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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 June 30, 2014
 
OR
 
o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

For the transition period from                                               to                                            
 
 
Commission File Number:  000-22887
  
RJO GLOBAL TRUST
(Exact name of registrant as specified in its charter)
 
Delaware
36-4113382
(State or other jurisdiction of incorporation or organization) 
(I.R.S. Employer Identification No.)
 
c/o R.J. O’Brien Fund Management, LLC
222 South Riverside Plaza
Suite 900
Chicago, IL  60606
(Address of principal executive offices) (Zip Code)
 
(888) 292 - 9399
(Registrant's 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.  x Yes         ¨ 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).   x Yes         ¨ No
 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
 
Large accelerated filer  £
Accelerated filer  £
Non-accelerated filer  £ (Do not check if 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).  o Yes         x No
 
 
TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION
1
   
1
1
2
3
4
5
   
16
   
21
   
21
   
PART II. OTHER INFORMATION
22
   
22
   
22
   
22
   
23
   
24
 
 
PART I – FINANCIAL INFORMATION

Item 1.  Financial Statements
 
RJO GLOBAL TRUST AND SUBSIDIARY
Consolidated Statements of Financial Condition
 
Assets
           
   
June 30,
   
December 31,
 
   
2014
   
2013
 
   
UNAUDITED
       
Assets:
           
Equity in commodity Trading accounts:
           
Cash on deposit with broker
 
$
9,292,727
   
$
11,311,474
 
Unrealized gain on open contracts
   
146,256
     
762,636
 
Total due from broker
   
9,438,983
     
12,074,110
 
                 
Cash and cash equivalents on deposit with affiliate
   
1,618,066
     
1,301,182
 
Cash on deposit with bank
   
21,477
     
3,230
 
Fixed income securities (cost $0 and $1,501,697, respectively), held by affiliate
   
-
     
1,465,195
 
Interest receivable
   
9
     
9,704
 
Cash on deposit with bank - Non-Trading
   
1,098,547
     
1,278,723
 
Prepaid expenses - offering
   
2,040
     
-
 
                 
Total Assets
 
$
12,179,122
   
$
16,132,144
 
                 
Liabilities and Unitholders' Capital
               
                 
Liabilities:
               
Accrued commissions
 
$
24,990
   
$
25,241
 
Accrued management fees
   
25,011
     
30,223
 
Accrued incentive fees
   
-
     
118,791
 
Accrued operating expenses
   
90,295
     
139,655
 
Accrued offering expenses
   
-
     
15,033
 
Redemptions payable - Trading
   
379,285
     
557,636
 
Accrued legal fees - Non-Trading
   
500
     
79,883
 
Accrued management fees to U.S. Bank - Non-Trading
   
6,769
     
7,595
 
Distribution payable - Non-Trading
   
1,034
     
1,034
 
Total liabilities
   
527,884
     
975,091
 
                 
Unitholders' capital:
               
Unitholders' capital (Trading):
               
Beneficial owners
               
Class A (166,862 and 190,458 units outstanding at
   June 30, 2014 and December 31, 2013, respectively)
   
10,332,296
     
13,569,363
 
Class B (2,829 and 4,564 units outstanding at  
   June 30, 2014 and December 31, 2013, respectively)
   
195,561
     
359,349
 
Managing owner (535 Class A units outstanding at
   June 30, 2014 and December 31, 2013, respectively)
   
33,128
     
38,117
 
                 
Unitholders' capital (LLC equity/Non-Trading):
               
Participating owners (144,250 and 171,234 units outstanding at
   June 30, 2014 and December 31, 2013, respectively)
   
69,181
     
89,652
 
Nonparticipating owners (2,129,038 and 2,102,054 units outstanding at
   June 30, 2014 and December 31, 2013, respectively)
   
1,021,072
     
1,100,572
 
                 
Total unitholders' capital
   
11,651,238
     
15,157,053
 
                 
Total Liabilities and Unitholders' Capital
 
$
12,179,122
   
$
16,132,144
 
                 
Net asset value per unit:
               
Trading:
               
Class A
 
$
61.92
   
$
71.25
 
Class B
 
$
69.13
   
$
78.74
 
LLC equity/Non-Trading
 
$
0.48
   
$
0.52
 
 
See accompanying notes to consolidated financial statements.
 
 
RJO GLOBAL TRUST AND SUBSIDIARY
Condensed Consolidated Schedules of Investments
 
   
June 30, 2014
   
December 31, 2013
 
    Face   Maturity   Percentage of           Face   Maturity   Percentage of        
   
Value
 
Date
 
Net Assets
   
Fair value
   
Value
 
Date
 
Net Assets
   
Fair value
 
Securities owned
         
UNAUDITED
                     
                                         
Corporate Bonds
                                       
BB & T Corp Note 2.05% ( cost $0 and $762,121, respectively)
  $ -  
NA
 
NA
    $ -     $ 750,000  
4/28/2014
    4.97 %   $ 752,693  
Goldman Sachs Group Inc Note 6% (cost $0 and $739,576, respectively)
    -  
NA
 
NA
      -       700,000  
5/1/2014
    4.70 %     712,502  
Total Corporate Bonds
  $ -                     $ 1,450,000         9.67 %     1,465,195  
                                                   
Total Fixed Income Securities (cost $0 and $1,501,697, respectively)
    $ -                       $ 1,465,195  
                                                   
Long Positions
                                                 
Futures Positions
                                                 
Agriculture
              -0.38 %   $ (44,228 )               -0.15 %   $ (22,282 )
Currency
              0.96 %     112,148                 0.31 %     46,836  
Energy
              -0.28 %     (32,880 )               -0.14 %     (21,904 )
Indices
              0.42 %     48,474                 2.98 %     450,939  
Interest rates
              0.74 %     85,723                 -0.92 %     (138,783 )
Metals
              0.12 %     14,280                 0.03 %     5,005  
                                                     
     Total long positions on open contracts
                    $ 183,517                       $ 319,811  
                                                     
Short Positions
                                                   
Futures Positions
                                                   
Agriculture
              0.70 %   $ 81,475                 1.37 %   $ 207,657  
Currency
              -0.44 %     (50,889 )               0.31 %     46,459  
Energy
              0.00 %     (427 )               -0.01 %     (770 )
Indices
              -0.09 %     (10,956 )               -0.39 %     (58,673 )
Interest rates
              -0.19 %     (22,461 )               1.15 %     174,237  
Metals
              -0.29 %     (34,003 )               0.49 %     73,915  
                                                     
     Total short positions on open contracts
                    $ (37,261 )                     $ 442,825  
                                                     
Total unrealized gain on open contracts
                    $ 146,256                       $ 762,636  
 
See accompanying notes to consolidated financial statements.
 
 
RJO GLOBAL TRUST AND SUBSIDIARY
Consolidated Statements of Operations
 
   
For the three months ended June 30,
   
For the six months ended June 30,
 
   
2014
   
2013
   
2014
   
2013
 
   
UNAUDITED
         
UNAUDITED
       
Trading gain (loss):
                       
Gain (loss) on trading of commodity contracts:
                   
Realized gain (loss) on closed positions
 
$
128,689
   
$
(311,621
)
 
$
(485,931
)
 
$
(354,405
)
Change in unrealized gain (loss) on open positions
   
51,874
     
(221,377
)
   
(616,380
)
   
(39,413
)
Change in unrealized gain (loss) on investment in
                         
Global Diversified Managed Futures Portfolio LLC
   
-
     
131,201
     
-
     
159,920
 
Foreign currency transaction gain (loss)
   
4,349
     
2,384
     
385
     
(3,768
)
Total Trading gain (loss)
   
184,912
     
(399,413
)
   
(1,101,926
)
   
(237,666
)
                                 
Net investment income (loss):
                               
Interest income
   
6,063
     
53,525
     
20,672
     
134,740
 
Realized gain (loss) on fixed income securities
   
(51,697
)
   
(52,174
)
   
(51,697
)
   
(59,167
)
Change in unrealized gain (loss) on fixed income securities
   
48,377
     
(1,005
)
   
36,503
     
(58,893
)
 Total net investment gain (loss)
   
2,743
     
346
     
5,478
     
16,680
 
                                 
Expenses:
                               
Commissions - Class A
   
141,544
     
220,411
     
279,077
     
459,546
 
Commissions - Class B
   
1,602
     
3,278
     
3,385
     
7,714
 
Advisory fees
   
1,281
     
8,513
     
3,188
     
17,437
 
Management fees
   
72,577
     
95,243
     
151,561
     
199,097
 
Ongoing offering expenses
   
18,000
     
14,000
     
36,000
     
21,500
 
Operating expenses
   
126,000
     
106,000
     
234,000
     
222,000
 
Total expenses
   
361,004
     
447,445
     
707,211
     
927,294
 
                                 
Trading income (loss)
   
(173,349
)
   
(846,512
)
   
(1,803,659
)
   
(1,148,280
)
                                 
Non-Trading income (loss):
                               
Interest on Non-Trading reserve
   
35
     
122
     
85
     
266
 
Legal and administrative fees
   
(19,425
)
   
(60,847
)
   
(17,111
)
   
(95,182
)
Management fees paid to US Bank
   
(31,195
)
   
(559
)
   
(82,945
)
   
(77,063
)
Non-Trading income (loss)
   
(50,585
)
   
(61,284
)
   
(99,971
)
   
(171,979
)
                                 
Net income (loss)
 
$
(223,934
)
 
$
(907,796
)
 
$
(1,903,630
)
 
$
(1,320,259
)
 
See accompanying notes to consolidated financial statements.
 
 
RJO GLOBAL TRUST AND SUBSIDIARY
Consolidated Statement of Changes in Unitholders’ Capital
For the six months ended June 30, 2014
UNAUDITED
 
Unitholders' Capital (Trading)
 
Beneficial Owners - Trading Class A
   
Beneficial Owners - Trading Class B
   
Managing Owners - Trading Class A
 
   
Units
   
Dollars
   
Units
   
Dollars
   
Units
   
Dollars
 
                                     
Balances at December 31, 2013
    190,458     $ 13,569,363       4,564     $ 359,349       535     $ 38,117  
Trading income (loss)
    -       (1,759,624 )     -       (39,046 )     -       (4,989 )
Unitholders' contributions
    -       -       -       -       -       -  
Unitholders' redemptions
    (23,596 )     (1,477,443 )     (1,735 )     (124,742 )     -       -  
Balances at June 30, 2014
    166,862     $ 10,332,296       2,829     $ 195,561       535     $ 33,128  
                                                 
Unitholders' Capital (Trading)
 
Total Unitholders' Capital - Trading
                                 
   
Units
   
Dollars
                                 
                                                 
Balances at December 31, 2013
    195,557     $ 13,966,829                                  
Trading income (loss)
    -       (1,803,659 )                                
Unitholders' contributions
    -       -                                  
Unitholders' redemptions
    (25,331 )     (1,602,185 )                                
Balances at June 30, 2014
    170,226     $ 10,560,985                                  
                                                 
Unitholders' Capital (LLC Equity/Non-Trading)
 
Participating Owners-
   
Nonparticipating Owners-
   
Total Unitholders' Capital-
 
   
LLC Equity/Non-Trading
   
LLC Equity/Non-Trading
   
LLC Equity/Non-Trading
 
   
Units
   
Dollars
   
Units
   
Dollars
   
Units
   
Dollars
 
                                                 
Balances at December 31, 2013
    171,234     $ 89,652       2,102,054     $ 1,100,572       2,273,288     $ 1,190,224  
Non-Trading income (loss)
    -       (7,173 )     -       (92,798 )     -       (99,971 )
Reallocation due to Redemptions
    (26,984 )     (13,298 )     26,984       13,298       -       -  
Balances at June 30, 2014
    144,250     $ 69,181       2,129,038     $ 1,021,072       2,273,288     $ 1,090,253  
                                                 
Total Unitholders Capital at June 30, 2014
                                          $ 11,651,238  
   
Unitholders' Capital
   
Unitholders' Capital
   
Unitholders' Capital
                         
   
Trading Class A
   
Trading Class B
   
(LLC Equity/Non-Trading)
                         
Net asset value per unit at December 31, 2013
  $ 71.25     $ 78.74     $ 0.52                          
Net change per unit
    (9.33 )     (9.61 )     (0.04 )                        
Net asset value per unit at June 30, 2014
  $ 61.92     $ 69.13     $ 0.48                          
 
See accompanying notes to consolidated financial statements.
 
 
RJO GLOBAL TRUST AND SUBSIDIARY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2014
(Unaudited)

(1)  
General Information and Summary
 
RJO Global Trust (the “Trust”), is a Delaware statutory trust organized on November 12, 1996 under the Delaware Statutory Trust Act.  It was formed to engage in the speculative trading of commodity interests, including futures contracts on currencies, interest rates, energy and agricultural products, metals, commodity indices and stock indices, spot and forward contracts on currencies and precious metals and exchanges for physicals pursuant to the trading instructions of multiple independent commodity trading advisors (“CTAs”).

R.J. O’Brien Fund Management, LLC (“RJOFM” or the “Managing Owner”) acquired the managing owner interest in the Trust from Refco Commodity Management, Inc. (“RCMI”) on November 30, 2006.  The Managing Owner of the Trust was initially formed as an Illinois corporation in November 2006 and became a Delaware limited liability company in July of 2007.  The Managing Owner is registered as a commodity pool operator under the Commodity Exchange Act, as amended (“CE Act”), and is responsible for administering the business and affairs of the Trust.  The Managing Owner is an affiliate of R.J. O’Brien & Associates LLC, the clearing broker for the Trust (“RJO” or the “Clearing Broker”).

Units of beneficial ownership of the Trust (“units”) commenced selling on April 3, 1997.  Effective July 1, 2011, the Managing Owner discontinued the public offering of the units and begin offering the units on a private placement basis only.  The Trust filed a Post-Effective Amendment to its Registration Statement on Form S-1 with the Securities and Exchange Commission (the “SEC”) on July 5, 2011 to deregister the remaining units that were unsold under the public offering.  The Post-Effective Amendment was declared effective by the SEC on July 8, 2011.  Effective January 15, 2014, the Managing Owner began offering Class C and Class D units.  The Class A and Class B units are no longer offered.

Pursuant to an Investment Management Agreement dated August 30, 2013 (the “Investment Management Agreement”), the Managing Owner appointed RPM Risk & Portfolio Management Aktiebolag, a limited liability company organized under the laws of Sweden, as investment manager to the Trust (“RPM” or the “Investment Manager”).  The Trust is a multi-advisor commodity pool where trading decisions for the Trust are delegated to multiple independent CTAs (each a “Trading Advisor” and collectively, the “Trading Advisors”) representing the Investment Manager’s “Evolving Manager Program”.  The Evolving Manager Program seeks to identity and select CTAs with shorter track records and with smaller assets under management who, in the opinion of the Investment Manager, appear to have potential for long-term over-performance relative to their respective peer group.  RPM may add, delete or modify such categories of investment strategies in line with its investment objective and policy.  The strategies include three broad based categories that are described as follows (each, an “Eligible Strategy”):
 
·
 Trend Following. A strategy that is often classified as “long volatility” because it tries to take advantage of large movements or “trends” in prices.  Trading programs are often fully systematic with limited application of discretion using a wide range of technical analysis methods to determine when trends occur.
 
·
 Short-Term Trading. A strategy that refers to all futures and currency investment strategies with a trading horizon ranging from intraday to less than a month, which seeks to exploit short-term price inefficiencies.  This is typically done using technical analysis.
 
·
 Fundamental Trading. A strategy that attempts to predict the future direction of markets based on macroeconomic data with less focus on price data alone.  A fundamental approach seeks to find opportunities where price does not properly reflect the fundamental valuation of the underlying asset, i.e. its intrinsic value.  A fundamental valuation can be done using various approaches but the most common methodologies are macroeconomic analysis and relative valuation.
 
The Investment Manager will, in its discretion, determine the minimum or maximum target allocation or allocation range, or the manner in which to rebalance the Trust or adjust relative weightings of the Trust.  RPM has complete flexibility in allocation and reallocating the Trust’s capital in any manner that it may deem appropriate.  There can be no assurance as to which factors the Investment Manager may consider in making capital allocations for the Trust, or as to which allocation the Investment Manager may make.  RPM may also add, remove or replace any Trading Advisor without the consent of or advance notice to investors.  Investors will be notified of any material change in the basic investment policies or structure of the Trust.

The Trust’s assets are currently allocated to O’Brien Alternative Strategic Investment Solutions, LLC (“RJ OASIS”), a Delaware series limited liability company operated by RJOFM.  Each “series” of RJ OASIS feeds into a separate trading company established to facilitate trading by a particular Trading Advisor (each a “Trading Company” and collectively, the “Trading Companies”).  The Trading Companies are operated by RJOFM.  As of June 30, 2014, the Trust was the sole investor in RJ OASIS.
 
 
On October 22, 2013, a Second Amendment to the Trust Agreement (as defined below) was entered into to reflect certain updates to the fees and expenses of the Trust in connection with the appointment of the Investment Manager, which are payable by the Class C and Class D unitholders.  The change in fees and expenses are not expected to significantly affect Class A and Class B unitholders.  As of June 30, 2014, RPM has delegated trading decisions for the Trust to five independent Trading Advisors: Revolution Capital Management LLC (“RCM”), PGR Capital LLP (“PGR”), Bleecker Street Capital, LLC (“Bleecker”), Paskewitz Asset Management, LLC (“PAM”) and Centurion Investment Management LLC (“CIM”), pursuant to advisory agreements executed between the Managing Owner, the Investment Manager, and, as applicable, each Trading Company and each Trading Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).

The Advisory Agreements between the Trading Companies and the appropriate Trading Advisors provide that each Trading Advisor has discretion in and responsibility for the selection of the Trust’s commodity transactions with respect to that portion of the Trust’s assets allocated to it.  As of June 30, 2014, prior to quarter-end reallocation, RCM was managing 18.50%, PGR 25.66%, Bleecker 5.14%, PAM 5.85%, and CIM 30.05% of the Trust’s assets, respectively.  Approximately 14.80% of the Trust’s assets were not allocated to a Trading Advisor.

RCM, PGR, PAM, and CIM are technical traders, and as such, their programs do not predict price movements.  No fundamental economic supply or demand analysis is used in attempting to identify mispricing in the market, and no macroeconomic assessments of the relative strengths of different national economies or economic sectors are made.  However, there are frequent periods during which fundamental factors external to the market dominate prices.  For Bleecker, which is a discretionary trader, economic fundamentals and macroeconomic assessments are made in the implementation of its investment strategy.

The Trust has no officers, directors or employees.  

RJO is a “futures commission merchant,” the Managing Owner is a “commodity pool operator” and the Trading Advisors to the Trust are “commodity trading advisors,” as those terms are used in the CE Act.  As such, they are registered with and subject to regulation by the Commodity Futures Trading Commission (“CFTC”) and are each a member of the National Futures Association (“NFA”).  R.J. O’Brien Securities, LLC, an affiliate of RJOFM and the lead selling agent for the Trust, is registered as a broker-dealer with the “SEC”, and is a member of the Financial Industry Regulatory Authority (“FINRA”).
 
The Managing Owner is responsible for the preparation of monthly and annual reports to the beneficial owners of the Trust (the “Beneficial Owners”), filing reports required by the CFTC, the NFA, the SEC and certain state agencies having jurisdiction over the Trust; calculation of the Trust’s net asset value (“NAV”) (meaning the total assets less total liabilities of the Trust) and directing payment of the management and incentive fees payable to the Investment Manager and Trading Advisors under the Investment Management Agreement and Advisory Agreements, as applicable.
 
The Trust will be terminated on December 31, 2026, unless terminated earlier upon the occurrence of one of the following:  (1) Beneficial Owners holding more than 50% of the outstanding units notify the Managing Owner to dissolve the Trust as of a specific date; (2) 120 days after the filing of a bankruptcy petition by or against the Managing Owner, unless the bankruptcy court approves the sale and assignment of the interests of the Managing Owner to a purchaser/assignor that assumes the duties of the Managing Owner; (3) 120 days after the notice of the retirement, resignation, or withdrawal of the Managing Owner, unless Beneficial Owners holding more than 50% of the outstanding units appoint a successor; (4) 90 days after the insolvency of the Managing Owner or any other event that would cause the Managing Owner to cease being managing owner of the Trust, unless Beneficial Owners holding more than 50% of the outstanding units appoint a successor; (5) dissolution of the Managing Owner; (6) insolvency or bankruptcy of the Trust; (7) a decrease in the NAV to less than $2,500,000; (8) a decline in the NAV per unit to $50 or less; (9) dissolution of the Trust; or (10) any event that would make it unlawful for the existence of the Trust to be continued or require dissolution of the Trust.
 
In 2005, certain assets held by the Trust’s prior clearing broker, Refco Capital Markets, LTD (“REFCO, LTD”), were determined to be illiquid.  On October 31, 2005, $57,544,206 of equity was moved to a separate non-trading account (the “Non-Trading Account”) and 2,273,288 in substitute units were issued to the unitholders at that time, pro rata to their share in the Trust.  At December 31, 2005, the illiquid assets were determined to be impaired and were reduced by $39,580,944 for impairment, based on management’s estimate at that time.
 
Through 2006, the Trust received $10,319,318 from the prior clearing broker in bankruptcy court and distributed $9,335,669 to unitholders in the manner as described in (a) and (b) below.
 
Effective January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a limited liability company, was established to pursue additional claims against REFCO, LTD, and all Non-Trading Accounts were transferred to the LLC.  Any new funds received from REFCO, LTD by the LLC will be distributed to unitholders who were investors in the Trust at the time of the bankruptcy of REFCO, LTD and Refco, Inc.  U.S. Bank National Association (“US Bank”) is the manager of the LLC.  US Bank may make distributions to the unitholders, as defined above, upon collection, sale, settlement or other disposition of the bankruptcy claim and after payment of all fees and expenses pro rata to the unitholders, as explained above, as follows:
 
(a) Any unitholder who had redeemed their entire interest in the Trust prior to distribution shall receive cash.
(b) Any unitholder who had continued to own units in the Trust shall receive additional units in the Trust at the then net asset value of the Trust.
 
 
The unitholders have no rights to request redemptions from the LLC.
 
The LLC agreed to compensate US Bank, as manager, the following: (1) an initial acceptance fee of $120,000, (2) an annual fee of $25,000, (3) a distribution fee of $25,000 per distribution, (4) out-of-pocket expenses, and (5) an hourly fee for all personnel at the then expected hourly rate ($350 per hour at the time the agreement was executed).
 
See Item 1: Note (6) for further detail regarding collection and distribution activity related to the assets held at REFCO.

(2)  
Summary of Significant Accounting Policies
 
The accounting and reporting policies of the Trust conform to accounting principles generally accepted in the United States of America and to practices in the commodities industry.  The following is a description of the more significant of those policies that the Trust follows in preparing its consolidated financial statements.
 
(a)         Basis of Presentation
 
The accompanying unaudited consolidated financial statements of the Trust have been prepared in accordance with accounting principles generally accepted in the United States of America for interim financial information and with rules and regulations of the SEC.  

Accordingly, they do not include all of the information and footnotes required by US GAAP for complete financial statements.  In the opinion of management, all adjustments (consisting only of normal recurring adjustments) considered necessary for a fair presentation of the financial condition and results of operations of the Trust for the periods presented have been included.
 
The Trust’s unaudited consolidated financial statements and the related notes should be read together with the consolidated financial statements and related notes included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2013.
 
(b)         Principles of Consolidation
 
The accompanying consolidated financial statements include the accounts of the Trust and its wholly-owned subsidiaries, JWH Special Circumstance, LLC and RJ OASIS.  All material intercompany transactions have been eliminated upon consolidation.
 
(c)         Revenue Recognition

Commodity futures contracts, forward contracts, physical commodities, and related options are recorded on their trade date.  All such transactions are recorded on a mark-to-market basis and measured at fair value daily.  Unrealized gains on open contracts reflected in the consolidated statements of financial condition represent the difference between original contract amount and fair value (as determined by exchange settlement prices for futures contracts and related options and cash dealer prices at a predetermined time for forward contracts, physical commodities, and their related options) as of the last business day of the reporting period or as of the last date of the consolidated financial statements.  As the broker has the right of offset, the Trust presents unrealized gains and losses on open futures contracts (the difference between contract trade price and quoted market price) as a net amount in the consolidated statements of financial condition.  Any change in net unrealized gain or loss on futures and forward contracts from the preceding period is reported in the consolidated statements of operations.  Gains or losses are realized when contracts are liquidated.
 
The Trust may write (sell) and purchase exchange listed options on commodities or financial instruments.  An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period.  The option premium is the total price paid or received for the option contract.  When the Trust writes an option, the premium received is recorded as a liability in the statement of financial condition and measured at fair value daily.  When the Trust purchases an option, the premium paid is recorded as an asset in the consolidated statements of financial condition and measured at fair value daily.  Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the consolidated statements of operations.  When a written option expires or the Trust enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction, including commission, is recognized as a component of realized gain (loss) on closed positions.  When a purchased option is exercised, the proceeds on the sale of an underlying instrument (for a purchased put option), or the purchase cost of an underlying instrument (for a purchased call option) is adjusted by the amount of the premium paid.
 
 
A portion of the Trust’s net assets are deposited in the Trust’s accounts with RJO, the Trust’s clearing broker and currency dealer.  For U.S. dollar deposits, 100% of interest earned on the Trust’s assets, calculated by the average four-week Treasury bill rate, is paid to the Trust.  For non-U.S. dollar deposits, the current rate of interest is equal to a rate of one-month LIBOR less 100 basis points.  Any amounts received by RJO in excess of amounts paid to the Trust are retained by RJO.  On October 6, 2010, the Managing Owner appointed RJO Investment Management LLC (“RJOIM”), an affiliate of the Managing Owner, to manage the Trust’s cash deposited with Wells Fargo Bank, N.A. (“Wells”).  As of June 30, 2014, Wells held approximately $1.6 million of the Trust’s assets.  To the extent excess cash is not invested in securities, such cash will be subject to the creditworthiness of the institution where such funds are deposited.

Fixed income securities are recorded at fair value, with changes in fair value recorded in the statement of operations as unrealized gain (loss) on fixed income securities.  Realized gains (losses) from liquidation of fixed income securities are determined on first-in, first-out (FIFO) basis.  Premiums and discounts on securities purchased are amortized over the lives of the respective instruments.  Interest income is recognized on the accrual basis.
 
(d)         Ongoing Offering Costs
 
Ongoing offering costs, subject to a ceiling of 0.50% of the Trust’s average month-end net asset value, are paid by the Trust and expensed as incurred.
 
(e)         Foreign Currency Transactions
 
Trading accounts in foreign currency denominations are susceptible to both movements in the underlying contract markets as well as fluctuation in currency rates.  Foreign currencies are translated into U.S. dollars for closed positions at an average exchange rate for the year, while year-end balances are translated at the year-end currency rates.  The impact of the translation is reflected in the consolidated statements of operations.
 
(f)          Use of Estimates
 
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates.
 
(g)         Valuation of Assets Held at Refco Capital Markets, Ltd.
 
The Trust recorded an impairment charge against its assets held at REFCO, LTD at December 31, 2005, based on management’s estimate of fair value at that time.  Subsequent recoveries from REFCO, LTD were credited against the then book value of the claim.  On June 28, 2007, the Trust’s cumulative recoveries from REFCO, LTD exceeded the book value of the impaired assets held at REFCO, LTD, which resulted in no remaining book value for those assets.  All recoveries in excess of the book value of the impaired assets have been recorded as “Collections in excess of impaired value” on the Trust’s consolidated statements of operations.  Any future administrative and/or legal expenses associated with liquidation of the assets held at REFCO, LTD have not been reflected as such future expenses are not capable of being estimated.  See Note (6) for further details.
 
(h)         Recent Pronouncement
 
In June 2013, the FASB issued ASU 2013-08, Financial Services – Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements (“ASU 2013-08”), containing new guidance on assessing whether an entity is an investment company, requiring non-controlling ownership interest in investment companies to be measured at fair value and requiring certain additional disclosures.  This guidance is effective for annual and interim periods beginning on or after December 15, 2013.  The Trust currently follows the guidance within the Investment Companies Topic of the FASB Accounting Standards Codification and is considered an investment company.  The adoption of ASU 2013-08 did not have a material effect on the Trust's consolidated financial statements.

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

Prior to October 22, 2013, the Trust paid the Managing Owner a fee of 0.75% of the Trust’s month-end net assets on an annual basis.  Effective October 22, 2013, the Managing Owner fee was reduced to 0.50% and waived for the 4th quarter, 2013.
 
 
Pursuant to the Trust’s agreements with the Trading Advisors, each Trading Advisor receives a monthly management fee at the rate of up to 0.083% (a 1% annual rate) of the Trust’s month-end net assets calculated after deduction of brokerage fees, but before reduction for any incentive fee or other costs and before inclusion of new unitholder subscriptions and redemptions for the month.  These management fees are not paid on the LLC’s net assets.
 
The Trust also pays the Trading Advisors a quarterly incentive fee of up to 25% of the “New Trading Profit,” if any, of the Trust.  The incentive fee is based on the performance of each Trading Advisor’s portion of the assets allocated to them.  New Trading Profit in any quarter is equal to the “Trading Profit” for such quarter that is in excess of the highest level of such cumulative trading profit as of any previous calendar quarter-end.  Trading Profit is calculated by including realized and unrealized profits and losses, excluding interest income, and deducting the management fee and brokerage fee.
 
(4)            Income Taxes
 
It is expected that that the Trust will be treated as a “partnership” for both U.S. federal and state tax purposes.  As such, no provision for U.S. federal income taxes has been made in the accompanying consolidated financial statements as each beneficial owner is responsible for reporting income (loss) based on its pro rata share of the profits or losses of the Trust.  The only significant differences in financial and income tax reporting basis are ongoing offering costs.

The Trust files income tax returns in the U.S. federal jurisdiction and in various state and local jurisdictions.  The Trust’s U.S. federal income tax returns for all tax years ended on or after December 31, 2010, remain subject to examination by the Internal Revenue Service.  The Trust’s state and local income tax returns are subject to examination by the respective state and local authorities over various statutes of limitations, generally ranging from three to five years from the date of filing.
 
(5)           Trading Activities and Related Risks
 
The Trust engages in the speculative trading of U.S. and international futures contracts, options, and forward contracts (collectively derivatives) through the trading instructions of the Trading Advisors.  These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy.  The Trust is exposed to both market risk - the risk arising from changes in the market value of the contract - and credit risk - the risk of failure by another party to perform according to the terms of a contract.

The purchase and sale of futures requires initial and on-going margin deposits with a futures commission merchant (“FCM”).  The Commodity Exchange Act requires an FCM to segregate or secure all customer transactions and assets from the FCM’s proprietary activities.  A customer’s cash and other property, such as U.S. Treasury Bills, deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements.  In the event of an FCM’s insolvency, recovery may be limited to a customer’s pro rata share of segregated funds.  It is possible that the recovered amount could be less than the total of cash and other property deposited by the customer.
 
The Trust has cash on deposit with an affiliate interbank market maker in connection with its trading of forward contracts.  In the normal course of business, the Trust does not require collateral from such interbank market maker.  Due to forward contracts being traded in unregulated markets between principals, the Trust also assumes a credit risk, the risk of loss from counterparty non-performance.
 
For derivatives, risks arise from changes in the market value of the contracts.  Theoretically, the Trust is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.
 
The Trust, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option.  There is also the risk the Trust may not be able to enter into a closing transaction because of an illiquid market.
 
The Trust is a buyer of exchange-traded options.  As such, the Trust pays a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option.  Purchased options expose the Trust to a risk of loss limited to the premiums paid.
 
Net trading results from derivatives for the three month period and the six month period ended June 30, 2014 and 2013, respectively, are reflected in the consolidated statements of operations and are equal to the gain or loss from trading less brokerage commissions.  Such trading results reflect the net gain or loss arising from the Trust’s speculative trading of futures contracts, options and forward contracts through the trading instructions of the Trading Advisors.

The Trust invests its margin in fixed income securities as permitted by CFTC regulations regarding acceptable securities for investment of segregated assets and the RJOIM agreement with the Trust.  Such acceptable securities, include, but are not limited to, U.S. Treasury and government agencies’ securities, purchase agreements collateralized by U.S. Treasury and government agencies, corporate debt securities, and bank debt securities.  The Trust’s total investment in corporate debt securities, bank deposit securities, and certificate of deposits combined cannot exceed 40% of the Trust’s total assets.
 
 
The Beneficial Owners bear the risk of loss only to the extent of the market value of their respective investments.
 
See Note (11) for further details on Derivative Instruments and Hedging Activities.

(6)           Assets Held at Refco Capital Markets, Ltd.

Effective October 31, 2005, $57,544,206 of equity and 2,273,288 in substitute units, which represented the assets held at REFCO, LTD plus $1,000,000 in cash, were transferred to a Non-Trading account, as explained in Note 2(g).  On December 31, 2005 the $56,544,206 of assets held at REFCO, LTD were reduced by $39,580,944 for impairment to $16,963,262, or 30% of the original value of the assets.  The table below summarizes all recoveries from REFCO, LTD and distributions to redeemed and continuing unitholders.
 
Recoveries from REFCO, LTD, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at REFCO, LTD
 
   
Amounts Received from
   
Balance of
   
Collections in Excess of
   
Cash Distributions to Non-Participating
   
Additional Units in Trust for Participating Owners
 
Date
 
REFCO LTD
   
Impaired Value
   
Impaired Value
   
Owners
   
Units
   
Dollars
 
12/29/06
  $ 10,319,318     $ 6,643,944     $ -     $ 4,180,958       54,914     $ 5,154,711  
04/20/07
    2,787,629       3,856,315       -       -       -       -  
06/07/07
    265,758       3,590,557       -       -       -       -  
06/28/07
    4,783,640       -       1,193,083       -       -       -  
07/03/07
    5,654       -       5,654       -       -       -  
08/29/07
    -       -       -       2,787,947       23,183       1,758,626  
09/19/07
    2,584,070       -       2,584,070       -       -       -  
12/31/07
    2,708,467       -       2,708,467       -       -       -  
03/28/08
    1,046,068       -       1,046,068       -       -       -  
04/29/08
    -       -       -       2,241,680       10,736       1,053,815  
06/26/08
    701,148       -       701,148       -       -       -  
12/31/08
    769,001       -       769,001       -       -       -  
06/29/09
    2,748,048       -       2,748,048       -       -       -  
12/30/09
    1,102,612       -       1,102,612       -       -       -  
05/19/10
    1,695,150       -       1,695,150       -       -       -  
06/04/10
    14,329,450 *     -       14,329,450 *     -       -       -  
08/01/10
    -       -       -       16,076,112       40,839       3,928,806  
10/15/10
    282,790 *     -       282,790 *     -       -       -  
12/30/10
    563,163 *     -       563,163 *     -       -       -  
06/02/11
    343,664 *     -       343,664 *     -       -       -  
08/30/11
    1,328,832 *     -       1,328,832 *     -       -       -  
12/01/11
    -       -       -       3,689,555       6,168       561,489  
10/31/12
    404,908 *     -       404,908 *     -       -       -  
12/05/12
    294,875 *     -       294,875 *     -       -       -  
08/05/13
    240,556 *     -       240,556 *     -       -       -  
                                                 
Totals
  $ 49,304,801     $ -     $ 32,341,539     $ 28,976,252       135,840     $ 12,457,447  
 
*The collections on June 4, 2010 were from a settlement agreement reached with Cargill, Inc. and Cargill Investors Services, Inc (together, "Cargill"). The gross collections of $15,300,000 on June 4, 2010, were reduced by $970,550, which represented Cargill's percentage of distributions, as defined in the Settlement Agreement. All subsequent collections are shown net and were reduced by Cargill's percentage of distributions at 57.25% of the gross collections.
 
 
(7)            Fair Value Measurements

In accordance with the Fair Value Measurements Topic of the Financial Accounting Standards Board Accounting Standards Codification, the Trust established a three-level valuation hierarchy for disclosure of fair value measurements.  The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date.  The three levels are defined as follows:
 
          Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date.  An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.  The value of the Trust’s exchange-traded futures contracts and options fall into this category.

          Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly.  This category includes forward currency contracts, options on forward currency contracts and fixed income securities that the Trust values using models or other valuation methodologies derived from observable market data.
 
          Level 3 inputs are unobservable inputs for an asset or liability.  Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date.  As of June 30, 2014 and December 31, 2013, the Trust did not have any Level 3 assets or liabilities.
 
An asset or liability’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.  The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
 
The Trust’s exchange-traded futures contracts and options on futures contracts are valued based on quoted prices (unadjusted) in active markets for identical assets or liabilities.  The Trust’s forward currency contracts and options on forward currency contracts are based on third-party quoted dealer values on the interbank market, based on similar assets or liabilities.  The Trust’s fixed income securities are valued using inputs that are observable for the asset or liability, including prices of similar fixed income securities or present values of expected future cash flow models.

The following table presents the Trust’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of June 30, 2014 and December 31, 2013, respectively:

   
June 30, 2014
 
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                       
Unrealized gain on open contracts:
                       
Futures positions
  $ 146,256     $ -     $ -     $ 146,256  
Total assets
    146,256       -       -       146,256  
                                 
Total fair value
  $ 146,256     $ -     $ -     $ 146,256  
 
   
December 31, 2013
 
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                               
Unrealized gain on open contracts:
                               
Futures positions
  $ 762,636     $ -     $ -     $ 762,636  
Fixed income securities
    -       1,465,195       -       1,465,195  
Total assets
    762,636       1,465,195       -       2,227,831  
                                 
Total fair value
  $ 762,636     $ 1,465,195     $ -     $ 2,227,831  
 
 
(8)           Operations
 
Redemptions
 
A beneficial owner may cause any or all of his or her units to be redeemed by the Trust effective as of the last business day of any month based on the net asset value per unit on such date on five business days’ written notice to NAV Consulting, Inc., the Trust’s administrator, or the Managing Owner.  Payment will generally be made within 10 business days of the effective date of the redemption.  The Trust’s Ninth Amended and Restated Declaration and Agreement of Trust, as amended (the “Trust Agreement”) contains a full description of redemption and distribution policies.
 
Subscriptions
 
Investors that are eligible to participate in the private offering of the units may purchase units in the Trust pursuant to the terms of the Trust’s Confidential Private Placement Memorandum and disclosure document (the “Memorandum”) and a signed subscription form.  The Trust Agreement and the Memorandum contain a full description of subscription policies.  An investment in the Trust does not include a beneficial interest or investment in the LLC.
 
Commissions
 
The Managing Owner and/or affiliates act as commodity brokers for the Trust through RJO.  Commodity brokerage commissions are typically paid upon the completion or liquidation of a trade and are referred to as “round-turn commissions,” which cover both
the initial purchase (or sale) and the subsequent offsetting sale (or purchase) of a commodity futures contract.
 
The Trust’s brokerage fee constitutes a “wrap fee” of  3.42% of the Trust’s month-end assets on an annual basis (0.28% monthly) with respect to Class A units and 1.42% of the Trust’s month-end assets on an annual basis (0.12% monthly) with respect to Class B units, which covers the fees described below.* 
 
Recipient
 
Nature of Payment
 
Class A Units
   
Class B Units
 
Managing Owner
 
Managing Owner fee
   
0.50
%
   
0.50
%
Selling Agent
 
Selling commission
   
2.00
%
   
0.00
%
Managing Owner
 
Clearing, NFA, and exchange fees (approximately)
   
0.92
%
   
0.92
%
         
3.42
%
   
1.42
%

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

As of June 30, 2014, no Class C or Class D units had been sold. The Managing Owner fee and clearing, NFA and exchange fees with respect to Class C and D units are not expected to differ significantly from those charged to the Class A and Class B units, respectively. The Class D units are subject to a 2.00% ongoing selling commission, and may also be subject to an initial selling commission of up to 2.00% of the amount invested. The Class C units are not subject to a selling commission.
  
(9)  Financial Highlights
 
The following financial highlights show the Trust’s financial performance of the Trading units for the three and six month periods ended June 30, 2014 and 2013 respectively.  Total return is calculated as the change in a theoretical beneficial owner’s investment over the entire period, and is not annualized.  Total return is calculated based on the aggregate return of the Trust’s Trading units taken as a whole.

 
   
Class A
   
Class B
   
Class A
   
Class B
 
   
Three months ended
   
Three months ended
   
Six months ended
   
Six months ended
 
   
June 30,
   
June 30,
   
June 30,
   
June 30,
 
   
2014
   
2013
   
2014
   
2013
   
2014
   
2013
   
2014
   
2013
 
Per share operating performance:
                                               
    Net asset value of Trading units, beginning of period
  $ 62.81     $ 75.80     $ 69.77     $ 82.53     $ 71.25     $ 76.92     $ 78.74     $ 83.34  
    Total Trading income (loss):
                                                               
         Trading gain (loss)
    1.11       (1.54 )     1.24       (1.68 )     (5.53 )     (0.98 )     (6.11 )     (1.07 )
         Investment income
    0.02       0.01       0.02       -       0.03       0.06       0.03       0.06  
         Expenses
    (2.02 )     (1.72 )     (1.90 )     (1.47 )     (3.83 )     (3.45 )     (3.53 )     (2.95 )
    Trading income (loss)
    (0.89 )     (3.25 )     (0.64 )     (3.15 )     (9.33 )     (4.37 )     (9.61 )     (3.96 )
    Net asset value of Trading units, end of period
  $ 61.92     $ 72.55     $ 69.13     $ 79.38     $ 61.92     $ 72.55     $ 69.13     $ 79.38  
                                                                 
Total return:
                                                               
    Total return before incentive fees
    (1.41 %)     (4.30 %)     (0.92 %)     (3.81 %)     (13.09 %)     (5.68 %)     (12.21 %)     (4.75 %)
    Less incentive fee allocations
    0.00 %     0.00 %     0.00 %     0.00 %     0.00 %     0.00 %     0.00 %     0.00 %
Total return
    (1.41 %)     (4.30 %)     (0.92 %)     (3.81 %)     (13.09 %)     (5.68 %)     (12.21 %)     (4.75 %)
                                                                 
Ratios to average net assets:
                                                               
    Trading income (loss)
    (1.60 %)     (4.42 %)     (1.14 %)     (3.90 %)     (15.29 %)     (5.72 %)     (16.28 %)     (4.49 %)
    Expenses:
                                                               
         Expenses, less incentive fees
    (3.33 %)     (2.34 %)     (2.80 %)     (1.83 %)     (6.02 %)     (4.62 %)     (5.01 %)     (3.67 %)
         Incentive fees
    0.00 %     0.00 %     0.00 %     0.00 %     0.00 %     0.00 %     0.00 %     0.00 %
    Total expenses
    (3.33 %)     (2.34 %)     (2.80 %)     (1.83 %)     (6.02 %)     (4.62 %)     (5.01 %)     (3.67 %)
 
The calculations above do not include activity within the Trust’s Non-Trading Accounts.
 
The net income and expense ratios are computed based upon the weighted average net assets for the Trust for the three and six month periods ended June 30, 2014 and 2013, respectively.  The amounts are not annualized.

(10)         Cash Management Agreement with Affiliate
 
On October 6, 2010, the Managing Owner retained RJOIM, an SEC registered investment adviser and an affiliate of the Managing Owner, as cash manager.  The assets managed by RJOIM are held in segregated accounts in custody at Wells.  RJOIM is paid an annual fee, currently 0.20% calculated and accrued daily at a rate equal to 1/360 of the principal balance.  As of June 30, 2014 the Trust’s deposits held by RJOIM consisted of cash of $1,618,066 and fixed income securities of $0.  Advisory fees earned by RJOIM aggregated $1,281, and $3,188, for the three and six months ended June 30, 2014, respectively.
 

 
(11)         Derivative Instruments and Hedging Activities
 
The Trust does not utilize “hedge accounting” and instead “marks-to-market” its derivatives through operations.
 
Derivatives not designated as hedging instruments:
 
As of June 30, 2014
                 
   
Asset
   
Liability
       
Type of
 
Derivatives
   
Derivatives
   
Net
 
Futures Contracts
 
Fair Value
   
Fair Value
   
Fair Value
 
                   
Agriculture
  $ 90,603     $ (53,356 )   $ 37,247  
Currency
    91,585       (30,326 )     61,259  
Energy
    38,044       (71,351 )     (33,307 )
Indices
    60,036       (22,518 )     37,518  
Interest Rates
    95,206       (31,944 )     63,262  
Metals
    -       (19,723 )     (19,723 )
    $ 375,474     $ (229,218 )   $ 146,256  
 
As of December 31, 2013
             
   
Asset
   
Liability
       
Type of
 
Derivatives
   
Derivatives
   
Net
 
Futures Contracts
 
Fair Value
   
Fair Value
   
Fair Value
 
                   
Agriculture
  $ 223,192     $ (37,817 )   $ 185,375  
Currency
    94,958       (1,663 )     93,295  
Energy
    15,843       (38,517 )     (22,674 )
Indices
    438,814       (46,548 )     392,266  
Interest Rates
    129,505       (94,051 )     35,454  
Metals
    78,920       -       78,920  
    $ 981,232     $ (218,596 )   $ 762,636  
 
 
The above reported fair values are included in equity in commodity trading accounts – unrealized gain on open contracts in the consolidated statements of financial condition as of June 30, 2014 and December 31, 2013, respectively.

As of June 30, 2014
                 
               
Net
 
    Gross    
Assets
 
   
Assets
   
Liabilities
   
(Liabilities)
 
                   
Unrealized gain (loss) on open contracts
  $ 485,031     $ (338,775 )   $ 146,256  
                         
Total
  $ 485,031     $ (338,775 )   $ 146,256  
 
As of December 31, 2013
                       
                 
Net
 
    Gross    
Assets
 
   
Assets
   
Liabilities
   
(Liabilities)
 
                         
Unrealized gain (loss) on open contracts
  $ 1,095,940     $ (333,304 )   $ 762,636  
                         
Total
  $ 1,095,940     $ (333,304 )   $ 762,636  

Trading gain (loss) for the following periods:

   
Six Months Ended June 30,
 
Type of Futures Contracts
 
2014
   
2013
 
Agriculture
  $ 21,979     $ (184,663 )
Currency
    47,491       (176,681 )
Energy
    (253,590 )     (13,094 )
Indices
    (606,093 )     (217,160 )
Interest Rates
    17,449       (24,325 )
Metals
    (329,162 )     218,337  
    $ (1,101,926 )   $ (397,586 )
 
   
Three Months Ended June 30,
 
Type of Futures Contracts
    2014       2013  
Agriculture
  $ 85,934     $ (399,350 )
Currency
    21,774       (137,854 )
Energy
    (93,929 )     (133,992 )
Indices
    62,045       (58,059 )
Interest Rates
    250,587       (17,393 )
Metals
    (141,499 )     216,034  
    $ 184,912     $ (530,614 )

See Note (5) for additional information on the Trust’s purpose for entering into derivatives not designed as hedging instruments and its overall risk management strategies.
 
(12)         Subsequent Events
 
On July 1, 2014, RJ OASIS is open to new qualified investors and as of that date the Trust may no longer be the sole investor in any of the designated Series.  Going forward, the Trust’s investment in any of the RJ OASIS designated Series will be reported as an investment in said underlying Series.

As of August 1, 2014, RJOIM agreed to waive all advisory fees previously charged to the Trust, back to January 1, 2014, in response to a request by the managing owner for said rebate.  This request was made due to the decrease in the size of the Trust’s deposit with RJOIM and the current interest rate environment.  The total amount waived as of July 31, 2014, was $3,483.

 
Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of Operations
 
(a)         Introduction

RJO Global Trust (the “Trust”), is a Delaware statutory trust organized on November 12, 1996 under the Delaware Statutory Trust Act.  It was formed to engage in the speculative trading of commodity interests, including futures contracts on currencies, interest rates, energy and agricultural products, metals, commodity indices and stock indices, spot and forward contracts on currencies and precious metals and exchanges for physicals pursuant to the trading instructions of multiple independent commodity trading advisors (“CTAs”).

R.J. O’Brien Fund Management, LLC (“RJOFM” or the “Managing Owner”) acquired the managing owner interest in the Trust from Refco Commodity Management, Inc. (“RCMI”) on November 30, 2006.  The Managing Owner of the Trust was initially formed as an Illinois corporation in November 2006 and became a Delaware limited liability company in July of 2007.  The Managing Owner is registered as a commodity pool operator under the Commodity Exchange Act, as amended (“CE Act”), and is responsible for administering the business and affairs of the Trust.  The Managing Owner is an affiliate of R.J. O’Brien & Associates LLC, the clearing broker for the Trust (“RJO” or the “Clearing Broker”).

Units of beneficial ownership of the Trust (“units”) commenced selling on April 3, 1997.  Effective July 1, 2011, the Managing Owner discontinued the public offering of the units and begin offering the units on a private placement basis only.  The Trust filed a Post-Effective Amendment to its Registration Statement on Form S-1 with the Securities and Exchange Commission (the “SEC”) on July 5, 2011 to deregister the remaining units that were unsold under the public offering.  The Post-Effective Amendment was declared effective by the SEC on July 8, 2011.  Effective January 15, 2014, the Managing Owner began offering Class C and Class D units.  The Class A and Class B units are no longer offered.

Pursuant to an Investment Management Agreement dated August 30, 2013 (the “Investment Management Agreement”), the Managing Owner appointed RPM Risk & Portfolio Management Aktiebolag, a limited liability company organized under the laws of Sweden, as investment manager to the Trust (“RPM” or the “Investment Manager”).  The Trust is a multi-advisor commodity pool where trading decisions for the Trust are delegated to multiple independent CTAs (each a “Trading Advisor” and collectively, the “Trading Advisors”) representing the Investment Manager’s “Evolving Manager Program”.  The Evolving Manager Program seeks to identity and select CTAs with shorter track records and with smaller assets under management who, in the opinion of the Investment Manager, appear to have potential for long-term over-performance relative to their respective peer group.  RPM may add, delete or modify such categories of investment strategies in line with its investment objective and policy.   

The Investment Manager will, in its discretion, determine the minimum or maximum target allocation or allocation range, or the manner in which to rebalance the Trust or adjust relative weightings of the Trust.  RPM has complete flexibility in allocation and reallocating the Trust’s capital in any manner that it may deem appropriate.  There can be no assurance as to which factors the Investment Manager may consider in making capital allocations for the Trust, or as to which allocation the Investment Manager may make.  RPM may also add, remove, or replace any Trading Advisor without the consent of or advance notice to investors.  Investors will be notified of any material change in the basic investment policies or structure of the Trust.

The Trust’s assets are currently allocated to O’Brien Alternative Strategic Investment Solutions, LLC (“RJ OASIS”), a Delaware series limited liability company operated by RJOFM.  Each “series” of RJ OASIS feeds into a separate trading company established to facilitate trading by a particular Trading Advisor (each, a “Trading Company” and collectively, the “Trading Companies”).  The Trading Companies are operated by RJOFM.  As of June 30, 2014, the Trust was the sole investor in RJ OASIS.

On October 22, 2013, a Second Amendment to the Trust Agreement (as defined below) was entered into to reflect certain updates to the fees and expenses of the Trust in connection with the appointment of the Investment Manager, which are payable by the Class C and Class D unitholders   The change in fees and expenses are not expected to significantly affect Class A and Class B unitholders.  As of June 30, 2014, RPM has delegated trading decisions for the Trust to five independent Trading Advisors: Revolution Capital Management LLC (“RCM”), PGR Capital LLP (“PGR”), Bleecker Street Capital, LLC (“Bleecker”), Paskewitz Asset Management, LLC (“PAM”) and Centurion Investment Management, LLC (“CIM”), pursuant to advisory agreements executed between the Managing Owner, the Investment Manager, and, as applicable, each Trading Company and each Trading Advisor (each an “Advisory Agreement” and collectively  the “Advisory Agreements”).

In 2005, certain assets held by the Trust’s prior clearing broker, Refco Capital Markets, LTD (“REFCO, LTD”), were determined to be illiquid.  On October 31, 2005, $57,544,206 of equity was moved to a separate non-trading account (the “Non-Trading Account”) and 2,273,288 in substitute units were issued to the unitholders at that time, pro rata to their share in the Trust.  At December 31, 2005, the illiquid assets were determined to be impaired and were reduced by $39,580,944 for impairment, based on management’s estimate at that time.
 
Through 2006, the Trust received $10,319,318 from the prior clearing broker in bankruptcy court and distributed $9,335,669 to
unitholders in the manner as described in (a) and (b) below.
 
 
Effective January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a limited liability company, was established to pursue additional claims against REFCO, LTD, and all Non-Trading Accounts were transferred to the LLC.  Any new funds received from REFCO, LTD by the LLC will be distributed to unitholders who were investors in the Trust at the time of the bankruptcy of REFCO, LTD and Refco, Inc.  U.S. Bank National Association (“US Bank”) is the manager of the LLC.  US Bank may make distributions to the unitholders, as defined above, upon collection, sale, settlement or other disposition of the bankruptcy claim and after payment of all fees and expenses pro rata to the unitholders, as explained above, as follows:

 
(a)
Any unitholder who had redeemed their entire interest in the Trust prior to distribution shall receive cash.
 
 
(b)
Any unitholder who had continued to own units in the Trust shall receive additional units in the Trust at the then net asset value of the Trust.
 
The unitholders have no rights to request redemptions from the LLC.