Attached files
file | filename |
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EXCEL - IDEA: XBRL DOCUMENT - Managed Futures Premier Energy Fund L.P. II | Financial_Report.xls |
EX-32.2 - EX-32.2 - Managed Futures Premier Energy Fund L.P. II | y05037exv32w2.htm |
EX-31.1 - EX-31.1 - Managed Futures Premier Energy Fund L.P. II | y05037exv31w1.htm |
EX-31.2 - EX-31.2 - Managed Futures Premier Energy Fund L.P. II | y05037exv31w2.htm |
EX-32.1 - EX-32.1 - Managed Futures Premier Energy Fund L.P. II | y05037exv32w1.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 June 30, 2011
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
522 Fifth Avenue
-
14th Floor
New York, New York 10036
(Address of principal executive offices) (Zip Code)
(212) 296-1999
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed
all reports required to be filed by Section 13 or 15(d) of
the Securities Exchange Act of 1934 during the preceding
12 months (or for such shorter period that the registrant
was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days.
Yes X No
Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule
405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that
the registrant was required to submit and post such files).
Yes X No
Indicate by check mark whether the registrant is a large
accelerated filer, an accelerated filer, a non-accelerated
filer, or a smaller reporting company. See the definitions of
large accelerated filer, accelerated
filer and smaller reporting company in
Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer
Accelerated filer
Non-accelerated filer X
Smaller reporting company
Indicate by check mark whether the registrant is a shell company
(as defined in
Rule 12b-2
of the Exchange Act).
Yes No X
As of July 31, 2011, 82,884.9191 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
101. INS
|
XBRL Instance Document. | |
101. SCH
|
XBRL Taxonomy Extension Schema Document. | |
101. CAL
|
XBRL Taxonomy Extension Calculation Linkbase Document. | |
101. LAB
|
XBRL Taxonomy Extension Label Linkbase Document. | |
101. PRE
|
XBRL Taxonomy Extension Presentation Linkbase Document. |
2
Table of Contents
PART I
Item 1.
Financial Statements
AAA Capital Energy Fund L.P. II
Statements of Financial Condition
Statements of Financial Condition
(Unaudited) | |||||||||
June 30, | December 31, | ||||||||
2011 | 2010 | ||||||||
Assets:
|
|||||||||
Investment in Master, at fair value
|
$ | 347,954,172 | $ | 409,326,894 | |||||
Cash
|
395,060 | 339,975 | |||||||
Total assets
|
$ | 348,349,232 | $ | 409,666,869 | |||||
Liabilities and Partners Capital:
|
|||||||||
Liabilities:
|
|||||||||
Accrued expenses:
|
|||||||||
Brokerage commissions
|
$ | 1,321,944 | $ | 1,942,511 | |||||
Management fees
|
577,803 | 679,115 | |||||||
Administrative fees
|
144,451 | 169,779 | |||||||
Other
|
345,333 | 255,364 | |||||||
Redemptions payable
|
10,907,239 | 14,177,765 | |||||||
Total liabilities
|
13,296,770 | 17,224,534 | |||||||
Partners Capital:
|
|||||||||
General Partner, 966.9309 and 1,064.1285 unit equivalents outstanding at
June 30, 2011 and December 31, 2010, respectively |
3,831,802 | 4,316,829 | |||||||
Special Limited Partner, 464.0795 Redeemable
Units outstanding
at June 30, 2011 and December 31, 2010
|
1,839,077 | 1,882,622 | |||||||
Limited Partners, 83,117.4044 and 95,211.6367 Redeemable
Units outstanding at June 30,
2011 and
December 31, 2010, respectively
|
329,381,583 | 386,242,884 | |||||||
Total partners capital
|
335,052,462 | 392,442,335 | |||||||
Total liabilities and partners capital
|
$ | 348,349,232 | $ | 409,666,869 | |||||
Net asset value per unit
|
$ | 3,962.85 | $ | 4,056.68 | |||||
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 | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment income: |
||||||||||||||||
Interest income allocated from Master |
$ | 10,752 | $ | 84,769 | $ | 76,247 | $ | 125,347 | ||||||||
Expenses: |
||||||||||||||||
Expenses allocated from Master |
287,494 | 444,553 | 610,283 | 928,876 | ||||||||||||
Brokerage commissions |
760,712 | 1,479,658 | 1,933,621 | 3,510,967 | ||||||||||||
Management fees |
1,788,570 | 2,302,472 | 3,732,968 | 4,704,288 | ||||||||||||
Administrative fees |
447,142 | 575,618 | 933,242 | 1,176,073 | ||||||||||||
Other |
105,813 | 120,827 | 206,011 | 239,000 | ||||||||||||
Total expenses |
3,389,731 | 4,923,128 | 7,416,125 | 10,559,204 | ||||||||||||
Net investment income (loss) |
(3,378,979 | ) | (4,838,359 | ) | (7,339,878 | ) | (10,433,857 | ) | ||||||||
Trading Results: |
||||||||||||||||
Net realized
gains (losses) on closed contracts allocated from Master |
(39,770,700 | ) | 4,666,920 | (23,250,746 | ) | (20,789,348 | ) | |||||||||
Change in net unrealized gains (losses) on open
contracts allocated from Master |
29,547,569 | (9,507,906 | ) | 22,607,835 | 1,577,936 | |||||||||||
Total trading results allocated from Master |
(10,223,131 | ) | (4,840,986 | ) | (642,911 | ) | (19,211,412 | ) | ||||||||
Net income (loss) |
(13,602,110 | ) | (9,679,345 | ) | (7,982,789 | ) | (29,645,269 | ) | ||||||||
Subscriptions Limited Partners |
0 | 318,000 | 401,165 | 13,668,000 | ||||||||||||
Redemptions Limited Partners |
(23,409,787 | ) | (7,857,169 | ) | (49,408,249 | ) | (24,974,062 | ) | ||||||||
Redemptions General Partner |
0 | (449,993 | ) | (400,000 | ) | (649,993 | ) | |||||||||
Net increase (decrease) in Partners Capital |
(37,011,897 | ) | (17,668,507 | ) | (57,389,873 | ) | (41,601,324 | ) | ||||||||
Partners Capital, beginning of period |
372,064,359 | 463,027,676 | 392,442,335 | 486,960,493 | ||||||||||||
Partners Capital, end of period |
$ | 335,052,462 | $ | 445,359,169 | $ | 335,052,462 | $ | 445,359,169 | ||||||||
Net asset value per unit
(84,548.4148 and 107,554.5251 units outstanding
at June 30, 2011 and 2010, respectively) |
$ | 3,962.85 | $ | 4,140.78 | $ | 3,962.85 | $ | 4,140.78 | ||||||||
Net income (loss) per unit * |
$ | (152.48 | ) | $ | (89.90 | ) | $ | (93.83 | ) | $ | (266.40 | ) | ||||
Weighted average units outstanding |
88,952.4299 | 108,756.6241 | 91,715.3140 | 110,411.8820 | ||||||||||||
* | Based on change in net asset value per unit. |
See accompanying notes to financial statements.
4
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(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
U.S. exchanges and certain foreign exchanges. The
Partnership, through its investment
in the Master (defined below), may trade commodity futures and options contracts of
any kind. In addition, the Partnership, through its investment
in the Master, may enter into swap
contracts on energyrelated products. The Partnership was
authorized to sell up to 150,000 redeemable units of limited partnership
interest (Redeemable Units) during its initial offering
period. During the initial
offering period (May 31, 2002 through July 1, 2002),
the Partnership sold 93,975 Redeemable Units. The
Partnership commenced trading on July 1, 2002.
The Partnership privately and continuously offers up to 350,000
Redeemable Units. There is no maximum number of Redeemable Units that
may be sold by the Partnership.
Ceres Managed Futures LLC (CMF) a Delaware
limited liability company, acts as the general partner (the General Partner)
and commodity pool operator of the Partnership. The General Partner is wholly
owned by Morgan Stanley Smith Barney Holdings LLC (MSSB
Holdings). Morgan Stanley, indirectly through various subsidiaries,
owns a majority equity interest in MSSB Holdings. Citigroup Global Markets Inc. (CGM), the commodity
broker and a selling agent for the Partnership, owns a minority equity
interest in 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. As of June 30, 2011, all trading decisions for the
Partnership are made by the Advisor (defined below).
On July 1, 2002, the Partnership allocated substantially
all of its capital to AAA Master Fund LLC (the
Master), a
New York limited liability company. The Partnership
purchased 64,945.0387 units
of the Master with a fair value of $94,925,000. The Master was
formed in order to permit commodity pools managed now or in the
future by AAA Capital Management Advisors, Ltd. (the Advisor) using
the Energy Program Futures and Swaps, a
proprietary, discretionary trading program, to invest together
in one trading vehicle. In addition, the Advisor is a special
limited partner of the Partnership (in its capacity as special
limited partner, the Special Limited Partner). Individual and pooled
accounts currently managed by the Advisor, including the
Partnership, are permitted to be non-managing members of the
Master. The General Partner and the Advisor believe that trading
through this master/feeder structure promotes efficiency
and economy in the trading process. Expenses to investors as a
result of the investment in the Master are approximately the
same and redemption rights are not affected. The Masters
commodity broker is CGM and its managing member is CMF. The
Master may trade commodity futures and options contracts of any
kind, but trades solely energy, energy-related products, lumber,
grains and softs.
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 June
30, 2011.
As of June 30, 2011, the Partnership owned approximately
36.0% of the Master. As of December 31, 2010, the Partnership
owned approximately 41.4% 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, as applicable,
is done primarily on U.S. and foreign commodity exchanges. The Master
engages in such trading through a commodity brokerage account maintained with CGM. The Masters
Statements of Financial Condition, including Condensed Schedules of
Investments and Statements of Income and Expenses and Changes in Members
Capital are included herein.
The General Partner and each limited partner share in the profits and losses of the
Partnership, after the allocation to the Special Limited Partner, in proportion to
the amount of partnership interest owned by each except that no limited partner shall be liable for
obligations of the Partnership in excess of its capital contribution and profits, if any,
net of distributions.
The accompanying financial statements and accompanying notes are unaudited but, in the
opinion of management, include all adjustments, consisting only
of normal recurring adjustments, necessary for a fair statement
of the Partnerships financial condition at June 30, 2011
and December 31, 2010, and the results of its
operations for the three and six months ended
June 30, 2011 and 2010. 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, 2010.
The preparation of financial
statements and accompanying notes in conformity with accounting principles generally accepted
in the United States of America (GAAP) requires management to make
estimates and assumptions that affect the reported amounts of
assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in financial
statements and accompanying notes. As a result, actual results could differ from these estimates.
Due to the nature of commodity trading, the results of
operations for the interim periods presented should not be
considered indicative of the results that may be expected for
the entire year.
5
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
The Masters Statements of Financial Condition and
Condensed Schedules of Investments as of June 30, 2011 and
December 31, 2010 and Statements of Income and Expenses and
Changes in Members Capital for the three and six months ended
June 30, 2011 and 2010 are presented below:
AAA
Master Fund LLC
Statements of Financial Condition
Statements of Financial Condition
(Unaudited) June 30, |
December 31, | |||||||
2011 | 2010 | |||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Cash |
$ | 750,938,124 | $ | 786,204,916 | ||||
Cash margin |
33,664,044 | 84,669,985 | ||||||
Net
unrealized appreciation on open futures and exchange-cleared swap contracts |
26,942,951 | | ||||||
Options
purchased, at fair value (cost $456,343,040 and $561,437,849, respectively) |
304,026,927 | 363,802,239 | ||||||
Total assets |
$ | 1,115,572,046 | $ | 1,234,677,140 | ||||
Liabilities and Members Capital: |
||||||||
Liabilities: |
||||||||
Net
unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | | $ | 6,571,110 | ||||
Options
premium received, at fair value (premium $244,452,199 and $354,410,825, respectively) |
148,184,988 | 239,504,355 | ||||||
Accrued expenses: |
||||||||
Professional fees |
321,551 | 290,824 | ||||||
Redemptions payable |
| 7,941,213 | ||||||
Total liabilities |
148,506,539 | 254,307,502 | ||||||
Members Capital: |
||||||||
Members Capital, 102,369.6485 and 103,223.2146 units
outstanding at June 30, 2011 and December 31, 2010, respectively |
967,065,507 | 980,369,638 | ||||||
Total liabilities and members capital |
$ | 1,115,572,046 | $ | 1,234,677,140 | ||||
Net asset value per unit |
$ | 9,446.80 | $ | 9,497.57 | ||||
6
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
AAA
Master Fund LLC
Condensed Schedule of Investments
June 30, 2011
(Unaudited)
Number of | % of Members | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures and Exchange-Cleared Swap Contracts Purchased |
||||||||||||
Energy |
42,510 | $ | (75,944,534 | ) | (7.86 | )% | ||||||
Lumber |
29 | 43,967 | 0.01 | |||||||||
Softs |
147 | (848,830 | ) | (0.09 | ) | |||||||
Total futures and exchange-cleared swap contracts purchased |
(76,749,397 | ) | (7.94 | ) | ||||||||
Futures and Exchange-Cleared Swap Contracts Sold |
||||||||||||
Energy |
||||||||||||
NYMEX HH Swap Nov 11 - Dec 14 |
15,563 | 60,933,758 | 6.30 | |||||||||
Other |
25,713 | 42,796,249 | 4.42 | |||||||||
Lumber |
29 | (37,659 | ) | (0.00 | )* | |||||||
Total futures and exchange-cleared swap contracts sold |
103,692,348 | 10.72 | ||||||||||
Options Purchased |
||||||||||||
Energy |
||||||||||||
Call |
||||||||||||
NYMEX LT Crude Oil Aug 11 - Dec 14 |
10,328 | 96,054,920 | 9.93 | |||||||||
Other |
14,758 | 61,893,618 | 6.40 | |||||||||
Call options purchased |
157,948,538 | 16.33 | ||||||||||
Put |
||||||||||||
NYMEX LT Crude Oil Aug 11 - Dec 14 |
9,310 | 50,548,880 | 5.23 | |||||||||
NYMEX Natural Gas E Aug 11 - May 14 |
4,056 | 54,694,364 | 5.66 | |||||||||
Other |
8,962 | 40,835,145 | 4.22 | |||||||||
Put options purchased |
146,078,389 | 15.11 | ||||||||||
Total options purchased |
304,026,927 | 31.44 | ||||||||||
Options Premium Received |
||||||||||||
Energy |
||||||||||||
Call |
||||||||||||
NYMEX LT Crude Oil Aug 11 - Dec 16 |
9,138 | (58,189,420 | ) | (6.02 | ) | |||||||
Other |
18,970 | (44,527,399 | ) | (4.60 | ) | |||||||
Call options premium received |
(102,716,819 | ) | (10.62 | ) | ||||||||
Put |
||||||||||||
Other |
13,762 | (45,468,169 | ) | (4.70 | ) | |||||||
Put options premium received |
(45,468,169 | ) | (4.70 | ) | ||||||||
Total options premium received |
(148,184,988 | ) | (15.32 | ) | ||||||||
Net fair value |
$ | 182,784,890 | 18.90 | % | ||||||||
*
|
Due to rounding. |
7
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
AAA
Master Fund LLC
Condensed Schedule of Investments
December 31, 2010
Condensed Schedule of Investments
December 31, 2010
Number of |
% of Members |
|||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures and Exchange-Cleared Swap Contracts Purchased
|
||||||||||||
Energy
|
49,880 | $ | (76,588,395 | ) | (7.75 | )% | ||||||
Total futures and exchange-cleared swap contracts purchased
|
(76,588,395 | ) | (7.75 | ) | ||||||||
Futures and Exchange-Cleared Swap Contracts Sold
|
||||||||||||
Energy
|
||||||||||||
NYMEX HH Swap Feb 11 Dec 14
|
24,098 | 119,170,628 | 12.06 | |||||||||
Other
|
27,946 | (49,185,903 | ) | (4.98 | ) | |||||||
Lumber
|
72 | 32,560 | 0.00 | * | ||||||||
Total futures and exchange-cleared swap contracts sold
|
70,017,285 | 7.08 | ||||||||||
Options Purchased
|
||||||||||||
Energy
|
||||||||||||
Call
|
||||||||||||
NYMEX Crude Oil E Jun 11 Dec 12
|
3,098 | 50,475,970 | 5.11 | |||||||||
NYMEX LT Crude Oil Feb 11 Dec 13
|
9,371 | 97,741,150 | 9.89 | |||||||||
Other
|
17,005 | 46,219,048 | 4.67 | |||||||||
Call options purchased
|
194,436,168 | 19.67 | ||||||||||
Put
|
||||||||||||
NYMEX Natural Gas E Feb 11 May 14
|
17,363 | 82,281,218 | 8.33 | |||||||||
Other
|
20,468 | 87,084,853 | 8.81 | |||||||||
Put options purchased
|
169,366,071 | 17.14 | ||||||||||
Total options purchased
|
363,802,239 | 36.81 | ||||||||||
Options Premium Received
|
||||||||||||
Energy
|
||||||||||||
Call
|
||||||||||||
NYMEX Heating Oil Feb 11 Jun 11
|
5,580 | (64,361,900 | ) | (6.51 | ) | |||||||
NYMEX LT Crude Oil Feb 11 Dec 16
|
9,485 | (62,747,240 | ) | (6.35 | ) | |||||||
Other
|
21,649 | (52,266,589 | ) | (5.29 | ) | |||||||
Call options premium received
|
(179,375,729 | ) | (18.15 | ) | ||||||||
Put
|
||||||||||||
Other
|
21,624 | (60,128,626 | ) | (6.08 | ) | |||||||
Put options premium received
|
(60,128,626 | ) | (6.08 | ) | ||||||||
Total options premium received
|
(239,504,355 | ) | (24.23 | ) | ||||||||
Net fair value
|
$ | 117,726,774 | 11.91 | % | ||||||||
* | Due to rounding. |
8
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(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 | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment income: |
||||||||||||||||
Interest income |
32,232 | 208,928 | 210,599 | 309,170 | ||||||||||||
Expenses: |
||||||||||||||||
Clearing fees |
604,928 | 840,845 | 1,246,945 | 1,786,167 | ||||||||||||
Professional fees |
181,223 | 179,295 | 352,828 | 354,649 | ||||||||||||
Total expenses |
786,151 | 1,020,140 | 1,599,773 | 2,140,816 | ||||||||||||
Net investment income (loss) |
(753,919 | ) | (811,212 | ) | (1,389,174 | ) | (1,831,646 | ) | ||||||||
Trading results: |
||||||||||||||||
Net gains (losses) on trading of commodity interests: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
(105,994,346 | ) | 10,673,183 | (64,414,036 | ) | (50,774,547 | ) | |||||||||
Change in net unrealized gains (losses) on open contracts |
77,837,677 | (21,835,116 | ) | 60,194,299 | 6,775,577 | |||||||||||
Total
trading results |
(28,156,669 | ) | (11,161,933 | ) | (4,219,737 | ) | (43,998,970 | ) | ||||||||
Net income (loss) |
(28,910,588 | ) | (11,973,145 | ) | (5,608,911 | ) | (45,830,616 | ) | ||||||||
Subscriptions |
53,542,535 | 923,181 | 106,019,273 | 15,611,134 | ||||||||||||
Redemptions |
(44,594,880 | ) | (30,813,437 | ) | (113,503,894 | ) | (161,403,924 | ) | ||||||||
Distribution
of interest income to feeder funds |
(32,232 | ) | (208,928 | ) | (210,599 | ) | (309,170 | ) | ||||||||
Net increase
(decrease) in Members Capital |
(19,995,165 | ) | (42,072,329 | ) | (13,304,131 | ) | (191,932,576 | ) | ||||||||
Members Capital, beginning of period |
987,060,672 | 1,079,334,945 | 980,369,638 | 1,229,195,192 | ||||||||||||
Members Capital, end of period |
$ | 967,065,507 | $ | 1,037,262,616 | $ | 967,065,507 | $ | 1,037,262,616 | ||||||||
Net asset
value per unit (102,369.6485 and 108,871.6670 units outstanding in
June 30, 2011 and 2010, respectively) |
$ | 9,446.80 | $ | 9,527.39 | $ | 9,446.80 | $ | 9,527.39 | ||||||||
Net income (loss) per unit* |
$ | (277.70 | ) | $ | (111.98 | ) | $ | (48.70 | ) | $ | (405.87 | ) | ||||
Weighted average units outstanding |
104,376.4270 | 110,761.3661 | 104,211.0155 | 115,131.4869 | ||||||||||||
* | Based on change in net asset value per unit. |
9
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
2. | Financial Highlights: |
Changes in the net asset value per unit
for the three and six months ended
June 30, 2011 and 2010 were as follows:
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net realized
and unrealized gains (losses)* |
$ | (125.54 | ) | $ | (62.39 | ) | $ | (40.07 | ) | $ | (210.72 | ) | ||||
Interest income |
0.12 | 0.77 | 0.82 | 1.13 | ||||||||||||
Expenses and allocation to Special Limited Partner** |
(27.06 | ) | (28.28 | ) | (54.58 | ) | (56.81 | ) | ||||||||
Increase
(decrease) for the period |
(152.48 | ) | (89.90 | ) | (93.83 | ) | (266.40 | ) | ||||||||
Net asset value per unit, beginning of period |
4,115.33 | 4,230.68 | 4,056.68 | 4,407.18 | ||||||||||||
Net asset value per unit, end of period |
$ | 3,962.85 | $ | 4,140.78 | $ | 3,962.85 | $ | 4,140.78 | ||||||||
* | Includes brokerage commissions and clearing fees allocated from the Master. | |
** | Excludes brokerage commissions and clearing fees allocated from the Master and includes allocation to Special Limited Partner in the three and six months ended June 30, 2011 and 2010 if any. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Ratios to
Average Net Assets:*** |
||||||||||||||||
Net investment income (loss) before allocation
to Special Limited Partner**** |
(3.8) | % | (4.2 | )% | (4.0 | )% | (4.5 | )% | ||||||||
Operating expenses |
3.8 | % | 4.3 | % | 4.1 | % | 4.5 | % | ||||||||
Allocation to Special Limited Partner |
| % | | % | | % | | % | ||||||||
Total expenses and allocation to Special Limited Partner |
3.8 | % | 4.3 | % | 4.1 | % | 4.5 | % | ||||||||
Total return: |
||||||||||||||||
Total return before allocation to Special Limited Partner |
(3.7) | % | (2.1 | )% | (2.3) | % | (6.0 | )% | ||||||||
Allocation to Special Limited Partner |
| % | | % | | % | | % | ||||||||
Total return after allocation to Special Limited Partner |
(3.7) | % | (2.1 | )% | (2.3) | % | (6.0 | )% | ||||||||
*** | 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
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
Financial Highlights of the Master:
Three Months Ended | Six Months Ended | ||||||||||||||||
June 30, | June 30, | ||||||||||||||||
2011 | 2010 | 2011 | 2010 | ||||||||||||||
Net realized and unrealized gains (losses)* |
$ | (276.25 | ) | $ | (112.25 | ) | $ | (47.32 | ) | $ | (405.51 | ) | |||||
Interest income |
0.31 | 1.90 | 2.07 | 2.79 | |||||||||||||
Expenses ** |
(1.76 | ) | (1.63 | ) | (3.45 | ) | (3.15 | ) | |||||||||
Increase (decrease) for the period |
(277.70 | ) | (111.98 | ) | (48.70 | ) | (405.87 | ) | |||||||||
Distribution of interest income to feeder funds |
(0.31 | ) | (1.90 | ) | (2.07 | ) | (2.79 | ) | |||||||||
Net asset value per unit, beginning of period |
9,724.81 | 9,641.27 | 9,497.57 | 9,936.05 | |||||||||||||
Net asset value per unit, end of period |
$ | 9,446.80 | $ | 9,527.39 | $ | 9,446.80 | $ | 9,527.39 | |||||||||
* | Includes clearing fees. | |
** | Excludes clearing fees. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Ratios to average net assets:*** |
||||||||||||||||
Net
investment income (loss)**** |
(0.3 | )% | (0.3 | )% | (0.3 | )% | (0.3 | )% | ||||||||
Operating expenses |
0.3 | % | 0.4 | % | 0.3 | % | 0.4 | % | ||||||||
Total return |
(2.9) | % | (1.2 | )% | (0.5 | )% | (4.1 | )% | ||||||||
*** | 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 Partnerships pro
rata share of the results of the
Masters trading activities are shown in the
Statements of Income and Expenses and Changes in Partners Capital.
The customer agreements between the Partnership and CGM and the
Master and CGM give the Partnership and the Master,
respectively, the legal right to net unrealized gains and losses
on open futures and exchange-cleared swap contracts. The Master nets, for financial reporting purposes, the
unrealized gains and losses on open futures and exchange-cleared
swap contracts on the Statements of Financial Condition.
11
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
Brokerage commissions are based on the number of trades executed
by the Advisor and the Partnerships ownership percentage of the Master.
All of the commodity interests owned by the Master are held for trading purposes.
The monthly average number of futures and exchange-cleared swap contracts traded
during the three months ended June 30, 2011 and 2010 were 87,559 and 133,344,
respectively. The monthly average number of futures and exchange-cleared swap
contracts traded during the six months ended June 30, 2011 and 2010 were 90,712 and
139,785, respectively. The monthly average number of options contracts traded during
the three months ended June 30, 2011 and 2010 were 107,081 and 202,097, respectively.
The monthly average number of options contracts traded during the six months ended
June 30, 2011 and 2010 were 114,608 and 189,331 respectively.
The
following tables indicate the gross fair values of derivative
instruments of futures and exchange-cleared swaps and options
contracts as separate assets and liabilities as of June 30, 2011 and
December 31, 2010.
June 30, 2011 | ||||
Assets |
||||
Futures
and Exchange-Cleared Swap Contracts |
||||
Energy |
$ | 177,633,422 | ||
Lumber |
43,967 | |||
Softs |
435 | |||
Total unrealized appreciation on open futures and exchange-cleared swap contracts |
$ | 177,677,824 | ||
Liabilities |
||||
Futures
and Exchange-Cleared Swap Contracts |
||||
Energy |
$ | (149,847,949 | ) | |
Lumber |
(37,659 | ) | ||
Softs |
(849,265 | ) | ||
Total unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | (150,734,873 | ) | |
Net
unrealized appreciation on open futures and exchange-cleared swap contracts |
$ | 26,942,951 | * | |
Assets |
||||
Options
Purchased |
||||
Energy |
$ | 304,026,927 | ||
Total options purchased |
$ | 304,026,927 | ** | |
Liabilities |
||||
Options
Premium Received |
||||
Energy |
$ | (148,184,988 | ) | |
Total options premium received |
$ | (148,184,988 | )*** | |
* | This amount is in Net unrealized appreciation on open futures and exchange-cleared swap contracts on the Masters Statements of Financial Condition. | |
** | This amount is in Options purchased, at fair value on the Masters Statements of Financial Condition. | |
*** | This amount is in Options premium received, at fair value on the Masters Statements of Financial Condition. |
12
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
December 31, 2010 | ||||
Assets
|
||||
Futures and Exchange-Cleared Swap Contracts
|
||||
Energy
|
$ | 253,480,029 | ||
Lumber
|
38,390 | |||
Total unrealized appreciation on open futures and
exchange-cleared swap contracts
|
$ | 253,518,419 | ||
Liabilities
|
||||
Futures and Exchange-Cleared Swap Contracts
|
||||
Energy
|
$ | (260,083,699 | ) | |
Lumber
|
(5,830 | ) | ||
Total unrealized depreciation on open futures and
exchange-cleared swap contracts
|
$ | (260,089,529 | ) | |
Net unrealized depreciation on open futures and exchange-cleared
swap contracts
|
$ | (6,571,110 | )* | |
Assets
|
||||
Options Purchased
|
||||
Energy
|
$ | 363,802,239 | ||
Options purchased
|
$ | 363,802,239 | ** | |
Liabilities
|
||||
Options Premium Received
|
||||
Energy
|
$ | (239,504,355 | ) | |
Options premium received
|
$ | (239,504,355 | )*** | |
* | This amount is in Net unrealized depreciation on open futures and exchange-cleared swap contracts on the Masters Statements of Financial Condition. | |
** | This amount is in Options purchased, at fair value on the Masters Statements of Financial Condition. | |
*** | This amount is in Options premium received, at fair value on the Masters Statements of Financial Condition. |
The following table indicates the trading gains and losses, by market sector, on derivative instruments for the
three and six months ended June 30, 2011 and 2010.
Three Months Ended | Three Months Ended | Six Months Ended | Six Months Ended | |||||||||||||
June 30, 2011 | June 30, 2010 | June 30, 2011 | June 30, 2010 | |||||||||||||
Sector | Gain(loss) from trading | Gain(loss) from trading | Gain(loss) from trading | Gain(loss) from trading | ||||||||||||
Energy |
$ | (27,173,465 | ) | $ | (11,184,961 | ) | $ | (3,338,136 | ) | $ | (44,006,160 | ) | ||||
Grains |
(34,875 | ) | | (34,875 | ) | | ||||||||||
Lumber |
(99,499 | ) | 23,028 | 2,104 | 7,190 | |||||||||||
Softs |
(848,830 | ) | | (848,830 | ) | | ||||||||||
Total |
$ | (28,156,669) | **** | $ | (11,161,933) | **** | $ | (4,219,737) | **** | $ | (43,998,970) | **** | ||||
**** | This amount is in Total trading results on the Masters Statements of Income and Expenses and Changes in Members Capital. |
13
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
4. | Fair Value Measurements: |
Partnerships Investments. The Partnership values its
investment in the Master at its net asset value per unit as
calculated by the Master. The Master values its investments as
described in note 2 of the Masters notes to the
annual financial statements as of December 31, 2010.
Partnerships Fair Value Measurements. Fair value is defined as the price that would be
received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the
measurement date under current market conditions. The fair value
hierarchy gives the highest priority to unadjusted quoted prices
in active markets for identical assets or liabilities
(Level 1) and the lowest priority to fair values
derived from unobservable inputs (Level 3). The level in
the fair value hierarchy within which the fair value measurement
in its entirety falls shall be determined based on the lowest
level input that is significant to the fair value measurement in
its entirety.
GAAP also requires the 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. Management
has concluded that based on available information in the marketplace, there has not been a
significant decrease in the volume and level of activity in the Partnerships Level 2 assets.
The
Partnership will separately present purchases, sales, issuances and
settlements in its
reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis
rather than on a net basis), and make disclosures regarding the level of disaggregation and the
inputs and valuation techniques used to measure fair value for measurements that fall within either
Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership values its 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 June 30, 2011 and December 31, 2010, 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 |
||||||||||||||
6/30/2011 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets
|
||||||||||||||||
Investment in Master
|
$ | 347,954,172 | $ | | $ | 347,954,172 | $ | | ||||||||
Net fair value
|
$ | 347,954,172 | $ | | $ | 347,954,172 | $ | | ||||||||
Quoted Prices in |
||||||||||||||||
Active Markets for |
Significant Other |
Significant |
||||||||||||||
Identical Assets |
Observable Inputs |
Unobservable Inputs |
||||||||||||||
12/31/2010 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 409,326,894 | $ | | $ | 409,326,894 | $ | | ||||||||
Net fair value |
$ | 409,326,894 | $ | | $ | 409,326,894 | $ | | ||||||||
Masters Investments. All commodity interests of the
Master (including derivative financial instruments and
derivative commodity instruments) are held for trading purposes.
The commodity interests are recorded on trade date and open
contracts are recorded at fair value (as described below) at the
measurement date. Investments in commodity interests denominated
in foreign currencies are translated into U.S. dollars at
the exchange rates prevailing at the measurement date. Gains or
losses are realized when contracts are liquidated. Unrealized
gains or losses on open contracts are included as a component of equity in
trading account on the Statements of Financial Condition. Net
realized gains or losses and any change in net unrealized
gains or losses from the preceding period are reported in the
Statements of Income and Expenses and Changes in Members Capital.
Masters Fair Value Measurements. Fair
value is defined as the price that would be
received to sell an asset or paid to transfer a liability in an
orderly transaction between market participants at the
measurement date under current market conditions. The fair value
hierarchy gives the highest priority to unadjusted quoted prices
in active markets for identical
14
Table of Contents
AAA Capital Energy Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs
(Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be
determined based on the lowest level input that is significant to the fair value measurement in its entirety.
GAAP also requires the 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. Management has
concluded that based on available information in the marketplace, the Masters Level 1 assets and liabilities are
actively traded.
The Master will separately present purchases, sales, issuances and
settlements in its
reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross
basis rather than on a net basis), and make disclosures regarding the level of disaggregation
and the inputs and valuation techniques used to measure fair value for measurements that fall
within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Master considers prices for exchange-traded commodity
futures, 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
June 30, 2011 and
December 31, 2010,
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 | |||||||||||||||
Identical Assets | Significant Other Observable | Unobservable | ||||||||||||||
6/30/2011 | (Level 1) | Inputs (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 177,677,824 | $ | 177,677,824 | $ | | $ | | ||||||||
Options purchased |
304,026,927 | 304,026,927 | | | ||||||||||||
Total assets |
481,704,751 | 481,704,751 | | | ||||||||||||
Liabilities |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 150,734,873 | $ | 150,734,873 | $ | | $ | | ||||||||
Options premium received |
148,184,988 | 148,184,988 | | | ||||||||||||
Total liabilites |
298,919,861 | 298,919,861 | | | ||||||||||||
Net fair value |
$ | 182,784,890 | $ | 182,784,890 | $ | | $ | | ||||||||
Quoted Prices in | ||||||||||||||||
Active Markets for | Significant | |||||||||||||||
Identical Assets | Significant Other Observable | Unobservable | ||||||||||||||
12/31/2010* | (Level 1) | Inputs (Level 2) | Inputs (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures and
Exchange-Cleared Swaps |
$ | 253,518,419 | $ | 253,518,419 | $ | | $ | | ||||||||
Options
purchased |
363,802,239 | 363,802,239 | | | ||||||||||||
Total assets |
617,320,658 | 617,320,658 | | | ||||||||||||
Liabilities |
||||||||||||||||
Futures and
Exchange-Cleared Swaps |
$ | 260,089,529 | $ | 260,089,529 | $ | | $ | | ||||||||
Options premium received |
239,504,355 | 239,504,355 | | | ||||||||||||
Total liabilities |
499,593,884 | 499,593,884 | | | ||||||||||||
Net fair value |
$ | 117,726,774 | $ | 117,726,774 | $ | | $ | | ||||||||
* The amounts have
been reclassified from the December 31, 2010 prior year financial
statements to conform to current year presentation.
15
Table of Contents
AAA Capital Energy
Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
5. | Financial Instrument Risks: |
In the normal course of business, the Partnership, through its investment in the Master,
is party to financial instruments with off-balance sheet risk, including derivative financial
instruments and derivative commodity instruments. These financial instruments may include forwards,
futures, options and swaps, whose values are based upon an underlying asset, index, or reference
rate, and generally represent future commitments to exchange currencies or cash balances, or to
purchase or sell other financial instruments at specific terms at specified future dates, or, in
the case of derivative commodity instruments, to have a reasonable possibility to be settled in
cash, through physical delivery or with another financial instrument. These instruments may be
traded on an exchange or over-the-counter (OTC). Exchange-traded instruments are standardized and
include futures and certain 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. Each of these instruments is subject to various risks similar to those related to the
underlying financial instruments including market and credit risk. In general, the risks associated
with OTC contracts are greater than those associated with exchange-traded instruments because of
the greater risk of default by the counterparty to an OTC contract.
The risk to the limited partners that have purchased 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 result of the
organization of the Partnership as a limited partnership under applicable law.
Market risk is the potential for changes in the value of the financial instruments traded by
the Partnership/Master due to market changes, including interest and foreign exchange rate
movements and fluctuations in commodity or security prices. Market risk is directly impacted by the
volatility and liquidity in the markets in which the related underlying assets are traded by the Partnership/Master. The Partnership/Master is exposed to a market risk equal to the value of futures and
forward contracts purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnerships/Masters risk of loss in the
event of a counterparty default is typically limited to the amounts
recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the
instruments. The Partnerships/Masters risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Master
to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Master has credit risk and concentration
risk as 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 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 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
Master does not consider these contracts to be guarantees.
The
General Partner/managing member monitors and attempts to control the Partnerships/Masters risk exposure on a daily
basis through financial, credit and risk management monitoring
systems, and accordingly, believes
that it has effective procedures for evaluating and limiting the credit and market risks to which
the Partnership/Master may be subject. These monitoring systems generally
allow the General Partner/managing member to
statistically analyze actual trading results with risk adjusted performance indicators and
correlation statistics. In addition, 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.
16
Table of Contents
AAA Capital Energy
Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
6. Critical Accounting Policies:
Use of Estimates. The preparation of financial statements and accompanying notes in conformity
with GAAP requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities, income and expenses,
and related disclosures of contingent assets
and liabilities in the financial statements and accompanying notes.
As a result, actual results could differ from these estimates.
Partnerships Investments. The Partnership values its investment in the Master at its net asset value per
unit as calculated by the Master. The Master values its investments as described in note 2 of the
Masters notes to the annual financial statements as of
December 31, 2010.
Partnerships and the
Masters Fair Value Measurements. Fair value is defined as the
price that would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the
measurement date
under current market conditions. The fair value hierarchy gives the highest priority to
unadjusted quoted prices in active markets for identical assets or liabilities (Level 1)
and the lowest priority to fair values derived from unobservable inputs (Level 3). The
level in the fair value hierarchy within which the fair value measurement in its entirety
falls shall be determined based on the lowest level input that is significant to the fair
value measurement in its entirety. Management has concluded that based on available information
in the marketplace, the Masters Level 1 assets and liabilities are actively traded.
GAAP also requires the 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. Management has concluded that based on available information in the marketplace,
there has not been a significant decrease in the volume and level of activity in the
Partnerships Level 2 assets and liabilities.
The Partnership will separately present purchases, sales, issuances
and settlements in its reconciliation of Level 3 fair value
measurements (i.e., to present such
items on a gross basis rather than on a net basis), and make disclosures regarding the level of
disaggregation and the inputs and valuation techniques used to measure fair value for measurements
that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The
Partnership values its investment in the Master where there are no other rights or obligations
inherent within the ownership interest held by the Partnership based on the end of the day net
asset value of the Master (Level 2). The value of the Partnerships investment in the Master
reflects its proportional interest in the Master. As of and for the
periods ended June 30, 2011 and December 31, 2010, 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
June 30, 2011 and December 31, 2010, the Master did not hold any derivative
instruments for which market quotations are not readily available and are priced by broker-dealers who
derive fair values for those assets from observable inputs (Level 2) or that are priced at fair
value using
unobservable inputs through the application of managements assumptions and internal valuation
pricing models (Level 3).
17
Table of Contents
AAA Capital Energy
Fund L.P. II
Notes to Financial Statements
June 30, 2011
(Unaudited)
Notes to Financial Statements
June 30, 2011
(Unaudited)
Futures
Contracts. The Master trades futures contracts and exchange-cleared
swaps. Exchange-cleared swaps are swaps that
are traded as futures. A futures contract is a firm
commitment to buy or sell a specified quantity of investments, currency or a standardized amount of
a deliverable grade commodity, at a specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity is something where physical delivery
cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments
(variation margin) may be made or received by the Master each business day, depending on the
daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains
or losses by the Master. When the contract is closed, the Master records a realized gain or loss
equal to the difference between the value of the contract at the time it was opened and the value
at the time it was closed. Transactions in futures contracts require participants to make
both initial margin deposits of cash or other assets and variation margin deposits, through the
futures broker, directly with the exchange on which the contracts are
traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are
included in the Statements of Income and Expenses and Changes in Members Capital.
Options.
The Master may purchase and write (sell) both exchange-listed and
OTC options on commodities or financial instruments. An option is a contract allowing, but not
requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial
instrument at a specified price during a specified time period. The option premium is the total
price paid or received for the option contract. When the Master writes an option, the premium
received is recorded as a liability in the Statements of Financial Condition and marked to market
daily. When the Master purchases an option, the premium paid is recorded as an asset in the
Statements of Financial Condition and marked to market daily. 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 its share of the Partnerships income and expenses.
GAAP
provides guidance for how uncertain tax positions should be
recognized, measured, presented and disclosed in the financial statements and requires the
evaluation of tax positions taken or expected to be taken in the course of preparing the
Partnerships financial statements to determine whether the tax positions are
more-likely-than-not to be sustained by the applicable tax authority. Tax positions with respect
to tax at the Partnership level not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. The General
Partner concluded that no provision
for income tax is required in the Partnerships financial statements.
The Partnership files U.S. federal and various state and local tax returns. No income tax
returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject
to examination by U.S. federal and most state tax authorities. Management does not believe that
there are any uncertain tax positions that require recognition of a tax liability.
Subsequent
Events. The General Partner evaluates events that occur
after the balance sheet date but before financial statements are
filed. The General Partner has assessed the subsequent events through the date
of filing and has determined that there were no subsequent events
requiring adjustment of or disclosure in the financial statements.
Recent
Accounting Pronouncements. In May 2011, the Financial Accounting Standard
Board (FASB) issued Accounting Standards Update (ASU) 2011-04, Amendments to
Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and
International Financial Reporting Standards (IFRS). The amendments within this ASU
change the wording used to describe many of the requirements in U.S. GAAP for measuring fair
value and for disclosing information about fair value measurements to eliminate unnecessary
wording differences between U.S. GAAP and IFRS. However, some of the amendments clarify the
FASBs intent about the application of existing fair value measurement requirements and other
amendments change a particular principle or requirement for measuring fair value or for
disclosing information about fair value measurements. The ASU is effective for annual and
interim periods beginning after December 15, 2011 for public entities . This new guidance is not
expected to have a material impact on the Partnerships/Masters financial statements.
Net
Income (Loss) per unit.
Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, Financial Highlights.
18
Table of Contents
Item 2. | Managements Discussion and Analysis of Financial Condition and Results of Operations. |
Liquidity and Capital Resources
The Partnership does not engage in sales of goods or services.
Its only assets are its investment in the Master and cash. The Master does not engage in the sale
of goods or services. 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 second quarter of
2011.
The Partnerships capital consists of the capital
contributions of the partners as increased or decreased by income (loss) from its
investment in the Master and by expenses, interest income, redemptions
of Redeemable Units and distributions of profits, if any.
For the six months ended June 30, 2011, Partnership capital decreased 14.6%
from $392,442,335 to $335,052,462. This decrease was attributable to redemptions of
12,192.2323 Redeemable Units resulting in an outflow of $49,408,249 and the
redemption of 97.1976 General Partner unit equivalents totaling $400,000,
coupled with the net loss from operations of $7,982,789, which was
partially offset by the subscriptions of 98.0000 Redeemable Units totaling $401,165.
Future redemptions could impact the amount of funds available for investment in the Master in subsequent periods.
The Masters capital consists of the capital contributions of the members as increased or
decreased by realized and/or unrealized gains or losses on trading and by expenses,
interest income, redemptions of units and distributions of profits, if any.
For the six months ended June 30, 2011, the Masters capital decreased 1.4%
from $980,369,638 to $967,065,507. This decrease was attributable to the redemption of
11,813.0601 Units of Member Interest totaling $113,503,894 and distribution of interest
income to feeder funds totaling $210,599 to the non-managing members of the Master,
coupled with the net loss from operations of $5,608,911, which was partially offset by the
addition of 10,959.4940 Units of Member Interest totaling $106,019,273. Future
redemptions can impact the amount of funds available for investments in commodity
contract positions in subsequent periods.
Critical Accounting Policies
The preparation of
financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of
assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported
amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial
statements are reasonable. Actual results could differ from those estimates. The Partnerships significant accounting policies are
described in detail in Note 6 of the Financial Statements.
The Partnership records all
investments at fair value in its financial statements, with changes in fair value reported as a
component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of
Income and Expenses and Changes in Partners Capital.
19
Table of Contents
Results of Operations
During the Partnerships second quarter of 2011, the net asset value per unit
decreased 3.7% from $4,115.33 to $3,962.85 as compared to a decrease of 2.1% in the
second quarter of 2010. 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 second quarter of 2011 of $10,223,131. Losses were primarily attributable to the
Masters trading of commodity futures in NYMEX Energy Swaps, NYMEX Gasoline,
NYMEX Heating Oil, NYMEX Natural Gas, Lumber, Corn and Softs and were partially offset
by gains in IPE Brent Crude Oil, NYMEX Crude Oil and IPE Gas Oil. 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 second quarter of 2010 of
$4,840,986. Losses were primarily attributable to the Masters trading of
commodity futures in NYMEX Crude Oil, NYMEX Gasoline, NYMEX Natural Gas and
IPE Brent Crude Oil and were partially offset by gains in NYMEX Energy Swaps,
NYMEX Heating Oil, Unleaded Gasoline, IPE Gas Oil and Lumber.
The
Partnership generated modest gains in April from long futures and options
positions in WTI crude as increased volatility due to the contagion in the Middle East
helped to generate gains. Further gains were recorded during the month trading throughout
the term structure in the natural gas complex as prices continued to move sideways coming
out of the winter season. Losses in long futures and options positions in Brent crude oil
were the main detractors to performance during April, as well as RBOB gasoline positions.
May saw sharp price reversals in the crude oil markets and losses for the month were
largely driven by the retrenchment in the refined products complex. Long futures positions
in RBOB gasoline, gasoil and heating oil all experienced losses during May, resulting in
the majority of the losses for the second quarter. Further losses in May resulted from
long futures and options positions in WTI crude oil as prices plummeted in the early part
of the month and were unable to get back to their previous highs. On the positive side
during May, Brent crude oil positions generated the largest gains for the month as spread
trading and directional futures and options positions were able to profit despite the
significant decline in prices. During the last month of the quarter, natural gas positions
were the main detractors to performance as the front-end of the curve continued to move in
a sideways manner, given the increased uncertainty in the weather throughout the United
States. Further losses for June came from long futures positions in RBOB gasoline and
gasoil as these refined products continued to trade lower given a bleaker domestic demand
outlook. Gains in the crude oil complex helped to generate positive returns for the month
as prices moved in favor of the Partnerships positions despite concerns regarding global
demand and the Greek debt crisis.
During the six months ended June 30, 2011, the net asset value per unit decreased 2.3% from $4,056.68 to $3,962.85 as compared to a decrease of 6.0% in
the same period of 2010. 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 six months ended June 30, 2011 of $642,911. Losses were primarily attributable to
the Masters trading of commodity futures in NYMEX Energy Swaps, NYMEX
Gasoline, NYMEX Heating Oil, NYMEX Natural Gas, Lumber, Corn and Softs and were
partially offset by gains in IPE Brent Crude Oil, NYMEX Crude Oil and IPE Gas Oil.
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 six months ended
June 30, 2010 of $19,211,412. Losses were primarily attributable to the Masters
trading of commodity futures in NYMEX Crude Oil, NYMEX Gasoline, NYMEX
Natural Gas, IPE Brent Crude Oil, IPE Gas Oil and were partially offset by gains in
NYMEX Energy Swaps, NYMEX Heating Oil, Unleaded Gasoline and Lumber.
During the first quarter, long positions in WTI crude oil were the largest positive
contributor to performance as prices rallied given the tsunami and earthquake in Japan, as
well as the contagion in the Middle East. Long futures positions in heating oil also
generated solid gains in January and February as a colder-than-expected winter throughout
the United States helped to generate profits. Modest gains were generated in natural gas
positions during January and February as prices remained volatile given the severe cold
throughout the United States, particularly on the West Coast. Losses in natural gas during
March were modest and largely driven by price appreciation in the front-end of the curve as
short futures positions detracted from performance. Trading in WTI crude oil and Brent
crude oil were positive contributors to performance during the second quarter as increased
price volatility benefited long option positions for the Partnership. Refined products,
specifically RBOB gasoline, gasoil, and heating oil saw significant price declines during
May and June as fears of weaker global demand for refined products, concerns over the
Eurozones burgeoning debt crisis, and a slowing U.S. economy generated losses for the
Partnership. Despite the losses in refined products, natural gas positions made modest
gains in April and May as prices continued to trade in a directionless manner given the
continued volatility in the weather coming out of the winter and into spring. However,
June saw more sharp moves in natural gas prices as demand for the commodity was expected to
increase given the abnormally warm temperatures throughout the United States, thus
resulting in losing positions.
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
and six months ended June 30, 2011 decreased by $718,946 and
$1,577,346, respectively, as compared to the corresponding periods in
2010. The decrease in commissions and fees is primarily due to a decrease in the number of trades
during the three and six months ended June 30, 2011 as compared to the corresponding periods
in 2010.
20
Table of Contents
Interest income on 80% of the Partnerships average
daily equity allocated to it by the Master was earned at a
30-day
U.S. Treasury bill rate determined weekly by CGM based on
the average non-competitive yield on
3-month
U.S. Treasury bills maturing in 30 days.
Interest income allocated from the Master for the three and six months ended
June 30, 2011 decreased by $74,017 and $49,100, respectively,
as compared to the corresponding periods in 2010. The decrease in interest income is primarily
due to lower average daily equity and lower U.S. Treasury bill rates for the Partnership during the three and six months
ended June 30, 2011, as compared to
the corresponding periods in 2010.
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 neither 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, subscriptions and redemptions.
Management fees for the three and six months ended June 30, 2011
decreased by $513,902 and $971,320, respectively, as
compared to the corresponding periods in 2010. The decrease in
management fees is due to a decrease in average net assets
during the three and six months ended June 30, 2011 as
compared to the corresponding periods in 2010.
Administrative fees are calculated as a percentage of the
Partnerships net asset value as of the end of each month
and are affected by trading performance, subscriptions and redemptions.
Administrative fees for the three and six months ended
June 30, 2011 decreased by $128,476 and $242,831,
respectively, as compared to the
corresponding periods in 2010. The decrease
in administrative fees is due to a decrease in average net assets during
the three and six months ended June 30, 2011 as compared to
the corresponding periods in 2010.
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 made for the
three and six months ended June 30, 2011 and 2010.
The Advisor will not be allocated a profit share until the Advisor recovers the net loss incurred and earns additional
new trading profits for the Partnership.
In allocating substantially all of the assets of the Partnership to the Master, the General Partner considers the Advisors
past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate
the allocation of assets to the Advisor at any time.
21
Table of Contents
Item 3. | Quantitative and Qualitative Disclosures about Market Risk |
All of the Partnerships assets are subject to the risk of
trading loss through its investment in the Master. The Master is
a speculative commodity pool. The market sensitive instruments
held by the Master are acquired for speculative trading
purposes, and all or substantially all of the Partnerships
capital is subject to the risk of trading loss through its
investment in the Master. Unlike an operating company, the risk
of market sensitive instruments is integral, not incidental, to
the Masters and the Partnerships main line of
business.
The 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 result
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 balances. The Masters and the
Partnerships market risk is influenced by a wide variety
of factors, including the level and volatility of interest
rates, exchange rates, equity price levels, the market value of
financial instruments and contracts, the diversification results
among the Masters open contracts and the liquidity of the
markets in which the Master trades.
The Master rapidly acquires and liquidates both long and short
positions in a range of different markets. Consequently, it is
not possible to predict how a particular future market scenario
will affect performance, and the Masters past performance
is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the
Master could reasonably be expected to lose in a given market
sector. However, the inherent uncertainty of the Masters
speculative trading and the recurrence in the markets traded by
the Master of market movements far exceeding expectations could
result in actual trading or non-trading losses far beyond the
indicated Value at Risk or the Masters experience to date
(i.e., risk of ruin). In light of the foregoing as
well as the risks and uncertainties intrinsic to all future
projections, the inclusion of the quantification in this section
should not be considered to constitute any assurance or
representation that the Masters losses in any market
sector will be limited to Value at Risk or by the Masters
attempts to manage its market risk.
Exchange maintenance margin requirements have been used by the
Master as the measure of its Value at Risk. Maintenance margin
requirements are set by exchanges to equal or exceed the maximum
losses reasonably expected to be incurred in the fair value of
any given contract in 95%-99% of any
one-day
interval. Maintenance margin has been used rather than the more
generally available initial margin, because initial margin
includes a credit risk component, which is not relevant to Value
at Risk.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market
risk sensitive instruments. The following table indicates the trading Value at Risk associated with
the Masters open positions by market category as of
June 30, 2011 and December 31, 2010, and the highest, lowest and
average value during the three months ended June 30, 2011 and
for the twelve months ended December 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, 2010.
As
of June 30, 2011, the Masters total capitalization was
$967,065,507 and the Partnership
owned approximately 36.0% of the Master. The Partnership invests substantially all of its assets in
the Master. The Masters Value at Risk as of June 30, 2011 was as follows:
June 30, 2011
Three Months Ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Energy |
$ | 50,494,592 | 5.22 | % | $ | 94,389,860 | $ | 50,494,592 | $ | 62,238,685 | ||||||||||
Lumber |
29,000 | 0.01 | % | 108,000 | 29,000 | 49,267 | ||||||||||||||
Softs |
402,900 | 0.04 | % | 402,900 | 108,000 | 402,900 | ||||||||||||||
Total |
$ | 50,926,492 | 5.27 | % | ||||||||||||||||
* | Average monthly Values at Risk |
As of December 31, 2010, the Masters total capitalization was $980,369,638 and the
Partnership owned approximately 41.4% of the Master. The Partnership invests substantially all of
its assets in the Master. The Masters Value at Risk as of December 31, 2010 was as follows:
December 31, 2010
Twelve Months Ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Energy |
$ | 51,518,525 | 5.26 | % | $ | 143,609,109 | $ | 51,518,525 | $ | 94,568,057 | ||||||||||
Lumber |
93,600 | 0.01 | 126,800 | 22,200 | 57,792 | |||||||||||||||
Total |
$ | 51,612,125 | 5.27 | % | ||||||||||||||||
* | Annual average of month-end Values at Risk |
22
Table of Contents
Item 4. | Controls and Procedures |
The Partnerships disclosure controls and procedures are
designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of
1934, as amended (the Exchange Act), is recorded, processed, summarized and reported within the time periods
expected in the SECs rules and forms. Disclosure controls and procedures include controls
and procedures designed to ensure that information required to be disclosed by the Partnership in
the reports it files
is accumulated and communicated to management,
including the Chief Executive Officer (CEO) and Chief Financial
Officer (CFO) of the General Partner, to allow for timely
decisions regarding required disclosure and appropriate SEC
filings.
The General Partner is responsible for ensuring that there is an adequate
and effective process for establishing, maintaining and
evaluating disclosure controls and procedures for the
Partnerships external disclosures.
The General Partners CEO and CFO have evaluated the
effectiveness of the Partnerships disclosure controls and
procedures (as defined in
Rules 13a-15(e)
and
15d-15(e)
under the Exchange Act) as of June 30, 2011 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
June 30, 2011 that materially affected, or are reasonably
likely to materially affect, the Partnerships internal
control over financial reporting.
23
Table of Contents
PART II. OTHER INFORMATION
Item 1. | Legal Proceedings |
There are no material changes to 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, 2010, as updated
by the Partnerships Quarterly Report on Form 10-Q for the quarter ended March 31, 2011.
24
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, 2010 and under Part II, Item 1A. Risk Factors in the Partnerships Quarterly Report on Form
10-Q for the quarter ended March 31, 2011.
25
Table of Contents
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds |
For the three months ended June 30, 2011 there were
no additional subscriptions by limited partners.
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 | ||||||||||||||||
April 1, 2011 April 30, 2011 |
1,262.1877 | $ | 4,116.12 | N/A | N/A | |||||||||||||||
May 1, 2011 May 31, 2011 |
1,846.3703 | $ | 3,957.62 | N/A | N/A | |||||||||||||||
June 1, 2011 June 30, 2011 |
2,752.3723 | $ | 3,962.85 | N/A | N/A | |||||||||||||||
5,860.9303 | $ | 3,994.21 | N/A | N/A | ||||||||||||||||
* Generally, limited partners are permitted to redeem their
Redeemable Units as of the end of each month on
three business days notice to the General Partner. Under certain
circumstances, the General Partner can compel redemption, although to
date, the General Partner has not exercised this right.
Purchases of Redeemable Units by the Partnership reflected in
the chart above were made in the ordinary course of the
Partnerships business in connection with effecting
redemptions for limited partners.
** Redemptions of Redeemable Units are effected as of the
last day of each month at the net asset value per Redeemable
Unit as of that day.
Item 3. | Defaults Upon Senior Securities None |
Item 4. | [Removed and Reserved] |
Item 5. | Other Information None |
26
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). | ||
(f) | Certificate of Amendment to the Certificate of Limited Partnership as filed in the Office of the Secretary of State of the State of New York, dated June 30, 2010 (filed as Exhibit 3.1(f) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference). |
3.2 | Third Amended and Restated Limited Partnership Agreement, dated May 19, 2010 (filed as Exhibit 3.2 to the Current Report on Form 8-K filed on May 24, 2010 and incorporated herein by reference). | ||
10.1(a) | Customer Agreement between the Master and Salomon Smith Barney Inc., dated August 23, 2001 (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference). | ||
10.1(b) | Customer Agreement among the Partnership and Salomon Smith Barney Inc., and for limited purposes Smith Barney AAA Master Fund LLC, dated May 31, 2002 (filed as Exhibit 10 to the general form for registration of securities on Form 10 filed on May 1, 2003 and incorporated herein by reference). | ||
10.2 | Form of Subscription Agreement (filed as Exhibit 10.2 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
10.3 | Advisory Agreement among the Partnership, the General Partner and AAA Capital Management Advisors, Ltd., dated April 3, 2006 (filed as Exhibit 10.3 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). |
(a) | Letter from the General Partner extending Management Agreement for 2010, dated June 1, 2010 (filed as Exhibit 10.3(a) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference). |
10.4 | Amended and Restated Agency Agreement among the Partnership, the General Partner, Morgan Stanley Smith Barney LLC, and CGM, dated November 11, 2009 (filed as Exhibit 10.4 to the Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | ||
31.1 | Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) | ||
31.2 | Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director) | ||
32.1 | Section 1350 Certification (Certification of President and Director) |
||
32.2 | Section 1350 Certification (Certification of Chief Financial Officer and Director) |
101. INS
|
XBRL Instance Document. | |
101. SCH
|
XBRL Taxonomy Extension Schema Document. | |
101. CAL
|
XBRL Taxonomy Extension Calculation Linkbase Document. | |
101. LAB
|
XBRL Taxonomy Extension Label Linkbase Document. | |
101. PRE
|
XBRL Taxonomy Extension Presentation Linkbase Document. |
27
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized.
AAA CAPITAL ENERGY FUND L.P. II
By: | Ceres Managed Futures LLC | ||||
(General Partner) | |||||
By: |
/s/ Walter Davis | ||||
Walter Davis President and Director |
|||||
Date: |
August 15, 2011 | ||||
By: |
/s/ Jennifer Magro | ||||
Jennifer Magro Chief Financial Officer and Director (Principal Accounting Officer) |
|||||
Date: |
August 15, 2011 | ||||
28