Attached files
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EX-32.01 - AIS FUTURES FUND IV LP | efc9-1023_ex3201.htm |
EX-31.01 - AIS FUTURES FUND IV LP | efc9-1023_ex3101.htm |
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 Fiscal Quarter Ended September 30, 2009
or
¨
|
TRANSITION
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
|
For
the transition period from
to
Commission
file number: 000-52599
AIS
FUTURES FUND IV L.P.
(Exact
name of registrant as specified in its charter)
Delaware
|
13-3909977
|
|
(State
or other jurisdiction
of
incorporation or organization)
|
(I.R.S.
Employer
Identification
Number)
|
c/o
AIS FUTURES MANAGEMENT LLC
187
Danbury Road, Suite 201
Wilton,
Connecticut 06897
(Address
of Principal Executive Offices)
(203)
563-1180
(Registrant’s
telephone number, including area code)
Securities
registered pursuant to Section 12(b) of the Act: None
Securities
registered pursuant to Section 12(g) of the Act: Limited Partnership
Interests
Indicate
by check mark whether the registrant (1) has filed all reports required to be
filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the
preceding 12 months (or 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 ý No o
|
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 o
No o
|
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 definition of “large accelerated filer”, “accelerated
filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check
one):
Large
accelerated filer o
|
Accelerated
filer o
|
Non-accelerated
filer o
|
Smaller
reporting company ý
|
Indicate
by check mark whether the Registrant is a shell company (as defined in Rule
12b-2 of the Securities Exchange Act of 1934).
Yes o
No ý
|
TABLE
OF CONTENTS
Page
|
|
PART
I – FINANCIAL INFORMATION
|
|
Item
1. Financial Statements
|
2-6
|
Item
1. Notes to Financial Statements
|
7-13
|
Item
2. Management’s Discussion and Analysis of Financial Condition and Results
of Operations
|
14-16 |
|
|
Item
3. Quantitative and Qualitative Disclosures About Market
Risk
|
16
|
Item
4. Controls and Procedures
|
17
|
PART
II – OTHER INFORMATION
|
|
Item
1. Legal Proceedings
|
18
|
Item
1A. Risk Factors
|
18
|
Item
2. Unregistered Sales of Equity Securities and Use of
Proceeds
|
18
|
Item
3. Defaults Upon Senior Securities
|
18
|
Item
4. Submission of Matters to a Vote of Security Holders
|
18
|
Item
5. Other Information
|
18
|
Item
6. Exhibits
|
19
|
Signatures
|
S-1
|
Rule
13a–14(a)/15d–14(a) Certifications
|
S-2
|
Section
1350 Certifications
|
S-3
|
PART I – FINANCIAL
INFORMATION
AIS
FUTURES FUND IV L.P.
STATEMENTS
OF FINANCIAL CONDITION
September
30, 2009 (Unaudited) and December 31, 2008 (Audited)
_______________
September
30,
|
December
31,
|
|||||||
2009
|
2008
|
|||||||
ASSETS
|
||||||||
Equity
in broker trading account
|
||||||||
Cash
|
$ | 6,709,575 | $ | 1,564,334 | ||||
United
States government securities, at fair value
|
63,460,129 | 41,470,056 | ||||||
Unrealized
gain (loss) on open contracts, net
|
(2,018,033 | ) | 5,316,844 | |||||
Interest
receivable
|
584 | 2,293 | ||||||
Due
from broker
|
68,152,255 | 48,353,527 | ||||||
Cash
|
773,030 | 540,030 | ||||||
Total
assets
|
$ | 68,925,285 | $ | 48,893,557 | ||||
LIABILITIES
|
||||||||
Accounts
payable
|
$ | 49,703 | $ | 58,861 | ||||
Commissions
and other trading fees
|
||||||||
on
open contracts payable
|
18,564 | 13,434 | ||||||
Management
fee payable
|
103,244 | 69,791 | ||||||
General
Partner Profit Share allocation payable
|
84,148 | 0 | ||||||
Selling
agent administrative and service fee payable
|
161,284 | 132,341 | ||||||
Subscriptions
received in advance
|
773,000 | 540,000 | ||||||
Redemptions
payable
|
758,866 | 766,248 | ||||||
Total
liabilities
|
1,948,809 | 1,580,675 | ||||||
PARTNERS’
CAPITAL (Net Asset Value)
|
||||||||
General
Partner - Series B
|
213,043 | 152,807 | ||||||
Limited
Partners - Series A
|
66,763,433 | 47,160,075 | ||||||
Total
partners’ capital (Net Asset Value)
|
66,976,476 | 47,312,882 | ||||||
$ | 68,925,285 | $ | 48,893,557 |
The
accompanying notes are an integral part of these financial statements.
2
AIS
FUTURES FUND IV L.P.
CONDENSED
SCHEDULE OF INVESTMENTS
September
30, 2009 (Unaudited)
_______________
UNITED STATES GOVERNMENT
SECURITIES*
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
%
of Net
Asset Value
|
|||||||||
$ | 4,000,000 |
10/29/09
|
U.S.
Treasury Bills
|
$ | 3,999,115 | 5.97 | % | ||||||
2,500,000 |
11/19/09
|
U.S.
Treasury Bills
|
2,499,099 | 3.73 | % | ||||||||
4,000,000 |
11/27/09
|
U.S.
Treasury Bills
|
3,998,324 | 5.97 | % | ||||||||
2,000,000 |
12/03/09
|
U.S.
Treasury Bills
|
1,999,200 | 2.98 | % | ||||||||
16,000,000 |
12/10/09
|
U.S.
Treasury Bills
|
15,991,160 | 23.88 | % | ||||||||
3,000,000 |
12/24/09
|
U.S.
Treasury Bills
|
2,998,055 | 4.48 | % | ||||||||
11,000,000 |
12/31/09
|
U.S.
Treasury Bills
|
10,992,056 | 16.41 | % | ||||||||
4,000,000 |
01/14/10
|
U.S.
Treasury Bills
|
3,996,937 | 5.97 | % | ||||||||
2,000,000 |
01/21/10
|
U.S.
Treasury Bills
|
1,998,352 | 2.98 | % | ||||||||
4,500,000 |
01/28/10
|
U.S.
Treasury Bills
|
4,496,432 | 6.71 | % | ||||||||
4,000,000 |
03/11/10
|
U.S.
Treasury Bills
|
3,996,850 | 5.97 | % | ||||||||
6,500,000 |
03/18/10
|
U.S.
Treasury Bills
|
6,494,549 | 9.70 | % | ||||||||
Total
United States government securities
(cost
- $63,419,124)
|
|||||||||||||
$ | 63,460,129 | 94.75 | % | ||||||||||
LONG FUTURES CONTRACTS**
|
|||||||||||||
Description
|
Fair Value
|
%
of Net
Asset Value
|
|||||||||||
Agricultural
|
$ | (5,893,535 | ) | (8.80 | )% | ||||||||
Currencies
|
688,823 | 1.03 | % | ||||||||||
Energy
|
(15,072 | ) | (0.02 | )% | |||||||||
Equities
- Stock Index
|
164,550 | 0.25 | % | ||||||||||
Metals
|
3,036,045 | 4.53 | % | ||||||||||
Total
long futures contracts
|
(2,019,189 | ) | (3.01 | )% | |||||||||
SHORT FUTURES CONTRACTS
|
|||||||||||||
Number of Contracts
|
Description
|
||||||||||||
37 |
Interest
Rates (30 Year U.S. Treasury Bond, expires
12/2009)
|
1,156 | 0.00 | % | |||||||||
Total
futures contracts
|
$ | (2,018,033 | ) | (3.01 | )% |
*
|
Pledged
as collateral for the trading of futures and options on futures
contracts.
|
**
|
No
individual futures contract position constituted greater than 5 percent of
Net Asset Value. Accordingly, the number of contracts and
expiration
dates are not
presented.
|
The
accompanying notes are an integral part of these financial
statements.
3
AIS
FUTURES FUND IV L.P.
CONDENSED
SCHEDULE OF INVESTMENTS (CONTINUED)
December
31, 2008 (Audited)
_______________
UNITED STATES GOVERNMENT
SECURITIES*
Face Value
|
Maturity Date
|
Description
|
Fair Value
|
%
of Net
Asset Value
|
|||||||||
$ | 10,500,000 |
01/02/09
|
U.S.
Treasury Bills
|
$ | 10,498,827 | 22.19 | % | ||||||
500,000 |
01/08/09
|
U.S.
Treasury Bills
|
499,786 | 1.06 | % | ||||||||
1,000,000 |
02/19/09
|
U.S.
Treasury Bills
|
997,395 | 2.11 | % | ||||||||
500,000 |
02/26/09
|
U.S.
Treasury Bills
|
498,503 | 1.05 | % | ||||||||
6,500,000 |
06/04/09
|
U.S.
Treasury Bills
|
6,491,897 | 13.72 | % | ||||||||
10,500,000 |
06/11/09
|
U.S.
Treasury Bills
|
10,492,440 | 22.18 | % | ||||||||
12,000,000 |
06/25/09
|
U.S.
Treasury Bills
|
11,991,208 | 25.34 | % | ||||||||
Total
United States government securities
(cost
- $41,347,804)
|
|||||||||||||
$ | 41,470,056 | 87.65 | % | ||||||||||
LONG FUTURES CONTRACTS**
|
|||||||||||||
Description
|
Fair Value
|
%
of Net
Asset Value
|
|||||||||||
Agricultural
|
$ | 2,480,686 | 5.24 | % | |||||||||
Currencies
|
1,469,813 | 3.11 | % | ||||||||||
Energy
|
(33,947 | ) | (0.07 | )% | |||||||||
Metals
|
1,400,292 | 2.96 | % | ||||||||||
Total
long futures contracts
|
$ | 5,316,844 | 11.24 | % |
*
|
Pledged
as collateral for the trading of futures and options on futures
contracts.
|
**
|
No
individual futures contract position constituted greater than 5 percent of
Net Asset Value. Accordingly, the number of contracts
and expiration dates are not
presented.
|
The
accompanying notes are an integral part of these financial
statements.
4
AIS
FUTURES FUND IV L.P.
STATEMENTS
OF OPERATIONS
For
the Three Months and Nine Months Ended September 30, 2009 and 2008
(Unaudited)
_______________
Three
Months Ended
|
Nine
Months Ended
|
|||||||||||||||
September
30,
|
September
30,
|
|||||||||||||||
2009
|
2008
|
2009
|
2008
|
|||||||||||||
TRADING
GAINS (LOSSES)
|
||||||||||||||||
Trading
gains (losses)
|
||||||||||||||||
Realized
|
$ | 3,013,925 | $ | (26,992,877 | ) | $ | 26,247,619 | $ | 30,273,098 | |||||||
Change
in unrealized
|
2,942,407 | (46,514,360 | ) | (7,334,877 | ) | (36,610,778 | ) | |||||||||
Brokerage
commissions
|
(25,945 | ) | (28,674 | ) | (87,192 | ) | (111,885 | ) | ||||||||
Net
total trading gains (losses)
|
5,930,387 | (73,535,911 | ) | 18,825,550 | (6,449,565 | ) | ||||||||||
NET
INVESTMENT (LOSS)
|
||||||||||||||||
Income
|
||||||||||||||||
Interest
income
|
34,133 | 623,451 | 88,671 | 2,215,261 | ||||||||||||
Expenses
|
||||||||||||||||
Selling
agent administrative
|
||||||||||||||||
and
service fee
|
419,455 | 767,467 | 1,093,207 | 2,293,583 | ||||||||||||
Management
fees
|
296,423 | 511,094 | 746,740 | 1,591,264 | ||||||||||||
Operating
expenses
|
64,040 | 49,320 | 163,540 | 162,270 | ||||||||||||
Total
expenses
|
779,918 | 1,327,881 | 2,003,487 | 4,047,117 | ||||||||||||
Net
investment (loss)
|
(745,785 | ) | (704,430 | ) | (1,914,816 | ) | (1,831,856 | ) | ||||||||
NET
INCOME (LOSS)
|
5,184,602 | (74,240,341 | ) | 16,910,734 | (8,281,421 | ) | ||||||||||
Less:
General Partner
|
||||||||||||||||
Profit
Share allocation
|
40,113 | (12,179,041 | ) | 108,801 | 961,853 | |||||||||||
Net
income (loss) for pro rata
|
||||||||||||||||
allocation
to all partners
|
$ | 5,144,489 | $ | (62,061,300 | ) | $ | 16,801,933 | $ | (9,243,274 | ) |
The
accompanying notes are an integral part of these financial
statements.
5
AIS
FUTURES FUND IV L.P.
STATEMENTS
OF CHANGES IN PARTNERS’ CAPITAL (NET ASSET VALUE)
For
the Nine Months Ended September 30, 2009 and 2008 (Unaudited)
_______________
Partners’
Capital
|
||||||||||||
Series
B
|
Series
A
|
|||||||||||
General
|
Limited
|
|||||||||||
Partner
|
Partners
|
Total
|
||||||||||
Balances
at January 1, 2009
|
$ | 152,807 | $ | 47,160,075 | $ | 47,312,882 | ||||||
Net
income for the nine months
|
||||||||||||
ended
September 30, 2009
|
||||||||||||
General
Partner Profit Share allocation
|
24,653 | 0 | 24,653 | |||||||||
Pro
rata allocation to all partners
|
60,236 | 16,741,697 | 16,801,933 | |||||||||
Subscriptions
|
0 | 7,568,956 | 7,568,956 | |||||||||
Redemptions
|
(24,653 | ) | (4,707,295 | ) | (4,731,948 | ) | ||||||
Balances
at September 30, 2009
|
$ | 213,043 | $ | 66,763,433 | $ | 66,976,476 | ||||||
Balances
at January 1, 2008
|
$ | 313,793 | $ | 77,617,731 | $ | 77,931,524 | ||||||
Net
income (loss) for the nine months
|
||||||||||||
ended
September 30, 2008
|
||||||||||||
General
Partner Profit Share allocation
|
769,697 | 0 | 769,697 | |||||||||
Pro
rata allocation to all partners
|
7,840 | (9,251,114 | ) | (9,243,274 | ) | |||||||
Subscriptions
|
0 | 50,284,820 | 50,284,820 | |||||||||
Redemptions
|
(769,697 | ) | (16,002,246 | ) | (16,771,943 | ) | ||||||
Balances
at September 30, 2008
|
$ | 321,633 | $ | 102,649,191 | $ | 102,970,824 |
The
accompanying notes are an integral part of these financial
statements.
6
AIS
FUTURES FUND IV L.P.
NOTES
TO FINANCIAL STATEMENTS
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES
|
|
A.
|
General
Description of the Partnership
|
AIS
Futures Fund IV L.P. (the Partnership) is a Delaware limited partnership, which
operates as a commodity investment pool. The Partnership engages in
the speculative trading of futures contracts and options on futures
contracts. The Partnership is subject to the regulations of the
Commodity Futures Trading Commission, an agency of the United States (U.S.)
government which regulates most aspects of the commodity futures industry; rules
of the National Futures Association, an industry self-regulatory organization;
and the requirements of commodity exchanges and Futures Commission Merchants
(brokers) through which the Partnership trades.
The
limited partnership agreement provides, among other things, that the Partnership
shall dissolve no later than December 31, 2026.
|
B.
|
Method
of Reporting and Use of Estimates
|
The
Partnership’s financial statements are presented in conformity with U.S.
generally accepted accounting principles (GAAP) which requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosures of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenue and expenses during
the reporting period. Actual results could differ from those
estimates.
|
C.
|
Futures
and Options on Futures Contracts
|
Futures
and options on futures are recorded on trade date and reflected at fair value,
based on quoted market prices, which is generally the closing settlement price
on the primary exchange. Gains or losses are realized when contracts
are liquidated. Net unrealized gains or losses on open contracts (the
difference between contract trade price and quoted market price) are reflected
in the statement of financial condition. Any change in net unrealized
gain or loss from the preceding period is reported in the statement of
operations. Brokerage commissions include other trading fees and are
charged to expense when contracts are opened.
|
D.
|
Securities
|
United
States government securities are stated at cost plus accrued interest, which
approximates fair value based on the quoted market yield for the applicable U.S.
Government security. Any change in value of these securities is
reported in interest income on the statement of operations.
|
E.
|
Income
Taxes
|
The
Partnership prepares calendar year U.S. and applicable state information tax
returns and reports to the partners their allocable shares of the Partnership’s
income, expenses and trading gains or losses. No provision for income
taxes has been made in these financial statements as each partner is
individually responsible for reporting income or loss based on its respective
share of the Partnership’s income and expenses as reporting for income tax
purposes.
7
AIS
FUTURES FUND IV L.P.
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
|
|
E.
|
Income
Taxes (continued)
|
The
Partnership evaluates tax positions taken or expected to be taken while
preparing the Partnership’s financial statements to determine whether the tax
positions are “more-likely-or-not” of being sustained by the applicable tax
authority. Tax positions with respect to tax at the partnership level
not deemed to meet the “more-likely-than-not” threshold would be recorded as a
tax benefit or expense in the current year. The General Partner has
concluded there is no tax expense or associated interest and penalties to be
recorded by the Partnership for the nine month periods ended September 30, 2009
and 2008. The Partnership has elected an accounting policy to
classify interest and penalties, if any, as interest expense. The
Partnership files U.S. federal and state tax returns. The 2005
through 2008 tax years generally remain subject to examination by U.S. federal
and most state tax authorities.
|
F.
|
Capital
Accounts
|
The
Partnership offers two Series of Interests. The Series A Interests
are available to all qualified investors, subject to applicable conditions and
restrictions. The Series B Interests are available for sale to the
General Partner and its principals. The Partnership accounts for
subscriptions, allocations and redemptions on a per partner capital account
basis. Income or loss, prior to the General Partner Profit Share
allocation, is allocated pro rata to the capital accounts of all
partners. The General Partner Profit Share allocation applicable to
each Limited Partner is allocated to the General Partner’s capital account from
the Limited Partner’s capital account at the end of each calendar year or upon
redemption by a Limited Partner.
On March
1, 2008, the Partnership adopted its Fourth Amended and Restated Limited
Partnership Agreement. This agreement changed the defined term used
to describe interests in Partnership from “Units of Limited Partnership
Interest” to “Limited Partnership Interests” to prevent confusion over the use
of the term “units”. The Partnership accounted for its “Units of
Limited Partnership Interest” on a capital account basis prior to March 1, 2008
and will continue to account for its “Limited Partnership Interests” on the same
basis going forward.
|
G.
|
Redemptions
|
Limited
Partners may require the Partnership to redeem some or all of their capital upon
ten days prior written notice. The ten days prior written notice may
be waived at the discretion of the General Partner. Partner
redemptions are recorded on their effective date, which is generally the last
day of the month.
|
H.
|
Statement
of Cash Flows
|
The
Partnership has elected not to provide statements of cash flows as permitted by
GAAP accounting standards.
|
I.
|
Fair
Value
|
The
Partnership accounts for certain assets and liabilities at fair value under
various accounting literature and applicable industry guidance, which define
fair value, establish a fair value hierarchy based on the quality of inputs used
to measure fair value, and enhance disclosure requirements for fair value
measurements. A fair value measurement assumes that the transaction
to sell the asset or transfer the liability occurs in the principal market for
the asset or liability or, in the absence of a principal market, the most
advantageous market. The Partnership has categorized its financial
instruments, based on the priority of inputs to the valuation technique, into a
three-level fair value hierarchy. The fair value gives the highest
priority to quoted prices in active markets for identical assets or liabilities
(Level 1) and the
8
AIS
FUTURES FUND IV L.P.
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
|
|
I.
|
Fair
Value (continued)
|
lowest
priority to unobservable inputs (Level 3). If the inputs used to
measure the financial instruments fall within different levels of the hierarchy,
the categorization is based on the lowest level input that is significant to the
fair value measurement of the instrument.
Financial
assets and liabilities recorded on the statement of financial condition at
September 30, 2009 and December 31, 2008 are categorized as Level 1 and Level 2
based on the inputs to valuation techniques. Level 1 denotes fair
value is based on unadjusted quoted prices for identical assets or liabilities
in an active market that the Partnership has the ability to
access. Level 2 denotes fair value is based on inputs other than
quoted market prices that the Partnership has the ability to
access. The Partnership has no level 3 assets or liabilities at
September 30, 2009 or December 31, 2008, or for the periods then
ended.
The fair
values of financial instruments at September 30, 2009 and December 31, 2008
consisted of the following:
September 30, 2009
|
December 31, 2008
|
||||||||
Level
1
|
Futures
contracts
|
$ | (2,018,033 | ) | $ | 5,316,844 | |||
Level
2
|
U.S. Government Securities
|
$ | 63,460,129 | $ | 41,470,056 |
The fair
values of futures contracts are based upon exchange settlement
prices. The fair value of U.S. Government Securities is based on
amortized cost plus accrued interest, which approximates fair value based on the
quoted market yield for the applicable U.S. Government security.
J.
|
Financial
Derivative Instruments
|
The
Partnership’s business is speculative trading of futures contracts, options on
futures contracts and physical commodities and other commodity-related contracts
traded primarily on domestic markets pursuant to the trading and investment
methodology of the General Partner. In trading for the Partnership,
the General Partner employs Multi Asset Allocation Portfolio (MAAP), which is a
trend-following trading process employing a combination of discretionary input
from the General Partner’s principals and proprietary applied intelligence
software which is based on the quantitative analysis of years of daily
historical prices and probability theory. MAAP maintains long, short
or neutral positions in each of the following asset classes, equities, fixed
income, currencies, metals, agriculture, interest rate, and energy.
9
AIS
FUTURES FUND IV L.P.
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
|
J.
|
Financial
Derivative Instruments (continued)
|
Derivatives
not designated as hedging instruments under SFAS 133
|
||||||||||
|
|
|||||||||
|
||||||||||
Asset
Derivatives
September 30,
2009
|
Liability
Derivatives
September 30, 2009 |
|||||||||
Balance Sheet Location - Equity in broker trading account | ||||||||||
Fair
Value
|
Fair
Value
|
Net
|
||||||||
Agricultural
contracts
|
$
|
87,862
|
$
|
(5,981,397)
|
$
|
(5,893,535)
|
||||
Currencies
contracts
|
688,823
|
0
|
(688,823)
|
|||||||
Energy
contracts
|
403,378
|
(418,450)
|
(15,072)
|
|||||||
Equities
contracts
|
172,150
|
(7,600)
|
119,700
|
|||||||
Interest Rates contracts | 1,156 | 0 | 1,156 | |||||||
Metals
contracts
|
3,193,220
|
(157,175)
|
3,036,045
|
|||||||
$
|
4,546,589
|
$
|
(6,564,622)
|
$
|
(2,018,033)
|
|||||
Trading
Revenue For the Three and
Nine Months
Ended September 30, 2009
|
Trading
Revenue For the Three and
Nine Months
Ended September 30, 2009
|
||||||||||
Type
of Instrument
|
Three
Months
Ended
September 30
|
Nine Months
Ended
September 30
|
Line
Item in
Income
Statement
|
Three Months
Ended September 30
|
Nine Months
Ended September 30
|
||||||
Agricultural
contracts
|
$
|
(2,522,029)
|
$
|
(1,019,803)
|
|||||||
Currencies
contracts
|
3,192,797
|
5,225,591
|
Realized
|
$
3,013,925
|
$
|
26,247,619
|
|||||
Energy
contracts
|
(1,496,716)
|
2,956,130
|
Change in unrealized |
2,942,407
|
(7,334,877)
|
||||||
Equities
contracts
|
1,008,691
|
1,298,372
|
|
|
|
||||||
Interest Rates contracts | 1,156 | 1,156 | $ 5,956,332 | $ | 18,912,742 | ||||||
Metals
contracts
|
5,772,433
|
10,451,296
|
|||||||||
$
|
5,956,332
|
$
|
18,912,742
|
|
|
|
|||||
The
monthly average of futures contracts bought and sold was 1,371 and 1,260 for the
three months ended and 1,799 and 1,704 for the nine months ended September 30,
2009, respectively.
|
K.
|
Interim
Financial Statements
|
The
financial statements included herein were prepared by us without audit according
to the rules and regulations of the Securities and Exchange
Commission. Certain information and footnote disclosures normally
included in financial statements prepared in accordance with accounting
principles generally accepted in the United States of America may be omitted
pursuant to such rules and regulations. The financial statements
reflect, in the opinion of management, all adjustments necessary that were of
normal and recurring nature and adequate disclosures to present fairly the
financial position and results of operations as of and for the periods
indicated. The results of operations for the three and nine months
ended September 30, 2009 and 2008 are not necessarily indicative of the results
to be expected for the full year or for any other period.
These
financial statements should be read in conjunction with the audited financial
statements and the notes thereto included in the Form 10-K previously filed with
the Securities and Exchange Commission.
10
AIS
FUTURES FUND IV L.P.
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
|
|
L.
|
Recently
Adopted Accounting Pronouncements
|
The
Partnership adopted FASB Accounting Standards Codification (ASC) on July 1,
2009, which is the single source of authoritative nongovernmental U.S.
GAAP. The ASC does not change U.S. GAAP but combines all
authoritative standards into a comprehensive, topically organized online
database. Effective with the ASC launch on July 1, 2009 only one
level of authoritative GAAP exists, other than guidance issued by the SEC. All
other accounting literature excluded from the ASC will be considered
non-authoritative. The ASC impacted the Partnership’s financial statement
disclosures by eliminating prior FASB references since all references to
authoritative accounting literature are now referenced in accordance with the
ASC.
The
Partnership adopted the provisions of the Subsequent Events Topic of
the FASB ASC effective June 30, 2009, which establishes general standards of and
accounting for and disclosure of events that occur after the balance sheet date
but before financial statements are issued or available to be
issued.
Note
2.
|
GENERAL
PARTNER
|
The
General Partner and commodity trading advisor of the Partnership is AIS Futures
Management LLC, which conducts and manages the business and trading activities
of the Partnership.
The
Fourth Amended and Restated Limited Partnership Agreement (the Limited
Partnership Agreement) provides for the General Partner to receive a monthly
Management Fee equal to 1/12 of 2% (2% annually) of each Series A Limited
Partner’s month-end Net Assets, as defined. The General Partner also
receives a Profit Share allocation equal to 20% of any New Trading Profit, as
defined, attributable to each Series A Limited Partner’s Interest achieved as of
each calendar year-end or upon redemption.
During
the three and nine months ended September 30, 2009 and 2008, certain Series A
Limited Partners were charged Management Fees at a rate lower than described
above, to offset the effect of the additional 1.5% per annum Selling Agent
Service Fee described in Note 3. Accordingly, for the three and nine
months ended September 30, 2009 and 2008, Management Fees were reduced by
approximately $28,800, $62,000, $88,400 and $155,800, respectively.
The
General Partner has paid all organizational and offering costs and will not be
reimbursed therefore.
Note
3.
|
SELLING AGENT
ADMINISTRATIVE AND SERVICE
FEES
|
Certain
Series A Limited Partners that were solicited by Selling Agents are
charged an Administrative and Service Fee (the Service Fee equal to 1/12 of 2.5%
(2.5% annually)) of each Series A Limited Partner’s month-end Net Assets, as
defined, sold by them which remain outstanding as of each
month-end. The Selling Agents may pass on a portion of the Service
Fee to its investment executives. In the event the Service Fee is no
longer payable to a Selling Agent, the relevant Limited Partner who was
solicited by such Selling Agent will no longer be charged the Service
Fee. For the three and nine months ended September 30, 2009 and 2008,
certain Limited Partners were not subject to the Service Fee. The
Service Fee is accrued and expensed as incurred.
For
investment executives associated with the sale of Limited Partner Interests in
excess of $500,000, the investment executive’s firm will receive an additional
1.5% per annum Service Fee with respect to such Limited Partner Interests in
excess of $500,000, for the first twelve months following the sale of such
Limited Partner Interests. The additional Service Fee is paid by the
Partnership, however, the General Partner reduces its Management Fee (see Note
2) related to the Limited Partner’s Interest. Accordingly, this
additional Service Fee does not affect the total fees charged to the Limited
Partner.
11
AIS
FUTURES FUND IV L.P.
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
Note
4.
|
SUBSCRIPTIONS,
DISTRIBUTIONS AND
REDEMPTIONS
|
Investments
in the Partnership are made by subscription agreement, subject to acceptance by
the General Partner. A selling commission of up to 2% of the
subscription amount may be deducted from the subscription proceeds and paid to
the applicable Selling Agent, if any. For the three and nine months
ended September 30, 2009 and 2008, $0, $4,900, $200 and $30,737, respectively,
in selling commissions were charged to Limited Partners. Limited
Partner subscriptions, as presented in the statement of changes in partners’
capital (net asset value), are net of such selling commissions, if
any.
The
Partnership is not required to make distributions, but may do so at the sole
discretion of the General Partner. A Limited Partner may request and
receive partial or full redemptions of their capital account as of the close of
business on the last business day of any month, subject to restrictions in the
Limited Partnership Agreement.
Note
5.
|
DEPOSITS WITH
BROKER
|
The
Partnership deposits funds with Newedge USA, LLC, subject to Commodity Futures
Trading Commission regulations and various exchange and broker
requirements. Margin requirements are satisfied by the deposit of
U.S. Government Securities and cash with such brokers. Accordingly,
assets used to meet margin and other broker or regulatory requirements are
partially restricted. The Partnership earns interest income on its
assets deposited with the broker.
Note
6.
|
TRADING ACTIVITIES AND
RELATED RISKS
|
The
Partnership engages in speculative trading of U.S. futures contracts and options
on U.S. futures contracts. The Partnership is exposed to both market risk, the
risk arising from changes in the fair value of the contracts, and credit risk,
the risk of failure by another party to perform according to the terms of a
contract.
Purchase
and sale of futures and options on futures contracts requires margin deposits
with the broker. Additional deposits may be necessary for any loss on contract
value. The Commodity Exchange Act requires a broker to segregate all
customer transactions and assets from such broker’s proprietary
activities.
A
customer’s cash and other property (for example, U.S. Treasury bills) deposited
with a broker are considered commingled with all other customer funds subject to
the broker’s segregation requirements. In the event of a broker’s
insolvency, recovery may be limited to a pro rata share of segregated funds
available. It is possible that the recovered amount could be less
than total cash and other property deposited.
For
futures and options on futures contracts, risks arise from changes in the fair
value of the contracts. Theoretically, the Partnership is exposed to a market
risk equal to the notional contract value of futures contracts purchased and
unlimited liability on such contracts sold short. As both a buyer and
seller of options, the Partnership pays or receives a premium at the outset and
then bears the risk of unfavorable changes in the price of the contract
underlying the option. Written options expose the Partnership to
potentially unlimited liability; for purchased options, the risk of loss is
limited to the premiums paid.
In
addition to market risk, in entering into commodity interest contracts, there is
a credit risk that a counterparty will not be able to meet its obligations to
the Partnership. The counterparty for futures and options on futures
contracts traded in the United States and on most non-U.S. futures exchanges are
brokers, futures commissions merchants and other financial
institutions. In the event these counterparties do not fulfill their
obligations, the Partnership may be exposed to risk. The risk of
default depends on the credit worthiness of the counterparty or issuers of the
instrument. In general, clearinghouses are backed by the corporate
members of the clearinghouse who are required to share any financial burden
resulting from nonperformance by one of their members and, as such, should
significantly reduce the credit risk.
12
AIS
FUTURES FUND IV L.P.
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
Note
6.
|
TRADING ACTIVITIES AND
RELATED RISKS (CONTINUED)
|
The
Partnership maintains its cash in bank deposit accounts at Wachovia Bank, N.A.,
Greenwich, Connecticut. Such accounts may, at times, exceed federally
insured limits. The Partnership has not experienced any losses in
such accounts. The General Partner believes the Partnership is not
exposed to any significant credit risk on cash.
The
General Partner has established procedures to actively monitor market risk and
minimize credit risk, although there can be no assurance that it will, in fact,
succeed in doing so. The Limited Partners bear the risk of loss only
to the extent of the fair value of their respective investments and, in certain
specific circumstances, distributions and redemptions received.
Note
7.
|
INDEMNIFICATIONS
|
In the
normal course of business, the Partnership enters into contracts and agreements
that contain a variety of representations and warranties, both of which provide
general indemnifications. The Partnership’s maximum exposure under
these arrangements is unknown, as this would involve future claims that may be
made against the Partnership that have not yet occurred. The
Partnership expects the risk of any future obligation under these
indemnifications to be remote.
Note
8.
|
SUBSEQUENT
EVENTS
|
Management
of the Partnership evaluated subsequent events through November 12, 2009, the
date these financial statements were issued. There are no subsequent
events to disclose.
Note
9.
|
FINANCIAL
HIGHLIGHTS
|
The
following information presents the financial highlights of the Partnership for
the three and nine months ended September 30, 2009 and 2008. This
information has been derived from information presented in the financial
statements.
Three
months ended
September 30,
|
Nine months
ended
September 30,
|
|||||||||||||||
2009
(Unaudited)
|
2008
(Unaudited)
|
2009
(Unaudited)
|
2008
(Unaudited)
|
|||||||||||||
Total
return for Series A Limited
Partners
taken as a whole (1)
|
||||||||||||||||
Total
return before Profit Share allocation
|
8.40 | % | 44.02 | % | 34.88 | % | 0.87 | % | ||||||||
Profit
Share allocation
|
(0.07 | )% | (6.02 | )% | (0.23 | )% | (0.29 | )% | ||||||||
Total
return after Profit Share allocation
|
8.33 | % | (38.00 | )% | 34.65 | % | (1.16) | % | ||||||||
Supplemental
Data for Series A Limited Partners
|
||||||||||||||||
Ratio of expenses to average
net asset value: (2)
|
||||||||||||||||
Expenses,
excluding Profit Share allocation (3)
|
4.94 | % | 3.81 | % | 4.98 | % | 4.61 | % | ||||||||
Profit
Share allocation (1)
|
0.06 | % | (8.73) | % | 0.20 | % | 0.82 | % | ||||||||
Total
expenses
|
5.00 | % | (4.92) | % | 5.18 | % | 5.43 | % | ||||||||
Net
investment (loss) (3),
(4)
|
(4.73 | )% | (2.03 | )% | (4.76 | )% | (2.10 | )% |
The
total returns and ratios are presented for Series A Limited Partners taken as a
whole based on the Partnership’s standard Management Fee, Service Fee and Profit
Share allocation arrangements. An individual partner’s total returns
and ratios may vary from the above total returns and ratios based on the timing
of their capital additions and redemptions and given potentially different fee
arrangements for a Series A Limited Partner.
The
total returns and ratios exclude the effects of any 2% upfront selling
commissions charged by Selling Agents.
(1)
|
Not
annualized.
|
(2)
|
The
ratio of expenses to average net asset value does not include brokerage
commissions.
|
(3)
|
Annualized.
|
(4)
|
The
net investment (loss) is comprised of interest income less total expenses,
excluding brokerage commissions and the General Partner Profit Share
allocation.
|
13
AIS
FUTURES FUND IV L.P.
NOTES
TO FINANCIAL STATEMENTS (CONTINUED)
Reference
is made to “Item 1: Financial Statements.” The information contained therein is
essential to, and should be read in conjunction with, the following
analysis.
Operational
Overview
Due to
the nature of the Partnership’s business, its results of operations depend on
the occurrence of major price moves in at least some of the markets traded and
the General Partner’s ability to recognize and capitalize on such trends and
other profit opportunities. The General Partner’s trading methods are
confidential, so that the only information that can be furnished regarding the
Partnership’s results of operations is its performance record. The
Partnership engages in speculative trading of futures contracts and the
Partnership may enter into long, short or neutral positions in the markets in
which it trades. Because the Partnership’s trading strategies depend
heavily on global price trends (both positive and negative), and these price
trends may be affected by global economic conditions and may at times be
seasonal, the Partnership will be affected by such conditions and
trends. The past performance of the Partnership is not necessarily
indicative of future results. The General Partner believes, however,
that there are certain market conditions -- for example, markets with strong
price trends -- in which the Partnership has a better opportunity of being
profitable than in others.
Liquidity
and Capital Resources
The
Partnership raises additional capital only through the sale of limited
partnership interests and capital is increased through trading profits (if any)
and interest income. The Partnership does not engage in
borrowing. The Partnership may offer limited partnership interests
for sale as of the close of business at the end of each month.
The
Partnership trades futures contacts, long and short in each of the following six
asset classes: equities, fixed income, currencies, metals, agriculture and
energy. Due to the nature of the Partnership’s business,
substantially all its assets are represented by cash and U.S. government
obligations, while the Partnership maintains its market exposure through open
futures contract positions.
The
Partnership’s assets are generally held as cash, cash equivalents or U.S.
Government obligations, which are used to margin the Partnership’s futures
positions and are withdrawn, as necessary, to pay redemptions and
expenses. Other than potential market-imposed limitations on
liquidity, due, for example, to daily price fluctuation limits, which are
inherent in the Partnership’s futures trading, the Partnership’s assets are
highly liquid and are expected to remain so.
There
have been no material changes with respect to the Partnership’s critical
accounting policies, off-balance sheet arrangements or contractual obligations,
as reported in the Partnership’s most recent Annual Report on Form 10-K and any
amendments thereto.
During
its operations for the three and nine months ended September 30, 2009, the
Partnership experienced no significant periods of illiquidity in any of the
numerous markets traded by the General Partner.
Results
of Operations
Performance
Summary
Three Months Ended September
30, 2009
During
the third quarter of 2009, the Partnership achieved a net realized and
unrealized gain of $5,930,387 from its trading operations, which is net of
brokerage commissions of $25,945. The Partnership accrued total
expenses of $779,918, including $419,455 in Selling Agent Administrative and
Service Fees, $296,423 in Management Fees (paid to the General Partner) and
$64,040 in operating expenses. The Partnership earned $34,133 in
interest income and allocated a Profit Share of $40,113 to the General
Partner. An analysis of trading gains and losses (not adjusted for
any fees or expenses) by market sector is as follows:
14
PART I – FINANCIAL
INFORMATION (continued)
Sector
|
% Gain (Loss)
|
S&P
500
|
1.61
%
|
Bonds
|
0.00
%
|
Currency
|
5.21
%
|
Energy
|
(2.31)
%
|
Metals
|
9.43
%
|
Grains
|
(3.88)
%
|
Total
Portfolio
|
9.68
%
|
The
Partnership experienced gains in the third quarter of 2009. The
largest gain came from long positions in metals, followed by gains in long
positions in foreign currencies (Australian and Canadian dollars and euro) and
to a lesser extent a long position in the S&P 500. Losses
occurred in the long positions in the grains and energy markets. The
Partnership had no position in U.S. Treasury bond futures contracts until the
last day of the third quarter at which time it took a small short
position.
Three Months Ended September
30, 2008
During
the three months ended September 30, 2008, the Partnership earned net
income/(loss) for pro rata allocation to all partners of
$(62,061,300). The Partnership experienced trading gains/(losses) of
$(73,535,911) and earned interest income of $623,451 during this
period. Interest income is derived from cash and U.S. Treasury
instruments held at the Partnership’s commodity broker. Interest
income for this period decreased $106,919 over the same period in
2007. A breakdown of trading gains and losses for this period appears
below.
Sector
|
% Gain (Loss)
|
S&P
500
|
3.13
%
|
Bonds
|
(1.40)
%
|
Yen
|
(0.35)
%
|
Energy
|
(19.60)
%
|
Metals
|
(9.77)
%
|
Grains
|
(21.23)
%
|
Total
Portfolio
|
(43.68)
%
|
The
Partnership experienced a decline in value during the third quarter of 2008
primarily due to the Partnership’s long positions in grains, energy and
metals. In addition small losses were incurred in the short position
in U.S. Treasury bonds and the Japanese Yen. Only the Partnership’s
short position in the S&P 500 created a small gain.
Nine Months Ended September
30, 2009
During
the nine months ended September 30, 2009, the Partnership achieved a net
realized and unrealized gain of $18,825,550 from its trading operations, which
is net of brokerage commissions of $87,192. The Partnership accrued
total expenses of $2,003,487, including $1,093,207 in Selling Agent
Administrative and Service Fees, $746,740 in Management Fees (paid to the
General Partner) and $163,540 in operating expenses. The Partnership
earned $88,671 in interest income and allocated a Profit Share of $108,801 to
the General Partner. An analysis of trading gains and losses (not
adjusted for any fees or expenses) by market sector is as follows:
15
PART I – FINANCIAL
INFORMATION (continued)
Sector
|
% Gain (Loss)
|
S&P
500
|
2.17
%
|
Bonds
|
0.00
%
|
Currency
|
10.48
%
|
Energy
|
5.37
%
|
Metals
|
22.08
%
|
Grains
|
1.01
%
|
Total
Portfolio
|
39.70
%
|
The
Partnership was up strongly for the first nine months of 2009 primarily due to
gains in the second and third quarters of 2009. The largest gains
came from long positions in the metals and from currencies (Australian and
Canadian dollars and the euro). In addition, profits were also generated by the
long positions in energy, the S&P 500 and grains. The Partnership
had no position in U.S. Treasury bond futures contracts until the last day of
the third quarter, at which time a small short position was
established.
Nine Months Ended September
30, 2008
During
the nine months ended September 30, 2008, the Partnership earned net
income/(loss) for pro rata allocation to all partners of
$(9,243,274). Total partners’ capital (net asset value) for this
period increased by $25,039,300 due to the impact of this net income/(loss), as
well as subscriptions (net of redemptions) of $33,512,877. The
Partnership experienced trading gains/(losses) of $(6,449,565) and earned
interest income of $2,215,261 during this period. Interest income is
derived from cash and U.S. Treasury instruments held at the Partnership's
commodity broker. Interest income for this period increased $65,917
over the same period in 2007. A breakdown of trading gains and losses
for this period appears below.
Sector
|
% Gain (Loss)
|
S&P
500
|
7.14
%
|
Bonds
|
(2.18)
%
|
Yen
|
2.05
%
|
Energy
|
7.72
%
|
Metals
|
(1.75)
%
|
Grains
|
(5.70)
%
|
Total
Portfolio
|
0.68
%
|
For the
first nine months of 2008, the Partnership’s returns from trading were
essentially flat as a result of the giveback of the first half’s gains during
the third quarter. Gains for the nine months were achieved from the
long position in energy markets, the short position in the S&P 500 and from
the long position in the Japanese Yen. Offsetting those gains were
losses in the long positions in the grains, the short position in the U.S.
Treasury bonds, and long position in the metals.
Not
required.
The
General Partner, with the participation of the General Partner’s principal
executive officer and principal financial officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to the Partnership as of the end of the fiscal quarter
covered by this Quarterly Report, and, based on their evaluation, has concluded
that these disclosure controls and procedures are effective. There
were no significant changes in the General Partner’s internal controls with
respect to the Partnership or in other factors applicable to the Partnership
that could significantly affect these controls subsequent to the date of the
evaluation.
16
PART I – FINANCIAL
INFORMATION (continued)
There
were no changes in the General Partner’s internal controls over financial
reporting with respect to the Partnership that occurred during the fiscal
quarter covered by this Quarterly Report that has materially affected, or is
reasonably likely to materially affect, the General Partner’s internal controls
over financial reporting with respect to the Partnership.
17
PART II – OTHER
INFORMATION
None.
Not
required.
(a) The
requested information has been previously reported on Form 8-K.
(b) Not
applicable.
(c) Pursuant
to the Partnership’s Limited Partnership Agreement, Limited Partners may
withdraw all or part of their capital contributions and undistributed profits,
if any, at the end of each calendar month. The withdrawal by a
Limited Partner has no impact on the value of the capital accounts of the
remaining Limited Partners. The following table summarizes the
withdrawals by Limited Partners during the third calendar quarter of
2009:
Month
|
Withdrawal Amounts
|
July
31, 2009
|
$
722,517
|
August
31, 2009
|
$
666,301
|
September
30, 2009
|
$
758,866
|
(a) None.
(b) None.
None.
(a) None.
(b) Not
applicable.
18
PART II – OTHER
INFORMATION (continued)
The
following exhibits are incorporated herein by reference.
Exhibit Number
|
Description of Document
|
3.1*
|
Certificate
of Formation of AIS Futures Fund IV L.P.
|
4.2**
|
Fourth
Amended and Restated Limited Partnership Agreement of AIS Futures Fund IV
L.P., dated as of March 1, 2008.
|
10.1***
|
Customer
Agreement between Calyon Financial Inc. and AIS Futures Fund IV
L.P.
|
The
following exhibits are included herewith.
Exhibit Number
|
Description of Document
|
31.01
|
Rule
13a-14(a)/15d-14(a) Certification
|
32.01
|
Section
1350 Certification
|
* This
exhibit is incorporated by reference to the exhibit of the same number and
description filed with the Partnership’s Registration Statement (File No.
000-52599) filed on April 30, 2007 on Form 10 under the Securities Exchange Act
of 1934.
** This
exhibit is incorporated by reference to the exhibit of the same number and
description filed with the Partnership’s Current Report (File No. 000-52599)
filed on March 5, 2008 on Form 8-K under the Securities Exchange Act of
1934.
***
This exhibit is incorporated by reference to the exhibit of the same number and
description filed with the Partnership’s Registration Statement (File No.
000-52599) filed on April 30, 2007 on Form 10 under the Securities Exchange Act
of 1934. As of January 2, 2008, Calyon Financial Inc. was renamed Newedge
Financial Inc. The existing Customer Agreement remains in effect, but under the
new name.
19
Pursuant
to the requirements of the Securities Exchange Act of 1934, the registrant has
duly caused this report to be signed on its behalf by the undersigned thereunto
duly authorized.
Dated:
November 12, 2009
AIS
FUTURES FUND IV L.P.
By: | AIS FUTURES MANAGEMENT LLC |
By: /s/ John
Hummel
Name: John
Hummel
Title: President
(principal executive and principal
financial
officer)
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