Attached files
Table of Contents
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 0-50272
AAA CAPITAL ENERGY FUND L.P. II
(Exact name of registrant as specified in its charter)
New York |
03-0407557 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
c/o Ceres Managed Futures LLC
522 Fifth Avenue - 14th Floor
New York, New York 10036
(Address of principal executive offices) (Zip Code)
(212) 296-1999
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes X No
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 the 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, a non-accelerated filer, or a smaller reporting company. See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer Accelerated filer Non-accelerated filer X Smaller reporting company
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes No X
As of April 30, 2012, 79,399.8027 Limited Partnership Redeemable Units were outstanding.
Table of Contents
AAA CAPITAL ENERGY FUND L.P. II
FORM 10-Q
Exhibits
Exhibit 31.1 Certification
Exhibit 31.2 Certification
Exhibit 32.1 Certification
Exhibit 32.2 Certification
101. INS |
XBRL Instance Document. | |
101. SCH |
XBRL Taxonomy Extension Schema Document. | |
101. CAL |
XBRL Taxonomy Extension Calculation Linkbase Document. | |
101. LAB |
XBRL Taxonomy Extension Label Linkbase Document. | |
101. PRE |
XBRL Taxonomy Extension Presentation Linkbase Document. |
2
Table of Contents
AAA Capital Energy Fund L.P. II
Statements of Financial Condition
(Unaudited) | ||||||||
March 31, 2012 |
December 31, 2011 |
|||||||
Assets: |
||||||||
Investment in the Master, at fair value |
$ | 348,649,018 | $ | 352,633,984 | ||||
Cash |
212,675 | 229,298 | ||||||
|
|
|
|
|||||
Total assets |
$ | 348,861,693 | $ | 352,863,282 | ||||
|
|
|
|
|||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Accrued expenses: |
||||||||
Brokerage commissions |
$ | 1,122,935 | $ | 1,253,476 | ||||
Management fees |
579,315 | 585,805 | ||||||
Administrative fees |
144,829 | 146,451 | ||||||
Other |
149,495 | 126,976 | ||||||
Redemptions payable |
3,077,040 | 4,312,144 | ||||||
|
|
|
|
|||||
Total liabilities |
5,073,614 | 6,424,852 | ||||||
|
|
|
|
|||||
Partners Capital: |
||||||||
General Partner, 966.9309 unit equivalents outstanding at March 31, 2012 and December 31, |
3,992,970 | 4,038,377 | ||||||
Special Limited Partner, 464.0795 Redeemable Units outstanding at March 31, 2012 and December 31, 2011 |
1,916,430 | 1,938,223 | ||||||
Limited Partners, 81,820.0483 and 81,518.5546 Redeemable Units outstanding at March 31, 2012 and December 31, 2011, respectively |
337,878,679 | 340,461,830 | ||||||
|
|
|
|
|||||
Total partners capital |
343,788,079 | 346,438,430 | ||||||
|
|
|
|
|||||
Total liabilities and partners capital |
$ | 348,861,693 | $ | 352,863,282 | ||||
|
|
|
|
|||||
Net asset value per unit |
$ | 4,129.53 | $ | 4,176.49 | ||||
|
|
|
|
See Accompanying Notes to Financial Statements.
3
Table of Contents
AAA Capital Energy Fund L.P. II
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Three Months
Ended March 31, |
||||||||
2012 | 2011 | |||||||
Investment income: |
||||||||
Interest income allocated from Master |
$ | 21,053 | $ | 65,495 | ||||
|
|
|
|
|||||
Expenses: |
||||||||
Expenses allocated from Master |
351,304 | 322,789 | ||||||
Brokerage commissions |
1,125,195 | 1,172,909 | ||||||
Management fees |
1,763,880 | 1,944,398 | ||||||
Administrative fees |
440,970 | 486,100 | ||||||
Other |
64,289 | 100,198 | ||||||
|
|
|
|
|||||
Total expenses |
3,745,638 | 4,026,394 | ||||||
|
|
|
|
|||||
Net investment income (loss) |
(3,724,585 | ) | (3,960,899 | ) | ||||
|
|
|
|
|||||
Trading Results: |
||||||||
Net realized gains (losses) on closed contracts allocated from Master |
34,832,574 | 16,519,954 | ||||||
Change in net unrealized gains (losses) on open contracts allocated from Master |
(35,059,299 | ) | (6,939,734 | ) | ||||
|
|
|
|
|||||
Total trading results allocated from Master |
(226,725 | ) | 9,580,220 | |||||
|
|
|
|
|||||
Net income (loss) |
(3,951,310 | ) | 5,619,321 | |||||
Subscription Limited Partners |
12,160,716 | 401,165 | ||||||
Redemptions Limited Partners |
(10,859,757 | ) | (25,998,462 | ) | ||||
Redemptions General Partner |
| (400,000 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in Partners Capital |
(2,650,351 | ) | (20,377,976 | ) | ||||
Partners Capital, beginning of period |
346,438,430 | 392,442,335 | ||||||
|
|
|
|
|||||
Partners Capital, end of period |
$ | 343,788,079 | $ | 372,064,359 | ||||
|
|
|
|
|||||
Net asset value per unit (83,251.0587 and 90,409.3451 units outstanding at March 31, 2012 and 2011, respectively) |
$ | 4,129.53 | $ | 4,115.33 | ||||
|
|
|
|
|||||
Net income (loss) per unit * |
$ | (46.96 | ) | $ | 58.65 | |||
|
|
|
|
|||||
Weighted average units outstanding |
84,766.7829 | 94,478.1982 | ||||||
|
|
|
|
* | Based on change in net asset value per unit. |
See accompanying notes to financial statements.
4
Table of Contents
AAA Capital Energy Fund L.P. II
March 31, 2012
(Unaudited)
1. | General: |
AAA Capital Energy Fund L.P. II (the Partnership) is a limited partnership organized on March 25, 2002 under the partnership laws of the State of New York to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests, including commodity options, commodity futures contracts on U.S. exchanges and certain foreign exchanges. The Partnership, through its investment in the Master (defined below), may trade commodity futures and options contracts of any kind. In addition, the Partnership, through its investment in the Master, may enter into swap contracts on energyrelated products. The Partnership was authorized to sell up to 150,000 redeemable units of limited partnership interest (Redeemable Units) during its initial offering period. During the initial offering period (May 31, 2002 through July 1, 2002), the Partnership sold 93,975 Redeemable Units. The Partnership commenced trading on July 1, 2002. The Partnership privately and continuously offers Redeemable Units. There is no maximum number of Redeemable Units that may be sold by the Partnership.
Ceres Managed Futures LLC (CMF) a Delaware limited liability company, acts as the general partner (the General Partner) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (MSSB Holdings). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Inc. (Citigroup) indirectly owns a minority equity interest in MSSB Holdings. Citigroup also indirectly owns Citigroup Global Markets Inc. (CGM), the commodity broker for the Partnership. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup. As of March 31, 2012, all trading decisions for the Partnership are made by the Advisor (defined below).
On July 1, 2002, the Partnership allocated substantially all of its capital to AAA Master Fund LLC (the Master), a New York limited liability company. The Partnership purchased 64,945.0387 units of the Master with a fair value of $94,925,000. The Master was formed in order to permit commodity pools managed now or in the future by AAA Capital Management Advisors, Ltd. (the Advisor) using the Energy Program Futures and Swaps, a proprietary, discretionary trading program, to invest together in one trading vehicle. In addition, the Advisor is a special limited partner of the Partnership (in its capacity as special limited partner, the Special Limited Partner). Individual and pooled accounts currently managed by the Advisor, including the Partnership, are permitted to be non-managing members of the Master. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process. Expenses to investors as a result of the investment in the Master are approximately the same and redemption rights are not affected. The Masters commodity broker is CGM and its managing member is CMF. The Master may trade commodity futures and options contracts of any kind, but trades solely energy, energy-related products, grains, indices, lumber and softs. In addition, the Master may enter into swap contracts. The commodity interests that are traded by the Partnership, through its investment in the Master, are volatile and involve a high degree of market risk.
The General Partner is not aware of any material changes to the trading program discussed above during the fiscal quarter ended March 31, 2012.
As of March 31, 2012, the Partnership owned approximately 36.0% of the Master. As of December 31, 2011, the Partnership owned approximately 36.1% of the Master. It is the Partnerships intention to continue to invest substantially all of its assets in the Master. The performance of the Partnership is directly affected by the performance of the Master. The Masters trading of futures, swaps and options contracts, as applicable, is done primarily on U.S. and foreign commodity exchanges. The Master engages in such trading through a commodity brokerage account maintained with CGM. The Masters Statements of Financial Condition, including Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Members Capital are included herein.
The General Partner and each limited partner share in the profits and losses of the Partnership, after the allocation to the Special Limited Partner, in proportion to the amount of partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits or losses, if any, net of distributions.
The accompanying financial statements and accompanying notes are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnerships financial condition at March 31, 2012 and December 31, 2011, and the results of its operations and changes in partners capital for the three months ended March 31, 2012 and 2011. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnerships Annual Report on Form 10-K filed with the Securities and Exchange Commission (the SEC) for the year ended December 31, 2011.
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in financial statements and accompanying notes. As a result, actual results could differ from these estimates.
Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
5
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
The Masters Statements of Financial Condition and Condensed Schedules of Investments as of March 31, 2012 and December 31, 2011 and Statements of Income and Expenses and Changes in Members Capital for the three months ended March 31, 2012 and 2011 are presented below:
AAA Master Fund LLC
Statements of Financial Condition
(Unaudited) March 31, |
December 31, | |||||||
2012 | 2011 | |||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Cash |
$ | 752,723,294 | $ | 671,605,055 | ||||
Cash margin |
23,754,430 | 33,580,718 | ||||||
Options purchased, at fair value (cost $371,675,296 and $394,712,745, respectively) |
283,370,684 | 374,133,088 | ||||||
|
|
|
|
|||||
Total assets |
$ | 1,059,848,408 | $ | 1,079,318,861 | ||||
|
|
|
|
|||||
Liabilities and Members Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | 14,548,014 | $ | 6,062,595 | ||||
Options premium received, at fair value (premium $182,986,089 and $223,316,821, respectively) |
76,093,376 | 96,374,598 | ||||||
Accrued expenses: |
||||||||
Professional fees |
397,081 | 371,076 | ||||||
|
|
|
|
|||||
Total liabilities |
91,038,471 | 102,808,269 | ||||||
|
|
|
|
|||||
Members Capital: |
||||||||
Members Capital, 95,808.0532 and 96,401.5933 units outstanding at March 31, 2012 and December 31, 2011, respectively |
968,809,937 | 976,510,592 | ||||||
|
|
|
|
|||||
Total liabilities and members capital |
$ | 1,059,848,408 | $ | 1,079,318,861 | ||||
|
|
|
|
|||||
Net Asset Value per Unit |
$ | 10,111.99 | $ | 10,129.61 | ||||
|
|
|
|
6
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
AAA Master Fund LLC
Condensed Schedule of Investments
March 31, 2012
(Unaudited)
Number of | % of Members | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures and Exchange-Cleared Swap Contracts Purchased |
||||||||||||
Energy |
27,981 | $ | (63,285,651 | ) | (6.53 | )% | ||||||
Grains |
73 | (33,063 | ) | (0.00 | ) * | |||||||
Lumber |
32 | (78,670 | ) | (0.01 | ) | |||||||
Softs |
227 | (130,297 | ) | (0.02 | ) | |||||||
|
|
|
|
|||||||||
Total futures and exchange-cleared swap contracts purchased |
(63,527,681 | ) | (6.56 | ) | ||||||||
|
|
|
|
|||||||||
Futures and Exchange-Cleared Swap Contracts Sold |
||||||||||||
Energy |
20,745 | 48,793,809 | 5.03 | |||||||||
Grains |
147 | 95,767 | 0.01 | |||||||||
Lumber |
32 | 90,091 | 0.01 | |||||||||
|
|
|
|
|||||||||
Total futures and exchange-cleared swap contracts sold |
48,979,667 | 5.05 | ||||||||||
|
|
|
|
|||||||||
Options Purchased |
||||||||||||
Call |
||||||||||||
Energy |
||||||||||||
NYMEX LT Crude Oil May 12 - Dec 14 |
14,363 | 150,806,440 | 15.56 | |||||||||
Other |
5,143 | 40,075,119 | 4.14 | |||||||||
|
|
|
|
|||||||||
Call options purchased |
190,881,559 | 19.70 | ||||||||||
|
|
|
|
|||||||||
Put |
||||||||||||
Energy |
||||||||||||
NYMEX LT Crude Oil May 12 - Dec 14 |
12,082 | 50,534,120 | 5.22 | |||||||||
Other |
7,539 | 41,735,317 | 4.31 | |||||||||
Grains |
74 | 219,688 | 0.02 | |||||||||
|
|
|
|
|||||||||
Put options purchased |
92,489,125 | 9.55 | ||||||||||
|
|
|
|
|||||||||
Total options purchased |
283,370,684 | 29.25 | ||||||||||
|
|
|
|
|||||||||
Options Premium Received |
||||||||||||
Call |
||||||||||||
Energy |
21,837 | (72,568,975 | ) | (7.49 | ) | |||||||
Grains |
71 | (106,088 | ) | (0.01 | ) | |||||||
|
|
|
|
|||||||||
Call options premium received |
(72,675,063 | ) | (7.50 | ) | ||||||||
|
|
|
|
|||||||||
Put |
||||||||||||
Energy |
16,368 | (3,412,163 | ) | (0.35 | ) | |||||||
Grains |
6 | (6,150 | ) | (0.00 | ) * | |||||||
|
|
|
|
|||||||||
Put options premium received |
(3,418,313 | ) | (0.35 | ) | ||||||||
|
|
|
|
|||||||||
Total options premium received |
(76,093,376 | ) | (7.85 | ) | ||||||||
|
|
|
|
|||||||||
Net fair value |
$ | 192,729,294 | 19.89 | % | ||||||||
|
|
|
|
* | Due to rounding. |
7
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
AAA Master Fund LLC
Condensed Schedule of Investments
December 31, 2011
Number of Contracts |
Fair Value | % of
Members Capital |
||||||||||
Futures and Exchange-Cleared Swap Contracts Purchased |
||||||||||||
Energy |
31,887 | $ | (119,406,111 | ) | (12.23 | )% | ||||||
Indices |
60 | (5,232 | ) | (0.00 | )* | |||||||
Lumber |
41 | 21,365 | 0.00 | * | ||||||||
Softs |
430 | (815,575 | ) | (0.08 | ) | |||||||
|
|
|
|
|||||||||
Total futures and exchange-cleared swap contracts purchased |
(120,205,553 | ) | (12.31 | ) | ||||||||
|
|
|
|
|||||||||
Futures and Exchange-Cleared Swap Contracts Sold |
||||||||||||
Energy |
||||||||||||
NYMEX HH Swap Mar 12 Dec 14 |
10,565 | 79,310,347 | 8.12 | |||||||||
Other |
17,763 | 35,201,407 | 3.60 | |||||||||
Grains |
153 | (331,229 | ) | (0.03 | ) | |||||||
Lumber |
41 | (37,567 | ) | (0.00 | )* | |||||||
|
|
|
|
|||||||||
Total futures and exchange-cleared swap contracts sold |
114,142,958 | 11.69 | ||||||||||
|
|
|
|
|||||||||
Options Purchased |
||||||||||||
Call |
||||||||||||
Energy |
||||||||||||
NYMEX LT Crude Oil Feb 12 Dec 14 |
9,179 | 97,782,830 | 10.01 | |||||||||
Other |
8,590 | 38,624,446 | 3.96 | |||||||||
Indices |
120 | 189,600 | 0.02 | |||||||||
|
|
|
|
|||||||||
Call options purchased |
136,596,876 | 13.99 | ||||||||||
|
|
|
|
|||||||||
Put |
||||||||||||
Energy |
||||||||||||
NYMEX LT Crude Oil Feb 12 Dec 14 |
15,707 | 105,386,170 | 10.79 | |||||||||
NYMEX Natural Gas E Feb 12 Jan 13 |
3,022 | 84,054,102 | 8.61 | |||||||||
Other |
6,764 | 46,428,317 | 4.75 | |||||||||
Grains |
70 | 300,563 | 0.03 | |||||||||
Indices |
1,348 | 1,367,060 | 0.14 | |||||||||
|
|
|
|
|||||||||
Put options purchased |
237,536,212 | 24.32 | ||||||||||
|
|
|
|
|||||||||
Total options purchased |
374,133,088 | 38.31 | ||||||||||
|
|
|
|
|||||||||
Options Premium Received |
||||||||||||
Call |
||||||||||||
Energy |
25,531 | (42,662,618 | ) | (4.37 | ) | |||||||
Grains |
164 | (169,713 | ) | (0.01 | ) | |||||||
Indices |
270 | (449,100 | ) | (0.05 | ) | |||||||
|
|
|
|
|||||||||
Call options premium received |
(43,281,431 | ) | (4.43 | ) | ||||||||
|
|
|
|
|||||||||
Put |
||||||||||||
Energy |
25,561 | (53,008,680 | ) | (5.43 | ) | |||||||
Indices |
585 | (84,487 | ) | (0.01 | ) | |||||||
|
|
|
|
|||||||||
Put options premium received |
(53,093,167 | ) | (5.44 | ) | ||||||||
|
|
|
|
|||||||||
Total options premium received |
(96,374,598 | ) | (9.87 | ) | ||||||||
|
|
|
|
|||||||||
Net fair value |
$ | 271,695,895 | 27.82 | % | ||||||||
|
|
|
|
* | Due to rounding. |
8
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
AAA Master Fund LLC
Statements of Income and Expenses and Changes in Members Capital
(Unaudited)
Three Months Ended | ||||||||
March 31, | ||||||||
2012 | 2011 | |||||||
Investment income: |
||||||||
Interest income |
$ | 64,436 | $ | 178,367 | ||||
|
|
|
|
|||||
Expenses: |
||||||||
Clearing fees |
861,449 | 642,017 | ||||||
Professional fees |
103,445 | 171,605 | ||||||
|
|
|
|
|||||
Total expenses |
964,894 | 813,622 | ||||||
|
|
|
|
|||||
Net investment income (loss) |
(900,458 | ) | (635,255 | ) | ||||
|
|
|
|
|||||
Trading results: |
||||||||
Net gains (losses) on trading of commodity interests: |
||||||||
Net realized gains (losses) on closed contracts |
95,567,573 | 41,580,310 | ||||||
Change in unrealized gains (losses) on open contracts |
(96,259,884 | ) | (17,643,378 | ) | ||||
|
|
|
|
|||||
Total trading results |
(692,311 | ) | 23,936,932 | |||||
|
|
|
|
|||||
Net income (loss) |
(1,592,769 | ) | 23,301,677 | |||||
Subscriptions |
25,306,289 | 52,476,738 | ||||||
Redemptions |
(31,349,739 | ) | (68,909,014 | ) | ||||
Distribution of interest to feeder funds |
(64,436 | ) | (178,367 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in Members Capital |
(7,700,655 | ) | 6,691,034 | |||||
Members Capital, beginning of period |
976,510,592 | 980,369,638 | ||||||
|
|
|
|
|||||
Members Capital, end of period |
$ | 968,809,937 | $ | 987,060,672 | ||||
|
|
|
|
|||||
Net asset value per unit (95,808.0532 and 101,499.2392 units outstanding in March 31, 2012 and 2011, respectively) |
$ | 10,111.99 | $ | 9,724.81 | ||||
|
|
|
|
|||||
Net income (loss) per unit* |
$ | (16.95 | ) | $ | 228.99 | |||
|
|
|
|
|||||
Weighted average units outstanding |
96,963.5268 | 104,045.6041 | ||||||
|
|
|
|
* | Based on change in net asset value per unit. |
9
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
2. | Financial Highlights: |
Changes in the net asset value per unit for the three months ended March 31, 2012 and 2011 were as follows:
Three Months Ended March 31, |
||||||||
2012 | 2011 | |||||||
Net realized and unrealized gains (losses)* |
$ | (20.00 | ) | $ | 85.47 | |||
Interest income |
0.24 | 0.70 | ||||||
Expenses and allocation to Special Limited Partner** |
(27.20 | ) | (27.52 | ) | ||||
|
|
|
|
|||||
Increase (decrease) for the period |
(46.96 | ) | 58.65 | |||||
Net asset value per unit, beginning of period |
4,176.49 | 4,056.68 | ||||||
|
|
|
|
|||||
Net asset value per unit, end of period |
$ | 4,129.53 | $ | 4,115.33 | ||||
|
|
|
|
* | Includes brokerage commissions and clearing fees allocated from the Master. |
** | Excludes brokerage commissions and clearing fees allocated from the Master and includes allocation to Special Limited Partner in the three months ended March 31, 2012 and 2011 if any. |
Three Months Ended March 31, |
||||||||
2012 | 2011*** | |||||||
Ratios to Average Net Assets:**** |
||||||||
Net investment income (loss) |
(4.3) | % | (4.2) | % | ||||
Allocation to Special Limited Partner |
| % | | % | ||||
|
|
|
|
|||||
Net investment income (loss) before allocation to Special Limited Partner***** |
(4.3) | % | (4.2) | % | ||||
|
|
|
|
|||||
Operating expenses |
4.3 | % | 4.3 | % | ||||
Allocation to Special Limited Partner |
| % | | % | ||||
|
|
|
|
|||||
Total expenses and allocation to Special Limited Partner |
4.3 | % | 4.3 | % | ||||
|
|
|
|
|||||
Total return: |
||||||||
Total return before allocation to Special Limited Partner |
(1.1) | % | 1.4 | % | ||||
Allocation to Special Limited Partner |
| % | | % | ||||
|
|
|
|
|||||
Total return after allocation to Special Limited Partner |
(1.1) | % | 1.4 | % | ||||
|
|
|
|
*** | The ratios are shown net and gross of allocation to Special Limited Partner to conform to current period presentation. |
**** | Annualized (except for allocation to Special Limited Partner, if applicable). |
***** | Interest income allocated from Master less total expenses (exclusive of allocation to Special Limited Partner, if applicable). |
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners share of income, expenses and average net assets.
10
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
Financial Highlights of the Master:
Three Months Ended March 31, |
||||||||
2012 | 2011 | |||||||
Net realized and unrealized gains (losses)* |
$ | (16.54 | ) | $ | 228.93 | |||
Interest income |
0.67 | 1.75 | ||||||
Expenses ** |
(1.08 | ) | (1.69 | ) | ||||
|
|
|
|
|||||
Increase (decrease) for the period |
(16.95 | ) | 228.99 | |||||
Distribution of interest income to feeder funds |
(0.67 | ) | (1.75 | ) | ||||
Net asset value per unit, beginning of period |
10,129.61 | 9,497.57 | ||||||
|
|
|
|
|||||
Net asset value per unit, end of period |
$ | 10,111.99 | $ | 9,724.81 | ||||
|
|
|
|
* | Includes clearing fees. |
** | Excludes clearing fees. |
Three Months Ended March 31, |
||||||||
2012 | 2011 | |||||||
Ratios to average net assets:*** |
||||||||
Net investment income (loss)**** |
(0.4 | )% | (0.3 | )% | ||||
|
|
|
|
|||||
Operating expenses |
0.4 | % | 0.3 | % | ||||
|
|
|
|
|||||
Total return |
(0.2 | )% | 2.4 | % | ||||
|
|
|
|
*** | Annualized. |
**** | Interest income less total expenses. |
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the non-managing member class using the non-managing members share of income, expenses and average net assets.
3. | Trading Activities: |
The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The Partnership invests substantially all of its assets through a master/feeder structure. The Partnerships pro rata share of the results of the Masters trading activities are shown in the Statements of Income and Expenses and Changes in Partners Capital.
The customer agreements between the Partnership and CGM and the Master and CGM give the Partnership and the Master, respectively, the legal right to net unrealized gains and losses on open futures and exchange-cleared swap contracts. The Master nets, for financial reporting purposes, the unrealized gains and losses on open futures and exchange-cleared swap contracts on the Statements of Financial Condition as the criteria under Accounting Standards Codification (ASC) 210-20, Balance Sheet, have been met.
11
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
Brokerage commissions are based on the number of trades executed by the Advisor and the Partnerships ownership percentage of the Master.
All of the commodity interests owned by the Master are held for trading purposes. The monthly average number of futures and exchange-cleared swap contracts traded during the three months ended March 31, 2012 and 2011 were 54,166 and 93,866, respectively. The monthly average number of options contracts traded during the three months ended March 31, 2012 and 2011 were 84,309 and 122,134, respectively.
The following tables indicate the gross fair values of derivative instruments of futures and exchange-cleared swaps and options contracts as separate assets and liabilities as of March 31, 2012 and December 31, 2011.
March 31, 2012 | ||||
Assets |
||||
Futures and Exchange-Cleared Swap Contracts | ||||
Energy |
$ | 89,125,251 | ||
Grains |
|
97,517 |
| |
Lumber |
90,091 | |||
Softs |
48,575 | |||
|
|
|||
Total unrealized appreciation on open futures and exchange-cleared swap contracts |
$ | 89,361,434 | ||
|
|
|||
Liabilities |
||||
Futures and Exchange-Cleared Swap Contracts | ||||
Energy |
$ | (103,617,093 | ) | |
Grains |
(34,813 | ) | ||
Lumber |
(78,670 | ) | ||
Softs |
(178,872 | ) | ||
|
|
|||
Total unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | (103,909,448 | ) | |
|
|
|||
Net unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | (14,548,014 | )* | |
|
|
|||
Assets |
||||
Options Purchased | ||||
Energy |
$ | 283,150,996 | ||
Grains |
219,688 | |||
|
|
|||
Total options purchased |
$ | 283,370,684 | ** | |
|
|
|||
Liabilities |
||||
Options Premium Received | ||||
Energy |
$ | (75,981,138 | ) | |
Grains |
(112,238 | ) | ||
|
|
|||
Total options premium received |
$ | (76,093,376 | )*** | |
|
|
* | This amount is in Net unrealized depreciation on open futures and exchange-cleared swap contracts on the Masters Statements of Financial Condition. |
** | This amount is in Options purchased, at fair value on the Masters Statements of Financial Condition. |
*** | This amount is in Options premium received, at fair value on the Masters Statements of Financial Condition. |
12
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
December 31, 2011 | ||||
Assets |
||||
Futures and Exchange-Cleared Swap Contracts |
||||
Energy |
$ | 149,194,744 | ||
Indices |
5,735 | |||
Lumber |
21,365 | |||
Softs |
583,472 | |||
|
|
|||
Total unrealized appreciation on open futures and exchange-cleared swap contracts |
$ | 149,805,316 | ||
|
|
|||
Liabilities |
||||
Futures and Exchange-Cleared Swap Contracts |
||||
Energy |
$ | (154,089,101 | ) | |
Grains |
(331,229 | ) | ||
Indices |
(10,967 | ) | ||
Lumber |
(37,567 | ) | ||
Softs |
(1,399,047 | ) | ||
|
|
|||
Total unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | (155,867,911 | ) | |
|
|
|||
Net unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | (6,062,595 | )* | |
|
|
|||
Assets |
||||
Options Purchased |
||||
Energy |
$ | 372,275,865 | ||
Grains |
300,563 | |||
Indices |
1,556,660 | |||
|
|
|||
Total options purchased |
$ | 374,133,088 | ** | |
|
|
|||
Liabilities |
||||
Options Premium Received |
||||
Energy |
$ | (95,671,298 | ) | |
Grains |
(169,713 | ) | ||
Indices |
(533,587 | ) | ||
|
|
|||
Total options premium received |
$ | (96,374,598 | )*** | |
|
|
* | This amount is in Net unrealized depreciation on open futures and exchange-cleared swap contracts on the Masters Statements of Financial Condition. |
** | This amount is in Options purchased, at fair value on the Masters Statements of Financial Condition. |
*** | This amount is in Options premium received, at fair value on the Masters Statements of Financial Condition. |
The following table indicates the trading gains and losses, by market sector, on derivative instruments for the three months ended March 31, 2012 and 2011.
Sector |
Three Months
Ended March 31, 2012 Gain(loss) from trading |
Three Months
Ended March 31, 2011 Gain(loss) from trading |
||||||
Energy |
$ | 481,388 | $ | 23,835,329 | ||||
Grains |
476,533 | | ||||||
Indices |
(1,274,969 | ) | | |||||
Lumber |
55,126 | 101,603 | ||||||
Softs |
(430,389 | ) | | |||||
|
|
|
|
|||||
Total |
$ | (692,311 | )**** | $ | 23,936,932 | **** | ||
|
|
|
|
**** | This amount is in Total trading results on the Masters Statements of Income and Expenses and Changes in Members Capital. |
13
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
4. | Fair Value Measurements: |
Partnerships Investments. The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in Note 2 of the Masters notes to the annual financial statements as of December 31, 2011.
Partnerships Fair Value Measurements. Fair value is defined as 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 under current market conditions. 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 fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.
GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnerships Level 2 assets.
The Partnership will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
Effective January 1, 2012, the Partnership adopted Accounting Standards Update (ASU) 2011-04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (IFRS). The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify FASBs intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnerships/Masters financial statements.
The Partnership values its investments in the Master with no rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnerships investment in the Master reflects its proportional interest in the Master. As of and for the periods ended March 31, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of managements assumptions and internal valuation pricing models (Level 3). There were no transfers of assets and liabilities between Level 1 and Level 2 during the quarter ended March 31, 2012.
Quoted Prices in Active Markets for |
Significant Other Observable Inputs |
Significant Unobservable Inputs |
||||||||||||||
March 31, 2012 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 348,649,018 | $ | | $ | 348,649,018 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net fair value |
$ | 348,649,018 | $ | | $ | 348,649,018 | $ | | ||||||||
|
|
|
|
|
|
|
|
Quoted Prices in Active Markets for Identical Assets |
Significant Other Observable Inputs |
Significant Unobservable Inputs |
||||||||||||||
December 31, 2011 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 352,633,984 | $ | | $ | 352,633,984 | $ | | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net fair value |
$ | 352,633,984 | $ | | $ | 352,633,984 | $ | | ||||||||
|
|
|
|
|
|
|
|
Masters Investments. All commodity interests of the Master (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Members Capital.
Masters Fair Value Measurements. Fair value is defined as 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 under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical
14
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Masters Level 1 assets and liabilities are actively traded.
The Master will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Master considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2012 and December 31, 2011, the Master did not hold any derivative instruments for which market quotations were not readily available and which were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of managements assumptions and internal valuation pricing models (Level 3). During the period January 1, 2012 to March 31, 2012, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2.
March 31, 2012 | Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
Assets |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 89,361,434 | $ | 89,361,434 | $ | | $ | | ||||||||
Options purchased |
283,370,684 | 283,370,684 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
372,732,118 | 372,732,118 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 103,909,448 | $ | 103,909,448 | $ | | $ | | ||||||||
Options premium received |
76,093,376 | 76,093,376 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilites |
180,002,824 | 180,002,824 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net fair value |
$ | 192,729,294 | $ | 192,729,294 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
December 31, 2011 | Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
|||||||||||||
Assets |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 149,805,316 | $ | 149,805,316 | $ | | $ | | ||||||||
Options purchased |
374,133,088 | 374,133,088 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
523,938,404 | 523,938,404 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 155,867,911 | $ | 155,867,911 | $ | | $ | | ||||||||
Options premium received |
96,374,598 | 96,374,598 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
252,242,509 | 252,242,509 | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net fair value |
$ | 271,695,895 | $ | 271,695,895 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
15
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
5. Financial Instrument Risks:
In the normal course of business, the Partnership, through its investment in the Master, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (OTC). Exchange-traded instruments are standardized and include futures and certain forward and option contracts. OTC contracts are negotiated between contracting parties and include forwards, swaps and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.
The risk to the limited partners that have purchased Redeemable Units is limited to the amount of their share of the Partnerships assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under New York law.
Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Master due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded by the Partnership/Master. The Partnership/Master is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnerships/Masters risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnerships/Masters risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit risk and concentration risk as CGM or a CGM affiliate is the sole counterparty or broker with respect to the Partnerships/Masters assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnerships/Masters counterparty is an exchange or clearing organization.
The Advisor will concentrate the Partnerships/Masters trading in energy related markets. Concentration in a limited number of commodity interests may subject the Partnerships/Masters account to greater volatility than if a more diversified portfolio of contracts were traded on behalf of the Partnership/Master.
As both a buyer and seller of options, the Partnership/Master 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/Master to potentially unlimited liability; for purchased options, the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Partnership/Master does not consider these contracts to be guarantees.
The General Partner/managing member monitors and attempts to control the Partnerships/Masters risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Master may be subject. These monitoring systems generally allow the General Partner/managing member to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures and exchange-cleared swaps, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.
The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Partnerships/Masters business, these instruments may not be held to maturity.
16
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
6. Critical Accounting Policies:
Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.
Partnerships Investments. The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in Note 2 of the Masters notes to the annual financial statements as of December 31, 2011.
Partnerships and the Masters Fair Value Measurements. Fair value is defined as 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 under current market conditions. 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 fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Masters Level 1 assets and liabilities are actively traded.
GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnerships Level 2 assets and liabilities.
The Partnership and the Master will separately present purchases, sales, issuances and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership values its investment in the Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnerships investment in the Master reflects its proportional interest in the Master. As of and for the periods ended March 31, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of managements assumptions and internal valuation pricing models (Level 3).
The Master considers prices for exchange-traded commodity futures and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non-exchange-traded swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended March 31, 2012 and December 31, 2011, the Master did not hold any derivative instruments for which market quotations are not readily available and are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of managements assumptions and internal valuation pricing models (Level 3).
17
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2012
(Unaudited)
Futures Contracts. The Master trades futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (variation margin) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Members Capital.
Options. The Master may purchase and write (sell) both exchange-listed and OTC 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 Master writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Members Capital.
Brokerage Commissions. Commission charges to open and close futures and exchange-traded swap contracts are expensed at the time the positions are opened. Commission charges on option contracts are expensed at the time the position is established and when the option contract is closed.
Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnerships income and expenses.
GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnerships financial statements to determine whether the tax positions are more-likely-than-not to be 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 benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnerships financial statements.
The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The 2008 through 2011 tax years remain subject to examination by U.S. federal and most state tax authorities. The General Partner does not believe that there are any uncertain tax positions that require recognition of a tax liability.
Subsequent Events. The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and has determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.
Recent Accounting Pronouncements. In October 2011, FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.
In December 2011, FASB issued ASU 2011-11, Disclosures about Offsetting Assets and Liabilities, which creates a new disclosure requirement about the nature of an entitys rights of setoff and the related arrangements associated with its financial instruments and derivative instruments. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership should also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.
Net Income (Loss) per unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, Financial Highlights.
18
Table of Contents
Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Master and cash. The Master does not engage in the sale of goods or services. The Masters only assets are its equity in its trading accounts, consisting of cash, cash margin and options purchased at fair value. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Master. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the first quarter of 2012.
The Partnerships capital consists of the capital contributions of the partners as increased or decreased by income (loss) from its investment in the Master and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.
For the three months ended March 31, 2012, Partnership capital decreased 0.8% from $346,438,430 to $343,788,079. This decrease was attributable to redemptions of 2,610.1808 Redeemable Units resulting in an outflow of $10,859,757, coupled with the net loss from operations of $3,951,310, which was partially offset by the subscriptions of 2,911.6745 Redeemable Units totaling $12,160,716. Future redemptions could impact the amount of funds available for investment in the Master in subsequent periods.
The Masters capital consists of the capital contributions of the members as increased or decreased by realized and/or unrealized gains or losses on trading and by expenses, interest income, redemptions of units and distributions of profits, if any.
For the three months ended March 31, 2012, the Masters capital decreased 0.8% from $976,510,592 to $968,809,937. This decrease was attributable to the redemptions of 3,090.4271 Units of Member Interest totaling $31,349,739 and distribution of interest income to feeder funds totaling $64,436 to the non-managing members of the Master, coupled with the net loss from operations of $1,592,769, which was partially offset by the subscriptions of 2,496.8870 Units of Member Interest totaling $25,306,289. Future redemptions can impact the amount of funds available for investments in commodity contract positions in subsequent periods.
Critical Accounting Policies
The preparation of financial statements in conformity with GAAP requires 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 income and expense during the reporting period. Management believes that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnerships significant accounting policies are described in detail in Note 6 of the Financial Statements.
The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Partners Capital.
19
Table of Contents
Results of Operations
During the Partnerships first quarter of 2012, the net asset value per unit decreased 1.1% from $4,176.49 to $4,129.53 as compared to an increase of 1.4% in the first quarter of 2011. The Partnership, for its own account, through its investment in the Master, experienced a net trading loss before brokerage commissions and related fees in the first quarter of 2012 of $226,725. Losses were primarily attributable to the Masters trading of commodity futures in IPE Brent Crude Oil, NYMEX Crude Oil, Indices and Softs and were partially offset by gains in NYMEX Energy Swaps, IPE Gas Oil, NYMEX Gasoline, NYMEX Natural Gas, NYMEX Heating Oil, Corn and Lumber. The Partnership, for its own account, through its investment in the Master, experienced a net trading gain before brokerage commissions and related fees in the first quarter of 2011 of $9,580,220. Gains were primarily attributable to the Masters trading of commodity futures in IPE Brent Crude Oil, IPE Gas Oil, NYMEX Gasoline and Lumber and were partially offset by losses in NYMEX Crude Oil, NYMEX Energy Swaps, NYMEX Natural Gas and NYMEX Heating Oil.
The most significant losses were incurred within the energies complex during January and February as short futures positions in Brent crude oil were negatively impacted as potential supply disruptions from Iran helped push prices higher. Further losses were incurred from short call options in Brent crude oil as prices rallied during January and February which also detracted from performance. Short futures positions in Light Sweet crude oil also incurred losses during February as prices strengthened on potential supply disruptions and an expected increase in demand. Additional losses were incurred within the energies complex from short futures positions in RBOB gasoline as prices rallied in March despite significant open long interest in the market and weaker demand numbers in the United States. Trading in equity indices also experienced losses as long put options on the S&P 500 Index were negatively impacted during January and February as the U.S. equity markets rallied given renewed optimism about the economy. Lastly, long futures positions in ethanol were negatively impacted during January and March as prices fell sharply during these two months as increased volatility in global commodities markets affected prices.
A portion of these losses was offset by gains from trading in agricultural commodities as the Partnership benefited from tactically trading in corn futures as the market continued to trade in a sideways manner given concerns on crop yields and weather disruptions to the harvest in February and March.
Commodity futures markets are highly volatile. Broad and rapid price fluctuations and rapid inflation increase the risks involved in commodity trading, but also increase the possibility for profit or loss. The profitability of the Partnership (and the Master) depends on the Advisors ability to forecast price changes in energy and energy-related commodities. Such price changes are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that the Advisor correctly makes such forecasts, the Partnership (and the Master) expects to increase capital through operations.
Brokerage commissions are based on the number of trades executed by the Advisor and the Partnerships ownership percentage of the Master. Brokerage commissions for the three months ended March 31, 2012 decreased by $47,714 as compared to the corresponding period in 2011. The decrease in brokerage commissions is primarily due to a decrease in the number of trades during the three months ended March 31, 2012 as compared to the corresponding period in 2011.
20
Table of Contents
Interest income on 80% of the Partnerships average daily equity allocated to it by the Master was earned at a 30-day U.S. Treasury bill rate determined weekly by CGM based on the average non-competitive yield on 3-month U.S. Treasury bills maturing in 30 days. Interest income allocated from the Master for the three months ended March 31, 2012 decreased by $44,442 as compared to the corresponding period in 2011. The decrease in interest income is primarily due to lower average daily equity and lower U.S. Treasury bill rates for the Partnership during the three months ended March 31, 2012, as compared to the corresponding period in 2011. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Masters account and upon interest rates over which the Partnership, the Master and CGM have no control.
Management fees are calculated as a percentage of the Partnerships net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31,2012 decreased by $180,518 as compared to the corresponding period in 2011. The decrease in management fees is due to a decrease in average net assets during the three months ended March 31, 2012 as compared to the corresponding period in 2011.
Administrative fees are calculated as a percentage of the Partnerships net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Administrative fees for the three months ended March 31, 2012 decreased by $45,130 as compared to the corresponding period in 2011. The decrease in administrative fees is due to a decrease in average net assets during the three months ended March 31, 2012 as compared to the corresponding period in 2011.
Special Limited Partner profit share allocations are based on the new trading profits generated by the Advisor at the end of the quarter, as defined in the advisory agreements among the Partnership, the General Partner and the Advisor. There were no profit share allocations made for the three months ended March 31, 2012 and 2011. The Advisor will not be allocated a profit share until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.
In allocating substantially all of the assets of the Partnership to the Master, the General Partner considers the Advisors past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisor at any time.
21
Table of Contents
Item 3. Quantitative and Qualitative Disclosures about Market Risk
All of the Partnerships assets are subject to the risk of trading loss through its investment in the Master. The Master is a speculative commodity pool. The market sensitive instruments held by the Master are acquired for speculative trading purposes, and all or substantially all of the Partnerships capital is subject to the risk of trading loss through its investment in the Master. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Masters and the Partnerships main line of business.
The limited partners will not be liable for losses exceeding the current net asset value of their investment.
Market movements result in frequent changes in the fair value of the Masters open positions and, consequently, in its earnings and cash balances. The Masters and the Partnerships market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Masters open contracts and the liquidity of the markets in which the Master trades.
The Master rapidly acquires and liquidates both long and short positions in a range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Masters past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Master could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Masters speculative trading and the recurrence in the markets traded by the Master of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Masters experience to date (i.e., risk of ruin). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Masters losses in any market sector will be limited to Value at Risk or by the Masters attempts to manage its market risk.
Exchange maintenance margin requirements have been used by the Master as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. The following tables indicate the trading Value at Risk associated with the Masters open positions by market category as of March 31, 2012 and December 31, 2011, and the highest, lowest and average value during the three months ended March 31, 2012 and for the twelve months ended December 31, 2011. All open position trading risk exposures of the Master have been included in calculating the figures set forth below. There has been no material change in the trading Value at Risk information previously disclosed in the Partnerships Annual Report on Form 10-K for the year ended December 31, 2011.
As of March 31, 2012, the Masters total capitalization was $968,809,937 and the Partnership owned approximately 36.0% of the Master. The Partnership invests substantially all of its assets in the Master. The Masters Value at Risk as of March 31, 2012 was as follows:
March 31, 2012
Three Months Ended March 31, 2012 | ||||||||||||||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Energy |
$ | 42,216,264 | 4.36 | % | $ | 74,809,915 | $ | 26,234,892 | $ | 47,763,839 | ||||||||||
Grains |
334,150 | 0.03 | 417,240 | 257,513 | 305,750 | |||||||||||||||
Lumber |
32,000 | 0.00 | ** | 96,000 | 1,600 | 32,000 | ||||||||||||||
Softs |
357,525 | 0.04 | 2,042,500 | 357,525 | 847,508 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 42,939,939 | 4.43 | % | ||||||||||||||||
|
|
|
|
* | Average monthly Values at Risk. |
** | Due to rounding. |
22
Table of Contents
As of December 31, 2011, the Masters total capitalization was $976,510,592 and the Partnership owned approximately 36.1% of the Master. The Partnership invests substantially all of its assets in the Master. The Masters Value at Risk as of December 31, 2011 was as follows:
December 31, 2011
Twelve Months Ended December 31, 2011 | ||||||||||||||||||||
Market Sector |
Value at Risk | % of Total Capitalization |
High Value at Risk |
Low Value at Risk |
Average Value at Risk* |
|||||||||||||||
Energy |
$ | 55,102,501 | 5.64 | % | $ | 94,389,860 | $ | 26,234,892 | $ | 59,052,953 | ||||||||||
Grains |
296,485 | 0.03 | 301,619 | 53,188 | 150,902 | |||||||||||||||
Indices |
1,456,343 | 0.15 | 2,900,159 | 17,268 | 1,177,895 | |||||||||||||||
Lumber |
41,000 | 0.01 | 156,000 | 1,600 | 50,692 | |||||||||||||||
Softs |
2,042,500 | 0.21 | 2,261,000 | 108,000 | 1,188,141 | |||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
$ | 58,938,829 | 6.04 | % | ||||||||||||||||
|
|
|
|
* | Annual average of month-end Values at Risk. |
23
Table of Contents
Item 4. Controls and Procedures
The Partnerships disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the Exchange Act), is recorded, processed, summarized and reported within the time periods expected in the SECs rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnerships external disclosures.
The General Partners CEO and CFO have evaluated the effectiveness of the Partnerships disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2012 and, based on that evaluation, the General Partners CEO and CFO have concluded that, at that date, the Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision of the General Partners CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:
| pertain to the maintenance of records, that in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; |
| provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnerships receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and |
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control over financial reporting process during the fiscal quarter ended March 31, 2012 that materially affected, or are reasonably likely to materially affect, the Partnerships internal control over financial reporting.
24
Table of Contents
Item 1. Legal Proceedings
The following information supplements and amends the discussion set forth under Part I, Item 3. Legal Proceedings in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31, 2011. There are no material legal proceedings pending against the Partnership and the General Partner.
Subprime Mortgage-Related Litigation and Other Matters
On March 15, 2012, the United States Court of Appeals for the Second Circuit granted a stay of the district court proceedings pending resolution of the appeals in SEC v. CGMI. Additional information relating to this matter is publicly available in court filings under docket numbers 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.) and 11-5227 (2d Cir.).
25
Table of Contents
Item 1A. | Risk Factors |
There have been no material changes to the risk factors set forth under Part I, Item 1A. Risk Factors in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31, 2011.
26
Table of Contents
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
For the three months ended March 31, 2012 there were additional subscriptions to limited partners of 2,911.6745 Redeemable Units totaling $12,160,716. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended and Section 506 of Regulation D promulgated thereunder. These units were purchased by accredited investors as defined in Regulation D. In determining the applicability of the exemption, the General Partner relied on the fact that the Redeemable Units were purchased by accredited investors in a private offering.
Proceeds of net offering were used for the trading of commodity interests, including futures contracts, options, forwards and swap contracts.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
Period | (a)
Total Number of Redeemable Units Purchased* |
(b)
Average Price Paid per Redeemable Unit** |
(c) Total Number of Redeemable Units Purchased as Part of Publicly Announced Plans or Programs |
(d) Maximum Number (or Approximate Dollar Value) of Redeemable Units that May Yet Be Purchased Under the Plans or Programs |
||||||||||||
January 1, 2012 January 31, 2012 |
1,391.5358 | $ | 4,181.60 | N/A | N/A | |||||||||||
February 1, 2012 February 29, 2012 |
473.5141 | $ | 4,147.44 | N/A | N/A | |||||||||||
March 1, 2012 March 31, 2012 |
745.1309 | $ | 4,129.53 | N/A | N/A | |||||||||||
2,610.1808 | $ | 4,160.54 | N/A | N/A |
* Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date, the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnerships business in connection with effecting redemptions for limited partners.
** Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day.
Item 3. Defaults Upon Senior Securities None
Item 4. Mine Safety Disclosures None
Item 5. Other Information None
27
Table of Contents
Item 6. Exhibits
3.1 | Certificate of Limited Partnership of the Partnership as filed in the Office of the Secretary of State of the State of New York, dated March 21, 2002 (filed as Exhibit 3.1 to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference). |
(a) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.1(a) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
(b) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(b) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
(c) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
(d) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 2, 2008 and incorporated herein by reference). | |||
(e) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference). | |||
(f) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated June 30, 2010 (filed as Exhibit 3.1(f) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference). | |||
(g) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 2, 2011 (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference). |
3.2 | Third Amended and Restated Limited Partnership Agreement, dated May 19, 2010 (filed as Exhibit 3.2 to the Current Report on Form 8-K filed on May 24, 2010 and incorporated herein by reference). | |
10.1(a) | Customer Agreement between the Master and Salomon Smith Barney Inc., dated August 23, 2001 (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference). | |
10.1(b) | Customer Agreement among the Partnership and Salomon Smith Barney Inc., and for limited purposes Smith Barney AAA Master Fund LLC, dated May 31, 2002 (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference). | |
10.2 | Form of Subscription Agreement (filed as Exhibit 10.2 to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |
10.3 | Advisory Agreement among the Partnership, the General Partner and AAA Capital Management Advisors, Ltd., dated April 3, 2006 (filed as Exhibit 10.3 to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). |
(a) | Letter from the General Partner extending Advisor Agreement for 2011, dated June 1, 2011 (filed as Exhibit 10.3(a) to the Annual Report on Form 10-K filed on March 30, 2012 and incorporated herein by reference). |
10.4 | Amended and Restated Agency Agreement among the Partnership, the General Partner, Morgan Stanley Smith Barney LLC, and CGM, dated November 11, 2009 (filed as Exhibit 10.4 to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |
31.1 | Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director). | |
31.2 | Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer). | |
32.1 | Section 1350 Certification (Certification of President and Director). | |
32.2 | Section 1350 Certification (Certification of Chief Financial Officer). |
101. INS | XBRL Instance Document. | |
101. SCH | XBRL Taxonomy Extension Schema Document. | |
101. CAL | XBRL Taxonomy Extension Calculation Linkbase Document. | |
101. LAB | XBRL Taxonomy Extension Label Linkbase Document. | |
101. PRE | XBRL Taxonomy Extension Presentation Linkbase Document. |
28
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AAA CAPITAL ENERGY FUND L.P. II
By: | Ceres Managed Futures LLC | |
(General Partner) | ||
By: | /s/ Walter Davis | |
Walter Davis President and Director | ||
Date: | May 15, 2012 | |
By: | /s/ Brian Centner | |
Brian Centner Chief Financial Officer (Principal Accounting Officer) | ||
Date: | May 15, 2012 |
29