Attached files
file | filename |
---|---|
EX-31.2 - EX-31.2 - Managed Futures Premier Energy Fund L.P. II | y03357exv31w2.htm |
EX-31.1 - EX-31.1 - Managed Futures Premier Energy Fund L.P. II | y03357exv31w1.htm |
EX-32.1 - EX-32.1 - Managed Futures Premier Energy Fund L.P. II | y03357exv32w1.htm |
EX-32.2 - EX-32.2 - Managed Futures Premier Energy Fund L.P. II | y03357exv32w2.htm |
Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
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
OF THE SECURITIES EXCHANGE ACT OF 1934
For the
quarterly period ended March 31, 2010
OR ( )
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
OF THE SECURITIES EXCHANGE ACT OF 1934
For the
transition period from
to .
Commission
File Number 0-50272
AAA CAPITAL ENERGY FUND L.P. II
(Exact name of registrant as specified in its charter)
New York | 03-0407557 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
c/o Ceres
Managed Futures LLC
55 East
59th
Street -
10th Floor
New York, New York 10022
(Address of principal executive offices) (Zip Code)
(212) 559-2011
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed
all reports required to be filed by Section 13 or 15(d) of
the Securities Exchange Act of 1934 during the preceding
12 months (or for such shorter period that the registrant
was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes X No
Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule
405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that
the registrant was required to submit and post such files).
Yes No
Indicate by check mark whether the registrant is a large
accelerated filer, an accelerated filer, a non-accelerated
filer, or a smaller reporting company. See the definitions of
large accelerated filer, accelerated
filer and smaller reporting company in
Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer
Accelerated filer
Non-accelerated filer X
Smaller reporting company
Indicate by check mark whether the registrant is a shell company
(as defined in
Rule 12b-2
of the Exchange Act).
Yes No X
As of April 30, 2010, 107,557.1039 Limited Partnership
Redeemable Units were outstanding.
AAA CAPITAL ENERGY FUND L.P. II
FORM 10-Q
INDEX
Exhibit 31.1
Certification
Exhibit 31.2
Certification
Exhibit 32.1
Certification
Exhibit 32.2
Certification
2
Table of Contents
PART I
Item 1.
Financial Statements
AAA Capital Energy Fund L.P. II
Statements of Financial Condition
(Unaudited)
Statements of Financial Condition
(Unaudited)
March 31, | December 31, | ||||||||
2010 | 2009 | ||||||||
Assets:
|
|||||||||
Investment in Master, at fair value
|
$ | 468,924,938 | $ | 495,766,284 | |||||
Cash
|
311,219 | 240,717 | |||||||
Total assets
|
$ | 469,236,157 | $ | 496,007,001 | |||||
Liabilities and Partners Capital:
|
|||||||||
Liabilities:
|
|||||||||
Accrued expenses:
|
|||||||||
Brokerage commissions
|
$ | 2,805,584 | $ | 2,319,625 | |||||
Management fees
|
776,938 | 822,450 | |||||||
Administrative fees
|
194,235 | 205,613 | |||||||
Other
|
267,770 | 217,299 | |||||||
Redemptions payable
|
2,163,954 | 5,481,521 | |||||||
Total liabilities
|
6,208,481 | 9,046,508 | |||||||
Partners Capital:
|
|||||||||
General Partner, 1,224.2960 and 1,271.6341 Unit equivalents outstanding at
March 31, 2010 and December 31, 2009, respectively
|
5,179,605 | 5,604,320 | |||||||
Special Limited Partner, 464.0795 Redeemable
Units of Limited Partnership Interest outstanding
at March 31, 2010 and December 31, 2009
|
1,963,372 | 2,045,282 | |||||||
Limited Partners, 107,756.7508 and 108,756.8867 Redeemable
Units of Limited Partnership Interest outstanding at March 31,
2010 and
December 31, 2009, respectively
|
455,884,699 | 479,310,891 | |||||||
Total partners capital
|
463,027,676 | 486,960,493 | |||||||
Total liabilities and partners capital
|
$ | 469,236,157 | $ | 496,007,001 | |||||
Net Asset Value per Unit
|
$ | 4,230.68 | $ | 4,407.18 | |||||
See accompanying notes to financial statements.
3
Table of Contents
AAA Capital Energy Fund L.P. II
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Income: |
||||||||
Net realized gains (losses) on closed contracts allocated from Master |
$ | (25,456,268 | ) | $ | 22,677,219 | |||
Change in net unrealized gains (losses) on open contracts allocated
from Master |
11,085,842 | 14,300,188 | ||||||
Interest income allocated from Master |
40,578 | 79,320 | ||||||
Expenses allocated from Master |
(484,323 | ) | (351,145 | ) | ||||
Total income (loss) |
(14,814,171 | ) | 36,705,582 | |||||
Expenses: |
||||||||
Brokerage commissions |
2,031,309 | 1,286,808 | ||||||
Management fees |
2,401,816 | 2,680,436 | ||||||
Administrative fees |
600,455 | 670,110 | ||||||
Other |
118,173 | 109,500 | ||||||
Total expenses |
5,151,753 | 4,746,854 | ||||||
Net income
(loss) before allocation to Special Limited Partner |
(19,965,924 | ) | 31,958,728 | |||||
Allocation to Special Limited Partner |
| (6,375,882 | ) | |||||
Net income (loss) after allocation to Special Limited Partner |
(19,965,924 | ) | 25,582,846 | |||||
Additions Limited Partners |
13,350,000 | 3,429,876 | ||||||
Additions Special Limited Partner |
| 6,375,882 | ||||||
Redemptions Limited Partners |
(17,116,893 | ) | (32,722,915 | ) | ||||
Redemptions General Partner |
(200,000 | ) | | |||||
Net increase (decrease) in Partners Capital |
(23,932,817 | ) | 2,665,689 | |||||
Partners Capital, beginning of period |
486,960,493 | 515,948,652 | ||||||
Partners Capital, end of period |
$ | 463,027,676 | $ | 518,614,341 | ||||
Net Asset Value per Unit
(109,445.1263 and 119,156.9567 Units outstanding
at March 31, 2010 and 2009, respectively) |
$ | 4,230.68 | $ | 4,352.36 | ||||
Net income (loss) per Redeemable Unit of Limited Partnership
Interest and General Partner Unit equivalent |
$ | (176.50 | ) | $ | 206.47 | |||
Weighted average units outstanding |
112,067.1398 | 124,391.6669 | ||||||
See accompanying notes to financial statements.
4
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
1. | General: |
AAA Capital Energy Fund L.P. II, (the
Partnership) is a limited partnership organized on
March 25, 2002 under the partnership laws of the State of
New York to engage, directly or indirectly, in the speculative
trading of a diversified portfolio of commodity interests,
including commodity options and commodity futures contracts on
United States exchanges and certain foreign exchanges. The
Partnership, through its investment
in the Master (defined herein), may trade commodity futures and options contracts of
any kind. In addition, the Partnership through its investment
in the Master, may enter into swap
contracts on energy related products. The Partnership was
authorized to sell 150,000 Redeemable Units of Limited Partnership
Interest (Redeemable Units). During the initial
offering period (May 31, 2002 through July 1, 2002),
the Partnership sold 93,975 Redeemable Units of Limited
Partnership Interest (Redeemable Units). The
Partnership commenced trading on July 1, 2002.
The Partnership privately and continuously offers up to 350,000 Redeemable Units.
Ceres Managed Futures LLC (CMF) a Delaware
limited liability company, acts as the general partner (the General Partner)
and commodity pool operator of the Partnership. The General Partner is wholly
owned by Morgan Stanley Smith Barney Holdings LLC (MSSB Holdings), a newly
registered non-clearing futures commission merchant and a member of the National
Futures Association (NFA). Morgan Stanley, indirectly through various subsidiaries,
owns 51% of MSSB Holdings. Citigroup Global Markets Inc. (CGM), the commodity
broker and a selling agent for the Partnership, owns 49% of MSSB Holdings.
Citigroup Inc. (Citigroup), indirectly through various subsidiaries, wholly owns CGM.
Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General
Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of
Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.
On July 1, 2002, the Partnership allocated substantially
all of its capital to AAA Master Fund LLC (the
Master), a
New York Limited Liability Company. The Partnership
purchased 64,945.0387 units
of the Master with a fair value of $94,925,000. The Master was
formed in order to permit commodity pools managed now or in the
future by AAA Capital Management Advisors, Ltd. (successor to
AAA Capital Management, Inc.) (the Advisor) using
the Energy Program Futures and Swaps, a
proprietary, discretionary trading program, to invest together
in one trading vehicle. In addition, the Advisor is a special
limited partner (the Special Limited Partner) of the Partnership. Individual and pooled
accounts currently managed by the Advisor, including the
Partnership, are permitted to be non-managing members of the
Master. The General Partner and the Advisor believe that trading
through this master/feeder structure promotes efficiency
and economy in the trading process. Expenses to investors as a
result of the investment in the Master are approximately the
same and redemption rights are not affected. The Masters
commodity broker is CGM and its managing member is CMF. The
Master may trade commodity futures and options contracts of any
kind, but trades solely energy, energy-related products, lumber and
grains. In addition, the Master may enter into swap contracts or
trade in energy-related products. The commodity interests that
are traded by the Partnership, through its investment in the Master, are volatile and involve a high degree
of market risk.
The General Partner is not aware of any material changes to the
trading program discussed above during the fiscal quarter ended March
31, 2010.
As of March 31, 2010, the Partnership owned approximately
43.4% of the Master. As of December 31, 2009, the Partnership
owned approximately 40.3% of the Master. It is the Partnerships
intention to continue to invest substantially all of its assets
in the Master. The performance of the Partnership is directly
affected by the performance of the Master. The Masters trading of futures, forwards, swaps and options contracts, if applicable, on
is done primarily on United States of America commodity exchanges and foreign commodity
engages in such trading through a commodity brokerage account maintained with CGM. The Masters
Statements of Financial Condition, including Condensed Schedules of
Investments and Statements of Income and Expenses and Changes in Members
Capital are included herein.
The General Partner and each limited partner share in the profits and losses of the
Partnership, after the allocation to the Special Limited Partner, in proportion to
the amount of partnership interest owned by each except that no limited partner shall be liable for
obligations of the Partnership in excess of its initial capital contribution and profits, if any,
net of distributions.
The accompanying financial statements are unaudited but, in the
opinion of management, include all adjustments, consisting only
of normal recurring adjustments, necessary for a fair statement
of the Partnerships financial condition at March 31, 2010
and December 31, 2009, and the results of its
operations for the three months ended
March
31, 2010 and 2009. These financial statements present
the results of interim periods and do not include all
disclosures normally provided in annual financial statements.
You should read these financial statements together with the
financial statements and notes included in the
Partnerships Annual Report on
Form 10-K
filed with the Securities and Exchange Commission (the
SEC) for the year ended December 31, 2009.
The preparation of financial
statements in conformity with U.S. generally accepted
accounting principles (GAAP) requires management to make
estimates and assumptions that affect the reported amounts of
assets and liabilities, 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.
In making these estimates and assumptions, management has considered
the effects, if any, of events occurring after the date of the
Partnerships Statements of Financial Condition through the date the financial statements were issued.
As a result, actual results could differ from these estimates.
On July 1, 2009, the Financial Accounting Standards Board (FASB) issued
Statement of Financial Accounting Standards (FAS) No. 168, The FASB Accounting Standards Codification and the Hierarchy of Generally
Accepted Accounting Principles, also known as FASB Accounting Standards Codification (ASC) 105, Generally Accepted Accounting
Principles (ASC 105) (the Codification). ASC 105 established the exclusive authoritative reference for U.S. generally accepted
accounting principles (GAAP) for use in financial statements except for SEC rules and interpretive releases, which are also
authoritative GAAP for SEC registrants. The Codification supersedes all existing non-SEC accounting and reporting standards. The
Codification is the single source of authoritative accounting principles generally accepted in the United States and applies to all
financial statements issued after September 15, 2009.
The Partnership
is not required to provide a Statement of Cash Flows as permitted by
ASC 230, Statement of Cash Flows.
Due to the nature of commodity trading, the results of
operations for the interim periods presented should not be
considered indicative of the results that may be expected for
the entire year.
5
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
The Masters Statements of Financial Condition and
Schedules of Investments as of March 31, 2010 and
December 31, 2009 and Statements of Income and Expenses and
Changes in Members Capital for the three months ended
March 31, 2010 and 2009 are presented
below:
AAA
Master Fund LLC
Statements of Financial Condition
(Unaudited)
Statements of Financial Condition
(Unaudited)
March 31, | December 31, | |||||||
2010 | 2009 | |||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Cash |
$ | 626,341,345 | $ | 778,736,469 | ||||
Cash margin |
183,278,612 | 112,350,862 | ||||||
Options owned, at fair value
(cost $959,804,592 and $885,211,273, respectively) |
705,452,180 | 741,495,723 | ||||||
Total assets |
$ | 1,515,072,137 | $ | 1,632,583,054 | ||||
Liabilities and Members Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open futures and
exchange cleared swap contracts |
$ | 8,143,639 | $ | 50,857,890 | ||||
Options written, at fair value
(premium $607,471,246 and $435,825,576, respectively) |
427,346,266 | 352,233,900 | ||||||
Accrued expenses: |
||||||||
Professional fees |
247,287 | 296,072 | ||||||
Total liabilities |
435,737,192 | 403,387,862 | ||||||
Members Capital: |
||||||||
Members Capital, 111,949.4266 and 123,710.6078 Units
outstanding at March 31, 2010 and December 31, 2009, respectively |
1,079,334,945 | 1,229,195,192 | ||||||
Total liabilities and members capital |
$ | 1,515,072,137 | $ | 1,632,583,054 | ||||
Net Asset Value per Unit |
$ | 9,641.27 | $ | 9,936.05 | ||||
6
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
AAA
Master Fund LLC
Condensed Schedule of Investments
March 31, 2010
(Unaudited)
Number of | % of Members | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures
and Exchange Cleared Swap Contracts Purchased |
||||||||||||
Energy |
||||||||||||
NYMEX HH Swap May 10 - May 14 |
22,780 | $ | (72,924,323 | ) | (6.76 | )% | ||||||
NYMEX HH Natural Gas Aug 10 - May 14 |
10,801 | (98,005,945 | ) | (9.08 | ) | |||||||
Other |
42,094 | 26,296,665 | 2.44 | |||||||||
Lumber |
107 | 105,354 | 0.01 | |||||||||
Total futures and exchange cleared swap contracts purchased |
(144,528,249 | ) | (13.39 | ) | ||||||||
Futures
and Exchange Cleared Swap Contracts Sold |
||||||||||||
Energy |
||||||||||||
NYMEX HH Swap Feb 11 - Dec 15 |
23,760 | 84,105,418 | 7.79 | |||||||||
NYMEX HH Natural Gas May 10 - Apr 14 |
8,881 | 87,169,963 | 8.08 | |||||||||
Other |
33,009 | (34,748,781 | ) | (3.22 | ) | |||||||
Lumber |
142 | (141,990 | ) | (0.01 | ) | |||||||
Total futures and exchange cleared swap contracts sold |
136,384,610 | 12.64 | ||||||||||
Options
Owned |
||||||||||||
Energy |
||||||||||||
Call |
||||||||||||
NYMEX Crude Oil E Jun 10 - Dec 12 |
4,775 | 59,684,290 | 5.53 | |||||||||
NYMEX LT Crude Oil May 10 - Dec 13 |
15,770 | 161,591,200 | 14.97 | |||||||||
NYMEX Natural Gas E May 10 - Oct 14 |
25,176 | 77,979,032 | 7.22 | |||||||||
Other |
9,720 | 83,560,970 | 7.74 | |||||||||
Call options owned |
382,815,492 | 35.46 | ||||||||||
Put |
||||||||||||
NYMEX Crude Oil E Dec 10 - Dec 16 |
12,829 | 101,075,180 | 9.36 | |||||||||
NYMEX LT Crude Oil May 10 - Dec 13 |
10,868 | 64,782,360 | 6.00 | |||||||||
NYMEX Natural Gas E May 10 - May 14 |
10,296 | 128,947,214 | 11.95 | |||||||||
Other |
9,706 | 27,831,934 | 2.58 | |||||||||
Put options owned |
322,636,688 | 29.89 | ||||||||||
Total options owned |
705,452,180 | 65.35 | ||||||||||
Options
Written |
||||||||||||
Energy |
||||||||||||
Call |
||||||||||||
NYMEX Heating Oil May 10 - Dec 10 |
13,119 | (116,718,949 | ) | (10.81 | ) | |||||||
NYMEX LT Crude Oil May 10 - Dec 16 |
14,801 | (64,732,290 | ) | (6.00 | ) | |||||||
Other |
40,654 | (125,223,911 | ) | (11.60 | ) | |||||||
Call options
written |
(306,675,150 | ) | (28.41 | ) | ||||||||
Put |
||||||||||||
Other |
29,427 | (120,671,116 | ) | (11.18 | ) | |||||||
Put options written |
(120,671,116 | ) | (11.18 | ) | ||||||||
Total options written |
(427,346,266 | ) | (39.59 | ) | ||||||||
Total fair value |
$ | 269,962,275 | 25.01 | % | ||||||||
7
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
AAA
Master Fund LLC
Condensed Schedule of Investments
December 31, 2009
(Unaudited)
Condensed Schedule of Investments
December 31, 2009
(Unaudited)
Number of |
% of Members |
|||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures and Exchange Cleared Swap Contracts Purchased
|
||||||||||||
Energy
|
76,309 | $ | (83,380,536 | ) | (6.78 | )% | ||||||
Total futures and exchange cleared swap contracts purchased
|
(83,380,536 | ) | (6.78 | ) | ||||||||
Futures and Exchange Cleared Swap Contracts Sold
|
||||||||||||
Energy
|
68,230 | 32,522,646 | 2.65 | |||||||||
Total futures and exchange cleared swap contracts sold
|
32,522,646 | 2.65 | ||||||||||
Options Owned
|
||||||||||||
Energy
|
||||||||||||
Call
|
||||||||||||
NYMEX LT Crude Oil Feb 10 Dec 12
|
10,366 | 130,224,950 | 10.59 | |||||||||
NYMEX Natural Gas E Feb 10 Oct 14
|
23,072 | 135,333,168 | 11.01 | |||||||||
Other
|
8,589 | 115,880,958 | 9.43 | |||||||||
Call options written
|
381,439,076 | 31.03 | ||||||||||
Put
|
||||||||||||
NYMEX Crude Oil E Dec 10 Dec 16
|
13,074 | 127,745,250 | 10.39 | |||||||||
NYMEX LT Crude Oil Feb 10 Dec 13
|
10,761 | 73,976,480 | 6.02 | |||||||||
NYMEX Natural Gas E Feb 10 May 14
|
9,735 | 116,193,705 | 9.45 | |||||||||
Other
|
8,960 | 42,141,212 | 3.43 | |||||||||
Put options owned
|
360,056,647 | 29.29 | ||||||||||
Total options owned
|
741,495,723 | 60.32 | ||||||||||
Options Written
|
||||||||||||
Energy
|
||||||||||||
Call
|
||||||||||||
NYMEX Heating Oil Feb 10 Dec 10
|
6,014 | (61,856,584 | ) | (5.03 | ) | |||||||
NYMEX Natural Gas E Feb 10 Oct 14
|
18,423 | (77,041,748 | ) | (6.27 | ) | |||||||
Other
|
19,042 | (109,221,068 | ) | (8.89 | ) | |||||||
Call options written
|
(248,119,400 | ) | (20.19 | ) | ||||||||
Put
|
||||||||||||
Other
|
21,738 | (104,114,500 | ) | (8.47 | ) | |||||||
Put options written
|
(104,114,500 | ) | (8.47 | ) | ||||||||
Total options written
|
(352,233,900 | ) | (28.66 | ) | ||||||||
Total fair value
|
$ | 338,403,933 | 27.53 | % | ||||||||
8
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
AAA
Master Fund LLC
Statements of Income and Expenses and Changes in Members Capital
(Unaudited)
Statements of Income and Expenses and Changes in Members Capital
(Unaudited)
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Income: |
||||||||
Net gains (losses) on trading of commodity interests: |
||||||||
Net realized gains (losses) on closed contracts |
$ | (61,447,730 | ) | $ | 55,296,920 | |||
Change in
net unrealized gains (losses) on open contracts |
28,610,693 | 36,099,441 | ||||||
Gain (loss) from trading, net |
(32,837,037 | ) | 91,396,361 | |||||
Interest income |
100,242 | 207,586 | ||||||
Total income (loss) |
(32,736,795 | ) | 91,603,947 | |||||
Expenses: |
||||||||
Clearing fees |
945,322 | 690,089 | ||||||
Professional fees |
175,354 | 177,375 | ||||||
Total expenses |
1,120,676 | 867,464 | ||||||
Net
income (loss) |
(33,857,471 | ) | 90,736,483 | |||||
Additions |
14,687,953 | 55,749,031 | ||||||
Redemptions |
(130,590,487 | ) | (134,050,531 | ) | ||||
Distribution
of interest income to feeder funds |
(100,242 | ) | (207,586 | ) | ||||
Net increase
(decrease) in Members Capital |
(149,860,247 | ) | 12,227,397 | |||||
Members Capital, beginning of period |
1,229,195,192 | 1,338,631,099 | ||||||
Members Capital, end of period |
$ | 1,079,334,945 | $ | 1,350,858,496 | ||||
Net Asset Value per Unit
(111,949.4266 and 142,061.4413 Units outstanding
at March 31, 2010 and 2009, respectively) |
$ | 9,641.27 | $ | 9,508.97 | ||||
Net income
(loss) per Unit of Member Interest |
$ | (293.89 | ) | $ | 633.90 | |||
Weighted average units outstanding |
119,501.6077 | 148,066.0111 | ||||||
9
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
2. | Financial Highlights: |
Changes in Net Asset Value per Redeemable Unit of Limited
Partnership Interest for the three months ended
March 31, 2010 and 2009 were as follows:
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Net realized
and unrealized gains (losses)* |
$ | (148.33 | ) | $ | 285.80 | |||
Interest income |
0.36 | 0.64 | ||||||
Expenses and allocation to Special Limited Partner** |
(28.53 | ) | (79.97 | ) | ||||
Increase
(decrease) for the period |
(176.50 | ) | 206.47 | |||||
Net asset Value per Redeemable Unit, beginning of period |
4,407.18 | 4,145.89 | ||||||
Net asset Value per Redeemable Unit, end of period |
$ | 4,230.68 | $ | 4,352.36 | ||||
* | Includes Partnership commissions and clearing fees allocated from the Master. | |
** | Excludes Partnership commissions, clearing fees allocated from the Master and includes allocation to Special Limited Partner in 2010 and 2009. |
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Ratios to
Average Net Assets:*** |
||||||||
Net investment income (loss) before allocation to Special Limited Partner**** |
(4.8 | )% | (3.9 | )% | ||||
Operating expenses |
4.8 | % | 4.0 | % | ||||
Allocation to Special Limited Partner |
| % | 1.2 | % | ||||
Total expenses and allocation to Special Limited Partner |
4.8 | % | 5.2 | % | ||||
Total return: |
||||||||
Total return before allocation to Special Limited Partner |
(4.0) | % | 6.3 | % | ||||
Allocation to Special Limited Partner |
| % | (1.3 | )% | ||||
Total return after allocation to Special Limited Partner |
(4.0 | )% | 5.0 | % | ||||
*** | Annualized (except for allocation to Special Limited Partner, if applicable). | |
**** | Interest income allocated from Master less total expenses (exclusive of allocation to Special Limited Partner, if applicable). |
The above ratios may vary for individual investors based on the
timing of capital transactions during the period. Additionally,
these ratios are calculated for the limited partner class using
the limited partners share of income, expenses and average
net assets.
10
Table of Contents
AAA
Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
Financial Highlights of the Master:
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Net realized
and unrealized gains* |
$ | (293.26 | ) | $ | 633.70 | |||
Interest Income |
0.89 | 1.45 | ||||||
Expenses ** |
(1.52 | ) | (1.25 | ) | ||||
Increase
for the period |
293.89 | 633.90 | ||||||
Distribution |
(0.89 | ) | (1.45 | ) | ||||
Net Asset Value per Unit of Member Interest, beginning of period |
9,936.05 | 8,876.52 | ||||||
Net Asset Value per Unit of Member Interest, end of period |
$ | 9,641.27 | $ | 9,508.97 | ||||
* | Includes clearing fees. | |
** | Excludes clearing fees. |
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Ratios to average net assets:*** |
||||||||
Net
investment gain**** |
(0.4 | )% | (0.2 | )% | ||||
Operating expenses |
0.4 | % | 0.3 | % | ||||
Total return |
(3.0 | )% | 7.1 | % | ||||
*** | Annualized. | |
**** | Interest income less total expenses. |
The above ratios may vary for individual investors based on the timing of capital transactions
during the period. Additionally, these ratios are calculated for the
non-managing member class using
the non-managing members share of income, expenses and average net assets.
3. | Trading Activities: |
The Partnership was formed for the purpose of trading contracts
in a variety of commodity interests, including derivative
financial instruments and derivative commodity instruments. The
Partnership invests substantially all of its assets through a
master/feeder structure. The results of the
Partnerships investment in the Master are shown in the
Statements of Income and Expenses and Changes in Partners Capital.
The customer agreements between the Partnership and CGM and the
Master and CGM give the Partnership and the Master,
respectively, the legal right to net unrealized gains and losses
on open futures and exchange cleared swap contracts. The Master nets, for financial reporting purposes, the
unrealized gains and losses on open futures and exchange cleared
swap contracts on the Statements of Financial Condition as
the criteria under ASC 210, Balance Sheet, has been met.
11
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
Brokerage commissions are based on the number of trades executed
by the Advisor and the Partnerships ownership percentage of the Master.
The
Master adopted ASC 815, Derivatives and Hedging
as of January 1, 2009
which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative
instruments, and disclosures about credit-risk-related contingent features in derivative agreements. ASC 815 only expands the disclosure requirements for derivative instruments and related
hedging activities and has no impact on the Statements of Financial
Condition or Statements of Income and Expenses and Changes in Members
Capital. The following tables indicate the
fair values of derivative instruments of futures and exchange cleared swap and option contracts as separate assets and liabilities as of
March 31, 2010 and December 31, 2009.
All of the commodity interests owned by the Master are held for trading purposes.
The average number of futures and exchange cleared swap contracts traded for the three months ended March 31, 2010
and 2009, based on a monthly calculation, were 146,227 and 154,867, respectively.
The average number of options contracts traded for the three months ended March 31, 2010 and 2009,
based on a monthly calculation, were 176,565 and 164,244, respectively.
March 31, 2010 | ||||
Assets |
||||
Futures
and Exchange Cleared Swap Contracts |
||||
Energy |
$ | 366,034,654 | ||
Lumber |
107,004 | |||
Total unrealized appreciation on open futures and exchange cleared swap contracts |
$ | 366,141,658 | ||
Liabilities |
||||
Futures
and Exchange Cleared Swap Contracts |
||||
Energy |
$ | (374,141,657 | ) | |
Lumber |
(143,640 | ) | ||
Total unrealized depreciation on open futures and exchange cleared swap contracts |
$ | (374,285,297 | ) | |
Net unrealized depreciation on open futures and exchange cleared swap contracts |
$ | (8,143,639 | )* | |
Assets | ||||
Options Owned | ||||
Energy | $ | 705,452,180 | ||
Total options owned | $ | 705,452,180 | ** | |
Liabilities | ||||
Options Written | ||||
Energy | $ | (427,346,266 | ) | |
Total options written | $ | (427,346,266 | )*** | |
* | This amount is in Net unrealized depreciation on open futures and exchange cleared swap contracts on the Masters Statements of Financial Condition. | |
** | This amount is in Options owned, at fair value on the Masters Statements of Financial Condition. | |
*** | This amount is in Options written, at fair value on the Masters Statements of Financial Condition. |
12
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
December 31, 2009 | ||||
Assets
|
||||
Futures and Exchange Cleared Swap Contracts
|
||||
Energy
|
$ | 274,140,959 | ||
Total unrealized appreciation on open futures and exchange
cleared swap contracts
|
$ | 274,140,959 | ||
Liabilities
|
||||
Futures and Exchange Cleared Swap Contracts
|
||||
Energy
|
$ | (324,998,849 | ) | |
Total unrealized depreciation on open futures and exchange
cleared swap contracts
|
$ | (324,998,849 | ) | |
Net unrealized depreciation on open futures and exchange cleared
swap contracts
|
$ | (50,857,890 | )* | |
Assets
|
||||
Options Owned
|
||||
Energy
|
$ | 741,495,723 | ||
Options owned
|
$ | 741,495,723 | ** | |
Liabilities
|
||||
Options Written
|
||||
Energy
|
$ | 352,233,900 | ||
Options written
|
$ | 352,233,900 | *** | |
* | This amount is in Net unrealized depreciation on open futures and exchange cleared swap contracts on the Statements of Financial Condition. | |
** | This amount is in Options owned, at fair value on the Statements of Financial Condition. | |
*** | This amount is in Options written, at fair value on the Statements of Financial Condition. |
The following table indicates the trading gains and losses, by market sector, on derivative instruments for the
three months ended March 31, 2010 and March 31, 2009.
Three Months Ended | Three Months Ended | |||||||
March 31, 2010 | March 31, 2009 | |||||||
Sector | Gain (loss) from trading | Gain (loss) from trading | ||||||
Energy |
$ | (32,821,199 | ) | $ | 91,396,361 | |||
Lumber |
(15,838 | ) | | |||||
Total |
$ | (32,837,037 | )**** | $ | 91,396,361 | **** | ||
**** | This amount is in Gain (loss) from trading, net on the Masters Statements of Income and Expenses and Changes in Members Capital. |
4. | Fair Value Measurements: |
Partnerships Investments. The Partnership values its
investment in the Master at its net asset value per unit as
calculated by the Master. The Master values its investments as
described in note 2 of the Masters notes to the
annual financial statements as of December 31, 2009.
Partnerships Fair Value Measurements. The Partnership
adopted ASC 820, Fair Value Measurements
and Disclosures as of January 1, 2008 which
defines fair value as the price that would be
received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the
measurement date. ASC 820 establishes a framework for
measuring fair value and expands disclosures regarding fair
value measurements in accordance with GAAP. The fair value
hierarchy gives the highest priority to unadjusted quoted prices
in active markets for identical assets or liabilities
(Level 1) and the lowest priority to fair values
derived from unobservable inputs (Level 3). The level in
the fair value hierarchy within which the fair value measurement
in its entirety falls shall be determined based on the lowest
level input that is significant to the fair value measurement in
its entirety. The Partnership did not apply the deferral allowed
by ASC 820, for
nonfinancial assets and nonfinancial liabilities measured at fair value on a
nonrecurring basis.
In 2009, the Partnership adopted amendments to ASC 820, which reaffirms that fair value is the price that would be received to sell an asset or paid to
transfer a liability in an orderly transaction between market participants at the measurement date
under current market conditions. These amendments to ASC 820 also reaffirm the need to use judgment
in determining if a formerly active market has become inactive and in determining fair values when
the market has become inactive. These amendments to ASC 820 are required for interim and annual
reporting periods ending after June 15, 2009. Management has concluded that based on available
information in the marketplace, there has not been a decrease in the volume and level of activity
in the Partnerships Level 2 assets and liabilities. The adoption of the amendments to ASC 820 had
no effect on the Partnerships Financial Statements.
The Partnership values investments in the Master where there are no other rights or obligations
inherent within the ownership interest held by the Partnership
based on the end of the day net asset value of the Master
(Level 2). The value of the Partnerships investment
in the Master reflects its proportional interest in the Master.
As of and for the periods ended March 31, 2010 and December 31, 2009, the Partnership did not hold any derivative instruments
that are based on unadjusted quoted prices in active markets for identical
assets (Level 1) or priced at fair value using unobservable inputs through the
application of managements assumptions and internal
valuation pricing models (Level 3).
Quoted Prices in |
||||||||||||||||
Active Markets for |
Significant Other |
Significant |
||||||||||||||
Identical Assets |
Observable Inputs |
Unobservable Inputs |
||||||||||||||
3/31/2010 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets
|
||||||||||||||||
Investment in Master
|
$ | 468,924,938 | $ | | $ | 468,924,938 | $ | | ||||||||
Total fair value
|
$ | 468,924,938 | $ | | $ | 468,924,938 | $ | | ||||||||
Quoted Prices in |
||||||||||||||||
Active Markets for |
Significant Other |
Significant |
||||||||||||||
Identical Assets |
Observable Inputs |
Unobservable Inputs |
||||||||||||||
12/31/2009 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 495,766,284 | $ | | $ | 495,766,284 | $ | | ||||||||
Total fair value |
$ | 495,766,284 | $ | | $ | 495,766,284 | $ | | ||||||||
Masters Investments. All commodity interests of the
Master (including derivative financial instruments and
derivative commodity instruments) are held for trading purposes.
The commodity interests are recorded on trade date and open
contracts are recorded at fair value (as described below) at the
measurement date. Investments in commodity interests denominated
in foreign currencies are translated into U.S. dollars at
the exchange rates prevailing at the measurement date. Gains or
losses are realized when contracts are liquidated. Unrealized
gains or losses on open contracts are included as a component of equity in
trading account on the Statements of Financial Condition.
Realized gains or losses and any change in net unrealized
gains or losses from the preceding period are reported in the
Statements of Income and Expenses and Changes in Members Capital.
Masters Fair Value Measurements. The Master adopted
ASC 820 as of January 1, 2008 which
defines fair value as the price that would be
received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the
measurement date. ASC 820 statement establishes a framework for
measuring fair value and expands disclosures regarding fair
value measurements in accordance with GAAP. The fair value
hierarchy gives the highest priority to unadjusted quoted prices
in active markets for identical
13
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
assets or liabilities (Level 1) and the lowest
priority to fair values derived from unobservable inputs
(Level 3). The level in the fair value hierarchy within
which the fair value measurement in its entirety falls shall be
determined based on the lowest level input that is significant
to the fair value measurement in its entirety. The Master did
not apply the deferral allowed by ASC 820 for
nonfinancial assets and liabilities measured at fair value on a
nonrecurring basis.
The Master considers prices for exchange-traded commodity
futures, forwards and options contracts to be based on unadjusted quoted prices in
active markets for identical assets (Level 1). The values
of non-exchange traded forwards, swaps and certain options contracts for which
market quotations are not readily available are priced by
broker-dealers who derive fair values for those assets from
observable inputs (Level 2). As of and for the periods ended March 31, 2010 and
December 31, 2009,
the Master did not hold any derivative
instruments for which market quotations are not readily
available and which are
priced by broker-dealers who derive fair values for those assets from observable inputs
(Level 2) or that are priced at fair value using unobservable
inputs through the application of managements assumptions
and internal valuation pricing models (Level 3).
Quoted Prices in | ||||||||||||||||
Active Markets for | Significant Other | Significant | ||||||||||||||
Identical Assets | Observable Inputs | Unobservable | ||||||||||||||
3/31/2010 | (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Options owned |
$ | 705,452,180 | $ | 705,452,180 | $ | | $ | | ||||||||
Total assets |
705,452,180 | 705,452,180 | | | ||||||||||||
Liabilities |
||||||||||||||||
Futures and
Exchange Cleared
Swaps |
$ | 8,143,639 | $ | 8,143,639 | $ | | $ | | ||||||||
Options written |
427,346,266 | 427,346,266 | | | ||||||||||||
Total liabilites |
435,489,905 | 435,489,905 | | | ||||||||||||
Total fair value |
$ | 269,962,275 | $ | 269,962,275 | $ | | $ | | ||||||||
Quoted Prices in | ||||||||||||||||
Active Markets for | Significant Other | Significant | ||||||||||||||
Identical Assets | Observable Inputs | Unobservable | ||||||||||||||
12/31/2009 | (Level 1) | (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Options owned |
$ | 741,495,723 | $ | 741,495,723 | $ | | $ | | ||||||||
Total assets |
741,495,723 | 741,495,723 | | | ||||||||||||
Liabilities |
||||||||||||||||
Futures and
Exchange Cleared
Swaps |
$ | 50,857,890 | $ | 50,857,890 | $ | | $ | | ||||||||
Options written |
352,233,900 | 352,233,900 | | | ||||||||||||
Total liabilites |
403,091,790 | 403,091,790 | | | ||||||||||||
Total fair value |
$ | 338,403,933 | $ | 338,403,933 | $ | | $ | | ||||||||
5. | Financial Instrument Risks: |
In the normal course of its business, the Partnership, through its investment in the Master,
is party to financial instruments with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. These financial instruments may include forwards,
futures, options and swaps, whose values are based upon an underlying asset, index, or reference
rate, and generally represent future commitments to exchange currencies or cash balances, or to
purchase or sell other financial instruments at specific terms at specified future dates, or, in
the case of derivative commodity instruments, to have a reasonable possibility to be settled in
cash, through physical delivery or with another financial instrument. These instruments may be
traded on an exchange or over-the-counter (OTC). Exchange-traded instruments are standardized and
include futures and certain forwards and options contracts. OTC contracts are negotiated between contracting
parties and include forwards and certain options. Specific market movements of commodities or
futures contracts underlying an option cannot accurately be predicted. The purchaser of an option
may lose the entire premium paid for the option. The writer, or seller, of an option has unlimited
risk. Each of these instruments is subject to various risks similar to those related to the
underlying financial instruments including market and credit risk. In general, the risks associated
with OTC contracts are greater than those associated with exchange-traded instruments because of
the greater risk of default by the counterparty to an OTC contract.
14
Table of Contents
AAA Capital Energy
Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
Market risk is the potential for changes in the value of the financial instruments traded by Partnership/Master
the Partnership/Master due to market changes, including interest and foreign exchange rate
movements and fluctuations in commodity or security prices. Market risk is directly impacted by the
volatility and liquidity in the markets in which the related underlying assets are traded by the Partnership/Master. The Partnership/Master is exposed to a market risk equal to the value of futures and
forward contracts purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnerships/Masters risk of loss in the
event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and not represented by the contract or notional amounts of the
instruments. The Partnerships/Masters risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master
to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit risk and concentration
risk as the sole counterparty or broker with respect to the Partnerships/Masters assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the
extent that through CGM, the Partnerships/Masters counterparty is an exchange or clearing organization.
The Advisor will concentrate the Partnerships/Masters trading in energy related markets.
Concentration in a limited number of commodity interests may subject the Partnerships/Masters
account to greater volatility than if a more diversified portfolio of contracts were traded on
behalf of the Partnership/Master.
As both a buyer and seller of options, the Partnership/Master pays or receives a premium at
the outset and then bears the risk of unfavorable changes in the price of the contract underlying
the option. Written options expose the Partnership/Master to potentially unlimited liability; for
purchased options the risk of loss is limited to the premiums paid. Certain written put options
permit cash settlement and do not require the option holder to own the reference asset. The
Partnership/Master does not consider these contracts to be guarantees
as described in ASC 460, Guarantees.
The
General Partner/managing member monitors and attempts to control the Partnerships/Masters risk exposure on a daily
basis through financial, credit and risk management monitoring
systems, and accordingly, believes
that it has effective procedures for evaluating and limiting the credit and market risks to which
the Partnership/Master may be subject. These monitoring systems generally
allow the General Partner/managing member to
statistically analyze actual trading results with risk adjusted performance indicators and
correlation statistics. In addition, on-line monitoring systems provide account analysis of
futures and exchange cleared swaps, forwards and options positions by sector, margin requirements, gain and loss
transactions and
collateral positions.
The majority of these instruments mature within one year of the inception date. However, due
to the nature of the Partnerships/Masters business, these instruments may not be held to
maturity.
6. Critical Accounting Policies:
Use of Estimates. The preparation of financial statements and accompanying notes in conformity
with GAAP requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities, income and expenses,
and related disclosures of contingent assets
and liabilities in the financial statements and accompanying notes.
In making these estimates and assumptions, management has considered
the effects, if any, of events occurring after the date of the
Partnerships Statements of Financial Condition through the date
the financial statements were issued. As a result, actual results could differ
from these estimates.
Statement of Cash Flows. The
Partnership is not required to provide a Statement of Cash Flows as permitted by ASC 230.
Partnerships Investments. The Partnership values its investment in the Master at its net asset value per
unit as calculated by the Master. The Master values its investments as described in note 2 of the
Masters notes to the annual financial statements as of
December 31, 2009.
Partnerships and the
Masters Fair Value Measurements. The Partnership and the Master adopted
ASC 820, as of January 1, 2008 which defines fair value as the
price that would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the
measurement date. The Partnership and the Master did not apply the deferral allowed by ASC 820, for nonfinancial assets and nonfinancial
liabilities measured at fair value on a nonrecurring basis.
The Partnership values investments in the Master where there are no other rights or obligations
inherent within the ownership interest held by the Partnership based on the end of the day net
asset value of the Master (Level 2). The value of the Partnerships investments in the Master
reflects its proportional interest in the Master. As of and for the
periods ended March
31, 2010 and December 31, 2009, the Partnership did not
hold any derivative instruments that are based on unadjusted quoted prices in active markets for identical
assets (Level 1) or priced at fair value using unobservable inputs through the application of
managements assumptions and internal valuation pricing models (Level 3).
The Master considers prices for exchange traded commodity futures, forwards and options
contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values
of non exchange-traded forwards, swaps and certain options contracts for which market quotations
are not readily available are priced by broker-dealers who derive fair values for those assets from
observable inputs (Level 2). As of and for the periods ended March
31, 2010 and December 31, 2009, the Master did not hold any derivative
instruments for which market quotations are not readily available, are priced by broker-dealers who
derive fair values for those assets from observable inputs (Level 2) or that are priced at fair
value using
unobservable inputs through the application of managements assumptions and internal valuation
pricing models (Level 3).
15
Table of Contents
AAA Capital Energy
Fund L.P. II
Notes to Financial Statements
March 31, 2010
(Unaudited)
Notes to Financial Statements
March 31, 2010
(Unaudited)
Futures
Contracts. The Master trades futures contracts and exchange cleared
swaps. Exchange cleared swaps are swaps that
are traded as futures. A futures contract is a firm
commitment to buy or sell a specified quantity of investments, currency or a standardized amount of
a deliverable grade commodity, at a specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity is something where physical delivery
cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments
(variation margin) may be made or received by the Master each business day, depending on the
daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains
or losses by the Master. When the contract is closed, the Master records a realized gain or loss
equal to the difference between the value of the contract at the time it was opened and the value
at the time it was closed. Because transactions in futures contracts require participants to make
both initial margin deposits of cash or other assets and variation margin deposits, through the
futures broker, directly with the exchange on which the contracts are traded, credit exposure is
limited. Realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are
included in the Statements of Income and Expenses and Changes in Members Capital.
Options. The Master may purchase and write (sell), both exchange listed and over-the-counter,
options on commodities or financial instruments. An option is a contract allowing, but not
requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial
instrument at a specified price during a specified time period. The option premium is the total
price paid or received for the option contract. When the Master writes an option, the premium
received is recorded as a liability in the Statements of Financial Condition and marked to market
daily. When the Master purchases an option, the premium paid is recorded as an asset in the
Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes
in unrealized gains (losses) on options contracts are included in the Statements of Income and
Expenses and Changes in Members Capital.
Brokerage Commissions. Commission charges to open and close futures and exchange traded swap
contracts are expensed at the time the positions are opened. Commission charges on option contracts
are expensed at the time the position is established and when the option contract is closed.
Income Taxes. Income taxes have not been provided as each partner is individually liable for
the taxes, if any, on their share of the Partnerships income and expenses.
In 2007, the Partnership adopted ASC
740, Income Taxes which provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the
evaluation of tax positions taken or expected to be taken in the course of preparing the
Partnerships financial statements to determine whether the tax positions are
more-likely-than-not to be sustained by the applicable tax authority. Tax positions with respect
to tax at the partnership level not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. The General
Partner concluded that no provision
for income tax is required in the Partnerships financial statements.
The following is the major tax jurisdiction for the Partnership and the earliest tax year
subject to examination: United States 2006.
Subsequent
Events. In 2009, the Partnership adopted ASC 855, Subsequent Events. The objective
of ASC 855 is to establish general standards of accounting for and disclosure of events that occur
after the balance sheet date but before financial statements are available to be issued.
Management has determined that there were no subsequent events requiring adjustment or disclosure
in the financial statements.
Recent Accounting Pronouncements. In January 2010, the FASB issued guidance, which, among other things, amends ASC 820, Fair
Value Measurements and Disclosures to require entities to separately present purchases, sales,
issuances, and settlements in their reconciliation of Level 3 fair value measurements (i.e., to
present such items on a gross basis rather than on a net basis), and which clarifies existing
disclosure requirements regarding the level of disaggregation and the inputs and valuation
techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy. This guidance is effective for
interim and annual periods beginning after December 15, 2009, except for the disclosures about
purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value
measurements which are effective for fiscal years beginning after December 15, 2010, and for
interim periods within those fiscal years. The adoption of this guidance did not have a material
impact on the Partnerships financial statements.
In February 2010, the FASB issued Accounting Standards Update No. 2010-09 (ASU 2010-09),
Subsequent Events (Topic 855): Amendments to Certain Recognition and Disclosure Requirements,
which among other things amended ASC 855 to remove the requirement for an SEC filer to disclose the
date through which subsequent events have been evaluated. This change alleviates potential
conflicts between ASC 855 and the SECs requirements. All of the amendments in this update are
effective upon issuance of this update. Management has included the provisions of these amendments
in the financial statements.
Net Income (Loss) per Redeemable Unit. Net income (loss) per Redeemable Unit is calculated in
accordance with investment company guidance. See Note 2, Financial Highlights.
16
Table of Contents
Item 2. | Managements Discussion and Analysis of Financial Condition and Results of Operations. |
Liquidity and Capital Resources
The Partnership does not engage in sales of goods or services.
Its only assets are its investment in the Master and cash. The Master does not engage in the sale
of goods or services. Because of the low margin deposits
normally required in commodity futures trading, relatively small
price movements may result in substantial losses to the
Partnership, through its investment in the Master. While
substantial losses could lead to a material decrease in
liquidity, no such illiquidity occurred during the first quarter of
2010.
The Partnerships capital consists of the capital
contributions of the partners as increased or decreased by income (loss) from its
investment in the Master, expenses, interest income, redemptions
of Redeemable Units and distributions of profits, if any.
For
the three months ended March 31, 2010, Partnership capital
decreased 4.9% from $486,960,493 to $463,027,676. This decrease was attributable to redemptions of
4,031.1053 Redeemable Units of
Limited Partnership Interest resulting in an outflow of $17,116,893 and the redemption of
47.3381 General Partner Unit equivalents totaling
$200,000, coupled with the net loss from operations of $19,965,924, which was
partially offset by the addition of
3,030.9694 Redeemable Units of Limited Partnership Interest totaling
$13,350,000. Future
redemptions could impact the amount of funds available for investment in the Master in subsequent
periods.
The Masters capital consists of the capital contributions of the members as increased or
decreased by realized and/or unrealized gains or losses on trading, expenses,
interest income, redemptions of units and distributions of profits, if any.
For the three months ended March 31, 2010, the Masters
capital decreased 12.2% from
$1,229,195,192 to $1,079,334,945. This decrease was attributable to
the redemption of 13,242.2329
units of Member Interest totaling $130,590,487 and distribution of interest income to feeder funds totaling
$100,242 to the non-managing members of the Master, coupled with the
net loss from operations of $33,857,471, which was partially offset
by the addition of 1,481.0517 units of Member Interest totaling
$14,687,953. Future redemptions can impact the amount of funds available for investments in
commodity contract positions in subsequent periods.
Critical Accounting Policies
Partnerships Investments. The Partnership values its investment in the Master at its net asset value per unit as calculated by the Master. The Master values its investments as described in note 2 of the Masters notes to the annual financial statements as of December 31, 2009.
Partnerships Fair Value Measurements. The Partnership adopted ASC 820 as of January 1, 2008 which defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Partnership
did not apply the deferral allowed by ASC 820 for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis.
The Partnership values investments in the Master where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Master (Level 2). The value of the Partnerships investments in the Master reflects its proportional
interest in the Master. As of and for the periods ended March 31, 2010 and December 31, 2009,
the Partnership did not hold any derivative instruments that are based on unadjusted quoted prices
in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs
through the application of managements assumptions and internal valuation pricing models (Level 3).
The Master considers prices for exchange traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily
available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). As of and for the periods ended March 31, 2010 and December 31, 2009, the Master did not hold any derivative instruments for which market quotations are not readily available, are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that are priced at fair value using unobservable inputs through the application of managements
assumptions and internal valuation pricing models (Level 3).
Futures Contracts. The Master trades futures contracts and exchange cleared swaps. Exchange cleared swaps are swaps that are traded as futures. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is
closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (variation margin) may be made or received by the Master each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Master. When the contract is closed, the Master records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the
Statements of Income and Expenses and Changes in Members Capital.
Options. The Master may purchase and write (sell), both exchange listed and over-the-counter, options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total
price paid or received for the option contract. When the Master writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Master purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes
in Members Capital.
Brokerage Commissions. Commission charges to open and close futures and exchange traded swap contracts are expensed at the time the positions are opened. Commission charges on option contracts are expensed at the time the position is established and when the option contract is closed.
17
Table of Contents
Results of Operations
During the Partnerships first quarter of 2010, the Net Asset Value per Redeemable Unit
decreased 4.0% from $4,407.18 to $4,230.68 as compared to an increase of 5.0% in the first quarter
of 2009. The Partnership for its own account, through its investment in the Master, experienced a
net trading loss before brokerage commissions and related fees in the first quarter of 2010 of
$14,370,426. Losses were primarily attributable to the Masters trading of commodity futures in
NYMEX Crude Oil, NYMEX Energy Swaps, IPE Gas Oil and Lumber and were partially offset by gains in
NYMEX Gasoline, NYMEX Natural Gas, Unleaded Gas, IPE Brent Crude Oil, and NYMEX Heating Oil. The
Partnership for its own account, through its investment in the Master, experienced a net trading
gain before brokerage commissions and related fees in the first quarter of 2009 of $36,977,407.
Gains were primarily attributable to the Masters trading of commodity futures in NYMEX Crude Oil,
NYMEX Energy Swaps, NYMEX Gasoline, NYMEX Natural Gas, Unleaded Gas and IPE Brent Crude Oil, and
were partially offset by losses in NYMEX Heating Oil, IPE Gas Oil and RBOB Gasoline.
Risk assets moved higher during the first quarter
of 2010 as economic data suggested a recovering
global economy and an agreement for limited Euro-zone and IMF support for Greece provided a
blueprint for other indebted peripheral members of the Euro-zone. The fallout from the Greek
sovereign debt crisis rippled throughout global markets resulting in price shifts and uncertainty.
Losses were accumulated for the quarter as volatile market conditions in the energy markets
proved difficult for trading.
Losses were accumulated in January and February as difficult trading conditions
persisted. In January the extreme cold across most major U.S. consumptions centers boosted
front end market volatility as expected but ultimately undermined the managers short position
on this part of the curve. Weakness in the long dated volatility also undermined a substantial
long term, long natural option gas position well out the forward curve. Combined WTI and
Brent were down over 3% on the month. Refined products fared better with distillate up 1.5%
and gasoline up 1.3%. The colder weather across U.S., European and Asian population centers
has underpinned both distillate values and heating oil crack spreads.
In February, losses continued to accumulate due to downward pressure on crude option
volatility following 6 months of sideways, range-bound trading between $65.00 and
$85.00/barrel basis NYMEX WTI, and price upside in both gasoline and heating oil crack
spreads. On the month, the crude oil book lost about 0.6 % despite having long delta in a
largely up-market as the volatility shifts offset fixed price gains. The managers position in the
refined products markets proved even weightier for overall performance with both the gasoline
and distillate books each losing about 0.9%. The main problem for refined products was that,
even with copious spare refining capacity (both U.S. and worldwide) and a persistent overhang
in distillate stocks, crack spreads rallied against the short positions here. Increased refinery
output in Asia (in both India and China specifically) could also have a more global, dampening
effect on refined products values. India is expected to export more gasoline westward and
Chinas net product imports continue to plummet as more and more local requirements is met
by new Chinese refinery capacity.
March performance was largely flat, as slight positive performance in natural gas and
solid gains in crude oil were offset by losses in refined products.
Commodity futures markets are highly volatile. The potential for
broad and rapid price fluctuations increases the risks involved
in commodity trading, but also increases the possibility of
profit. The profitability of the Partnership (and the Master)
depends on the Advisors ability to forecast price changes
in energy and energy-related commodities. Such price changes are
influenced by, among other things, changing supply and demand
relationships, weather, governmental, agricultural, commercial
and trade programs and policies, national and international
political and economic events and changes in interest rates. To
the extent that the Advisor correctly makes such forecasts, the
Partnership (and the Master) expects to increase capital through
operations.
Brokerage commissions are based on the number of trades executed
by the Advisor and the Partnerships ownership percentage of the Master.
Brokerage commissions and fees for the three months ended March 31, 2010 increased
18
Table of Contents
by $744,501 as compared to the
corresponding period in 2009. The increase in commissions and
fees is primarily due to an increase in the number of trades
during the three months ended March 31, 2010 as
compared to the corresponding period in 2009.
Interest income on 80% of the Partnerships daily average
equity allocated to it by the Master was earned at a
30-day
U.S. Treasury bill rate determined weekly by CGM based on
the average non-competitive yield on
3-month
U.S. Treasury bills maturing in 30 days. CGM may
continue to maintain the Masters assets in cash
and/or place
up to all of the Masters assets in
90-day
Treasury bills and pay the Partnership its allocable share of
80% of the interest earned on the U.S. Treasury bills purchased.
Twenty percent of the interest earned on U.S. Treasury bills purchased may
be retained by CGM and/or credited to the General Partner. Interest income allocated from the Master for the
three months ended March 31, 2010 decreased by
$38,742 as compared to the
corresponding period in 2009. The decrease in interest income
is primarily due to lower
U.S. Treasury Bill rates for the Partnership during the
three months ended March 31, 2010 as compared to the
corresponding period in 2009. Interest earned by the Partnership will increase the net asset value of the Partnership.
The amount of interest income earned by the Partnership depends on the average daily equity in the Partnerships
account and upon interest rates over which the Partnership nor CGM has control.
Management fees are calculated as a percentage of the
Partnerships net asset value as of the end of each month
and are affected by trading performance, additions and redemptions.
Management fees for the three months ended March 31, 2010
decreased by $278,620 as
compared to the corresponding period in 2009. The decrease in
management fees is due to a decrease in average net assets
during the three months ended March 31, 2010 as
compared to the corresponding period in 2009.
Administrative fees are calculated as a percentage of the
Partnerships net asset value as of the end of each month
and are affected by trading performance, additions and redemptions.
Administrative fees for the three months ended
March 31, 2010 decreased by $69,655 as compared to the
corresponding period in 2009. The decrease
in administrative fees is due to a decrease in average net assets during
the three months ended March 31, 2010 as compared to
the corresponding period in 2009.
Special Limited Partner profit share allocations (incentive
fees) are based on the new trading profits generated by the
Advisor at the end of the quarter, as defined in the advisory
agreements among the Partnership, the General Partner and the
Advisor. There were no profit share allocations earned for the three months ended March 31, 2010.
The profit share allocation accrued
for the three months ended March 31, 2009 was $6,375,882. The Advisor will not be allocated a profit share until the Advisor recovers the net loss incurred and earns additional new trading profits for the Partnership.
In allocating substantially all of the assets of the Partnership to the Master, the General Partner considered the Advisors
past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate
the allocation of assets to the Advisor at any time.
19
Table of Contents
Item 3. | Quantitative and Qualitative Disclosures about Market Risk |
All of the Partnerships assets are subject to the risk of
trading loss through its investment in the Master. The Master is
a speculative commodity pool. The market sensitive instruments
held by the Master are acquired for speculative trading
purposes, and all or substantially all of the Partnerships
capital is subject to the risk of trading loss through its
investment in the Master. Unlike an operating company, the risk
of market sensitive instruments is integral, not incidental, to
the Masters and the Partnerships main line of
business.
The risk to the limited partners that have purchased interests in the Partnership is
limited to the amount of their capital contributions to the Partnership and their share of
the Partnerships assets and undistributed profits. This limited liability is a consequence
of the organization of the Partnership as a limited partnership under applicable law.
Market movements result in frequent changes in the fair value of
the Masters open positions and, consequently, in their
earnings and cash flow. The Masters and the
Partnerships market risk is influenced by a wide variety
of factors, including the level and volatility of interest
rates, exchange rates, equity price levels, the value of
financial instruments and contracts, the diversification results
among the Masters open positions and the liquidity of the
markets in which the Master trades.
The Master rapidly acquires and liquidates both long and short
positions in a range of different markets. Consequently, it is
not possible to predict how a particular future market scenario
will affect performance, and the Masters past performance
is not necessarily indicative of their future results.
Value at Risk is a measure of the maximum amount which the
Master could reasonably be expected to lose in a given market
sector. However, the inherent uncertainty of the Masters
speculative trading and the recurrence in the markets traded by
the Master of market movements far exceeding expectations could
result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Masters experience to date
(i.e., risk of ruin). In light of the foregoing as
well as the risks and uncertainties intrinsic to all future
projections, the inclusion of the quantification in this section
should not be considered to constitute any assurance or
representation that the Masters losses in any market
sector will be limited to Value at Risk or by the Masters
attempts to manage its market risk.
Exchange maintenance margin requirements have been used by the
Master as the measure of its Value at Risk. Maintenance margin
requirements are set by exchanges to equal or exceed the maximum
losses reasonably expected to be incurred in the fair value of
any given contract in 95%-99% of any
one-day
interval. Maintenance margin has been used rather than the more
generally available initial margin, because initial margin
includes a credit risk component, which is not relevant to Value
at Risk.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market
risk sensitive instruments. The following table indicates the trading Value at Risk associated with
the Masters open positions by market category as of March 31, 2010 and the highest, lowest and
average value during the three months ended March 31, 2010. All open position trading risk
exposures of the Master have been included in calculating the figures set forth below. There has
been no material change in the trading Value at Risk information previously disclosed in the
Partnerships Annual Report on Form 10-K for the year ended December 31, 2009.
As of March 31, 2010, the Masters total capitalization was $1,079,334,945 and the Partnership
owned approximately 43.4% of the Master. The Partnership invests substantially all of its assets in
the Master. The Partnerships Value at Risk for the portion of its assets that are traded
indirectly through its investment in the Master as of March 31, 2010 was as follows:
March 31, 2010
(Unaudited)
(Unaudited)
Three Months Ended March 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Energy |
$ | 114,734,546 | 10.63 | % | $ | 143,609,109 | $ | 105,255,921 | $ | 114,508,627 | ||||||||||
Lumber |
92,000 | 0.01 | % | $ | 92,000 | $ | 32,900 | $ | 46,467 | |||||||||||
Total |
$ | 114,826,546 | 10.64 | % | ||||||||||||||||
* | Average monthly Values at Risk |
20
Table of Contents
Item 4. | Controls and Procedures |
The Partnerships disclosure controls and procedures are
designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of
1934 (the Exchange Act) is recorded, processed, summarized and reported within the time periods
expected in the SECs rules and forms. Disclosure controls and procedures include controls
and procedures designed to ensure that information required to be disclosed by the Partnership in
the reports it files
is accumulated and communicated to management,
including the Chief Executive Officer (CEO) and Chief Financial
Officer (CFO) of the General Partner, to allow for timely
decisions regarding required disclosure and appropriate SEC
filings.
Management is responsible for ensuring that there is an adequate
and effective process for establishing, maintaining and
evaluating disclosure controls and procedures for the
Partnerships external disclosures.
The General Partners CEO and CFO have evaluated the
effectiveness of the Partnerships disclosure controls and
procedures (as defined in
Rules 13a-15(e)
and
15d-15(e)
under the Exchange Act) as of March 31, 2010 and, based on
that evaluation, the General Partners CEO and CFO have concluded that at that
date the Partnerships disclosure controls and procedures
were effective.
The Partnerships internal control over financial
reporting is a process under the supervision of the General
Partners CEO and CFO to provide reasonable assurance
regarding the reliability of financial reporting and the
preparation of financial statements in accordance with
GAAP. These
controls include policies and procedures that:
| pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; | |
| provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnerships receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and | |
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control
over financial reporting process during the fiscal quarter ended
March 31, 2010 that materially affected, or are reasonably
likely to materially affect, the Partnerships internal
control over financial reporting.
21
Table of Contents
PART II. OTHER INFORMATION
Item 1. | Legal Proceedings |
The following information supplements and amends the discussion set forth under Part I, Item 3.
Legal Proceedings in the Partnerships Annual Report on Form 10-K for the fiscal year ended December
31, 2009. There are no material legal proceedings pending against the Partnership and the General Partner.
Credit Crisis Related Matters
Citigroup and its affiliates, including CGM,
continue to defend lawsuits and arbitrations asserting claims for damages and related relief for losses arising from the global financial
credit and subprime-mortgage crisis that began in 2007. Certain of these actions have been resolved, through either settlements or court
proceedings.
In addition, Citigroup and its affiliates,
including CGM, continue to cooperate fully in response to subpoenas and requests for information from the Securities and Exchange
Commission and other government agencies in connection with various formal and informal inquiries concerning Citigroups subprime
mortgage-related conduct and business activities. Citigroup and certain of its affiliates, including CGM, are involved in discussions
with certain of their regulators to resolve certain of these matters.
22
Table of Contents
Item 1A. | Risk Factors |
There have been no material changes to the risk factors set forth under Part I, Item
1A. Risk Factors in the Partnerships Annual Report on Form 10-K for the fiscal year
ended December 31, 2009.
23
Table of Contents
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds |
For the three months ended March 31, 2010 there were
additional sales to Limited Partners of 3,030.9694 Redeemable Units totaling $13,350,000. The Redeemable Units were issued in reliance upon applicable
exemptions from registration under Section 4(2) of the
Securities Act of 1933, as amended and Section 506 of
Regulation D promulgated thereunder. These units were purchased by accredited investors as defined in Regulation D.
Proceeds of net offering were used for the trading of commodity interests, including futures contracts, options, forwards and swap contracts.
The following chart sets forth the purchases of Redeemable Units
by the Partnership.
(d) Maximum Number |
||||||||||||||||||||
(or Approximate |
||||||||||||||||||||
(c) Total Number |
Dollar Value) of |
|||||||||||||||||||
of Redeemable Units |
Redeemable Units |
|||||||||||||||||||
(a) Total Number |
(b) Average |
Purchased as Part |
that May Yet Be |
|||||||||||||||||
of Redeemable |
Price Paid per |
of Publicly Announced |
Purchased Under the |
|||||||||||||||||
Period | Units Purchased* | Redeemable Unit** | Plans or Programs | Plans or Programs | ||||||||||||||||
January 1, 2010 January 31, 2010 |
550.9229 | $ | 4,375.25 | N/A | N/A | |||||||||||||||
February 1, 2010 February 28, 2010 |
2,968.6915 | $ | 4,224.93 | N/A | N/A | |||||||||||||||
March 1, 2010 March 31, 2010 |
511.4909 | $ | 4,230.68 | N/A | N/A | |||||||||||||||
4,031.1053 | $ | 4,246.20 | N/A | N/A | ||||||||||||||||
* Generally, limited partners are permitted to redeem their
Redeemable Units as of the end of each month on
10 days notice to the General Partner. Under certain
circumstances, the General Partner can compel redemption but to
date, the General Partner has not exercised this right.
Purchases of Redeemable Units by the Partnership reflected in
the chart above were made in the ordinary course of the
Partnerships business in connection with effecting
redemptions for limited partners.
** Redemptions of Redeemable Units are effected as of the
last day of each month at the Net Asset Value per Redeemable
Unit as of that day.
Item 3. | Defaults Upon Senior Securities None |
Item 4. | [Removed and Reserved] |
Item 5. | Other Information None |
24
Table of Contents
Item 6. | Exhibits |
3.1 | Certificate of Limited Partnership of the Partnership as filed in the Office of the Secretary of State of the State of New York, dated March 21, 2002 (filed as Exhibit 3.1 to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference). |
(a) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 3.1(a) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(b) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 3.1(b) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(c) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 3.1(c) to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
(d) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated August 27, 2008 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 2, 2008 and incorporated herein by reference). | ||
(e) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference). |
3.2 | Amended and Restated Limited Partnership Agreement, dated January 9, 2007 (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on January 16, 2007 and incorporated herein by reference). | ||
10.1(a) | Customer Agreement between the Partnership and Salomon Smith Barney Inc., dated August 23, 2001 (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference). | ||
10.1(b) | Customer Agreement among the Partnership and Salomon Smith Barney Inc., and for limited purposes Smith Barney AAA Master Fund LLC, dated May 31, 2002 (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference). | ||
10.2 | Form of Subscription Agreement (filed as Exhibit 10.2 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
10.3 | Management Agreement among the Partnership, Citigroup Managed Futures LLC and AAA Capital Management Advisors, Ltd., dated April 3, 2006 (filed as Exhibit 10.3 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). |
(a) | Letter from the General Partner extending Management Agreements for 2009, dated June 9, 2009 (filed as Exhibit 10.3(a) to the annual report on Form 10-K filed on March 31, 2010 and incorporated herein by reference). |
10.4 | Amended and Restated Agency Agreement among the Partnership, Ceres Managed Futures LLC, Morgan Stanley Smith Barney LLC, and Citigroup Global Markets Inc., dated November 11, 2009 (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
16.1 | Letter from KPMG LLP Regarding Change of Certifying Account (filed as Exhibit 16.1 to the Form 8-K filed on July 1, 2008 and incorporated herein by reference). | ||
16.2 | Letter from PricewaterhouseCoopers LLP Regarding Change of Certifying Account (filed as Exhibit 16.1 to the Form 8-K filed on July 23, 2009 and incorporated herein by reference). | ||
31.1 | Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) | ||
31.2 | Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director) | ||
32.1 | Section 1350 Certification (Certification of President and Director) |
||
32.2 | Section 1350 Certification (Certification of Chief Financial Officer and Director) |
25
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
AAA CAPITAL ENERGY FUND L.P. II
By: | Ceres Managed Futures LLC | ||||
(General Partner) | |||||
By: |
/s/ Jerry Pascucci | ||||
Jerry Pascucci President and Director |
|||||
Date: |
May 17, 2010 | ||||
By: |
/s/ Jennifer Magro | ||||
Jennifer Magro Chief Financial Officer and Director (Principal Accounting Officer) |
|||||
Date: |
May 17, 2010 | ||||
26