused the Dow Jones-UBS Commodity Index to post another negative month. Corn and natural gas for example both lost over 6% during the month. The market continues to be sensitive to and influenced by developments surrounding the European debt crisis. Every morning, it seems, the market reacts positively or negatively to overnight headlines coming out of Europe. United government central bank intervention to create additional liquidity for European financial institutions, in fact, caused the market to surge almost 4% on the last day of November. Market rallies based on government intervention do not usually signify a stable foundation for economic growth. In addition to the rally in stocks, the concerted central bank intervention caused foreign currencies to surge against the dollar and interest rates on longer duration treasuries to increase. There seems to be plenty of turmoil in the market to create trading opportunities. For a year that contained historically high periods of volatility, blistering sell offs, short covering rallies, and ranges from low to high of over 27%; it was interesting to see the stock market close the year with a very slight 2% gain. Commodities as an asset class lost over 13% and were lead lower by grains, softs, base metals, and some energy markets. Fixed income markets confounded experts, who expected a rising interest rate environment earlier in the year, by finishing with the best performance of the year. The U.S. Government’s 10 year note, for example, finished with a total return of more than 15%. As we begin 2012, the European debt situation remains unsolved, there is plenty of tension in the Middle East and on the Korean peninsula, China’s economic development continues to dominate global trade issues, and an already deadlocked partisan U.S. political system is entering a Presidential election year. Basically, it’s business as usual. The market turmoil can represent opportunities for our traders as we look forward to the year ahead.

 

 

We thank you for your continued support.

 

Past performance is not indicative of future results.

 

/s/ Jason T. Manumaleuna
Jason T. Manumaleuna
Chief Financial Officer
R.J. O’Brien Fund Management, LLC

 

 

RJO GLOBAL TRUST

 

Table of Contents

 

Report of Independent Registered Public Accounting Firm – CF & Co., L.L.P.	5
Financial Statements:
Consolidated Statements of Financial Condition as of December 31, 2011 and 2010	6
Condensed Consolidated Schedules of Investments as of December 31, 2011 and 2010	7
Consolidated Statements of Operations, for the years ended December 31, 2011, 2010, and 2009	8
Consolidated Statements of Changes in Unitholders’ Capital, for the years ended December 31, 2011, 2010, and 2009	9
Notes to Consolidated Financial Statements	10

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Managing Owner and Beneficial Owners of RJO Global Trust and Subsidiary:

 

We have audited the accompanying consolidated statements of financial condition, including the condensed consolidated schedules of investments, of RJO Global Trust and Subsidiary (the “Trust”) as of December 31, 2011 and 2010 and the related consolidated statements of operations and changes in unitholders’ capital for each of the three years in the period ended December 31, 2011. These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

 

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. The Trust is not required to have, nor were we engaged to perform an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

 

In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of RJO Global Trust and Subsidiary as of December 31, 2011 and 2010 and the results of their operations and changes in unitholders’ capital, for each of the three years in the period ended December 31, 2011, in conformity with accounting principles generally accepted in the United States of America.

 

/S/ CF & Co., L.L.P.
CF & Co., L.L.P.
Dallas, Texas
March 27, 2012

 

 

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Financial Condition

 

		December 31,				December 31,
		2011				2010
Assets
Assets:
Equity in commodity Trading accounts:
Cash on deposit with broker		$	2,670,744			$	22,388,362
Unrealized gain on open contracts			363,947				1,357,343
Purchased options on futures contracts (premiums paid - $33,376 and $245,722, respectively)			22,525				120,263
Total due from broker			3,057,216				23,865,968
Cash and cash equivalents on deposit with affiliate			9,596,823				18,737,332
Cash on deposit with bank			648				16,248
Fixed income securities (cost $21,993,704 and $11,544,636, respectively), held by affiliate			21,870,890				11,540,784
Interest receivable			123,363				36,141
Cash on deposit with bank - Non-Trading			1,647,219				5,133,598
Prepaid expenses - Non-Trading			95,825				81,602
Total Assets		$	36,391,984			$	59,411,673
Liabilites and Unitholders' Capital
Liabilities:
Equity in commodity Trading accounts:
Options written on futures contracts (premiums received - $14,375)		$	1,006			$	-
Accrued commissions			111,034				151,916
Accrued management fees			48,884				76,511
Accrued incentive fees			-				278,042
Accrued offering expenses			-				16,588
Accrued operating expenses			217,118				201,344
Redemptions payable-Trading			493,332				1,549,974
Accrued legal fees- Non-Trading			500				-
Accrued management fees to U.S. Bank-Non-Trading			31,715				17,492
Distribution payable - Non-Trading			536,188				1,083,908
Total liabilities			1,439,777				3,375,775
Unitholders' capital:
Unitholders' capital (Trading):
Beneficial owners
Class A (355,858 and 490,278 units outstanding at December 31, 2011 and December 31, 2010, respectively)			32,497,392				49,340,822
Class B (12,697 and 13,420 units outstanding at December 31, 2011 and December 31, 2010, respectively)			1,231,294				1,405,692
Managing owner (535 and 11,679 Class A units outstanding at December 31, 2011 and December 31, 2010, respectively)			48,857				1,175,357
Unitholders' capital (LLC equity/Non-Trading):
Participating owners (306,807 and 407,463 units outstanding at December 31, 2011 and December 31, 2010, respectively)			158,535				737,509
Nonparticipating owners (1,966,481 and 1,865,825 units outstanding at December 31, 2011 and December 31, 2010, respectively)			1,016,129				3,376,518
Total unitholders' capital			34,952,207				56,035,898
Total Liabilities and Unitholders' Capital		$	36,391,984			$	59,411,673
Net asset value per unit:
Trading:
Class A		$	91.32			$	100.64
Class B		$	96.98			$	104.75
LLC equity/Non-Trading		$	0.52			$	1.81

 

See accompanying notes to consolidated financial statements.

 

 

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedule of Investments

 

		December 31, 2011								December 31, 2010
		Percentage of								Percentage of
		Net Assets				Fair value				Net Assets				Fair value
Long Positions
Fixed Income Securities
Certificate of Deposit
Chile
Financials (cost $1,500,037)			-			$	-				2.68	%		$	1,500,480
Commercial Paper
South Korea
Financials (cost $1,499,660)			-				-				2.68	%			1,499,820
United States
Insurance (cost $1,499,561)			-				-				2.68	%			1,499,580
United States
Energy (cost $1,242,569)			3.56	%			1,242,938				-				-
Financial (cost $1,896,629)			5.44	%			1,899,873				-				-
Total Commercial Paper			9.00	%			3,142,811				5.35	%			2,999,400
Corporate Bonds
United States
Financials (cost $6,682,059 and $1,345,903, respectively)			19.22	%			6,717,547				2.40	%			1,344,503
Great Britain
Energy (cost $1,527,135)			4.31	%			1,506,885				-				-
Total Corporate Bonds			23.53	%			8,224,432				2.40	%			1,344,503
Government Agencies
United States
US Government Agency (cost $10,499,879 and $3,393,729, respectively)			30.04	%			10,498,215				6.05	%			3,390,654
Short-Term Investment Funds
United States
Short-Term Investment Funds (cost $5,432 and $2,305,746, respectively)			0.02	%			5,432				4.11	%			2,305,747
Total Fixed Income Securities (cost $21,993,704 and $11,544,636, respectively)						$	21,870,890							$	11,540,784
Long Positions
Futures Positions
Agriculture			0.01	%		$	3,573				1.64	%		$	920,055
Currency			0.03	%			9,244				0.45	%			251,310
Energy			-0.34	%			(119,410	)			0.12	%			65,691
Indices			0.05	%			17,851				0.03	%			19,608
Interest rates			0.40	%			139,768				0.21	%			117,158
Metals			-0.23	%			(80,138	)			1.41	%			789,173
Forward Positions
Currency			-0.99	%			(344,428	)			-0.86	%			(483,988	)
Total long positions on open contracts						$	(373,540	)						$	1,679,007
Short Positions
Futures Positions
Agriculture			0.02	%		$	6,835				-0.58	%		$	(323,637	)
Currency			-0.02	%			(5,365	)			-0.04	%			(23,476	)
Energy			0.64	%			225,038				-0.08	%			(45,099	)
Indices			-0.13	%			(47,027	)			0.10	%			57,841
Interest rates			-0.03	%			(10,045	)			-0.02	%			(13,742	)
Metals			0.21	%			72,320				-1.16	%			(651,198	)
Forward Positions
Currency			1.42	%			495,731				1.21	%			677,647
Total short positions on open contracts						$	737,487							$	(321,664	)
Total unrealized gain on open contracts						$	363,947							$	1,357,343
Long put options on future contracts
Indices (premiums paid - $245,722)			-			$	-				0.21	%		$	120,263
Currency (premiums paid - $33,376)			0.06	%			22,525				-				-
Total long put options on futures contracts						$	22,525							$	120,263
Short put options on future contracts
Currency (premiums received - $14,375)			0.00	%		$	(1,006	)			-			$	-

 

See accompanying notes to consolidated financial statements.

 

 

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Operations

		Years Ended December 31,
		2011				2010				2009
Trading gain (loss):
Gain (loss) on trading of commodity contracts:
Realized gain (loss) on closed positions		$	353,195			$	3,040,780			$	(4,475,589	)
Change in unrealized gain (loss) on open positions			(865,419	)			464,878				(340,613	)
Foreign currency transaction gain (loss)			167,482				(39,241	)			46,164
Total Trading gain (loss)			(344,742	)			3,466,417				(4,770,038	)
Net investment income (loss):
Interest income			292,141				69,977				49,056
Realized gain (loss) on fixed income securities			(98,217	)			-				-
Change in unrealized gain (loss) on fixed income securities			(106,156	)			(3,852	)			-
Total net investment gain (loss)			87,768				66,125				49,056
Expenses:
Commissions - Class A			2,004,324				2,322,754				2,689,716
Commissions - Class B			39,950				17,806				14,769
Advisory fees			62,625				13,087				-
Management fees			705,342				930,774				1,192,210
Incentive fees			155,519				278,042				54,149
Ongoing offering expenses			114,267				135,000				248,000
Operating expenses			848,733				936,000				1,312,679
Total expenses			3,930,760				4,633,463				5,511,523
Trading income (loss)			(4,187,734	)			(1,100,921	)			(10,232,505	)
Non-Trading income (loss):
Interest on Non-Trading reserve			2,927				8,774				6,830
Collections in excess of impaired value			1,672,496				16,870,555				3,850,660
Legal and administrative fees			(130,495	)			(1,005,791	)			(2,188,384	)
Management fees paid to US Bank			(233,247	)			(323,834	)			(366,120	)
Non-Trading income (loss)			1,311,681				15,549,704				1,302,986
Net income (loss)		$	(2,876,053	)		$	14,448,783			$	(8,929,519	)

 

See accompanying notes to consolidated financial statements.

 

 

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statement of Changes in Unitholders’ Capital

For years ended December 31, 2011, 2010, and 2009

  

Unitholders' Capital (Trading)		Beneficial Owners - Trading Class A								Beneficial Owners - Trading Class B								Managing Owners - Trading Class A
		Units				Dollars				Units				Dollars				Units				Dollars
Balances at December 31, 2008			658,747			$	78,645,263				-			$	-				11,679			$	1,394,355
Trading income (loss)			-				(9,914,709	)			-				(124,531	)			-				(193,265	)
Unitholders' contributions			15,140				1,627,869				413				45,000				-				-
Transfers from Class A to Class B			(9,952	)			(1,172,473	)			9,935				1,172,473				-				-
Unitholders redemptions			(112,495	)			(12,474,861	)			(990	)			(111,177	)			-				-
Balances at December 31, 2009			551,440				56,711,089				9,358				981,765				11,679				1,201,090
Trading income (loss)			-				(1,087,408	)			-				12,220				-				(25,733	)
Unitholders’ contributions			54,776				5,337,442				6,432				658,669				-				-
Transfers from Class A to Class B			(649	)			(65,443	)			633				65,443				-				-
Unitholders’ redemptions			(115,289	)			(11,554,858	)			(3,003	)			(312,405	)			-				-
Balances at December 31, 2010			490,278				49,340,822				13,420				1,405,692				11,679				1,175,357
Trading income (loss)			-				(3,983,977	)			-				(104,084	)			-				(99,673	)
Unitholders’ contributions			10,039				943,530				2,169				219,959				-				-
Unitholders’ redemptions			(144,459	)			(13,802,983	)			(2,892	)			(290,273	)			(11,144	)			(1,026,827	)
Balances at December 31, 2011			355,858			$	32,497,392				12,697			$	1,231,294				535			$	48,857

 

Unitholders' Capital (Trading)		Total Unitholders' Capital - Trading
		Units				Dollars
Balances at December 31, 2008			670,426			$	80,039,618
Trading income (loss)			-				(10,232,505	)
Unitholders' contributions			15,553				1,672,869
Transfers from Class A to Class B			(17	)			-
Unitholders' redemptions			(113,485	)			(12,586,038	)
Balances at December 31, 2009			572,477				58,893,944
Trading income (loss)			-				(1,100,921	)
Unitholders' contributions			61,208				5,996,111
Transfers from Class A to Class B			(16	)			-
Unitholders' redemptions			(118,292	)			(11,867,263	)
Balances at December 31, 2010			515,377				51,921,871
Trading income (loss)			-				(4,187,734	)
Unitholders’ contributions			12,208				1,163,489
Unitholders’ redemptions			(158,495	)			(15,120,083	)
Balances at December 31, 2011			369,090			$	33,777,543

 

Unitholders' Capital (LLC Equity/Non-Trading)		Participating Owners-								Nonparticipating Owners-								Total Unitholders' Capital-
		LLC Equity/Non-Trading								LLC Equity/Non-Trading								LLC Equity/Non-Trading
		Units				Dollars				Units				Dollars				Units				Dollars
Balances at December 31, 2008			611,108			$	1,953,345				1,662,180			$	5,312,910				2,273,288			$	7,266,255
Non-Trading income (loss)			-				325,015				-				977,971				-				1,302,986
Reallocation due to Redemptions			(98,144	)			(344,487	)			98,144				344,487				-				-
Balances at December 31, 2009			512,964				1,933,873				1,760,324				6,635,368				2,273,288				8,569,241
Non-Trading income (loss)			-				3,236,859				-				12,312,845				-				15,549,704
Reallocation due to Redemptions			(105,501	)			(504,417	)			105,501				504,417				-				-
Unitholders' distribution			-				(3,928,806	)			-				(16,076,112	)			-				(20,004,918	)
Balances at December 31, 2010			407,463				737,509				1,865,825				3,376,518				2,273,288				4,114,027
Non-Trading income (loss)			-				148,123				-				1,163,558				-				1,311,681
Reallocation due to Redemptions			(100,656	)			(165,608	)			100,656				165,608				-				-
Unitholders' distribution			-				(561,489	)			-				(3,689,555	)			-				(4,251,044	)
Balances at December 31, 2011			306,807			$	158,535				1,966,481			$	1,016,129				2,273,288			$	1,174,664
Total Unitholders Capital at December 31, 2011																						$	34,952,207

 

		Unitholders' Capital				Unitholders' Capital				Unitholders' Capital
		Trading Class A				Trading Class B				(LLC Equity/Non-Trading)
Net asset value per unit at December 31, 2010		$	100.64			$	104.75			$	1.81
Net change per unit			(9.32	)			(7.77	)			(1.29	)
Net asset value per unit at December 31, 2011		$	91.32			$	96.98			$	0.52

 

See accompanying notes to consolidated financial statements.

 

 

Notes to Consolidated Financial Statements –

December 31, 2011, 2010, 2009

 

(1)

General Information and Summary

 

RJO Global Trust (the “Trust”), a Delaware statutory trust organized on November 12, 1996, was formed to engage in the speculative trading of futures contracts on currencies, interest rates, energy and agricultural products, metals, commodity indices and stock indices, spot and forward contracts on currencies and precious metals, and exchanges for physicals pursuant to the trading instructions of independent trading advisors. Since December 1, 2006, R.J. O’Brien Fund Management, LLC (“RJOFM” or the “Managing Owner”) has been the Managing Owner of the Trust. R.J. O’Brien & Associates, LLC (“RJO”), an affiliate of RJOFM, is the clearing broker and the broker for forward contracts for the Trust. R.J. O’Brien Securities, LLC (“Selling Agent”) is the lead selling agent of the units of beneficial interest of the Trust (the “units”).

 

The Trust is a multi-advisor commodity pool where trading decisions for the Trust are delegated to eight independent commodity trading advisors (each an “Advisor” and collectively the “Advisors”) as of December 31, 2011, pursuant to advisory agreements executed between the Trust and each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).

 

Units of beneficial ownership of the Trust commenced selling on April 3, 1997.  Effective July 1, 2011, the Managing Owner determined to discontinue the public offering of the units and begin offering the units on a private placement basis only.  The Trust filed a Post-Effective Amendment to its Registration Statement on Form S-1 with the Securities and Exchange Commission (the “SEC”) on July 5, 2011 to deregister the remaining units that were unsold under the public offering.  The Post-Effective Amendment was declared effective by the SEC on July 8, 2011.

 

The Trust currently offers two classes of units on a private basis: Class A units and Class B units.  Class A units are subject to a selling commission.  Class B units are not charged a selling commission, and will only be offered to certain qualified investors participating in a program through certain financial advisors.  Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to selling commissions.  See Note (8) for further detail regarding commissions.

 

The Trust will be terminated on December 31, 2026, unless terminated earlier upon the occurrence of one of the following: (1) beneficial owners holding more than 50% of the outstanding units notify the Managing Owner to dissolve the Trust as of a specific date; (2) 120 days after the filing of a bankruptcy petition by or against the Managing Owner, unless the bankruptcy court approves the sale and assignment of the interests of the Managing Owner to a purchaser/assignor that assumes the duties of the Managing Owner; (3) 120 days after the notice of the retirement, resignation, or withdrawal of the Managing Owner, unless beneficial owners holding more than 50% of the outstanding units appoint a successor; (4) 90 days after the insolvency of the Managing Owner or any other event that would cause the Managing Owner to cease being managing owner of the Trust, unless beneficial owners holding more than 50% of the outstanding units appoint a successor; (5) dissolution of the Managing Owner; (6) insolvency or bankruptcy of the Trust; (7) a decrease in the net asset value to less than $2,500,000; (8) a decline in the net asset value per unit to $50 or less; (9) dissolution of the Trust; or (10) any event that would make it unlawful for the existence of the Trust to be continued or require dissolution of the Trust.

 

Prior to December 1, 2006, the managing owner of the Trust was Refco Commodity Management, Inc. (“RCMI”). An affiliate of RCMI, Refco Capital Markets, Ltd. (“RCM”) had held certain assets of the Trust, acting as the Trust’s broker of forward contracts during 2005. During that year, RCM experienced financial difficulties resulting in RCM’s inability to liquidate the assets. RCM filed for bankruptcy protection in October, 2005. As a result, the Trust held a bankruptcy claim against RCM.

 

Effective January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a Delaware limited liability company, was established to pursue the claims against RCM. Any assets or liabilities held by the LLC are designated as “Non-Trading.” Any revenue earned or expenses incurred by the LLC are also designated as “Non-Trading.” The Trust is the sole member of the LLC and holds that membership for the benefit of the unitholders who were investors in the Trust at the time of the bankruptcy of RCM. U.S. Bank National Association (“US Bank”) is the manager of the LLC. US Bank may make distributions to the unitholders, as defined above, upon collection, sale, settlement or other disposition of the bankruptcy claim and after payment of all fees and expenses pro rata to the unitholders, as follows:

 

(a)

Any unitholder who had redeemed their entire interest in the Trust prior to distribution shall receive cash.

 

 

(b)

Any unitholder who had continued to own units in the Trust shall receive additional units in the Trust at the then net asset value of the Trust.

 

The unitholders have no right to request redemptions from the LLC.

 

The LLC agreed to compensate US Bank, as manager, the following: (1) an initial acceptance fee of $120,000; (2) an annual fee of $25,000; (3) a distribution fee of $25,000 per distribution; (4) out-of-pocket expenses; and (5) an hourly fee for all personnel at the then expected hourly rate ($350 per hour at the time the agreement was executed).

 

See Note (6) for further detail regarding collection and distribution activity related to the assets held at RCM.

 

(2)

Summary of Significant Accounting Policies

 

The accounting and reporting policies of the Trust conform to accounting principles generally accepted in the United States of America and to practices in the commodities industry. The following is a description of the more significant of those policies that the Trust follows in preparing its consolidated financial statements.

 

(a)

Basis of presentation

 

The accompanying consolidated financial statements of the Trust have been prepared in accordance with accounting principles generally accepted in the United States of America.

 

Reclassifications have been made to the Trust’s December 31, 2009 information to conform to the current presentation.

 

(b)

Principles of Consolidation

 

The accompanying consolidated financial statements include the accounts of the Trust and its wholly-owned subsidiary, JWH Special Circumstances, LLC. All material intercompany transactions have been eliminated upon consolidation.

 

(c)

Revenue Recognition

 

Commodity futures contracts, forward contracts, physical commodities, and related options are recorded on the trade date. All such transactions are recorded on the identified cost basis and measured at fair value daily. Unrealized gains on open contracts reflected in the consolidated statements of financial condition represent the difference between original contract amount and fair value (as determined by exchange settlement prices for futures contracts and related options and cash dealer prices at a predetermined time for forward contracts, physical commodities, and their related options) as of the last business day of the year or as of the last date of the consolidated financial statements. As the broker has the right of offset, the Trust presents unrealized gains and losses on open futures contracts (the difference between contract trade price and quoted market price) as a net amount in the consolidated statements of financial condition. Any change in net unrealized gain or loss on futures and forward contracts from the preceding period is reported in the consolidated statements of operations. Gains or losses are realized when contracts are liquidated.

 

The Trust may write (sell) and purchase exchange listed options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Trust writes an option, the premium received is recorded as a liability in the statement of financial condition and measured at fair value daily. When the Trust purchases an option, the premium paid is recorded as an asset in the consolidated statements of financial condition and measured at fair value daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the consolidated statements of operations. When a written option expires or the Trust enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction, including commission, is recognized as a component of realized gain (loss) on closed positions. When a purchased option is exercised, the proceeds on the sale of an underlying instrument (for a purchased put option), or the purchase cost of an underlying instrument (for a purchased call option) is adjusted by the amount of the premium paid.

 

 

At December 31, 2011, the Trust earns interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 100% of the average four-week Treasury bill rate for that month in respect of deposits denominated in dollars. For deposits denominated in other currencies, the Trust earns interest at a rate of one-month LIBOR less 100 basis points. To the extent excess cash is not invested in securities, such cash will be subject to the creditworthiness of the institution where such funds are deposited. The Trust also earns interest on cash and cash equivalents held at Wells Fargo Bank N.A. and managed by RJO Investment Management, LLC (“RJOIM”), an affiliate of the Managing Owner.

 

Fixed income securities are recorded at fair value, with changes in fair value recorded in the statement of operations as unrealized gain (loss) on fixed income securities. Realized gains (losses) from liquidation of fixed income securities are determined on the specific identification basis. Premiums and discounts on securities purchased are amortized over the lives of the respective instruments. Interest income is recognized on the accrual basis.

 

(d)

Ongoing Offering Costs

 

Ongoing offering costs, subject to a ceiling of 0.50% of the Trust’s average month-end net assets, are paid by the Trust and expensed as incurred.

 

(e)

Foreign Currency Transactions

 

Trading accounts in foreign currency denominations are susceptible to both movements in the underlying contract markets as well as fluctuation in currency rates. Foreign currencies are translated into U.S. dollars for closed positions at an average exchange rate for the year, while year-end balances are translated at the year-end currency rates. The impact of the translation is reflected in the consolidated statements of operations.

 

(f)

Use of Estimates

 

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

 

(g)

Valuation of Assets Held at Refco Capital Markets, Ltd.

 

The Trust recorded an impairment charge against its assets held at RCM at December 31, 2005, based on management’s estimate of fair value at that time.  Subsequent recoveries from RCM were credited against the then book value of the claim.  On June 28, 2007, the Trust’s cumulative recoveries from RCM exceeded the book value of the impaired assets held at RCM, which resulted in no remaining book value for those assets.  All recoveries in excess of the book value of the impaired assets have been recorded as “Collections in excess of impaired value” on the Trust’s consolidated statements of operations.   Any future administrative and/or legal expenses associated with liquidation of the assets held at RCM have not been reflected as such future expenses are not capable of being estimated. See Note (6) for further details.

 

(3)

Fees

 

Management fees are accrued and paid monthly. Incentive fees are accrued monthly and paid quarterly. Trading decisions for the period of these financial statements were made by the Advisors.

 

Pursuant to the Trust’s agreements with the Advisors, each Advisor receives a monthly management fee at the rate of up to 0.167% (a 2% annual rate) of the Trust’s month-end net assets calculated after deduction of brokerage fees, but before reduction for any incentive fee or other costs and before inclusion of new unitholder subscriptions and redemptions for the month. These management fees are not paid on the LLC net assets.

 

The Trust also pays the Advisors a quarterly incentive fee of up to 20% of the “New Trading Profit,” if any, of the Trust. The incentive fee is based on the performance of each Advisor’s portion of the assets allocated to them. New Trading Profit in any quarter is equal to the “Trading Profit” for such quarter that is in excess of the highest level of such cumulative trading profit as of any previous calendar quarter-end. Trading Profit is calculated by including realized and unrealized profits and losses, excluding interest income, and deducting the management fee and brokerage fee.

 

 

(4)

Income Taxes

 

No provision for U.S. federal income taxes has been made in the accompanying consolidated financial statements as each beneficial owner is responsible for reporting income (loss) based on the pro rata share of the profits or losses of the Trust. The LLC is also treated as a partnership. Generally, for both U.S. federal and state tax purposes, trusts, such as the RJO Global Trust, are treated as partnerships. The only significant differences in financial and income tax reporting basis are ongoing offering costs.

 

The Trust files income tax returns in the U.S. federal jurisdiction and in various state and local jurisdictions. The Trust’s federal income tax returns for all tax years ended on or after December 31, 2007, remain subject to examination by the Internal Revenue Service. The Trust’s state and local income tax returns are subject to examination by the respective state and local authorities over various statutes of limitations, most ranging from three to five years from the date of filing.

 

(5)

Trading Activities and Related Risks

 

The Trust engages in the speculative trading of U.S. and foreign futures contracts, options, and forward contracts (collectively derivatives) through the Advisors. These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy. The Trust is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

 

The purchase and sale of futures requires margin deposits with a futures commission merchant (“FCM”). Additional deposits may be necessary for any loss on contract value. The CE Act requires an FCM to segregate or secure all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property, such as U.S. Treasury bills, deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than the total of cash and other property deposited.

 

The Trust has cash on deposit with an affiliate interbank market maker in connection with its trading of forward contracts. In the normal course of business, the Trust does not require collateral from such interbank market maker. Due to forward contracts being traded in unregulated markets between principals, the Trust also assumes a credit risk, the risk of loss from counterparty non-performance.

 

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

 

The Trust, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Trust may not be able to enter into a closing transaction because of an illiquid market.

 

The Trust is a buyer of exchange-traded options. As such, the Trust pays a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Purchased options expose the Trust to a risk of loss limited to the premiums paid.

 

Net trading results from derivatives for the years ended December 31, 2011, 2010, and 2009 are reflected in the consolidated statements of operations and equal gain or loss from trading less brokerage commissions. Such trading results reflect the net gain or loss arising from the Trust’s speculative trading of futures contracts, options and forward contracts.

 

The Trust’s primary exposure to fixed income securities are defined by the U.S. Commodity Futures Trading Commission (“CTFC”) guidelines of acceptable securities for investment of segregated assets. The scope of the acceptable securities by the CTFC are defined further by the RJOIM agreement with the Trust to include but not limited to, U.S. Treasury and government agencies’ securities, purchase agreements collateralized by U.S. Treasury and government agencies, corporate debt securities, and bank debt securities. The Trust’s total investment in corporate debt securities, bank deposit securities, and certificate of deposits combined cannot exceed 40% of the Trust’s total assets.

 

The beneficial owners bear the risk of loss only to the extent of the market value of their respective investments.

 

 

(6)

Assets Held at Refco Capital Markets, Ltd.

 

Effective October 31, 2005, $57,544,206 of equity and 2,273,288 in substitute units, which represented the assets held at RCM plus $1,000,000 in cash, were transferred to a Non-Trading account, as explained in Note 2(g). On December 31, 2005 the $56,544,206 of assets held at RCM were reduced by $39,580,944 for impairment to $16,963,262, or 30% of the original value of the assets. The table below summarizes all recoveries from RCM and distributions to redeemed and continuing unitholders.

 

Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCM
		Amounts  Received from				Balance of				Collections in Excess of				Cash Distributions to  Non-Participating				Additional Units in Trust for Participating Owners
Date		RCM				Impaired Value				Impaired Value				Owners				Units				Dollars
12/29/06		$	10,319,318			$	6,643,944			$	-			$	4,180,958				54,914			$	5,154,711
04/20/07			2,787,629				3,856,315				-				-				-				-
06/07/07			265,758				3,590,557				-				-				-				-
06/28/07			4,783,640				-				1,193,083				-				-				-
07/03/07			5,654				-				5,654				-				-				-
08/29/07			-				-				-				2,787,947				23,183				1,758,626
09/19/07			2,584,070				-				2,584,070				-				-				-
12/31/07			2,708,467				-				2,708,467				-				-				-
03/28/08			1,046,068				-				1,046,068				-				-				-
04/29/08			-				-				-				2,241,680				10,736				1,053,815
06/26/08			701,148				-				701,148				-				-				-
12/31/08			769,001				-				769,001				-				-				-
06/29/09			2,748,048				-				2,748,048				-				-				-
12/30/09			1,102,612				-				1,102,612				-				-				-
05/19/10			1,695,150				-				1,695,150				-				-				-
06/04/10			14,329,450	*			-				14,329,450	*			-				-				-
08/01/10			-				-				-				16,076,112				40,839				3,928,806
10/15/10			282,790	*			-				282,790	*			-				-				-
12/30/10			563,163	*			-				563,163	*			-				-				-
06/02/11			343,664	*			-				343,664	*			-				-				-
08/30/11			1,328,832	*			-				1,328,832	*			-				-				-
12/01/11			-				-				-				3,689,555				6,168				561,489
Totals		$	48,364,462			$	-			$	31,401,200			$	28,976,252				135,840			$	12,457,447

 

*The collections on June 4, 2010 were from a settlement agreement reached with Cargill, Inc. and Cargill Investors Services, Inc. (together, "Cargill"). The gross collections of $15,300,000 on June 4, 2010, were reduced by $970,550, which represented Cargill's percentage of distributions, as defined in the Settlement Agreement. All subsequent collections are shown net and were reduced by Cargill's percentage of distributions at 57.25% of the gross collections.

 

(7)

Fair Value Measurements

 

In accordance with the Fair Value Measurements Topic of the Financial Accounting Standards Board Accounting Standards Codification, the Trust established a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows:

 

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust’s exchange-traded futures contracts and options fall into this category.

 

 

Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts, options on forward currency contracts and fixed income securities that the Trust values using models or other valuation methodologies derived from observable market data.

 

Level 3 inputs are unobservable inputs for an asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of December 31, 2011 and December 31, 2010, the Trust did not have any Level 3 assets or liabilities.

 

An asset or liability’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

 

The following table presents the Trust’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of December 31, 2011 and 2010, respectively:

 

		December 31, 2011
			Level 1				Level 2				Level 3				Total
Assets
Unrealized gain on open contracts:
Futures positions		$	212,644			$	-			$	-			$	212,644
Forward currency positions			-				151,303				-				151,303
Purchased options on futures contracts			22,525				-				-				22,525
Fixed income securities			-				21,870,890				-				21,870,890
Total assets			235,169				22,022,193				-				22,257,362
Liabilities
Options written on futures contracts			(1,006	)			-				-				(1,006	)
Total fair value		$	234,163			$	22,022,193			$	-			$	22,256,356

 

		December 31, 2010
		Level 1				Level 2				Level 3				Total
Unrealized gain on open contracts:
Futures positions		$	1,163,684			$	-			$	-			$	1,163,684
Forward currency positions			-				193,659				-				193,659
Purchased options on futures contracts			120,263				-				-				120,263
Fixed income securities			-				11,540,784				-				11,540,784
Total fair value		$	1,283,947			$	11,734,443			$	-			$	13,018,390

 

There were no significant transfers in or out of Level 1 and Level 2 fair value measurements.

 

(8)

Operations

 

Redemptions

 

A beneficial owner may cause any or all of his or her units to be redeemed by the Trust effective as of the last business day of any month based on the Net Asset Value per unit on such date on five business days’ written notice to NAV Consulting, Inc., the Trust’s administrator, or the Managing Owner. Payment will generally be made within 10 business days of the effective date of the redemption. Any redemption made during the first 11 months of investment is subject to a 1.5% redemption penalty, payable to the Managing Owner. Any redemption made in the twelfth month of investment or later will not be subject to any redemption penalty. The Trust’s Ninth Amended and Restated Declaration and Agreement of Trust, as amended (the “Trust Agreement”) contains a full description of redemption and distribution policies.

 

 

Subscriptions

 

Investors that are eligible to participate in the private offering of the Units may purchase Units in the Trust pursuant to the terms of the Trust’s Confidential Private Placement Memorandum and disclosure document (the “Memorandum”) and a signed subscription form.  The Trust Agreement and the Memorandum contain a full description of subscription policies.  An investment in the Trust does not include a beneficial interest or investment in the LLC.

 

Commissions

 

The Managing Owner and/or affiliates act as commodity brokers for the Trust through RJO. Commodity brokerage commissions are typically paid upon the completion or liquidation of a trade and are referred to as “round-turn commissions,” which cover both the initial purchase (or sale) and the subsequent offsetting sale (or purchase) of a commodity futures contract.

 

The Trust’s brokerage fee constitutes a “wrap fee” of 5.0% of the Trust’s month-end assets on an annual basis (0.41675% monthly) with respect to Class A units and 3.0% of the Trust’s month-end assets on an annual basis (0.25% monthly) with respect to Class B units, which covers the fees described below. “Brokerage fee” includes the following across each class of units:

 

Recipient		Nature of Payment				Class A Units				Class B Units
Managing Owner		Managing Owner fee					0.75	%			0.75	%
Selling Agent		Selling commission					2.00	%			0.00	%
Managing Owner		Underwriting expenses					0.35	%			0.35	%
Managing Owner		Clearing, NFA, and
		exchange fees (capped at)					1.57	%			1.57	%
Liberty Funds Group		Consulting fees					0.33	%			0.33	%
Totals							5.00	%			3.00	%

 

Commissions were not paid with respect to the LLC net assets.

 

(9)

Financial Highlights

 

The following financial highlights show the Trust’s financial performance of the Trading units for the periods ended December 31, 2011, 2010 and 2009. Total return is calculated as the change in a theoretical beneficial owner’s investment over the entire period, and is not annualized. Total return is calculated based on the aggregate return of the Trust’s Trading units taken as a whole.

 

 

		Class A																Class B
		2011				2010				2009				2011				2010				2009
Per share operating performance:
Net asset value of Trading units, beginning of period		$	100.64			$	102.84			$	119.39			$	104.75			$	104.91			$	119.39
Total Trading income (loss):
Trading gain (loss)			(0.27	)			6.32				(7.58	)			(0.28	)			6.81				(7.74	)
Investment income			0.20				0.16				0.08				0.22				0.17				0.08
Expenses			(9.25	)			(8.68	)			(9.05	)			(7.71	)			(7.14	)			(6.82	)
Trading income (loss)			(9.32	)			(2.20	)			(16.55	)			(7.77	)			(0.16	)			(14.48	)
Net asset value of Trading units, end of period		$	91.32			$	100.64			$	102.84			$	96.98			$	104.75			$	104.91
Total return:
Total return before incentive fees			(8.88	)%			(1.63	)%			(13.78	)%			(7.08	)%			0.49	%			(12.05	)%
Less incentive fee allocations			(0.38	)%			(0.51	)%			(0.08	)%			(0.34	)%			(0.64	)%			(0.08	)%
Total return			(9.26	)%			(2.14	)%			(13.86	)%			(7.42	)%			(0.15	)%			(12.13	)%
Ratios to average net assets:
Trading income (loss)			(10.32	)%			(2.10	)%			(15.12	)%			(7.94	)%			1.01	%			(13.35	)%
Expenses:
Expenses, less incentive fees			(9.30	)%			(8.10	)%			(8.08	)%			(7.34	)%			(6.19	)%			(6.13	)%
Incentive fees			(0.38	)%			(0.51	)%			(0.08	)%			(0.34	)%			(0.64	)%			(0.08	)%
Total expenses			(9.68	)%			(8.61	)%			(8.16	)%			(7.68	)%			(6.83	)%			(6.21	)%

 

The calculations above do not include activity within the Trust’s Non-Trading Accounts.

 

The net income and expense ratios are computed based upon the weighted average net assets for the Trust for the periods ended December 31, 2011, 2010, and 2009. The amounts are not annualized.

 

(10)

Cash Management Agreement with Affiliate.

 

On October 6, 2010, the Managing Owner retained RJOIM, an SEC registered investment advisor and an affiliate of the Managing Owner, as cash manager. The assets managed by RJOIM are held in segregated accounts in custody by Wells Fargo Bank, N.A. RJOIM is paid an annual fee, currently 0.20% calculated and accrued daily at a rate equal to 1/360 of the principal balance. As of December 31, 2011 the Trust’s deposits held by RJOIM consisted of cash of $9,596,823 and fixed income securities of $21,870,890. Advisory fees earned by RJOIM aggregated $62,625 and $13,087 for the years ended December 31, 2011 and 2010 respectively.

 

(11)

Derivative Instruments and Hedging Activities.

 

The Trust does not utilize hedge accounting and marks its derivatives to market through operations.

 

 

Derivatives not designated as hedging instruments:

 

As of December 31, 2011

 

		Asset				Liability
Type of		Derivatives				Derivatives				Net
Futures Contracts		Fair Value				Fair Value				Fair Value
Agriculture		$	10,408			$	-			$	10,408
Currency			527,500				(350,799	)			176,701
Energy			225,038				(119,410	)			105,628
Indices			17,851				(47,027	)			(29,176	)
Interest Rates			139,768				(10,045	)			129,723
Metals			72,320				(80,138	)			(7,818	)
		$	992,885			$	(607,419	)		$	385,466

  

As of December 31, 2010

 

		Asset				Liability
Type of		Derivatives				Derivatives				Net
Futures Contracts		Fair Value				Fair Value				Fair Value
Agriculture		$	920,055			$	(323,637	)		$	596,418
Currency			928,957				(507,464	)			421,493
Energy			65,691				(45,099	)			20,592
Indices			197,712				-				197,712
Interest Rates			117,158				(13,742	)			103,416
Metals			789,173				(651,198	)			137,975
		$	3,018,746			$	(1,541,140	)		$	1,477,606

 

The above reported fair values are included in equity in commodity Trading accounts – unrealized gain on open contracts and in purchased options and written on futures contracts on the consolidated statements of financial condition as of December 31, 2011 and 2010, respectively.

 

Trading gain (loss) for the following periods:

 

		Years Ended December 31,
Type of Futures Contracts		2011				2010				2009
Agriculture		$	(1,105,067	)		$	1,678,921			$	(1,399,288	)
Currency			(1,380,681	)			1,582,144				(765,584	)
Energy			63,841				(1,308,951	)			(983,149	)
Indices			865,269				(773,614	)			(680,897	)
Interest Rates			935,552				2,380,917				(2,303,699	)
Metals			276,344				(93,000	)			1,362,579
		$	(344,742	)		$	3,466,417			$	(4,770,038	)

 

See Note (5) for additional information on the Trust’s purpose for entering into derivatives not designed as hedging instruments and its overall risk management strategies.

 

 

Acknowledgment

 

To the best of my knowledge and belief, the information contained herein is accurate and complete.

 

/s/ Jason T. Manumaleuna
Jason T. Manumaleuna
Principal Financial Officer
R.J. O’Brien Fund Management, LLC
The Managing Owner and Commodity Pool Operator of
RJO Global Trust
March 27, 2012