UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C.  20549

 

 

FORM 10-Q

 

 

x

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

For the quarterly period ended March 31, 2012

 

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:  000-52599

 

AIS FUTURES FUND IV L.P.

(Exact name of registrant as specified in its charter)

 

Delaware		13-3909977
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification Number)
c/o AIS FUTURES MANAGEMENT LLC 187 Danbury Road, Suite 201 Wilton, Connecticut 06897
(Address of principal executive offices) (zip code)

(203) 563-1180

(Registrant’s telephone number, including area code)

 

Securities registered pursuant to Section 12(b) of the Act:  None

 

Securities registered pursuant to Section 12(g) of the Act:  Limited Partnership Interests

 

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 Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes  x     No  ¨

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer, or a smaller reporting company.  See 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  ¨

Smaller reporting company  x

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes  ¨     No  x

  

  

TABLE OF CONTENTS

 

	Page
PART I – FINANCIAL INFORMATION
Item 1. Financial Statements
Statements of Financial Condition	2
Condensed Schedules of Investments	3-4
Statements of Operations	5
Statements of Changes in Partners’ Capital (Net Asset Value)	6
Notes to Financial Statements	7-16
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	17-18
Item 3. Quantitative and Qualitative Disclosures About Market Risk	19
Item 4. Controls and Procedures	19
PART II – OTHER INFORMATION
Item 1. Legal Proceedings	19
Item 1A. Risk Factors	19
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	19
Item 3. Defaults Upon Senior Securities	19
Item 4. Mine Safety Disclosures	19
Item 5. Other Information	20
Item 6. Exhibits	20
Signature	21
Rule 13a–14(a)/15d–14(a) Certification
Section 1350 Certification

 

 

PART I – FINANCIAL INFORMATION

 

Item 1: Financial Statements

 

AIS FUTURES FUND IV L.P.

STATEMENTS OF FINANCIAL CONDITION

March 31, 2012 (Unaudited) and December 31, 2011 (Audited)

 

 

		March 31,				December 31,
		2012				2011
ASSETS
Equity in futures broker trading accounts
Cash		$	5,631,446			$	1,392,243
United States government securities			17,496,108				13,997,799
Unrealized gain on open futures contracts, net			3,691,806				1,422,920
Unrealized (loss) on open futures contracts, net			(3,360,106	)			0
Interest receivable			257				321
Deposits with futures brokers			23,459,511				16,813,283
Cash			98,029				10,526,453
United States government securities			51,493,114				55,493,813
Total assets		$	75,050,654			$	82,833,549
LIABILITIES
Cash deficit at securities broker		$	0			$	10,497,556
Accounts payable			111,481				115,772
Commissions and other trading fees on open contracts payable			14,652				8,862
Management fee payable			123,061				119,074
Accrued General Partner Profit Share allocation			13,507				0
Selling agent administrative and service fee payable			171,038				167,386
Subscriptions received in advance			85,000				25,000
Redemptions payable			976,659				1,065,849
Total liabilities			1,495,398				11,999,499
PARTNERS' CAPITAL (Net Asset Value)
General Partner - Series B			401,509				361,193
Limited Partners - Series A			73,153,747				70,472,857
Total partners' capital (Net Asset Value)			73,555,256				70,834,050
		$	75,050,654			$	82,833,549

 

See accompanying notes.

 

 

AIS FUTURES FUND IV L.P.

CONDENSED SCHEDULE OF INVESTMENTS

March 31, 2012 (Unaudited)

 

 

UNITED STATES GOVERNMENT SECURITIES*

 

Face Value				Maturity Date		Description		Fair Value				% of Net Asset Value
$	7,500,000			04/05/12		U.S. Treasury Bills		$	7,499,975				10.20	%
	7,000,000			04/19/12		U.S. Treasury Bills			6,999,845				9.52	%
	5,500,000			05/31/12		U.S. Treasury Bills			5,499,620				7.48	%
	10,000,000			06/07/12		U.S. Treasury Bills			9,999,478				13.59	%
	12,000,000			06/28/12		U.S. Treasury Bills			11,998,597				16.31	%
	2,000,000			07/05/12		U.S. Treasury Bills			1,999,784				2.72	%
	12,500,000			07/26/12		U.S. Treasury Bills			12,497,373				16.99	%
	6,000,000			08/09/12		U.S. Treasury Bills			5,997,571				8.15	%
	5,500,000			08/23/12		U.S. Treasury Bills			5,497,440				7.47	%
	1,000,000			08/30/12		U.S. Treasury Bills			999,539				1.36	%
						Total United States government securities
						(cost - $68,981,096)		$	68,989,222				93.79	%

 

LONG FUTURES CONTRACTS**

 

	Description		Fair Value				% of Net Asset Value
	Agricultural		$	3,691,806				5.02	%
	Currencies			(444,150	)			(0.60	)%
	Energy			(2,102,749	)			(2.86	)%
	Metals			(813,207	)			(1.11	)%
	Total long futures contracts		$	331,700				0.45	%

 

*

Includes $17,500,000 face value with a fair value of $17,496,108 pledged as collateral for the trading of futures and options on futures contracts.

**

No individual futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

 

See accompanying notes.

 

 

AIS FUTURES FUND IV L.P.

CONDENSED SCHEDULE OF INVESTMENTS

December 31, 2011 (Audited)

 

 

UNITED STATES GOVERNMENT SECURITIES*

 

Face Value				Maturity Date		Description		Fair Value				% of Net Asset Value
$	1,000,000			01/12/12		U.S. Treasury Bills		$	999,989				1.41	%
	2,000,000			01/19/12		U.S. Treasury Bills			1,999,915				2.82	%
	8,000,000			01/26/12		U.S. Treasury Bills			7,999,278				11.29	%
	6,000,000			02/09/12		U.S. Treasury Bills			5,999,678				8.47	%
	4,000,000			02/23/12		U.S. Treasury Bills			3,999,880				5.65	%
	1,000,000			03/01/12		U.S. Treasury Bills			999,936				1.41	%
	8,000,000			04/05/12		U.S. Treasury Bills			7,999,573				11.29	%
	7,000,000			04/19/12		U.S. Treasury Bills			6,999,145				9.88	%
	10,500,000			05/31/12		U.S. Treasury Bills			10,498,227				14.82	%
	10,000,000			06/07/12		U.S. Treasury Bills			9,998,797				14.12	%
	12,000,000			06/28/12		U.S. Treasury Bills			11,997,194				16.94	%
						Total United States government securities
						(cost - $69,483,509)		$	69,491,612				98.10	%

 

LONG FUTURES CONTRACTS**

 

	Description		Fair Value				% of Net Asset Value
	Agricultural		$	1,732,665				2.45	%
	Currencies			735,374				1.04	%
	Energy			807,114				1.14	%
	Metals			(1,852,233	)			(2.62	)%
	Total long futures contracts		$	1,422,920				2.01	%

 

*

Includes $14,000,000 face value with a fair value of $13,997,799 pledged as collateral for the trading of futures and options on futures contracts.

**

No individual futures contract position constituted greater than 5 percent of Net Asset Value. Accordingly, the number of contracts and expiration dates are not presented.

 

See accompanying notes.

 

 

AIS FUTURES FUND IV L.P.

STATEMENTS OF OPERATIONS

For the Three Months Ended March 31, 2012 and 2011 (Unaudited)

 

 

		Three Months Ended
		March 31,
		2012				2011
TRADING GAINS (LOSSES)
Realized		$	8,997,792			$	18,765,758
Change in unrealized			(1,091,220	)			(3,215,526	)
Brokerage commissions			(27,982	)			(30,141	)
Total trading gains			7,878,590				15,520,091
NET INVESTMENT (LOSS)
Income
Interest income			8,098				41,133
Expenses
Selling agent administrative and service fee			452,912				622,306
Management fee			376,702				497,958
Operating expenses			52,750				56,750
Total expenses			882,364				1,177,014
Net investment (loss)			(874,266	)			(1,135,881	)
NET INCOME			7,004,324				14,384,210
Less:  General Partner Profit Share allocation			17,668				2,376,068
Net income for pro rata allocation to all partners		$	6,986,656			$	12,008,142

 

See accompanying notes.

 

 

AIS FUTURES FUND IV L.P.

STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)

For the Three Months Ended March 31, 2012 and 2011 (Unaudited)

 

 

		Partners' Capital
		Series B -				Series A -
		General				Limited
		Partner				Partners				Total
Balances at December 31, 2011		$	361,193			$	70,472,857			$	70,834,050
Net income for the three months ended March 31, 2012:
General Partner Profit Share allocation			4,161				0				4,161
Pro rata allocation to all partners			40,316				6,946,340				6,986,656
Subscriptions			0				55,000				55,000
Redemptions			(4,161	)			(4,320,450	)			(4,324,611	)
Balances at March 31, 2012		$	401,509			$	73,153,747			$	73,555,256
Balances at December 31, 2010		$	392,355			$	96,739,512			$	97,131,867
Net income for the three months ended March 31, 2011:
General Partner Profit Share allocation			47,334				0				47,334
Pro rata allocation to all partners			64,228				11,943,914				12,008,142
Subscriptions			0				402,197				402,197
Redemptions			(47,334	)			(3,773,030	)			(3,820,364	)
Balances at March 31, 2011		$	456,583			$	105,312,593			$	105,769,176

 

See accompanying notes. 

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS

 

 

Note 1.

ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

A.

General Description of the Partnership

 

AIS Futures Fund IV L.P. (the Partnership) is a Delaware limited partnership, which operates as a commodity investment pool. The Partnership engages in the speculative trading of futures contracts and options on futures contracts. The Partnership is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and Futures Commission Merchants (brokers) through which the Partnership trades. The Partnership is also subject to the applicable reporting requirements of the Securities Exchange Act of 1934.

 

The Fourth Amended and Restated Limited Partnership Agreement (the Limited Partnership Agreement) provides, among other things, that the Partnership shall dissolve no later than December 31, 2026.

 

B.

Method of Reporting and Use of Estimates

 

The Partnership’s financial statements are presented in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP) which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. The Financial Accounting Standards Board (FASB) Accounting Standards Codification (the Codification), is the single source of U.S. GAAP.

 

Pursuant to the Cash Flows Topic of the Codification, the Partnership qualifies for an exemption from the requirement to provide a statement of cash flows and has elected not to provide a statement of cash flows.

 

C.

Futures Contracts and Options on Futures Contracts

 

Futures contracts and options on futures contracts transactions are recorded on the trade date and open contracts are reflected at fair value, based on quoted market prices, which is generally the closing settlement price on the applicable contracts’ primary exchange. Gains or losses are realized when contracts are liquidated. As each broker has the individual right of offset, the Partnership presents unrealized gains and losses on open futures contracts (the difference between contract trade price and quoted market price) as a net amount for each broker in the statements of financial condition. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Brokerage commissions include other trading fees and are charged to expense when contracts are opened.

 

D.

United States Government Securities

 

United States government securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices. Any change in value of these securities is reported as interest income in the statements of operations.

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

 

  

Note 1.

ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

E.

Income Taxes

 

The Partnership prepares and files calendar year U.S. and applicable state information tax returns and reports to the partners their allocable shares of the Partnership’s income, expenses and trading gains or losses. No provision for income taxes has been made in these financial statements as each partner is individually responsible for reporting income or loss based on its respective share of the Partnership’s income and expenses as reported for income tax purposes. The 2008 through 2011 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

 

The Partnership applies the provisions of Codification Topic 740, Income Taxes, which prescribe the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. This accounting standard requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Partnership has elected an accounting policy to classify interest and penalties, if any, as interest expense. The General Partner has concluded there is no tax expense or interest expense related to uncertainties in income tax positions for either of the three months ended March 31, 2012 and 2011.

 

F.

Foreign Currency Transactions

 

The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar 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 currencies other than the U.S. dollar 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 in income currently.

 

G.

Capital Accounts

 

The Partnership offers two Series of Interests. The Series A Interests are available to all qualified investors, subject to applicable conditions and restrictions. The Series B Interests are available for sale to the General Partner and its principals. The Partnership accounts for subscriptions, allocations and redemptions on a per partner capital account basis. Income or loss, prior to the Management Fee, Selling Agent Administrative and Service Fee and General Partner Profit Share allocation, is allocated pro rata to the capital accounts of all partners. Each Series A Limited Partner is then charged their applicable Management Fee and Selling Agent Administrative and Service Fee. The General Partner Profit Share allocation applicable to each Series A Limited Partner is then allocated to the General Partner’s capital account from the Series A Limited Partner’s capital account at the end of each calendar year or upon redemption by a Series A Limited Partner. The Partnership accrues as a liability the General Partner Profit Share allocation for interim periods during which the General Partner Profit Share allocation is not yet allocable to the General Partner’s capital account in accordance with the terms of the Limited Partnership Agreement. Such accrual is subject to partial or complete reversal until a condition for allocation to the General Partner’s capital account is met, at which time the applicable amount of the accrual is reversed and allocated to the General Partner’s capital account.

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

 

 

Note 1.

ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

H.

Redemptions

 

Limited Partners may require the Partnership to redeem some or all of their capital upon ten days prior written notice. The ten days prior written notice may be waived at the discretion of the General Partner. Partner redemptions are recorded on their effective date, which is generally the last day of the month.

 

I.

Recently Issued Accounting Pronouncements

 

In May 2011, the FASB issued Accounting Standards Update No. 2011-04 (ASU 2011-04) entitled Fair Value Measurement (Topic 820) – Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. ASU 2011-04 was issued to converge fair value measurement and disclosure guidance in U.S. GAAP with the guidance in the International Accounting Standards Board’s currently issued International Financial Reporting Standards (IFRS) 13, Fair Value Measurement. The amendments in ASU 2011-04 generally represent clarification to the Fair Value Measurements and Disclosures Topic of the Codification, but also include some instances where a particular principle or requirement for measuring fair value or disclosing information about fair value measurements has changed. ASU 2011-04 is effective for interim and annual reporting periods beginning after December 15, 2011. The adoption of ASU 2011-04 did not have a material impact on the Partnership’s financial statements.

 

In December 2011, the FASB issued Accounting Standards Update No. 2011-11 (ASU 2011-11), entitled Balance Sheet (Topic 210) – Disclosures about Offsetting Assets and Liabilities. ASU 2011-11 enhances current disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition. Entities are required to provide both net and gross information for these assets and liabilities in order to facilitate comparability between financial statements prepared on the basis of U.S. GAAP and financial statements prepared on the basis of IFRS. ASU 2011-11 is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership is currently evaluating the impact that ASU 2011-11 will have, however, no material impact on the Partnership’s financial statements is anticipated.

 

J.

Interim Financial Statements

 

The financial statements included herein were prepared by us without audit according to the rules and regulations of the Securities and Exchange Commission. Certain information and footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP may be omitted pursuant to such rules and regulations. The financial statements reflect, in the opinion of management, all adjustments necessary that were of a normal and recurring nature and adequate disclosures to present fairly the financial position and results of operations as of and for the periods indicated. The results of operations for the three months ended March 31, 2012 and 2011 are not necessarily indicative of the results to be expected for the full year or for any other period.

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

 

  

Note 1.

ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

 

 

J.

Interim Financial Statements (continued)

 

These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Form 10-K previously filed with the Securities and Exchange Commission.

 

Note 2.

GENERAL PARTNER

 

The General Partner and commodity trading advisor of the Partnership is AIS Futures Management LLC, which conducts and manages the business and trading activities of the Partnership.

 

The Limited Partnership Agreement provides for the General Partner to receive a monthly Management Fee equal to 1/12 of 2% (2% annually) of each Series A Limited Partner’s month-end Net Assets, as defined. The General Partner also receives a Profit Share allocation equal to 20% of any New Trading Profit, as defined, attributable to each Series A Limited Partner’s Interest achieved as of each calendar year-end or upon redemption.

 

During the three months ended March 31, 2012 and 2011, certain Series A Limited Partners were charged Management Fees at a rate lower than described above, to offset the effect of the additional 1.5% per annum Selling Agent Administrative and Service Fee described in Note 3. Accordingly, for the three months ended March 31, 2012 and 2011, Management Fees were reduced by approximately $1,750 and $10,500, respectively.

 

Note 3.

SELLING AGENT ADMINISTRATIVE AND SERVICE FEES

 

Certain Series A Limited Partners that were solicited by Selling Agents are charged a Selling Agent Administrative and Service Fee (the Service Fee) equal to 1/12 of 2.5% (2.5% annually) of each Series A Limited Partner’s month-end Net Assets, as defined, sold by them which remain outstanding as of each month-end. The Selling Agents may pass on a portion of the Service Fee to its investment executives. In the event the Service Fee is no longer payable to a Selling Agent, the relevant Limited Partner who was solicited by such Selling Agent will no longer be charged the Service Fee. For the three months ended March 31, 2012 and 2011, certain Limited Partners were not subject to the Service Fee. The Service Fee is accrued and expensed as incurred.

 

For investment executives associated with the sale of Series A Limited Partnership Interests in excess of $500,000, the investment executive’s firm will receive an additional 1.5% per annum Service Fee with respect to such Series A Limited Partnership Interests in excess of $500,000, for the first twelve months following the sale of such Series A Limited Partnership Interests. The additional Service Fee is paid by the Partnership, however, the General Partner reduces its Management Fee (see Note 2.) related to the Series A Limited Partner’s Interest. Accordingly, this additional Service Fee does not affect the total fees charged to the Series A Limited Partner.

 

Note 4.

SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

 

Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner. A selling commission of up to 2% of the subscription amount may be deducted from the subscription proceeds and paid to the applicable Selling Agent, if any. For the three months ended March 31, 2012 and 2011, there were no selling commissions charged to Series A Limited Partners. Series A Limited Partner subscriptions, as presented in the statements of changes in partners’ capital (net asset value), are net of such selling commissions, if any.

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

 

 

Note 4.

SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)

 

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive partial or full redemption of their capital account as of the close of business on the last business day of any month, subject to restrictions in the Limited Partnership Agreement.

 

Note 5.

DEPOSITS WITH FUTURES BROKERS

 

The Partnership deposits funds with Newedge USA, LLC and ADM Investor Services, Inc. subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. government securities and cash with such futures brokers. Accordingly, assets used to meet margin and other futures broker or regulatory requirements are partially restricted. The Partnership earns interest income on its assets deposited with the futures brokers.

 

Note 6.

DEPOSITS WITH SECURITIES BROKER

 

The Partnership deposits cash and U.S. government securities with Wells Fargo Advisors, LLC, subject to Securities and Exchange Commission regulations and securities broker requirements. Margin requirements are satisfied by the deposit of cash and securities with such securities broker. Accordingly, assets used to meet margin and other securities broker or regulatory requirements are partially restricted. The Partnership earns interest income on its assets deposited with the securities broker. On December 30, 2011, the Partnership purchased U.S. Treasury Bills for $10,497,556. Such purchase created a cash deficit at securities broker of $10,497,556. Such deficit was paid by the Partnership on January 3, 2012 with cash held at an affiliate of the securities broker. The fair value of the Partnership’s U.S. Treasury Bills held at the securities broker totaled $51,493,114 and $55,493,813 at March 31, 2012 and December 31, 2011, respectively.

 

Note 7.

FAIR VALUE

 

Fair value, as defined in the Fair Value Measurements and Disclosures Topic of the Codification, 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 fair value hierarchy, as set forth in the Fair Value Measurements and Disclosures Topic of the Codification, prioritizes the inputs to valuation techniques used to measure fair value into three broad levels: quoted market prices in active markets for identical assets or liabilities (Level 1); inputs other than quoted market prices that are observable for the asset or liability, either directly or indirectly (Level 2); and unobservable inputs for an asset or liability (Level 3). If the inputs used to measure a financial instrument fall within different levels of the fair value hierarchy, the categorization is based on the lowest level input that is significant to the measurement of that financial instrument. The Partnership recognizes transfers between fair value hierarchy levels, if any, at the beginning of the reporting period. There were no transfers between levels during the three months ended March 31, 2012 and during the year ended December 31, 2011.

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

 

 

Note 7.

FAIR VALUE (CONTINUED)

 

For U.S. government securities, which are categorized as Level 2 fair value measurements at March 31, 2012 and December 31, 2011, fair value is determined as cost plus accrued interest, which represents an income approach to fair value measurement.

 

The following tables summarize the Partnership’s assets and liabilities accounted for at fair value at March 31, 2012 and December 31, 2011 using the fair value hierarchy. Fair value is presented on a gross basis even though certain assets and liabilities qualify for net presentation in the statements of financial condition.

 

		March 31, 2012
Description		Level 1				Level 2				Level 3				Total
Assets
Futures contracts(1)		$	3,704,468			$	0			$	0			$	3,704,468
U.S. Treasury bills			0				68,989,222				0				68,989,222
Total		$	3,704,468			$	68,989,222			$	0			$	72,693,690
Liabilities
Futures contracts(1)		$	(3,372,768	)		$	0			$	0			$	(3,372,768	)

 

		December 31, 2011
Description		Level 1				Level 2				Level 3				Total
Assets
Futures contracts(1)		$	3,301,639			$	0			$	0			$	3,301,639
U.S. Treasury bills			0				69,491,612				0				69,491,612
Total		$	3,301,639			$	69,491,612			$	0			$	72,793,251
Liabilities
Futures contracts(1)		$	(1,878,719	)		$	0			$	0			$	(1,878,719	)

 

(1)

See Note 8. for the fair value of each type of contract within this category.

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

 

  

Note 8.

DERIVATIVES

 

The Partnership engages in the speculative trading of futures contracts and options on futures contracts (collectively, derivatives) for the purpose of achieving capital appreciation. None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the Codification, nor are they used for other risk management purposes. The General Partner actively assesses, manages and monitors risk exposure on derivatives on a contract basis, a sector basis (e.g., agricultural, currencies, metals, etc.), and on an overall basis in accordance with established risk parameters. Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.

 

The following tables present the fair value of derivative contracts at March 31, 2012 and December 31, 2011. The fair value of futures contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis even though certain assets and liabilities qualify for net presentation in the statements of financial condition. 

 

		March 31, 2012
Futures Contracts		Assets				Liabilities				Net
Agricultural		$	3,698,694			$	(6,888	)		$	3,691,806
Currencies			0				(444,150	)			(444,150	)
Energy			0				(2,102,749	)			(2,102,749	)
Metals			5,774				(818,981	)			(813,207	)
Total		$	3,704,468			$	(3,372,768	)		$	331,700

 

		December 31, 2011
Futures Contracts		Assets				Liabilities				Net
Agricultural		$	1,732,665			$	0			$	1,732,665
Currencies			735,374				0				735,374
Energy			833,600				(26,486	)			807,114
Metals			0				(1,852,233	)			(1,852,233	)
Total		$	3,301,639			$	(1,878,719	)		$	1,422,920

  

Within the statements of financial condition, the fair value of futures contracts is included in unrealized gain on open futures contracts, net and unrealized (loss) on open futures contracts, net.

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

 

  

Note 8.

DERIVATIVES (CONTINUED)

 

The following presents the Partnership’s derivative trading results and information related to the volume of the Partnership’s derivative activity for the three months ended March 31, 2012 and 2011. The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the statements of operations.

 

		Three Months Ended March 31, 2012												Three Months Ended March 31, 2011
		Trading Gains (Losses)												Trading Gains (Losses)
						Change in				Number of								Change in				Number of
Futures Contracts		Realized				Unrealized				Contracts Closed				Realized				Unrealized				Contracts Closed
Agricultural		$	2,569,883			$	1,959,141				1,514			$	6,851,097			$	(3,826,655	)			956
Currencies			2,179,652				(1,179,524	)			538				2,149,560				(643,286	)			571
Energy			4,139,416				(2,909,863	)			950				4,867,853				2,810,535				1,651
Interest rates			0				0				0				503,384				(967,957	)			493
Metals			298,466				1,039,026				361				4,393,864				(588,163	)			709
Total futures contracts			9,187,417				(1,091,220	)							18,765,758				(3,215,526	)
Options on Futures Contracts
Stock index			(189,625	)			0				370				0				0				0
Total		$	8,997,792			$	(1,091,220	)						$	18,765,758			$	(3,215,526	)

 

The number of contracts closed represents the number of contracts closed during the three months ended March 31, 2012 and 2011 in the applicable category.

 

Note 9.

MARKET AND CREDIT RISKS

 

The Partnership engages in the speculative trading of futures contracts and options on futures contracts. The Partnership is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

 

Purchase and sale of futures and options on futures contracts requires margin deposits with the futures brokers. Additional deposits may be necessary for any loss on contract fair value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker’s segregation requirements. In the event of a futures broker’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 total cash and other property deposited. The fair value of the Partnership’s assets deposited with Newedge USA, LLC and ADM Investor Services, Inc. is $13,812,872 and $9,646,639, respectively, at March 31, 2012, and $16,813,283 and $0, respectively, at December 31, 2011.

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

 

  

Note 9.

MARKET AND CREDIT RISKS (CONTINUED)

 

For futures contracts and options on futures contracts, risks arise from changes in the fair value of the contracts. Theoretically, the Partnership is exposed to a market risk equal to the notional contract value of futures contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Partnership pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership to potentially unlimited liability, and purchased options expose the Partnership to a risk of loss limited to the premiums paid.

 

The Partnership has a substantial portion of its assets on deposit with the securities broker in connection with its trading of U.S. government securities and its cash management activities. In the event of the securities broker’s insolvency, recovery of Partnership assets on deposit may be limited to account insurance or other protection afforded such deposits.

 

The Partnership maintains its cash in bank deposit accounts at Wells Fargo Bank, N.A. and affiliates. Such accounts may, at times, exceed federally insured limits. In the event of a financial institution’s insolvency, recovery of cash on deposit may be limited to account insurance or other protection afforded such deposits.

 

The General Partner has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Limited Partners bear the risk of loss only to the extent of the fair value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

 

Note 10.

INDEMNIFICATIONS

 

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

 

 

AIS FUTURES FUND IV L.P.

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

  

 

Note 11.

FINANCIAL HIGHLIGHTS

 

The following information presents the financial highlights for Series A Limited Partners of the Partnership for the three months ended March 31, 2012 and 2011. This information has been derived from information presented in the financial statements.

 

		Three Months Ended
		March 31,
		2012				2011
		(Unaudited)				(Unaudited)
Total return for Series A Limited Partners taken as a whole(1)
Total return before General Partner Profit Share allocation			9.95	%			15.09	%
General Partner Profit Share allocation			(0.01	)%			(2.56	)%
Total return after General Partner Profit Share allocation			9.94	%			12.53	%
Supplemental Data for Series A Limited Partners
Ratios to average net asset value:(2)
Expenses, excluding General Partner Profit Share allocation(3)			4.83	%			4.88	%
General Partner Profit Share allocation(1)			0.02	%			2.46	%
Total expenses			4.85	%			7.34	%
Net investment (loss)(3), (4)			(4.78	)%			(4.71	)%

 

The total returns and ratios are presented for Series A Limited Partners taken as a whole. An individual Limited Partner’s total returns and ratios may vary from the above total returns and ratios based on the timing of their subscriptions and redemptions and given potentially different fee arrangements for a Series A Limited Partner.

 

The total returns and ratios exclude the effects of any 2% upfront selling commissions charged by Selling Agents; however, there were no such commissions charged during the three months ended March 31, 2012 and 2011.

 

(1)

Not annualized

(2)

The ratios of expenses and net investment (loss) to average net asset value do not include brokerage commissions.

(3)

Annualized

(4)

The net investment (loss) is comprised of interest income less total expenses, excluding brokerage commissions and the General Partner Profit Share allocation.

 

 

PART I – FINANCIAL INFORMATION (CONTINUED)

 

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

 

Reference is made to “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

 

Operational Overview

 

Due to the nature of the Partnership’s business, its results of operations depend on the occurrence of major price moves in at least some of the markets traded and the General Partner’s ability to recognize and capitalize on such trends and other profit opportunities.  The General Partner’s trading methods are confidential, so that the only information that can be furnished regarding the Partnership’s results of operations is its performance record.  The Partnership engages in speculative trading of futures contracts and options on futures contracts and physical commodities and other commodity-related contracts and the Partnership may enter into long, short or neutral positions in the markets in which it trades.  Because the Partnership’s trading strategies depend heavily on global price trends (both positive and negative), and these price trends may be affected by global economic conditions and may at times be seasonal, the Partnership will be affected by such conditions and trends.  The past performance of the Partnership is not necessarily indicative of future results.  The General Partner believes, however, that there are certain market conditions – for example, markets with strong price trends – in which the Partnership has a better opportunity of being profitable than in others.

 

Liquidity and Capital Resources

 

The Partnership raises additional capital only through the sale of limited partnership interests and capital is increased through trading profits (if any) and interest income.  The Partnership does not engage in borrowing.  The Partnership may offer limited partnership interests for sale as of the close of business at the end of each month.

 

The Partnership trades futures contracts and/or options on futures contracts, both long and short, in each of the following six asset classes: equities, fixed income, currencies, metals, agriculture products and energy products.  Due to the nature of the Partnership’s business, substantially all its assets are represented by cash and U.S. government obligations, while the Partnership maintains its market exposure through open futures contracts and open options on futures contracts.

 

The Partnership’s assets, which are generally held as cash, cash equivalents or U.S. government obligations, are generally used to margin the Partnership’s futures and options on futures positions and are withdrawn, as necessary, to pay redemptions and expenses.  Other than potential market-imposed limitations on liquidity, due, for example, to daily price fluctuation limits, which are inherent in the Partnership’s futures and options on futures trading, the Partnership’s assets are highly liquid and are expected to remain so.

 

There have been no material changes with respect to the Partnership’s critical accounting policies, off-balance sheet arrangements or contractual obligations, as reported in the Partnership’s most recent Annual Report on Form 10-K and any amendments thereto.

 

During its operations for the three months ended March 31, 2012, the Partnership experienced no significant periods of illiquidity in any of the numerous markets traded by the General Partner.

 

 

PART I – FINANCIAL INFORMATION (CONTINUED)

 

Results of Operations

 

Performance Summary

Three Months Ended March 31, 2012

 

During the first quarter of 2012, the Partnership experienced net realized and unrealized gains of $7,878,590 from its trading operations, which is net of brokerage commissions of $27,982.  The Partnership incurred total expenses of $882,364, including $452,912 in Selling Agent Administrative and Service Fees, $376,702 in Management Fees (paid to the General Partner) and $52,750 in operating expenses.  The Partnership earned $8,098 in interest income and charged a General Partner Profit Share allocation of $17,668.  An analysis of trading gains and losses (not adjusted for any fees or expenses) by market sector is as follows:

 

Sector		% Gain (Loss)
Stock Index			(0.26	)%
Bonds			0.00	%
Currency			1.48	%
Energy			1.76	%
Metals			1.98	%
Grains			6.15	%

 

The Partnership experienced a gain in the first quarter of 2012. The largest gain came from long positions in grains and soybean complex, followed by gains in long positions in metals and energy, and gains from long positions in Australian and Canadian dollars. A small loss occurred in a put position in stock index futures.

 

Three Months Ended March 31, 2011

 

During the first quarter of 2011, the Partnership experienced net realized and unrealized gains of $15,520,091 from its trading operations, which is net of brokerage commissions of $30,141.  The Partnership incurred total expenses of $1,177,014, including $622,306 in Selling Agent Administrative and Service Fees, $497,958 in Management Fees (paid to the General Partner) and $56,750 in operating expenses.  The Partnership earned $41,133 in interest income and charged a General Partner Profit Share allocation of $2,376,068.  An analysis of trading gains and losses (not adjusted for any fees or expenses) by market sector is as follows:

  

Sector		% Gain (Loss)
Stock Index			0.00	%
Bonds			(0.51	)%
Currency			1.58	%
Energy			7.97	%
Metals			3.87	%
Grains			3.06	%

 

The Partnership experienced a gain in the first quarter of 2011. The largest gain came from long positions in energy, followed by gains in long positions in metals and grains, and to a lesser extent from long positions in the Australian and Canadian dollars. A small loss occurred in the short position in the U.S. Treasury bond futures.

 

 

Item 3: Quantitative and Qualitative Disclosures About Market Risk

 

Not required.

 

Item 4: Controls and Procedures

 

The General Partner, with the participation of the General Partner’s 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 Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, has concluded that these disclosure controls and procedures are effective. 

 

There were no changes in the General Partner’s internal controls over financial reporting with respect to the Partnership that occurred during the fiscal quarter covered by this quarterly report that has materially affected, or is reasonably likely to materially affect, the General Partner’s internal controls over financial reporting with respect to the Partnership.

 

PART II - OTHER INFORMATION

 

Item 1:  Legal Proceedings

 

None.

 

Item 1A:  Risk Factors

 

Not required.

 

Item 2:  Unregistered Sales of Equity Securities and Use of Proceeds

 

(a)           The requested information has been previously reported on Form 8-K.

 

(b)           Not applicable.

 

(c)           Pursuant to the Partnership’s Limited Partnership Agreement, Limited Partners may withdraw all or part of their capital contributions and undistributed profits, if any, at the end of each calendar month.  The withdrawal by a Limited Partner has no impact on the value of the capital accounts of the remaining Limited Partners.  The following table summarizes the withdrawals by Limited Partners during the first calendar quarter of 2012:

 

Month		Withdrawal Amounts
January 31, 2012		$	2,500,966
February 29, 2012		$	843,532
March 31, 2012		$	975,952

 

Item 3:  Defaults Upon Senior Securities

 

(a)           None.

 

(b)           None.

 

Item 4:  Mine Safety Disclosures

 

Not applicable.

 

 

Item 5:  Other Information

 

(a)           None.

 

(b)           Not applicable.

 

Item 6: Exhibits

 

The following exhibits are incorporated herein by reference as set forth below.

 

Exhibit Number		Description of Document
3.1*		Certificate of Formation of AIS Futures Fund IV L.P.
4.2**		Fourth Amended and Restated Limited Partnership Agreement of AIS Futures Fund IV L.P., dated as of March 1, 2008.
10.1***		Customer Agreement between Calyon Financial Inc. and AIS Futures Fund IV L.P.

 

The following exhibits are included herewith.

 

Exhibit Number		Description of Document
31.01		Rule 13a-14(a)/15d-14(a) Certification
32.01		Section 1350 Certification

 

^* This exhibit is incorporated by reference to the exhibit of the same number and description filed with the Partnership’s Registration Statement (File No. 000-52599) filed on April 30, 2007 on Form 10 under the Securities Exchange Act of 1934.

 

^** This exhibit is incorporated by reference to the exhibit of the same number and description filed with the Partnership’s Current Report (File No. 000-52599) filed on March 5, 2008 on Form 8-K under the Securities Exchange Act of 1934.

 

^*** This exhibit is incorporated by reference to the exhibit of the same number and description filed with the Partnership’s Registration Statement (File No. 000-52599) filed on April 30, 2007 on Form 10 under the Securities Exchange Act of 1934. As of January 2, 2008, Calyon Financial Inc. was renamed Newedge Financial Inc. The existing Customer Agreement remains in effect, but under the new name.

 

 

SIGNATURE

  

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.

 

Dated: May 15, 2012

 

AIS FUTURES FUND IV L.P.

 

By:	AIS FUTURES MANAGEMENT LLC,

General Partner

 

By:	/s/ John Hummel
Name:  John Hummel
Title:  President (principal executive and principal
financial officer)