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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:  September 30, 2012

Or

 

¨ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

Commission File Number: 000-50725

 

NESTOR PARTNERS

 

 

 

(Exact name of registrant as specified in its charter)

 

NEW JERSEY   22-2149317
(State or other jurisdiction of   (I.R.S. Employer
incorporation or organization)   Identification No.)

 

c/o MILLBURN RIDGEFIELD CORPORATION

411 West Putnam Avenue

Greenwich, Connecticut  06830

  

 

 

(Address of principal executive offices) (Zip code)

 

Registrant's telephone number, including area code:  (203) 625-7554

 

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, a non-accelerated filer, or a smaller reporting company. See the definitions of “accelerated filer,” “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

 

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

  

 
 

 

PART 1. FINANCIAL INFORMATION    
ITEM 1. FINANCIAL STATEMENTS    
     
Nestor Partners    
Financial statements    
For the three and nine months ended September 30, 2012 and 2011 (unaudited)    
     
Statements of Financial Condition (a)   1
Condensed Schedules of Investments (a)   2
Statements of Operations (b)   6
Statements of Changes in Partners' Capital (c)   8
Statements of Financial Highlights (b)   9
Notes to the Financial Statements   11

 

(a) At September 30, 2012 (unaudited) and December 31, 2011

(b) For the three and nine months ended September 30, 2012 and 2011 (unaudited)

(c) For the nine months ended September 30, 2012 and 2011 (unaudited)

 

 
 

 

Nestor Partners

Statements of Financial Condition (UNAUDITED)

 

   September 30   December 31 
    2012   2011 
ASSETS          
EQUITY IN TRADING ACCOUNTS:          
Investments in U.S. Treasury notes-at fair value (amortized cost $24,690,619 and $16,853,952)  $24,693,158   $16,854,836 
Net unrealized appreciation on open futures and forward currency contracts   949,922    2,651,806 
Due from brokers   3,337,265    1,432,104 
Cash denominated in foreign currencies (cost $1,353,145 and $347,456)   1,369,187    340,923 
Total equity in trading accounts   30,349,532    21,279,669 
           
INVESTMENTS IN U.S. TREASURY NOTES-at fair value (amortized cost $115,728,052 and $128,738,240)   115,741,762    128,739,557 
CASH AND CASH EQUIVALENTS   6,386,623    10,849,407 
ACCRUED INTEREST RECEIVABLE   256,020    771,589 
OTHER ASSETS   13,664    - 
TOTAL  $152,747,601   $161,640,222 
           
LIABILITIES AND PARTNERS' CAPITAL          
LIABILITIES:          
Capital contributions received in advance  $814,000   $3,061,300 
Net unrealized depreciation on open futures and forward  currency contracts   3,364,814    196,620 
Accrued brokerage fees   288,894    280,454 
Due to brokers   62,887    201,403 
Cash denominated in foreign currencies (cost $0 and -$552,152)   -    551,021 
Accrued expenses   284,553    245,831 
Capital withdrawals payable   620,828    485,276 
Due to General Partner   313    21 
Total liabilities   5,436,289    5,021,926 
           
PARTNERS' CAPITAL   147,311,312    156,618,296 
           
TOTAL  $152,747,601   $161,640,222 

 

See notes to financial statements

 

1
 

 

Nestor Partners

Condensed Schedule of Investments

September 30, 2012 (UNAUDITED)

 

Futures and Forward Currency Contracts  Net Unrealized
Appreciation/
(Depreciation) as a % of
Partners' Capital
   Unrealized
Appreciation/
(Depreciation)
 
FUTURES CONTRACTS:          
Long futures contracts:          
Energies   (0.85)%  $(1,257,453)
Grains   0.09    136,238 
Interest rates          
2 Year U.S. Treasury Note (870 contracts, settlement date December 2012)   0.06    85,515 
5 Year U.S. Treasury Note (420 contracts, settlement date December 2012)   0.10    148,969 
10 Year U.S. Treasury Note (137 contracts, settlement date December 2012)   0.05    78,797 
30 Year U.S. Treasury Bond (28 contracts, settlement date December 2012)   0.01    22,469 
Other   0.94    1,382,039 
Total interest rates   1.16    1,717,789 
           
Metals   0.83    1,222,580 
Softs   (0.00)   (2,340)
Stock indices   (0.81)   (1,200,131)
Total long futures contracts   0.42    616,683 
Short futures contracts:          
Energies   0.80    1,185,403 
Grains   0.03   37,554 
Interest rates   (0.01)   (19,648)
Livestock   (0.02)   (27,570)
Metals   (1.90)   (2,805,938)
Softs   0.00    6,748 
Stock indices   0.01    18,067 
Total short futures contracts   (1.09)   (1,605,384)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net   (0.67)   (988,701)
FORWARD CURRENCY CONTRACTS:          
Total long forward currency contracts   0.51    747,992 
Total short forward currency contracts   (1.48)   (2,174,183)
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS-Net   (0.97)   (1,426,191)
           
TOTAL   (1.64)%  $(2,414,892)

 

(Continued)

 

2
 

 

Nestor Partners

Condensed Schedule of Investments

September 30, 2012 (UNAUDITED)

 

U.S. Treasury Notes

 

Face Amount   Description  Fair Value as a
% of Partners'
Capital
   Fair Value 
             
 10,040,000   U.S. Treasury notes, 0.500%, 11/30/2012   6.82%  $10,046,667 
 37,990,000   U.S. Treasury notes, 0.625%, 02/28/2013   25.84    38,067,909 
 38,450,000   U.S. Treasury notes, 3.375%, 07/31/2013   26.79    39,471,328 
 52,880,000   U.S. Treasury notes, 0.125%, 09/30/2013   35.88    52,849,016 
     Total investments in U.S. Treasury notes (amortized cost $140,418,671)   95.33%  $140,434,920 

 

See notes to financial statements  (Concluded) 

 

3
 

 

 

Nestor Partners

Condensed Schedule of Investments

December 31, 2011

 

Futures and Forward Currency Contracts  Net Unrealized
Appreciation/
(Depreciation) as a % of
Partners' Capital
   Net Unrealized
Appreciation/
(Depreciation)
 
         
FUTURES CONTRACTS:          
Long futures contracts:          
Energies   (0.05)%  $(71,020)
Grains   0.10    152,750 
Interest rates          
2 Year U.S. Treasury Note (545 contracts, settlement date March 2012)   0.05    82,656 
5 Year U.S. Treasury Note (503 contracts, settlement date March 2012)   0.08    132,305 
10 Year U.S. Treasury Note (238 contracts, settlement date March 2012)   0.09    138,266 
30 Year U.S. Treasury Bond (59 contracts, settlement date March 2012)   0.03    41,875 
Other   0.87    1,358,939 
Total interest rates   1.12    1,754,041 
           
Metals   (0.14)   (221,615)
Softs   (0.05)   (80,763)
Stock indices   (0.01)   (8,545)
Total long futures contracts   0.97    1,524,848 
           
Short futures contracts:          
Energies   0.21    319,860 
Grains   (0.31)   (479,828)
Interest rates   (0.01)   (15,404)
Livestock   (0.00)   (3,990)
Metals   0.05    77,690 
Softs   0.18    278,569 
Stock indices   (0.09)   (137,823)
Total short futures contracts   0.03    39,074 
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net   1.00    1,563,922 
           
FORWARD CURRENCY CONTRACTS:          
Total long forward currency contracts   (0.13)   (207,427)
Total short forward currency contracts   0.70    1,098,691 
TOTAL INVESTMENTS IN FORWARD CURRENCY  CONTRACTS-Net   0.57    891,264 
           
TOTAL   1.57%  $2,455,186 

 

(Continued)

 

4
 

 

Nestor Partners

Condensed Schedule of Investments

December 31, 2011

 

U.S. Treasury Notes

 

Face Amount   Description  Fair Value as a
% of Partners'
Capital
   Fair Value 
             
$37,990,000   U.S. Treasury notes, 0.875%, 02/29/2012   24.29%  $38,040,455 
 39,720,000   U.S. Treasury notes, 0.375%, 08/31/2012   25.41    39,791,372 
 55,980,000   U.S. Treasury notes, 4.250%, 09/30/2012   36.83    57,690,014 
 10,040,000   U.S. Treasury notes, 0.500%, 11/30/2012   6.43    10,072,552 
     Total investments in U.S. Treasury notes (amortized cost $145,592,192)   92.96%  $145,594,393 

 

See notes to financial statements (Concluded)

 

5
 

 

Nestor Partners

Statements of Operations (UNAUDITED)

 

   For the three months ended 
   September 30   September 30 
   2012   2011 
INVESTMENT INCOME:          
Interest income  $47,958   $81,197 
           
EXPENSES:          
Brokerage fees   939,281    863,228 
Administrative expenses   95,751    101,000 
Custody fees and other expenses   279    6,940 
Total expenses   1,035,311    971,168 
           
NET INVESTMENT LOSS   (987,353)   (889,971)
           
NET REALIZED AND UNREALIZED GAINS (LOSSES):          
Net realized gains (losses) on closed positions:          
Futures and forward currency contracts   43,135    5,006,690 
Foreign exchange translation   (56,192)   26,017 
Net change in unrealized:          
Futures and forward currency contracts   1,012,071    (3,576,572)
Foreign exchange translation   15,079    (48,275)
Net gains (losses) from U.S. Treasury notes:          
Realized   (4,225)   - 
Net change in unrealized   24,949    (60,482)
Total net realized and unrealized gains   1,034,817    1,347,378 
           
NET INCOME   47,464    457,407 
LESS PROFIT SHARE TO GENERAL PARTNER   -    - 
NET INCOME AFTER PROFIT SHARE TO  GENERAL PARTNER  $47,464   $457,407 

 

(Continued)

 

6
 

 

Nestor Partners

Statements of Operations (UNAUDITED)

 

   For the nine months ended 
   September 30   September 30 
   2012   2011 
INVESTMENT INCOME:          
Interest income  $151,869   $308,696 
           
EXPENSES:          
Brokerage fees   2,803,227    2,518,434 
Administrative expenses   289,819    303,742 
Custody fees and other expenses   24,352    21,683 
Total expenses   3,117,398    2,843,859 
           
NET INVESTMENT LOSS   (2,965,529)   (2,535,163)
           
NET REALIZED AND UNREALIZED GAINS (LOSSES):     
Net realized gains (losses) on closed positions:          
Futures and forward currency contracts   (2,343,304)   7,312,587 
Foreign exchange translation   8,528    50,063 
Net change in unrealized:          
Futures and forward currency contracts   (4,870,078)   (10,750,953)
Foreign exchange translation   21,444    (72,991)
Net gains (losses) from U.S. Treasury notes:          
Realized   (4,225)   5,099 
Net change in unrealized   14,048    (50,855)
Total net realized and unrealized losses   (7,173,587)   (3,507,050)
           
NET LOSS   (10,139,116)   (6,042,213)
LESS PROFIT SHARE TO GENERAL PARTNER   -    7,415 
NET LOSS AFTER PROFIT SHARE TO  GENERAL PARTNER  $(10,139,116)  $(6,049,628)

 

See notes to financial statements (Concluded)

 

7
 

 

Nestor Partners

Statements of Changes in Partners' Capital (UNAUDITED)

 

For the nine months ended September 30, 2012:

 

   Limited
Partners
   Special 
Limited 
Partners
   New Profit
Memo 
Account
   General
Partner
   Total 
                     
PARTNERS' CAPITAL- January 1, 2012  $89,151,864   $64,316,203   $-   $3,150,229   $156,618,296 
Contributions   13,847,900    13,664    -    -    13,861,564 
Withdrawals   (11,034,496)   (1,994,936)   -    -    (13,029,432)
Net loss   (6,776,253)   (3,210,537)   -    (152,326)   (10,139,116)
PARTNERS' CAPITAL- September 30, 2012  $85,189,015   $59,124,394   $-   $2,997,903   $147,311,312 

  

For the nine months ended September 30, 2011:

 

   Limited
Partners
   Special 
Limited 
Partners
   New Profit
Memo 
Account
   General
Partner
   Total 
                     
PARTNERS' CAPITAL- January 1, 2011  $87,381,201   $71,314,986   $-   $3,825,701   $162,521,888 
Contributions   15,364,750    -    -    -    15,364,750 
Withdrawals   (13,653,747)   (3,195,370)   -    -    (16,849,117)
Net loss   (4,124,717)   (1,823,630)   (543)   (93,323)   (6,042,213)
General Partner's allocation: New Profit-Accrued   (7,415)   -    7,415    -    - 
PARTNERS' CAPITAL- September 30, 2011  $84,960,072   $66,295,986   $6,872   $3,732,378   $154,995,308 

 

See notes to financial statements

 

8
 

 

Nestor Partners

Statements of Financial Highlights (UNAUDITED)

 

For the three months ended September 30, 2012 and 2011  Limited
Partners
   Special Limited
Partners
 
   2012   2011   2012   2011 
                 
Ratios to average capital:                    
Net investment loss (a)   (3.96)%   (3.58)%   (0.67)%   (0.52)%
                     
Total expenses (a)   4.09%   3.78%   0.80%   0.72%
Profit share allocation (b)   0.00%   0.00%   0.00%   0.00%
Total expenses and profit share allocation   4.09%   3.78%   0.80%   0.72%
                     
Total return before profit share allocation (b)   (0.37)%   (0.06)%   0.45%   0.70%
Less: profit share allocation (b)   0.00%   0.00%   0.00%   0.00%
Total return after profit share allocation   (0.37)%   (0.06)%   0.45%   0.70%

 

(a) annualized  
(b) not annualized (Continued)

 

9
 

 

Nestor Partners

Statements of Financial Highlights (UNAUDITED)

 

For the nine months ended September 30, 2012 and 2011  Limited 
Partners
   Special Limited 
Partners
 
   2012   2011   2012   2011 
                 
Ratios to average capital:                    
Net investment loss (a)   (3.93)%   (3.47)%   (0.66)%   (0.47)%
                     
Total expenses (a)   4.06%   3.72%   0.79%   0.73%
Profit share allocation (b)   0.00%   0.01%   0.00%   0.00%
Total expenses and profit share allocation   4.06%   3.73%   0.79%   0.73%
                     
Total return before profit share allocation (b)   (7.29)%   (4.76)%   (5.00)%   (2.61)%
Less: profit share allocation (b)   0.00%   0.01%   0.00%   0.00%
Total return after profit share allocation   (7.29)%   (4.77)%   (5.00)%   (2.61)%

 

(a) annualized  
(b) not annualized (Concluded)

 

See notes to financial statements

 

10
 

 

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

 

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Nestor Partners’ (the “Partnership”) financial condition at September 30, 2012 and December 31, 2011 and the results of its operations for the three and nine months ended September 30, 2012 and 2011 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2011. The December 31, 2011 information has been derived from the audited financial statements as of December 31, 2011.

 

The preparation of financial statements in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States of America (the “U.S.”) requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

 

The Partnership enters into contracts that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. The Partnership does not anticipate recognizing any loss related to these arrangements.

 

The Income Taxes topic of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (the “Codification”) clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2009 to 2011, for the U.S. Federal jurisdiction, the New York, Connecticut and New Jersey state jurisdictions and the New York City jurisdiction, there are no uncertain tax positions. The Partnership is treated as a limited partnership for federal and state income tax reporting purposes and therefore the limited partners of the Partnership (the "Limited Partners") are responsible for the payment of taxes.

 

There have been no material changes with respect to the Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2011.

 

2. RECENT ACCOUNTING STANDARD

 

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 entity’s rights of setoff and the related arrangement 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 Statements of Financial Condition 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 U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. 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. Millburn Ridgefield Corporation (the “General Partner”) is currently evaluating the impact that the standard would have on the financial statements.

 

3. FAIR VALUE

 

The Fair Value Measurements and Disclosures topic of the Codification defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

 

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

 

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;

 

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

 

In determining fair value, the Partnership separates its investments into two categories: cash instruments and derivative contracts.

 

 

11
 

 

Cash Instruments – The Partnership’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment in a quoted short-term U.S. government securities money market fund. The General Partner does not adjust the quoted price for such instruments even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.

 

Derivative Contracts – Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

 

OTC derivatives, or forward currency contracts, are valued based on pricing models that consider the current market prices plus the time value of money (“forward points”) and contractual prices of the underlying financial instruments. The forward points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy is to calculate the forward points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of forward points for the applicable forward currency contract. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

 

During the three and nine months ended September 30, 2012 and 2011, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Partnership’s investments by hierarchical level as of September 30, 2012 and December 31, 2011 in valuing the Partnership’s investments at fair value. At September 30, 2012 and December 31, 2011, the Partnership held no assets or liabilities in Level 3.

 

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Financial Assets and Liabilities at Fair Value as of September 30, 2012

 

   Level 1   Level 2    Total  
               
U.S. Treasury Notes (1)  $140,434,920   $-    $140,434,920  
Short-Term Money Market Fund*   5,105,521    -     5,105,521  
Exchange-Traded Futures Contracts                 
Energies   (72,050)   -     (72,050 )
Grains   173,792    -     173,792  
Interest rates   1,698,141    -     1,698,141  
Livestock   (27,570)   -     (27,570 )
Metals   (1,583,358)   -     (1,583,358 )
Softs   4,408    -     4,408  
Stock indices   (1,182,064)   -     (1,182,064 )
                  
Total exchange-traded futures contracts   (988,701)   -     (988,701 )
                  
Over-the-Counter Forward Currency Contracts   -    (1,426,191)    (1,426,191 )
                  
Total futures and forward currency contracts (2)   (988,701)   (1,426,191)    (2,414,892 )
                  
Total financial assets at fair value  $144,551,740   $(1,426,191)   $143,125,549  
                  
Per line item in Statements of Financial Condition                 
(1)                 
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral           $ 24,693,158  
Investments in U.S. Treasury notes held in custody              115,741,762  
Total investments in U.S. Treasury notes             $140,434,920  
                  
(2)                 
Net unrealized appreciation on futures and forward currency contracts             $949,922  
Net unrealized depreciation on futures and forward currency contracts              (3,364,814 )
Total unrealized depreciation on futures and forward currency contracts             $(2,414,892 )

 

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

 

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Financial Assets and Liabilities at Fair Value as of December 31, 2011

 

   Level 1   Level 2   Total 
             
U.S. Treasury Notes (1)  $145,594,393   $-   $145,594,393 
Short-Term Money Market Fund*   10,689,407    -    10,689,407 
Exchange-Traded Futures Contracts               
Energies   248,840    -    248,840 
Grains   (327,078)   -    (327,078)
Interest rates   1,738,637    -    1,738,637 
Livestock   (3,990)   -    (3,990)
Metals   (143,925)   -    (143,925)
Softs   197,806    -    197,806 
Stock indices   (146,368)   -    (146,368)
                
Total exchange-traded future contracts   1,563,922    -    1,563,922 
                
Over-the-Counter Forward Currency Contracts   -    891,264    891,264 
                
Total futures and forward currency contracts (2)   1,563,922    891,264    2,455,186 
                
Total financial assets at fair value  $157,847,722   $891,264   $158,738,986 
                
Per line item in Statements of Financial Condition               
(1)               
Investments in U.S. Treasury notes held in brokers' trading accounts as collateral            $16,854,836 
Investments in U.S. Treasury notes held in custody             128,739,557 
Total investments in U.S. Treasury notes            $145,594,393 
                
(2)               
Net unrealized appreciation on futures and forward currency contracts            $2,651,806 
Net unrealized depreciation on futures and forward currency contracts             (196,620)
Total unrealized appreciation on futures and forward currency contracts            $2,455,186 

 

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

 

4. DERIVATIVE INSTRUMENTS

 

The Derivatives and Hedging topic of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.

 

The Partnership’s 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 Partnership’s open positions and the liquidity of the markets in which it trades.

 

The Partnership engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Partnership at September 30, 2012, by market sector:

 

Agricultural (grains, livestock and softs) – The Partnership’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions as well as supply and demand factors.

 

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

 

Energies – The Partnership’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

 

Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Partnership also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Partnership for the foreseeable future.

 

Metals – The Partnership’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

 

Stock indices – The Partnership’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries as well as other countries.

 

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Partnership’s policy regarding fair value measurement is discussed in the Fair Value and Disclosures note, contained herein.

 

Since the derivatives held or sold by the Partnership are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Partnership’s trading gains and losses in the Statements of Operations.

 

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2012 and December 31, 2011. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

 

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Fair value of futures and forward currency contracts at September 30, 2012

 

                   Net Unrealized 
   Fair Value - Long Positions   Fair Value - Short Positions   Gain (Loss) on 
Sector  Gains   Losses   Gains   Losses   Open Positions 
Futures contracts:                         
Energies  $137,450   $(1,394,903)  $1,391,630   $(206,227)  $(72,050)
Grains   367,713    (231,475)   52,063    (14,509)   173,792 
Interest rates   1,761,761    (43,972)   -    (19,648)   1,698,141 
Livestock   -    -    1,580    (29,150)   (27,570)
Metals   1,232,975    (10,395)   -    (2,805,938)   (1,583,358)
Softs   -    (2,340)   51,805    (45,057)   4,408 
Stock indices   28,501    (1,228,632)   40,358    (22,291)   (1,182,064)
Total futures contracts:   3,528,400    (2,911,717)   1,537,436    (3,142,820)   (988,701)
                          
Forward currency contracts   1,336,862    (588,870)   96,306    (2,270,489)   (1,426,191)
                          
Total futures and  forward currency contracts  $4,865,262   $(3,500,587)  $1,633,742   $(5,413,309)  $(2,414,892)

 

Fair value of futures and forward currency contracts at December 31, 2011

 

                   Net Unrealized 
   Fair Value - Long Positions   Fair Value - Short Positions   Gain (Loss) on 
Sector  Gains   Losses   Gains   Losses   Open Positions 
Futures contracts:                         
Energies  $4,507   $(75,527)  $326,720   $(6,860)  $248,840 
Grains   152,750    -    -    (479,828)   (327,078)
Interest rates   1,856,055    (102,014)   3,571    (18,975)   1,738,637 
Livestock   -    -    10,250    (14,240)   (3,990)
Metals   35,053    (256,668)   391,024    (313,334)   (143,925)
Softs   1,478    (82,241)   313,036    (34,467)   197,806 
Stock indices   -    (8,545)   200,392    (338,215)   (146,368)
Total futures contracts:   2,049,843    (524,995)   1,244,993    (1,205,919)   1,563,922 
                          
Forward currency contracts   545,371    (752,798)   1,768,206    (669,515)   891,264 
                          
Total futures and forward currency contracts  $2,595,214   $(1,277,793)  $3,013,199   $(1,875,434)  $2,455,186 

 

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three and nine months ended September 30, 2012 and 2011 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.

 

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Trading gains (losses) of futures and forward currency contracts for the three and nine months ended September 30, 2012 and 2011

 

Sector  Three months ended:
September 30, 2012
   Three months ended:
September 30, 2011
   Nine months ended:
September 30, 2012
   Nine months ended:
September 30, 2011
 
Futures contracts:                    
Energies  $(2,043,445)  $(447,048)  $(2,313,920)  $1,423,233 
Grains   1,266,050    (201,678)   (885,913)   (1,529,320)
Interest rates   3,148,074    11,049,386    6,029,891    11,876,132 
Livestock   (20,520)   (204,980)   (173,830)   (483,110)
Metals   (881,131)   592,760    (2,030,326)   33,807 
Softs   (308,621)   (460,494)   619,873    (592,678)
Stock indices   398,038    (1,865,200)   (4,227,141)   (9,407,626)
Total futures contracts:   1,558,445    8,462,746    (2,981,366)   1,320,438 
                     
Forward currency contracts   (503,239)   (7,032,628)   (4,232,016)   (4,758,804)
                     
Total futures and  forward currency contracts  $1,055,206   $1,430,118   $(7,213,382)  $(3,438,366)

 

The following table presents average notional value by sector of open futures and forward currency contracts for the nine months ending September 30, 2012 and 2011 in U.S. dollars. The Partnership’s average net asset value for the nine months ended September 30, 2012 and 2011 was approximately $154,000,000 and $161,000,000, respectively.

 

Average notional value by sector of futures and forward currency contracts for the nine months ended September 30, 2012 and 2011

 

   2012   2011 
Sector  Long positions   Short positions   Long positions   Short positions 
Futures contracts:                    
Energies  $19,866,747   $22,028,113   $26,708,862   $9,686,114 
Grains   7,527,396    4,979,154    11,499,966    6,945,623 
Interest rates   322,695,224    3,247,230    181,947,464    12,443,977 
Livestock   -    1,865,440    1,337,133    1,507,648 
Metals   5,915,938    13,463,470    18,102,610    6,236,554 
Softs   1,042,587    6,862,846    3,877,595    1,003,586 
Stock indices   37,334,609    19,054,308    55,479,672    7,172,577 
Total futures contracts:   394,382,501    71,500,561    298,953,302    44,996,079 
                     
Forward currency contracts   87,468,103    95,435,269    154,145,191    44,175,743 
                     
Total futures and  forward currency contracts  $481,850,604   $166,935,830   $453,098,493   $89,171,822 

 

Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10-year equivalent fixed income instruments and translated to U.S. dollars at September 30, 2012 and 2011. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the General Partner believes it is a more meaningful representation of notional values of the Partnership’s open interest rate positions.

 

CONCENTRATION OF CREDIT RISK

 

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. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

 

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Partnership’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Partnership enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

 

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The Partnership’s forward currency trading activities are cleared by Barclays Bank PLC (“BB”), Deutsche Bank AG (“DB”) and Morgan Stanley & Co. LLC (“MS”). The Partnership began trading at BB on June 2, 2011. The Partnership’s concentration of credit risk associated with BB, DB or MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by BB, DB and MS. The amount of such credit risk was $11,471,068 and $6,330,970 at September 30, 2012 and December 31, 2011, respectively.

 

5. PROFIT SHARE

 

The following table indicates the total profit share earned and accrued during the nine months ended September 30, 2012 and 2011. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Partnership’s Agreement of Limited Partnership. No profit share was earned or accrued during the three months ended September 30, 2012 and 2011.

  

   Nine months ended: 
   September 30, 
2012
   September 30,
2011
 
Profit share earned  $-   $7,415 
Profit share accrued   -    - 
Total profit share  $-   $7,415 

 

6. RELATED PARTY TRANSACTIONS

 

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. A portion of such expenses are paid to an affiliate of the General Partner, The Millburn Corporation (“TMC”), for providing accounting services to the Partnership. The following table indicates the portion relating to administrative expenses as well as the portion relating to legal and accounting services provided to the Partnership by TMC during the three and nine months ended September 30, 2012 and 2011. The General Partner pays all administrative expenses in excess of 0.25 of 1% per annum of the Partnership's average month-end net assets.

 

   Three Months Ended   Three Months Ended   Nine Months Ended   Nine Months Ended 
   September 30, 2012   September 30, 2011   September 30, 2012   September 30, 2011 
Administrative Expenses  $95,751   $101,000   $289,819   $303,742 
Legal and Accounting Services  $119,213   $24,717   $181,898   $134,832 
Provided by TMC                    

 

Limited partnership interests (“Interests”) sold through selling agents engaged by the General Partner are generally subject to a 2.5% redemption charge for redemptions made prior to the end of the twelfth month following their sale. All redemption charges will be paid to the General Partner. At September 30, 2012 and December 31, 2011, $313 and $21, respectively, was owed to the General Partner.

 

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 connection with, the following analysis.

 

OPERATIONAL OVERVIEW

 

Due to the nature of the Partnership's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Partnership's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Partnership and its past performance 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 likelihood of being profitable than in others.

 

LIQUIDITY AND CAPITAL RESOURCES

 

Interests may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

 

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

 

The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any). The Partnership does not engage in borrowing.

 

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The Partnership trades futures contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

 

The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, the amount may at any time be higher; (4) prohibiting pyramiding - that is, using unrealized profits in a particular market as margin for additional positions in the same market; and (5) changing the equity utilized for trading by an account solely on a controlled periodic basis, not automatically due to an increase in equity from trading profits. The General Partner attempts to control credit risk by causing the Partnership to deal exclusively with large, well capitalized financial institutions as brokers and counterparties.

 

The financial instruments traded by the Partnership contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward contracts or the Partnership’s satisfaction of the obligations may exceed the amount recognized in the Statement of Financial Condition of the Partnership.

 

Due to the nature of the Partnership’s business, substantially all its assets are represented by cash, cash equivalents and U.S. government obligations while the Partnership maintains its market exposure through open futures and forward currency contract positions.

 

The Partnership’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Partnership’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Partnership is assigned a position in the underlying future which is then settled by offset. The Partnership’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

 

The value of the Partnership’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Partnership’s debt securities to decline, but only to a limited extent. More important, changes in interest rates could cause periods of strong up or down market price trends during which the Partnership’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Partnership is likely to suffer losses.

 

The Partnership’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other Commodity Futures Trading Commission authorized investments or held in bank or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Partnership’s futures and forward currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures and forward trading, the Partnership’s assets are highly liquid and are expected to remain so.

 

During its operations for the three and nine months ended September 30, 2012, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

 

CRITICAL ACCOUNTING ESTIMATES

 

The Partnership records its transactions in futures and forward currency contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Partnership on the day with respect to which net assets are being determined. Open forward currency contracts are recorded at fair value, based on pricing models that consider the spot prices plus the forward points and contractual prices of the underlying financial instruments. The spot prices and forward points for open forward currency contracts are generally based on the 3:00 P.M. New York time prices provided by widely used quotation service providers on the day with respect to which net assets are being determined. The forward points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign currency contracts traded by the Partnership may be in between these periods.

 

19
 

 

The General Partner’s policy is to calculate the forward points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of Forward Points for the applicable forward currency contract. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

 

RESULTS OF OPERATIONS

 

Due to the nature of the Partnership’s 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.

 

     
  Periods ended September 30, 2012  
     

  

Month Ending:  Total Partners'
Capital
 
     
September 30, 2012  $147,311,312 
June 30, 2012   150,138,303 
December 31, 2011   156,618,296 

 

 

   Three Months   Nine Months 
Change in Partners' Capital  $(2,826,991)  $(9,306,984)
Percent Change   -1.88%   -5.94%

 

THREE MONTHS ENDED SEPTEMBER 30, 2012

 

The decrease in the Partnership’s net assets of $2,826,991 was attributable to withdrawals of $5,210,819, which was partially offset by contributions of $2,336,364, and a net gain of $47,464.

 

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2012 increased $76,053 relative to the corresponding period in 2011. The increase was due to an increase in the net asset value of fee-paying limited partners which was partially offset by a decrease in average net assets of the Partnership during the three months ended September 30, 2012, relative to the corresponding period in 2011.

 

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the three months ended September 30, 2012 decreased $5,249 relative to the corresponding period in 2011. The decrease was due mainly to a decrease in the Partnership’s average net assets during the three months ended September 30, 2012, relative to the corresponding period in 2011.

 

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended September 30, 2012 decreased $33,239 relative to the corresponding period in 2011. This decrease was due predominately to a decrease in average net assets during the three months ended September 30, 2012, relative to the corresponding period in 2011.

 

During the three months ended September 30, 2012, the Partnership experienced net realized and unrealized gains of $1,034,817 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $939,281, administrative expenses of $95,751 and custody fees and other expenses of $279 were incurred. Interest income of $47,958 partially offset the Partnership's expenses resulting in a net gain of $47,464. An analysis of the trading gain (loss) by sector is as follows:

 

Sector  % Gain
(Loss)
 
Currencies   (0.31)%
Energies   (1.37)%
Grains   0.82%
Interest rates   2.07%
Livestock   (0.03)%
Metals   (0.58)%
Softs   (0.22)%
Stock indices   0.25%
Trading gain   0.63%

 

20
 

 

NINE MONTHS ENDED SEPTEMBER 30, 2012

 

The decrease in the Partnership’s net assets of $9,306,984 was attributable to a net loss of $10,139,116 and withdrawals of $13,029,432, which was partially offset by contributions of $13,861,564.

 

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2012 increased $284,793 relative to the corresponding period in 2011. The increase was due to an increase in the net asset value of fee-paying limited partners which was partially offset by a decrease in average net assets of the Partnership during the nine months ended September 30, 2012, relative to the corresponding period in 2011.

 

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the nine months ended September 30, 2012 decreased $13,923 relative to the corresponding period in 2011. The decrease was due mainly to a decrease in the Partnership’s average net assets during the nine months ended September 30, 2012, relative to the corresponding period in 2011.

 

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the nine months ended September 30, 2012 decreased $156,827 relative to the corresponding period in 2011. This decrease was due predominately to a decrease in average net assets during the nine months ended September 30, 2012, relative to the corresponding period in 2011.

 

During the nine months ended September 30, 2012, the Partnership experienced net realized and unrealized losses of $7,173,587 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $2,803,227, administrative expenses of $289,819 and custody fees and other expenses of $24,352 were incurred. Interest income of $151,869 partially offset the Partnership's expenses resulting in a net loss of $10,139,116. An analysis of the trading gain (loss) by sector is as follows:

 

Sector  % Gain
(Loss)
 
Currencies   (2.67)%
Energies   (1.55)%
Grains   (0.56)%
Interest rates   3.93%
Livestock   (0.12)%
Metals   (1.30)%
Softs   0.39%
Stock indices   (2.69)%
Trading loss   (4.57)%

 

21
 

 

MANAGEMENT DISCUSSION – 2012

 

Three months ended September 30, 2012

 

The Partnership registered a small trading gain during the quarter as markets struggled to find a persistent direction. Profits from trading interest rate, grain and stock index futures were largely offset by losses from trading energy, metal and soft commodity futures as well as currencies.

 

Market participants had to weigh the deterioration in actual economic facts against additional easing of monetary policies by a variety of central banks. Moreover, they had to grapple with the ability and willingness of fiscal authorities to rein in deficits with appropriate and effective tax and expenditure programs. Economic statistics worldwide indicated negative or slowing growth and stagnant employment levels at best. The one exception was the U.S. where growth, though slow, seemed steady although employment levels remained depressed. Moreover, official forecasts from the International Monetary Fund, Organization for Economic Co-Operation and Development, World Bank, Asian Development Bank and others as well as from various national authorities, were uniformly downgraded. In an effort to counter these tendencies, monetary policies have become ever more accommodative. The latest installments on this easing occurred when on September 8, the European Central Bank (“ECB”) announced a plan (vigorously opposed by the Bundesbank) to purchase unlimited amounts of government bonds of Spain and other weak European members if these countries would first request assistance from Europe’s bailout trusts. On September 13, the Federal Reserve announced another round of quantitative easing (“QE3”). This was followed by the Bank of Japan increasing the size and duration of its asset purchases. And yet, market participants know that unless European policy makers finally fulfill promises concerning banking unification and fiscal policy unification; and unless the U.S. avoids the fiscal cliff and deals with its debt and deficit problems, the monetary efforts will be for naught. All in all, world markets enter the fourth quarter confronted with considerable uncertainty.

 

Against this background, long positions in safe haven U.S., German, British, and Japanese government notes and bonds were profitable, as were long positions in short-term interest rate futures. These gains were pared back later in the quarter due to a run-up in interest rates on government debt which suggests that market participants may be concluding that the ongoing deluge of monetary stimulus may be ineffective and eventually inflationary.

 

Stock index futures generated a gain due to long positions in U.S. and South African indices and short positions in the VIX, the so-called “fear index,” which showed a decrease in expected stock market volatility. Meanwhile, trading of Chinese, Korean, Canadian, Japanese and Swedish indices was unprofitable.

 

Drought in the U.S. drove grain prices sharply higher during much of the quarter and long positions in soybeans, soybean meal, wheat and corn were profitable, even though the gains were scaled back as prices receded from their highs late in the period. A short soybean oil trade lost money and was reversed.

 

Short Brent and WTI crude oil, heating oil and London gas oil trades were unprofitable and closed or reversed to long trades as concerns about developments in the Middle East underpinned prices despite an apparently abundant current supply. Natural gas trading was also somewhat unprofitable. Meanwhile a long RBOB gasoline trade was profitable.

 

Short positions in industrial metals were unprofitable as demand from the U.S. auto industry and some stock building demand from China outweighed the broader concerns about worldwide growth. A long gold position was profitable.

 

Currency trading was volatile. Market sentiment toward the euro and the U.S. dollar was continually in flux. On balance, short euro trades against a variety of currencies were profitable amid rising concern about European growth. Long positions in Norwegian and Swedish currencies were profitable as the Scandinavian units seemed to become the latest “safe havens.”

 

Short dollar trades versus the currencies of Korea, Singapore, Turkey, New Zealand, Australia and the United Kingdom were also profitable. On the other hand, long dollar positions versus the euro and the currencies of the Brazil, Chile, India, Japan, Mexico, Poland, Russia, the Czech Republic and Norway produced largely offsetting losses.

 

Short positions in cotton, sugar and Arabica coffee were unprofitable.

 

Three months ended June 30, 2012

 

The Partnership was marginally negative net of fees and expenses during the quarter as gains from trading over the first 89 calendar days of the period were erased on the final trading day of June following a surprise announcement from the latest European Union (“E.U.”) economic summit. Gains from interest rate futures trading and, to a lesser extent, from trading non-dollar cross rates and metal and soft commodity futures were offset by losses from trading stock index, energy and grain futures.

 

22
 

 

The global recovery, which was not very robust to begin with, displayed signs of additional weakness throughout the April-June period. Banking and sovereign stresses in the Eurozone, highlighted by two Greek elections in two months, increased. Growth in a number of emerging market economies—China, Brazil, and India, for example—disappointed. In the U.S., economic activity decelerated during the first half of the year so that second quarter growth is now expected to register less than 2%. These forces had led to gains on long interest rate positions, long dollar positions and short energy, metals and soft commodity positions. Then, on June 29, E.U. leaders announced an agreement to moderate conditions on emergency loans to Spanish banks, ease borrowing costs for Spain and Italy, move toward direct recapitalization of European banks with bailout funds, discuss a full E.U. banking union with ECB supervision, advance the fiscal union discussion and discuss a 120 billion euro fund to promote growth. While most of these provisions were anticipatory and not hard facts, the timing of the news—on a Friday before a U.S. holiday on the last trading day of the month and quarter—triggered a strong, albeit ephemeral, response, resulting in a major appreciation of the euro and other currencies versus the U.S. dollar, a selloff of safe harbor government debt and a strong rise in energy and metal prices. These market moves sent the Partnership’s returns for the quarter from a sizable gain to roughly breakeven.

 

Despite some end of June giveback, the sizable demand for the safest investments drove higher the prices of German, U.S., British, Australian, Canadian and Japanese government note and bond futures, leading to sizable profits on long positions. Indeed the yields on German, U.S. and British ten year notes, among others, fell to post World War II record lows. Measures to ease monetary policy by Brazil, India, China and Australia pointed to growth concerns and further encouraged safe haven demand.

 

As the growth outlook deteriorated, the prices of industrial metals fell and short positions were profitable. Gold and silver prices also fell and long positions generated losses and were closed and reversed to a small short trade.

 

Turning to soft commodities, short positions in cotton and coffee were profitable, while the loss on a long sugar trade offset those gains somewhat.

 

Short euro trades versus the Australian dollar and Turkish lire were profitable, as was a long Australian trade against the Swiss franc. U.S. dollar currency trading was flat for the quarter, largely due to U.S. dollar selling in the wake of the June 29 news from Europe. For most of the quarter the U.S. dollar had risen and long dollar positions against the euro, the currencies of India, Israel, Switzerland and to a lesser extent Brazil, Norway, Sweden and the Czech Republic were profitable. Meanwhile, losses were suffered trading the dollar vis-à-vis the British pound, Japanese yen, Canadian dollar, South African rand and a number of other high yield and emerging market currencies.

 

Energy prices fell against the background of weakening growth and a stronger U.S. dollar, and long positions in crude and crude products produced losses and in most cases were closed or reversed. Those short energy positions sustained losses during the June 29 rally. Natural gas trading was marginally negative.

 

Equity futures prices weakened as first quarter optimism dissipated. Long positions in U.S., Japanese, British, German and Dutch equity futures produced losses. Short positions in Spanish and Canadian equity futures generated smaller profits.

 

Grain prices were quite volatile during the quarter, generally declining through May as crop prospects were encouraging, and then soaring during June as drought struck the U.S. Midwest. Consequently, trading of corn, soybeans and wheat produced losses that outdistanced a small gain from trading soybean meal.

 

23
 

 

Three months ended March 31, 2012

 

The Partnership produced a loss during the quarter as losses from trading currency forwards and interest rates, equities, metals and grains futures overwhelmed gains from trading energies and soft commodities futures. The sentiment of market participants during the quarter was driven by the belief that both the economic outlook and the European debt crisis were improving.

 

Foreign exchange trading was particularly volatile and unprofitable. Entering the quarter, the U.S. dollar had been trading higher against most currencies based on relative economic strength, financial tumult in Europe and perceived weakening of growth in China. As these factors receded and the U.S. interest rates appeared to be staying negligible for an extended period the dollar sold off against Central and South American, European and Asian currencies generating losses on long dollar positions and in many cases bringing a reversal to short dollar positions. Later, short dollar trades versus the Brazilian real, Colombian peso and Chilean peso also generated losses. For the Brazilian real in particular, a larger than expected cut in the Brazilian Central Bank’s Selic benchmark interest rate and increased capital controls geared toward weakening the currency undermined the real. Also, a long Japanese yen trade versus the dollar lost money and was reversed to a short trade after the Japanese yen weakened suddenly following a surprise expansionary move by the Bank of Japan which increased its asset purchase program by $130 billion and set an inflation target for the first time.

 

Turning to non-dollar cross rates, long Australian dollar positions against a variety of currencies generated losses when the Australian dollar weakened as slowing growth, rising unemployment and declining inflation statistics combined with forecasts of a Chinese growth slowdown to increase the likelihood that the Reserve Bank of Australia might ease monetary policy. Short euro trades against several currencies were unprofitable as the euro rebounded when the ECB’s longer-term refinancing operation program improved the functioning of financial markets in Europe and as the size of the European rescue fund was substantially raised.

 

Whether from a reduced need for safety because of an improving economic outlook, particularly in the U.S., from an increased worry about inflation, from a renewed concern about government debt levels or from a reduced likelihood of QE3, interest rates rose and long positions in U.S., Australian, Canadian, British and Japanese note and bond futures produced losses.

 

A first quarter rally in equity markets was rather widespread as market participants responded favorably to an apparent improvement in the global economic outlook, particularly in the U.S. and to progress by the E.U. toward resolving their sovereign debt crisis. Long positions in U.S. equity futures were profitable, as was a short CBOE VIX trade that also benefitted from rising equity markets. However, short positions in numerous European and Asian equity indices, especially Japan, China, Hong Kong and Germany, produced even bigger losses.

 

Industrial metals had been in a sustained downtrend but as pessimism about global growth swung to modest optimism, perhaps prematurely, the metals rallied strongly, generating losses on short positions. A short platinum position also was unprofitable as a supply interruption from South Africa boosted prices.

 

In the energy markets, long positions in Brent crude, RBOB gasoline, London gas oil and heating oil benefited from the general commodity rally and continued stresses from the Middle East, and as a result were profitable. The biggest winner in the sector was short positions in natural gas where the supply boom from fracking and horizontal drilling in shale formations continues to drive prices down.

 

Trading of agricultural commodities was marginally negative. Short grain trades, especially in the soybean complex, were unprofitable. A short cocoa position was unprofitable as hot, dry weather hit the Ivory Coast and raised fears that an expected bumper crop might face significant damage. Short cotton and rubber trades were also unprofitable when prices rose as pessimism about worldwide growth lifted at least temporarily. A short Arabica coffee trade produced a profit as expectations of a bumper Brazilian harvest pushed Arabica to its lowest price in 18 months in late March.

 

24
 

 

     
  Periods ended September 30, 2011  
     

 

   Total 
   Partners' 
Month Ending:  Capital 
September 30, 2011  $154,995,308 
June 30, 2011   153,283,474 
December 31, 2010   162,521,888 

 

   Three months   Nine Months 
Change in Partners' Capital  $1,711,834   $(7,526,580)
Percent Change   1.12%   (4.63)%

 

THREE MONTHS ENDED SEPTEMBER 30, 2011

 

The increase in the Partnership’s net assets of $1,711,834 was attributable to a net gain of $457,407 and contributions of $13,999,750, which was partially offset by withdrawals of $12,745,323.

 

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2011 increased $50,901 relative to the corresponding period in 2010. The increase was due primarily to an increase in the average net assets of the Partnership during the three months ended September 30, 2011 relative to the corresponding period in 2010.

 

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the three months ended September 30, 2011 increased $6,209 relative to the corresponding period in 2010. The increase was due mainly to an increase in the Partnership’s average net assets during the three months ended September 30, 2011, relative to the corresponding period in 2010.

 

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended September 30, 2011 decreased $54,478 relative to the corresponding period in 2010. This decrease was due to a decrease in short-term Treasury yields during the three months ended September 30, 2011 relative to the corresponding period in 2010.

 

During the three months ended September 30, 2011, the Partnership experienced net realized and unrealized gains of $1,347,378 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $863,228, administrative expenses of $101,000 and custody fees and other expenses of $6,940 were incurred. Interest income of $81,197 partially offset the Partnership's expenses resulting in a net gain of $457,407. An analysis of the trading gain (loss) by sector is as follows:

  

Sector  % Gain
(Loss)
 
Currencies   (4.33)%
Energies   (0.30)%
Grains   (0.17)%
Interest rates   6.94%
Livestock   (0.16)%
Metals   0.37%
Softs   (0.32)%
Stock indices   (1.16)%
Trading loss   0.87%

 

25
 

 

NINE MONTHS ENDED SEPTEMBER 30, 2011

 

The decrease in the Partnership’s net assets of $7,526,580 was attributable to a net loss before profit share of $6,042,213 and withdrawals of $16,849,117, which was partially offset by contributions of $15,364,750.

 

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2011 increased $70,202 relative to the corresponding period in 2010. The increase was due primarily to an increase in the average net assets of the Partnership during the nine months ended September 30, 2011 relative to the corresponding period in 2010.

 

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the nine months ended September 30, 2011 increased $20,408 relative to the corresponding period in 2010. The increase was due mainly to an increase in the Partnership’s average net assets during the nine months ended September 30, 2011, relative to the corresponding period in 2010.

 

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the nine months ended September 30, 2011 decreased $126,297 relative to the corresponding period in 2010. This decrease was due to a decrease in short-term Treasury yields during the nine months ended September 30, 2011 relative to the corresponding period in 2010.

 

During the nine months ended September 30, 2011, the Partnership experienced net realized and unrealized losses of $3,507,050 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $2,518,434, administrative expenses of $303,742, custody fees and other expenses of $21,683 and an accrued profit share allocation to the General Partner of $7,415 were incurred. Interest income of $308,696 partially offset the Partnership's expenses resulting in a net loss after profit share to the General Partner of $6,049,628. An analysis of the trading gain (loss) by sector is as follows:

 

Sector  % Gain
(Loss)
 
Currencies   (2.92)%
Energies   0.83%
Grains   (1.03)%
Interest rates   7.36%
Livestock   (0.39)%
Metals   0.03%
Softs   (0.44)%
Stock indices   (5.69)%
Trading loss   (2.25)%

 

MANAGEMENT DISCUSSION 2011

 

Three months ended September 30, 2011

 

The Partnership showed a slight trading gain during the third quarter as gains from trading interest rates and gold outweighed losses from trading currencies, stock indices, agricultural commodities, energy and industrial metals.

 

Third quarter trading was volatile as pervasive uncertainty pushed cautionary, safety-first trades to the forefront of market action. The continuing failure of courage in Washington to come to a bipartisan solution on the U.S. deficit and debt ceiling imbroglio and the lack of a complete solution to Europe’s debt quagmire with its knock-on impact on banks held market participants hostage to uncertainty which had a negative influence on growth prospects worldwide.  In addition, inflation worries in emerging markets kept monetary policy on a tightening trajectory, especially in China and India, even as growth slowed.

 

The flight to safety produced gains from long positions in note and bond futures for the U.S., United Kingdom, Australia, Canada, Germany and Japan. The “Quantitative Easing” that was implemented in the U.S., United Kingdom, and Japan added to the demand for longer term instruments.

 

Coming into the quarter, the U.S. dollar had been in a lengthy decline and was not viewed as a safe haven.  However, with Switzerland and Japan enacting policy initiatives to limit the attractiveness of their currencies, with slower growth undermining the attraction of commodity and emerging market currencies and with the Euro’s existence in question, the U.S. dollar reemerged as a safe haven investment despite the rating downgrade of U.S. government securities by Standard & Poor’s.  As a result, short U.S. dollar trades, which had been profitable in July, were unprofitable during August and September.  Non-U.S. dollar cross rate trading was negative due to losses on long Australian and New Zealand dollar trades and on short British Pound and euro trades.

 

26
 

 

Given the deteriorating growth outlook, the fiscal problems in the developed world and policy tightening in emerging economies, equity futures trading was unprofitable for the quarter.  Long equity positions generated losses in July and August but after being reversed to short positions produced a somewhat offsetting gain in September.

 

Metal trading was volatile during the quarter and was fractionally profitable overall due to profits from a long gold position.  As growth prospects receded, long positions in industrial metals produced losses in August, were reversed to short positions and generated a small gain in September.

 

With the economic outlook weakening, losses on long positions in Brent crude, RBOB gasoline and London gas oil led to a fractional loss from energy trading although a short natural gas position was marginally profitable.

 

Trading of agricultural commodities was fractionally negative as long coffee, sugar, corn, soybean and soybean meal positions and a short livestock trade registered losses toward quarter end.

 

Three months ended June 30, 2011

 

While growth oriented trades produced gains early in the quarter, market sentiment toward these “risk on” positions deteriorated during May and June and the Partnership registered a decline for the three months. Losses from trading of equity, energy, metal and agricultural commodity futures outdistanced gains from currency and interest rate futures trading.

 

Manufacturing activity, as evidenced by weakening purchasing manager surveys and employment statistics, slowed worldwide during the quarter. In the developed economies, the continued depression in the housing markets and the knock-on effects of the Japan crisis added to the negative sentiment as did the coming end of the second round of quantitative easing (“QE2”) in the U.S. and the increase in bank regulations worldwide. Meanwhile, in the developing economies, more moves toward tighter monetary policy to contain inflation, led by China, reined in “animal spirits.” Combining this worsening growth outlook with the Greek debt drama and the U.S. debt ceiling imbroglio served to undermine the long equity and commodity trades in the Partnership.

 

Against this background, long equity futures positions produced losses and were reduced significantly and in some instances closed or reversed to short trades. Losses were registered on long equity positions in U.S., Chinese, Hong Kong, Korean, Taiwanese, Canadian, Australian, South African and European—especially Italian, Spanish and Dutch—equity futures. There was a bounce in equity markets near quarter-end as the Greek austerity approval triggered some short covering and perhaps due to quarter-end window dressing purchases.

 

A steadying U.S. dollar, slowing growth and news that the International Energy Agency would release 60 million barrels of oil from strategic reserves to compensate for the Libyan shortfall pushed energy prices lower and led to losses on long positions in crude and related products. Trading of natural gas also resulted in a loss.

 

Diminishing industrial activity and global economic growth produced losses from long positions in industrial metals, especially aluminum, lead, zinc and nickel. A long gold position was profitable, although the gains were pared back as the U.S. dollar stabilized after April. Silver trading was highly volatile with gains in April offset by losses in May and June.

 

Turning to agricultural commodities, long positions in the soybean complex, corn, cotton, coffee, and cattle were unprofitable, while a short wheat trade was profitable in June.

 

Interest rate trading was profitable during April and May but in June sovereign debt concerns and inflation worries undermined some long note and bond trades. For the quarter, long positions in U.S., Australian, Canadian and Japanese long-term futures, and a long position in short-term sterling were profitable. Meanwhile, short trades in European interest rate futures produced losses.

 

The Federal Reserve’s policy of miniscule interest rates and quantitative easing caused the U.S. dollar to take a significant dip in April. During May and June, the U.S. dollar partially recovered as the end of QE2 approached and as growth and debt concerns outside the U.S. caused market participants to trim back short U.S. dollar positions. Still, on balance, short U.S. dollar positions versus emerging market, high yield and safe haven currencies like the Swiss franc were profitable. Meanwhile, non-U.S. dollar trading lost money from long positions in the Australian dollar, Norwegian kroner and Swedish krona. On the other hand, a short British pound/long Australian dollar trade was profitable.

 

Three months ended March 31, 2011

 

Trading during the quarter was volatile largely as a result of the Japan disaster. There was a loss for the period as profits from energy, U.S. dollar currency, metal and soft commodity trading were outweighed by losses from equity, interest rate and currency cross rate trading.

 

Through the first two and one-third months of the quarter, generous liquidity creation by developed country central banks, especially the Federal Reserve, led to a weakening U.S. dollar, and rising equity and commodity prices. Meanwhile, inflation concerns, monetary policy tightening in emerging economies, and persistent worry about government debt problems encouraged interest rates on government securities to rise.

 

27
 

 

Given the diverse monetary policy stances of the U.S. and emerging economies, capital flowed toward high yield and emerging market exporting countries. Hence, short U.S. dollar positions were profitable as the U.S. dollar fell versus the currencies of Australia, Brazil, Canada, Korea, Mexico, Russia and Scandinavia.

 

Persistent ease in U.S. monetary policy also led to increasing optimism regarding global economic growth. This environment was favorable to global equities and long positions in index futures in the U.S., Canada, Europe and South Africa were profitable. Asian equities did less well as policy tightening progressed.

 

The weak U.S. dollar and strong growth outlook supported commodity prices and agricultural commodity, metal and energy trading were all profitable. The agricultural markets were also boosted by supply concerns caused by a variety of weather conditions – too much or too little rain, too hot or not hot enough. Long positions in corn, wheat, cotton, coffee and rubber were profitable.

 

Energy prices were up on the roiling violence in the Middle East and North Africa, a better economic growth outlook and supply drawdowns. Long positions in crude, heating oil, London gas oil and RBOB gasoline were profitable.

 

Contrary to some expectations, QE2 failed to keep interest rates low. With market participants worried about massive government borrowing requirements and future inflation, there was a substantial uptick in rates and moderate losses were sustained on long interest rate futures positions.

 

In mid-March, the Japanese earthquake/tsunami/nuclear disaster had a sizable negative impact on these profitable results as market participants altered their prior views, producing significant price reversals.

 

A flight to safety triggered a strong move into the U.S. dollar which had been falling because of concern regarding fiscal and monetary problems in the U.S., as well as into the Swiss franc and yen which had been weak due to low interest rates. This flight also led to rising prices for “suddenly safe” government securities which had previously been under pressure due to debt problems and recent signs of tighter monetary policies, particularly in Asia. Given the threat to worldwide growth due to the crippling of the Japanese economy, global equity markets, which had weakened noticeably on March 9 in the wake of a Bank of Korea rate hike and further signs of a persistent inflation problem in China, fell sharply as the scale of the disaster expanded. Finally, with Japan’s industrial sector somewhat crippled and global growth now more uncertain, the demands for and prices of metals, energy, and other commodities, which have been experiencing a secular boom, fell, negatively impacting performance.

 

The increase in volatility led our risk management systems to reduce positions in order to keep risk in line with intended exposures. Also, price changes produced new signals from directional models that led to position adjustments. Equity exposures were reduced about 50% from earlier levels, although the portfolio remained partially long Asian, U.S., and European indices. In Japan, equity positions were reduced close to flat, as were positions in Japanese government bonds, while the portfolio stayed slightly short the U.S. dollar against the yen. Metal and energy positions stayed long though 10-20% under earlier levels. The portfolio also went somewhat long interest rate futures, particularly Canadian, U.S. and British instruments.

 

Over the final days of the month, earlier trends resurfaced and much of the Japan related loss was recaptured, but with positions lowered, especially in equities, the quarter finished slightly negative.

 

OFF-BALANCE SHEET ARRANGEMENTS

 

The Partnership does not engage in off-balance sheet arrangements with other entities.

 

CONTRACTUAL OBLIGATIONS

 

The Partnership does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Partnership’s sole business is trading futures and forward contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements present a Condensed Schedule of Investments setting forth the Partnership’s open futures and forward currency contracts, both long and short, at September 30, 2012.

 

ITEM 3.   QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 

Not required.

 

ITEM 4.   CONTROLS AND PROCEDURES

 

The General Partner, with the participation of its Co-Chief Executive Officers and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal control over financial reporting during the quarter ended September 30, 2012 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal control over financial reporting with respect to the Partnership.

 

28
 

 

PART II.  OTHER INFORMATION

 

ITEM 1.  Legal Proceedings

 

None.

 

ITEM 1A. Risk Factors

 

Not required.

 

29
 

 

ITEM 2.  Unregistered Sales of Equity Securities and Use of Proceeds

 

(c)  Pursuant to the Partnership’s Agreement of Limited Partnership, Limited Partners may redeem their Interests at the end of each calendar month at the then current month-end net asset value. The redemption of Interests has no impact on the value of Interests that remain outstanding, and Interests are not reissued once redeemed.

 

The following table summarizes Interests redeemed during the three months ended September 30, 2012:

 

 

Date of
Withdrawal
  Limited
Partners
   Special Limited
Partners
   Total 
             
July 31, 2012  $(1,972,453)  $-   $(1,972,453)
August 31, 2012   (2,317,226)   (300,000)   (2,617,226)
September 30, 2012   (503,007)   (118,133)   (621,140)
Total  $(4,792,686)  $(418,133)  $(5,210,819)

 

ITEM 3.  Defaults Upon Senior Securities

 

None.

 

ITEM 4.  Mine Safety Disclosures

 

Not Applicable.

 

ITEM 5.  Other Information

 

None.

  

ITEM 6.  Exhibits

 

The following exhibits are included herewith:

 

31.01 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.02 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.03 Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer
32.01 Section 1350 Certification of Co-Chief Executive Officer
32.02 Section 1350 Certification of Co-Chief Executive Officer
32.03 Section 1350 Certification of Chief Financial Officer

 

101.INS* XBRL Instance Document  
101.SCH* XBRL Taxonomy Extension Schema  
101.CAL* XBRL Taxonomy Extension Calculation Linkbase  
101.DEF* XBRL Taxonomy Extension Definition Linkbase  
101.LAB* XBRL Taxonomy Extension Label Linkbase  
101.PRE* XBRL Taxonomy Extension Presentation Linkbase  

 

* XBRL information is furnished and not filed for purposes of Section 11 and 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, and is not subject to liability under those sections, is not part of any registration statement or prospectus to which it relates and is not incorporated or deemed to be incorporated by reference into any registration statement, prospectus or other document.

 

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SIGNATURES

 

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

 

By: Millburn Ridgefield Corporation, /s/Tod A. Tanis
  General Partner Tod A. Tanis
  Vice-President
Date: November 13, 2012 (Principal Accounting Officer)

 

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