Attached files
file | filename |
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EXCEL - IDEA: XBRL DOCUMENT - Ceres Tactical Commodity L.P. | Financial_Report.xls |
EX-31.1 - EX-31.1 - Ceres Tactical Commodity L.P. | y05242exv31w1.htm |
EX-31.2 - EX-31.2 - Ceres Tactical Commodity L.P. | y05242exv31w2.htm |
EX-32.2 - EX-32.2 - Ceres Tactical Commodity L.P. | y05242exv32w2.htm |
EX-32.1 - EX-32.1 - Ceres Tactical Commodity L.P. | y05242exv32w1.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 |
For the quarterly period ended September 30, 2011
OR ( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to .
Commission
File Number 000-52602
BRISTOL ENERGY FUND L.P.
(Exact name of registrant as specified in its charter)
New York | 20-2718952 | |
(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
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 þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted
pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months
(or for such shorter period that the registrant was required to submit and post such files).
Yes þ No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated
filer, a non-accelerated filer, or a smaller reporting company. See 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 o | Accelerated filer o | Non Accelerated filer þ | Smaller reporting company o |
Indicate by check mark whether the registrant is a shell company (as defined in rule 12b-2 of
the Exchange Act).
Yes o No þ
As of
October 31, 2011, 206,728.9637 Limited Partnership Redeemable Units were outstanding.
BRISTOL ENERGY FUND L.P.
FORM 10-Q
INDEX
Page | ||||
Number | ||||
3 | ||||
4 | ||||
5-17 | ||||
18-20 | ||||
21-22 | ||||
23 | ||||
24-26 | ||||
Exhibits | ||||
Ex. 31.1 Certification | ||||
Ex. 31.2 Certification | ||||
Ex. 32.1 Certification | ||||
Ex. 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. | |||||||
EX-31.1 | ||||||||
EX-31.2 | ||||||||
EX-32.1 | ||||||||
EX-32.2 | ||||||||
EX-101 INSTANCE DOCUMENT | ||||||||
EX-101 SCHEMA DOCUMENT | ||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT |
2
Table of Contents
PART I
Item 1. Financial Statements
Bristol Energy Fund L.P.
Statements of Financial Condition
(Unaudited) | ||||||||
September 30, | December 31, | |||||||
2011 | 2010 | |||||||
Assets: |
||||||||
Investment in Master, at fair value |
$ | 305,405,765 | $ | 402,350,613 | ||||
Cash |
196,178 | 151,370 | ||||||
Total assets |
$ | 305,601,943 | $ | 402,501,983 | ||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Accrued expenses: |
||||||||
Brokerage fees |
$ | 955,006 | $ | 1,257,819 | ||||
Management fees |
507,535 | 668,594 | ||||||
Administrative fees |
126,884 | 167,149 | ||||||
Other |
126,170 | 87,766 | ||||||
Redemptions payable |
3,061,505 | 22,213,402 | ||||||
Total liabilities |
4,777,100 | 24,394,730 | ||||||
Partners Capital: |
||||||||
General
Partner, 2,934.8368 and 3,346.8277 unit equivalents
outstanding at September 30, 2011 and December
31, 2010, respectively |
4,109,417 | 4,240,732 | ||||||
Special Limited Partner, 800.7772 Redeemable
Units outstanding at September 30, 2011 and
December 31, 2010 |
1,121,264 | 1,014,657 | ||||||
Limited Partners,
211,105.2570 and 294,258.5619 Redeemable Units outstanding at
September 30, 2011 and December 31, 2010,
respectively |
295,594,162 | 372,851,864 | ||||||
Total partners capital |
300,824,843 | 378,107,253 | ||||||
Total liabilities and partners capital |
$ | 305,601,943 | $ | 402,501,983 | ||||
Net asset value per unit |
$ | 1,400.22 | $ | 1,267.09 | ||||
See accompanying notes to financial statements.
3
Table of Contents
Bristol
Energy Fund L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
(Unaudited)
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment
Income: |
||||||||||||||||
Interest income allocated from Master |
$ | 8,767 | $ | 120,936 | $ | 87,559 | $ | 308,106 | ||||||||
Expenses: |
||||||||||||||||
Expenses allocated from Master |
158,044 | 341,889 | 611,688 | 987,160 | ||||||||||||
Brokerage fees |
2,875,383 | 4,128,555 | 8,971,503 | 13,566,407 | ||||||||||||
Management fees |
1,528,147 | 2,194,878 | 4,768,401 | 7,211,773 | ||||||||||||
Administrative fees |
382,037 | 548,720 | 1,192,100 | 1,802,944 | ||||||||||||
Other |
98,605 | 73,143 | 281,048 | 217,746 | ||||||||||||
Total expenses |
5,042,216 | 7,287,185 | 15,824,740 | 23,786,030 | ||||||||||||
Net
investment income (loss) |
(5,033,449 | ) | (7,166,249 | ) | (15,737,181 | ) | (23,477,924 | ) | ||||||||
Trading Results: |
||||||||||||||||
Net realized gains (losses) on closed contracts
allocated from Master |
9,316,811 | (22,416,807 | ) | 8,147,034 | (67,976,467 | ) | ||||||||||
Change in net unrealized gains (losses) on
open contracts allocated from Master |
8,343,129 | (9,112,156 | ) | 37,181,838 | (22,393,338 | ) | ||||||||||
Total trading results allocated from Master |
17,659,940 | (31,528,963 | ) | 45,328,872 | (90,369,805 | ) | ||||||||||
Net income (loss) |
12,626,491 | (38,695,212 | ) | 29,591,691 | (113,847,729 | ) | ||||||||||
Subscriptions Limited Partners |
1,219,776 | 21,467,000 | 9,315,802 | 114,418,000 | ||||||||||||
Redemptions Limited Partners |
(12,481,714 | ) | (25,309,558 | ) | (115,664,903 | ) | (44,401,947 | ) | ||||||||
Redemptions General Partner |
0 | 0 | (525,000 | ) | 0 | |||||||||||
Net increase (decrease) in Partners Capital |
1,364,553 | (42,537,770 | ) | (77,282,410 | ) | (43,831,676 | ) | |||||||||
Partners Capital, beginning of period |
299,460,290 | 469,305,600 | 378,107,253 | 470,599,506 | ||||||||||||
Partners Capital, end of period |
$ | 300,824,843 | $ | 426,767,830 | $ | 300,824,843 | $ | 426,767,830 | ||||||||
Net asset value per unit
(214,840.8710 and 327,708.9940 units outstanding
at September 30, 2011 and 2010, respectively) |
$ | 1,400.22 | $ | 1,302.28 | $ | 1,400.22 | $ | 1,302.28 | ||||||||
Net income (loss) per unit* |
$ | 57.16 | $ | (115.04 | ) | $ | 133.13 | $ | (343.45 | ) | ||||||
Weighted average units outstanding |
220,091.1045 | 336,704.1908 | 241,170.6807 | 324,668.0187 | ||||||||||||
* Based on change in net asset value per unit.
See accompanying notes to financial statements.
4
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
1. General:
Bristol Energy Fund L.P. (the Partnership) is a limited partnership organized on April 20,
2005 under the partnership laws of the State of New York to engage, directly or indirectly, in the
speculative trading of commodity interests, including options, commodity futures contracts,
forwards and swaps contracts on exchanges and markets located in the United States and abroad. The Master (as defined below) may enter into swap and derivative contracts on 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. During the initial offering period the Partnership sold 11,925 redeemable units
of limited partnership interest (Redeemable Units). The Partnership commenced trading on
September 6, 2005. The Partnership privately and continuously offers up to 500,000 Redeemable
Units to qualified investors. There is no maximum number of units that may be sold by the
Partnership.
Ceres Managed Futures LLC, 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 September 30, 2011, all trading decisions for the Partnership are made by
the Advisor (defined below).
On December 1, 2005, the Partnership allocated substantially all of its capital to CMF
SandRidge Master Fund L.P. (the Master), a limited partnership organized under the partnership
laws of the State of New York. The Partnership purchased 14,410.6191 units of the Master with cash
equal to $14,477,858 and a contribution of open commodity futures and option contracts with a fair
value of $(16,018). The Master was formed in order to permit commodity pools managed now or in the
future by SandRidge Capital, L.P. (SandRidge or the Advisor) using its Energy Program, a
proprietary, discretionary trading system, to invest together in one trading vehicle. The General
Partner is also the general partner of the Master. In addition, the Advisor is a special limited
partner (the Special Limited Partner) of the Partnership. Individual and pooled accounts
currently managed by SandRidge, including the Partnership, are permitted to be limited partners of
the Master. The Masters commodity broker is CGM. The General Partner and SandRidge believe that
trading through this master/feeder structure should promote 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 General Partner is not aware of any material changes to the trading program discussed
above during the fiscal quarter ended September 30, 2011.
At
September 30, 2011 and December 31, 2010, the Partnership owned
approximately 97.4% and 76.1%,
respectively, 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 option contracts,
if applicable, on commodities 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, Condensed Schedules of Investments and Statements of Income and
Expenses and Changes in Partners 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 adjustment, necessary
for a fair statement of the Partnerships financial condition at
September 30, 2011 and December 31,
2010, and the results of its operations and changes in partners
capital for the three and nine months ended
September 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
5
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
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.
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.
The Masters Statements of Financial Condition and Condensed Schedules of Investments as of
September 30, 2011 and December 31, 2010 and Statements of Income and Expenses and Changes in Partners
Capital for the three and nine months ended September 30, 2011 and 2010 are presented below:
CMF SandRidge Master Fund L.P.
Statements of Financial Condition
Statements of Financial Condition
(Unaudited) | ||||||||
September 30, | December 31, | |||||||
2011 | 2010 | |||||||
Assets: |
||||||||
Equity in trading account: |
||||||||
Cash |
$ | 316,532,537 | $ | 508,243,783 | ||||
Cash margin |
6,348,211 | 71,084,284 | ||||||
Options purchased, at fair value (cost $1,674,280
and $3,846,540 at September 30, 2011 and December 31, 2010, respectively) |
3,401,767 | 2,303,244 | ||||||
Total assets |
$ | 326,282,515 | $ | 581,631,311 | ||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | 12,572,819 | $ | 52,768,215 | ||||
Options premium received, at fair value (premium
$0 and $45,000 at September 30, 2011 and December 31, 2010, respectively) |
0 | 24,250 | ||||||
Accrued expenses: |
||||||||
Professional fees |
69,439 | 103,589 | ||||||
Total liabilities |
12,642,258 | 52,896,054 | ||||||
Partners Capital: |
||||||||
General
Partner, 0.0000 unit equivalents at September 30, 2011 and December 31, 2010 |
0 | 0 | ||||||
Limited
Partners, 150,008.7601 and 293,086.2072
units outstanding at September 30, 2011 and
December 31, 2010, respectively |
313,640,257 | 528,735,257 | ||||||
Total liabilities and partners capital |
$ | 326,282,515 | $ | 581,631,311 | ||||
Net asset value per unit |
$ | 2,090.81 | $ | 1,804.03 | ||||
6
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
CMF SandRidge Master Fund L.P.
Condensed Schedule of Investments
September 30, 2011
(Unaudited)
Condensed Schedule of Investments
September 30, 2011
(Unaudited)
Number of | % of Partners | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures
and Exchange-Cleared Swap Contracts Purchased |
||||||||||||
Energy |
||||||||||||
ICE Henry Hub Natural Gas Swap Nov. 11 - Dec. 13 |
3,465 | $ | (11,184,733 | ) | (3.56 | )% | ||||||
NYMEX Henry Hub Natural Gas Swap Jan. 12 - Oct. 12 |
3,776 | (15,639,810 | ) | (4.99 | ) | |||||||
NYMEX Henry Hub Natural Gas Mar. 12 - April 12 |
1,648 | (8,342,691 | ) | (2.66 | ) | |||||||
Total futures and exchange-cleared swap contracts purchased |
(35,167,234 | ) | (11.21 | ) | ||||||||
Futures and Exchange-Cleared Swap Contracts Sold |
||||||||||||
Energy |
||||||||||||
ICE Henry Hub Natural Gas Swap Jan. 12 - April 12 |
1,115 | 1,325,958 | 0.42 | |||||||||
NYMEX Henry Hub Natural Gas Swap Nov. 11 - Dec. 13 |
5,196 | 11,196,820 | 3.57 | |||||||||
NYMEX Henry Hub Natural Gas Nov. 11 - Oct. 12 |
1,968 | 10,071,637 | 3.21 | |||||||||
Total futures and exchange-cleared swap contracts sold |
22,594,415 | 7.20 | ||||||||||
Options Purchased |
||||||||||||
Puts |
||||||||||||
Energy |
1,292 | 3,401,767 | 1.09 | |||||||||
Total options purchased |
3,401,767 | 1.09 | ||||||||||
Net fair value |
$ | (9,171,052 | ) | (2.92 | )% | |||||||
7
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
CMF SandRidge Master Fund L.P.
Condensed Schedule of Investments
December 31, 2010
Condensed Schedule of Investments
December 31, 2010
Number of | % of Partners | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures and
Exchange-Cleared Swap Contracts Purchased |
||||||||||||
Energy |
||||||||||||
ICE Henry Hub Natural Gas Swap Mar. 11 - Dec. 14 |
39,104 | $ | (34,520,010 | ) | (6.52 | )% | ||||||
NYMEX Henry Hub Natural Gas Swap Mar. 11 - Dec. 14 |
19,716 | (65,069,790 | ) | (12.31 | ) | |||||||
NYMEX Henry Hub Natural Gas Oct. 11 - Apr. 12 |
1,381 | (204,317 | ) | (0.04 | ) | |||||||
NYMEX Henry Hub Penultimate Apr. 11 |
308 | 216,370 | 0.04 | |||||||||
Total futures and exchange-cleared swap contracts purchased |
(99,577,747 | ) | (18.83 | ) | ||||||||
Futures and
Exchange-Cleared Swap Contracts Sold |
||||||||||||
Energy |
||||||||||||
ICE Henry Hub Natural Gas Swap Apr. 11 |
13,080 | 17,903,400 | 3.39 | |||||||||
NYMEX Henry Hub Natural Gas Swap Feb. 11 - Dec. 13 |
14,996 | 35,275,930 | 6.67 | |||||||||
NYMEX Henry Hub Natural Gas Feb. 11 - Jan. 12 |
10,765 | (6,369,798 | ) | (1.21 | ) | |||||||
Total
futures and exchange-cleared swap contracts sold |
46,809,532 | 8.85 | ||||||||||
Options Purchased |
||||||||||||
Puts |
||||||||||||
Energy |
4,228 | 2,303,244 | 0.44 | |||||||||
Total options purchased |
2,303,244 | 0.44 | ||||||||||
Options Premium Received |
||||||||||||
Puts |
||||||||||||
Energy |
50 | (24,250 | ) | (0.01 | ) | |||||||
Total options premium received |
(24,250 | ) | (0.01 | ) | ||||||||
Net fair value |
$ | (50,489,221 | ) | (9.55 | )% | |||||||
8
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
CMF SandRidge Master Fund L.P.
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 | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment Income: |
||||||||||||||||
Interest income |
$ | 9,041 | $ | 165,057 | $ | 105,844 | $ | 434,888 | ||||||||
Expenses: |
||||||||||||||||
Clearing fees |
84,438 | 358,867 | 445,645 | 1,115,028 | ||||||||||||
Professional fees |
78,361 | 105,988 | 244,450 | 269,830 | ||||||||||||
Total expenses |
162,799 | 464,855 | 690,095 | 1,384,858 | ||||||||||||
Net investment income (loss) |
(153,758 | ) | (299,798 | ) | (584,251 | ) | (949,970 | ) | ||||||||
Trading results: |
||||||||||||||||
Net gains (losses) on trading of commodity interests: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
9,589,655 | (30,452,125 | ) | 4,877,499 | (93,310,838 | ) | ||||||||||
Change in net unrealized gains (losses) on open contracts |
8,604,047 | (12,482,832 | ) | 43,445,429 | (33,807,709 | ) | ||||||||||
Total
trading results |
18,193,702 | (42,934,957 | ) | 48,322,928 | (127,118,547 | ) | ||||||||||
Net income (loss) |
18,039,944 | (43,234,755 | ) | 47,738,677 | (128,068,517 | ) | ||||||||||
Subscriptions Limited Partners |
1,219,776 | 26,467,000 | 9,315,882 | 191,075,500 | ||||||||||||
Redemptions Limited Partners |
(23,653,593 | ) | (66,297,605 | ) | (272,043,715 | ) | (152,206,632 | ) | ||||||||
Distribution
of interest income to feeder funds |
(9,041 | ) | (165,057 | ) | (105,844 | ) | (434,888 | ) | ||||||||
Net increase (decrease) in Partners capital |
(4,402,914 | ) | (83,230,417 | ) | (215,095,000 | ) | (89,634,537 | ) | ||||||||
Partners Capital, beginning of period |
318,043,171 | 678,505,373 | 528,735,257 | 684,909,493 | ||||||||||||
Partners Capital, end of period |
$ | 313,640,257 | $ | 595,274,956 | $ | 313,640,257 | $ | 595,274,956 | ||||||||
Net asset
value per unit (150,008.7601 and 326,111.0440 units outstanding
at September 30, 2011 and 2010, respectively) |
$ | 2,090.81 | $ | 1,825.38 | $ | 2,090.81 | $ | 1,825.38 | ||||||||
Net income
(loss) per unit* |
$ | 117.17 | $ | (130.16 | ) | $ | 287.27 | $ | (374.85 | ) | ||||||
Weighted average units outstanding |
157,297.3395 | 341,894.4623 | 201,795.0028 | 341,821.0612 | ||||||||||||
* | Based on change in net asset value per unit. |
9
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
2. Financial Highlights:
Changes
in the net asset value per unit for the three and nine months ended September 30, 2011 and 2010 were as
follows:
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net realized and unrealized gains (losses) allocated from Master* |
$ | 66.60 | $ | (106.82 | ) | $ | 159.69 | $ | (315.28 | ) | ||||||
Interest income allocated from Master |
0.04 | 0.36 | 0.34 | 0.93 | ||||||||||||
Expenses and allocation to Special Limited Partner** |
(9.48 | ) | (8.58 | ) | (26.90 | ) | (29.10 | ) | ||||||||
Increase (decrease) for the period |
57.16 | (115.04 | ) | 133.13 | (343.45 | ) | ||||||||||
Net asset value per unit, beginning of period |
1,343.06 | 1,417.32 | 1,267.09 | 1,645.73 | ||||||||||||
Net asset value per unit, end of period |
$ | 1,400.22 | $ | 1,302.28 | $ | 1,400.22 | $ | 1,302.28 | ||||||||
* | Includes Partnership brokerage fees and clearing fees allocated from Master. | |
** | Excludes Partnership brokerage fees and clearing fees allocated from Master and includes allocation to Special Limited Partner, if any. |
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Ratios to average net assets:*** |
||||||||||||||||
Net investment income (loss) before allocation to Special Limited Partner**** |
(6.6 | )% | (6.5 | )% | (6.7 | )% | (6.6 | )% | ||||||||
Operating expenses |
6.7 | % | 6.6 | % | 6.8 | % | 6.7 | % | ||||||||
Allocation to Special Limited Partner |
| % | | % | | % | | % | ||||||||
Total expenses and allocation to Special Limited Partner |
6.7 | % | 6.6 | % | 6.8 | % | 6.7 | % | ||||||||
Total return: |
||||||||||||||||
Total return before allocation to Special Limited Partner |
4.3 | % | (8.1 | )% | 10.5 | % | (20.9 | )% | ||||||||
Allocation to Special Limited Partner
|
| % | | % | | % | | % | ||||||||
Total return after allocation to Special Limited Partner |
4.3 | % | (8.1 | )% | 10.5 | % | (20.9 | )% | ||||||||
*** | Annualized (except for allocation to Special Limited Partner, if applicable). | |
**** | Interest income allocated from Master 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 limited partner class using
the limited partners share of income, expenses and average net assets.
10
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
Financial Highlights of the Master:
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net realized and unrealized gains (losses)* |
$ | 117.62 | $ | (130.35 | ) | $ | 288.15 | $ | (375.32 | ) | ||||||
Interest income |
0.06 | 0.49 | 0.49 | 1.28 | ||||||||||||
Expenses ** |
(0.51 | ) | (0.30 | ) | (1.37 | ) | (0.81 | ) | ||||||||
Increase (decrease) for the period |
117.17 | (130.16 | ) | 287.27 | (374.85 | ) | ||||||||||
Distribution of interest income to feeder funds |
(0.06 | ) | (0.49 | ) | (0.49 | ) | (1.28 | ) | ||||||||
Net asset value per unit, beginning of period |
1,973.70 | 1,956.03 | 1,804.03 | 2,201.51 | ||||||||||||
Net asset value per unit, end of period |
$ | 2,090.81 | $ | 1,825.38 | $ | 2,090.81 | $ | 1,825.38 | ||||||||
* | Includes clearing fees. | |
** | Excludes clearing fees. |
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Ratios to average net assets:*** |
||||||||||||||||
Net investment income (loss) **** |
(0.2 | )% | (0.2 | )% | (0.2 | )% | (0.2 | )% | ||||||||
Operating expenses |
0.2 | % | 0.3 | % | 0.2 | % | 0.3 | % | ||||||||
Total return |
5.9 | % | (6.7 | )% | 15.9 | % | (17.1 | )% | ||||||||
*** | 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 limited partner class using
the limited partners share of income, expenses and average net assets.
11
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
3. Trading Activities:
The Partnership was formed for the purpose of trading 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 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.
Brokerage fees are calculated as a percentage of the Partnerships adjusted net asset value on
the last day of each month and are affected by trading performance, subscriptions and redemptions.
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 September 30, 2011 and 2010, were 20,308 and
152,307, respectively. The monthly average number of futures and exchange-cleared swap contracts traded during the nine
months ended September 30, 2011 and 2010, were 44,108 and 176,126, respectively. The monthly average number of options
contracts traded during the three months ended September 30, 2011 and 2010, were 3,920 and 2,101, respectively. The
monthly average number of options contracts traded during the nine months ended September 30, 2011 and 2010, were 4,698
and 1,762, respectively.
The following tables indicate the gross fair values of derivative instruments of futures,
exchange-cleared swap and option contracts as separate assets and liabilities as of September 30, 2011
and December 31, 2010.
September 30, 2011 | ||||
Assets |
||||
Futures and Exchange-Cleared Swap Contracts
|
||||
Energy |
$ | 22,594,415 | ||
Total unrealized appreciation on open futures and exchange-cleared swap contracts |
$ | 22,594,415 | ||
Liabilities |
||||
Futures and Exchange-Cleared Swap Contracts
|
||||
Energy |
$ | (35,167,234 | ) | |
Total unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | (35,167,234 | ) | |
Net unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | (12,572,819 | )* | |
| ||||
* This amount is in Net unrealized depreciation on open futures and exchange-cleared swap
contracts on the Masters Statements of Financial Condition. |
||||
Assets |
||||
Options Purchased
|
||||
Energy |
$ | 3,401,767 | ||
Total options purchased |
$ | 3,401,767 | ** | |
** | This amount is in Options purchased, at fair value on the Masters Statements of Financial Condition. |
12
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
December 31, 2010 | ||||
Assets |
||||
Futures and Exchange-Cleared Swap Contracts
|
||||
Energy |
$ | 69,685,031 | ||
Total unrealized appreciation on open futures and exchange-cleared swap contracts |
$ | 69,685,031 | ||
Liabilities |
||||
Futures and Exchange-Cleared Swap Contracts
|
||||
Energy |
$ | (122,453,246 | ) | |
Total unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | (122,453,246 | ) | |
Net
unrealized depreciation on open futures and exchange-cleared swap contracts |
$ | (52,768,215 | )* | |
| ||||
* This amount is in Net unrealized depreciation on open futures and exchange-cleared swap
contracts on the Masters Statements of Financial Condition. |
||||
Assets |
||||
Options Purchased |
||||
Energy |
$ | 2,303,244 | ||
Total options purchased |
$ | 2,303,244 | ** | |
Liabilities |
||||
Options Premium Received
|
||||
Energy |
$ | (24,250 | ) | |
Total options premium received |
$ | (24,250 | )*** | |
** | 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 nine months ended September 30, 2011 and 2010.
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
Sector | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Energy |
$ | 18,193,702 | $ | (42,934,957 | ) | $ | 48,322,928 | $ | (127,118,547 | ) | ||||||
Total |
$ | 18,193,702 | **** | $ | (42,934,957 | )**** | $ | 48,322,928 | **** | $ | (127,118,547 | )**** | ||||
**** | This amount is in Total trading results on the Masters Statements of Income and Expenses and Changes in Partners 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, 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.
13
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
The Partnership will separately present purchases, subscriptions, 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 September 30,
2011 and December 31, 2010, the Partnership did not hold any derivative instruments that were 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 | Significant | |||||||||||||||
Active Markets for | Significant Other | Unobservable | ||||||||||||||
Identical Assets | Observable Inputs | Inputs | ||||||||||||||
September 30, 2011 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 305,405,765 | $ | | $ | 305,405,765 | $ | | ||||||||
Net fair value |
$ | 305,405,765 | $ | | $ | 305,405,765 | $ | | ||||||||
Quoted Prices in | Significant | |||||||||||||||
Active Markets for | Significant Other | Unobservable | ||||||||||||||
Identical Assets | Observable Inputs | Inputs | ||||||||||||||
December 31, 2010 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Master |
$ | 402,350,613 | $ | | $ | 402,350,613 | $ | | ||||||||
Net fair value |
$ | 402,350,613 | $ | | $ | 402,350,613 | $ | | ||||||||
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 Masters 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 Masters Statements of Income and Expenses and
Changes in Partners 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 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 that derive fair values for those
assets from observable inputs (Level 2). As of and for the periods ended September 30, 2011 and
December 31, 2010, the Master did not hold any derivative instruments for which market quotations
are not readily available and were priced by broker-dealers that derive fair values for those assets
from observable inputs (Level 2) or that were priced at fair value using unobservable inputs
through the application of managements assumptions and internal valuation pricing models (Level
3).
14
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable | Unobservable | ||||||||||||||
Identical Assets | Inputs | Inputs | ||||||||||||||
September 30, 2011 | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 22,594,415 | $ | 22,594,415 | $ | | $ | | ||||||||
Options purchased |
3,401,767 | 3,401,767 | | | ||||||||||||
Total assets |
25,996,182 | 25,996,182 | | | ||||||||||||
Liabilities |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 35,167,234 | $ | 35,167,234 | $ | | $ | | ||||||||
Total liabilities |
35,167,234 | 35,167,234 | | | ||||||||||||
Total fair value |
$ | (9,171,052 | ) | $ | (9,171,052 | ) | $ | | $ | | ||||||
Quoted Prices in | Significant Other | Significant | ||||||||||||||
Active Markets for | Observable | Unobservable | ||||||||||||||
Identical Assets | Inputs | Inputs | ||||||||||||||
December 31, 2010* | (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 69,685,031 | $ | 69,685,031 | $ | | $ | | ||||||||
Options purchased |
2,303,244 | 2,303,244 | | | ||||||||||||
Total assets |
71,988,275 | 71,988,275 | | | ||||||||||||
Liabilities |
||||||||||||||||
Futures and Exchange-Cleared Swaps |
$ | 122,453,246 | $ | 122,453,246 | $ | | $ | | ||||||||
Options premium received |
24,250 | 24,250 | | | ||||||||||||
Total liabilities |
122,477,496 | 122,477,496 | | | ||||||||||||
Total fair value |
$ | (50,489,221 | ) | $ | (50,489,221 | ) | $ | | $ | | ||||||
* | The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation. |
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, 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, swaps and option contracts. OTC contracts are negotiated between
contracting parties and include certain forwards and option contracts. 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 New York 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. 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 CGM or a CGM affiliate is the sole
counterparty or broker with
15
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
respect to the Partnerships/Masters assets. 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 was 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 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 to statistically analyze actual trading results with risk-adjusted performance
indicators and correlation statistics. In addition, online monitoring systems provide account
analysis of futures, exchange-cleared swaps and options contracts 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. 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 financial statements as of December 31, 2010.
Partnerships and 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 the level of activity in the Partnerships Level 2 assets and liabilities.
The
Partnership and 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 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 September 30,
2011 and December 31, 2010, the Partnership did not hold any
derivative instruments that were 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 that derive fair values for those
assets from observable inputs (Level 2). As of and for the periods
ended September 30, 2011 and
December 31, 2010, the Master did not hold any derivative instruments for which market quotations
are not readily available and were priced by broker-dealers who derive fair values for those
assets from observable inputs (Level 2) or that were 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 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
16
Table of Contents
Bristol Energy Fund L.P.
Notes to Financial Statements
September 30, 2011
(Unaudited)
September 30, 2011
(Unaudited)
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 Masters Statements of Income and Expenses and Changes in Partners 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 Masters 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
Masters Statements of Financial Condition and marked to market daily. Net realized gains (losses)
and changes in unrealized gains (losses) on options contracts are included in the Masters
Statements of Income and Expenses and Changes in Partners Capital.
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 has 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 2008 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
Standards 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 financial statements.
In October 2011, FASB
issued a proposed ASU intended to improve and converge
financial reporting by setting forth consistent criteria for determining whether an entity is
an investment company. Under longstanding U.S. GAAP, investment companies carry all of their
investments at fair value, even if they hold a controlling interest in another company.
The primary changes being proposed by the FASB relate to which entities would be considered
investment companies as well as certain disclosure and presentation requirements. In addition
to the changes to the criteria for determining whether an entity is an investment company, the
FASB also proposes that an investment company consolidate another investment company if it
holds a controlling financial interest in the entity. The Partnership is currently evaluating
the impact that this proposed update would have on the 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.
17
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. The Partnerships only assets
are its investment in the Master and cash. The Master does not engage in sales of goods or
services. Because of the low margin deposits normally required in 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 in the third quarter of 2011.
The Partnerships capital consists of capital contributions, as increased or decreased by
income (loss) from its investment in the Master, expenses, interest income, subscriptions,
redemptions of Redeemable Units and distributions of profits, if any.
For the nine months ended September 30, 2011, the Partnerships capital decreased 20.4% from $378,107,253
to $300,824,843. This decrease was attributable to the redemption of 90,403.4308 Redeemable Units totaling
$115,664,903 and 411.9909 General Partner unit equivalents totaling $525,000, which was partially offset
by the subscriptions of 7,250.1259 Redeemable Units totaling $9,315,802, coupled with a net income from
operations of $29,591,691. Future redemptions can impact the amount of funds available for investment in
commodity contract positions in subsequent periods.
The Masters capital consists of the capital contributions of the partners as increased or
decreased by net realized and/or unrealized gains or losses on futures trading, interest income,
expenses, redemptions of units and distributions of profits, if any.
For the nine months ended September 30, 2011, the Master’s capital decreased 40.7% from $528,735,257
to $313,640,257. This decrease was attributable to the redemption of 148,105.2323 units totaling $272,043,715
and distribution of interest income to feeder funds totaling $105,844, which was partially offset by the
subscriptions of 5,027.7852 units totaling $9,315,882, coupled with a net income from operations of $47,738,677.
Future redemptions can impact the amount of funds available for investments in commodity 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.
18
Table of Contents
Results of Operations
During the Partnerships third quarter of 2011, the net asset value per unit increased 4.3%
from $1,343.06 to $1,400.22 as compared to a decrease of 8.1% in the third quarter of 2010. The
Partnership, through its investment in the Master, experienced a net trading gain before brokerage
fees and related fees in the third quarter of 2011 of $17,659,940. Gains were primarily from the
Master Funds trading of commodity futures and options in NYMEX Natural Gas and was partially offset by ICE Natural Gas.
The Partnership, through its investment in the Master, experienced a net trading loss before
brokerage fees and related fees in the third quarter of 2010 of $31,528,963. Losses were primarily
attributable to the trading of futures and options in NYMEX Natural Gas and ICE Natural Gas.
The Partnership profited in July as gains were recorded from short futures positions in
the front-end of the natural gas curve given a series of bearish Energy Information
Administration (EIA) storage injection reports. Further gains were recorded by the
Partnership during August as short futures positions in the front-end of the natural gas
curve continued to profit as prices declined amid increased supply throughout the United
States, despite warmer than normal temperatures in the Southeast and Southwest part of the
country. Natural gas prices in the front-end of the curve declined from approximately
$4.500 in July to $3.853 in August. Finally, the Partnership recorded additional profits as
short futures positions in the front-end of the natural gas curve continued to profit from a
price decline. Natural gas prices in the front-end of the curve fell in September from
$4.097 to $3.666 towards the end of the month.
During the nine months ended September 30, 2011 the net asset value per unit increased 10.5%
from $1,267.09 to $1,400.22 as compared to a decrease of 20.9% during the nine months ended
September 30, 2010. The Partnership, through its investment in the Master, experienced a net
trading gain before brokerage fees and related fees for the nine months ended September 30, 2011 of
$45,328,872. Gains were primarily attributable to the trading of commodity futures and options in
NYMEX Natural Gas and was partially offset by ICE Natural Gas. The Partnership, through its investment in the Master,
experienced a net trading loss before brokerage fees and related fees for the nine months ended
September 30, 2010 of $90,369,805. Losses were primarily attributable to the trading of futures and
options in NYMEX Natural Gas and ICE Natural Gas.
Several significant price movements within the natural gas market,
throughout the first half of the year helped to increase price volatility. In addition, an
abnormally colder winter in the mid-continent and West Coast of the United States, as well
as a very warm spring, helped to generate intermittent volatility within the natural gas
market, as there were several short-term demand spikes due to the unpredictability of the
weather. Bearish positioning in the front-end of the natural gas curve during May and June
generated the largest gains for the Partnership. May saw a sharp reversal in natural gas
prices as the spot price fell from a high of $4.739 to a low of $4.111 in the front-end of
the natural gas curve as weather patterns normalized and remained relatively mild across the
United States, which helped the Partnership generate positive returns. June saw similar
patterns as those in May albeit with warmer weather. Bearish positioning in the front-end
of the natural gas curve were able to generate significant profits during June as prices
traded lower intra-month to $4.671 after a disappointing demand number was released. Prices
eventually fell to $4.150 later in June due to significant selling pressure. Further gains
were recorded as short futures positions in the front-end of the natural gas curve profited
from price declines during the third quarter. Bearish storage injection numbers from the
EIA helped natural gas prices lower during this time period, thus the Partnership profited
from short natural gas futures positions. A portion of these gains was offset by losses in
March as short futures positions in the front-end of the natural gas curve incurred losses
as prices rose amidst a very cold end to winter throughout the United States.
Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation
increase the risks involved in commodity trading, but also increase the possibility of profit. The
profitability of the Partnership (and the Master) depends on the existence of major price trends
and the ability of the Advisor to correctly identify those price trends. Price trends 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 market trends exist and the
Advisor is able to identify them, the Partnership (and the Master) expects to increase capital
through operations.
Interest income on 80% of the Partnerships daily average equity allocated to it by the Master
was earned at a 30-day 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 nine months ended September 30, 2011 decreased by $112,169 and
$220,547, respectively, as compared to the corresponding periods in 2010. The decrease in interest
income is due to lower average net assets and lower U.S. Treasury bill rates during the three and nine months ended
September 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 Master account and upon
interest rates over which the Partnership, the Master and CGM have no control.
Brokerage fees are calculated as a percentage of the Partnerships adjusted net asset value on
the last day of each month and are affected by trading performance, subscriptions and redemptions.
Accordingly, they must be analyzed in relation to the fluctuations in the monthly net asset values.
Brokerage fees for the three and nine months ended September 30, 2011 decreased by $1,253,172 and
$4,594,904, respectively, as compared to the corresponding periods in 2010. The decrease in
brokerage fees is due to lower average net assets during the three and nine months ended September
30, 2011, as compared to the corresponding periods in 2010.
Management fees are calculated as a percentage of the Partnerships adjusted 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 nine months ended September 30, 2011 decreased by $666,731 and
$2,443,372, respectively, as compared to the corresponding periods in 2010. The decrease in
management fees is due to lower average net assets during the three and nine months ended September
30, 2011, as compared to the corresponding periods in 2010.
19
Table of Contents
Administrative fees are paid to the General Partner for administering the business and affairs of the Partnership. These fees
are calculated as a percentage of the Partnerships adjusted 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 nine months ended September 30, 2011 decreased
by $166,683 and $610,844, respectively, as compared to the corresponding periods in 2010. The
decrease in administrative fees is due to lower average net assets during the three and nine months
ended September 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 agreement
among the Partnership, the General Partner and the Advisor. There were no profit share allocations
made for the three and nine months ended September 30, 2011 and 2010, respectively. The Advisor
will not earn a profit share allocation 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.
20
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 assets are 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 New York law.
Market movements result in frequent changes in the fair value of the Masters open positions
and, consequently, in its earnings and cash balances. The Masters market
risk is influenced by a wide variety of factors, including the level and volatility of interest
rates, exchange rates, equity price levels, the market value of financial instruments and
contracts, the diversification effects among the Masters open contracts and the liquidity of the
markets in which it trades.
The Master rapidly acquires and liquidates both long and short positions in a wide range of
different market sectors. 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
sensitive instruments. The following tables indicate the trading Value at Risk associated with the
Masters open positions by market category as of September 30, 2011 and December 31, 2010, and the
highest, lowest and average values during the three months ended
September 30, 2011, and during 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 September 30,
2011, the Masters total capitalization was $313,640,257 and the Partnership owned approximately
97.4% of the Master. The Partnership invests substantially all of its assets in the Master. The
Masters Value at Risk as of September 30, 2011 was as follows:
September 30, 2011
Three months ended September 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Energy |
$ | 7,571,027 | 2.41 | % | $ | 14,337,593 | $ | 6,832,784 | $ | 9,875,067 | ||||||||||
Total |
$ | 7,571,027 | 2.41 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
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Table of Contents
As of December 31, 2010, the Masters total capitalization was $528,735,257 and the
Partnership owned approximately 76.1% 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 |
$ | 61,391,255 | 11.61 | % | $ | 85,692,107 | $ | 18,754,664 | $ | 56,852,448 | ||||||||||
Total |
$ | 61,391,255 | 11.61 | % | ||||||||||||||||
* | 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 (the CEO) and Chief Financial Officer (the 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 September 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 September 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
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, 2010, as updated by the Partnerships Quarterly Reports on Form 10-Q for the
quarters ended March 31, 2011 and June 30, 2011.
Subprime-Mortgage Related Actions
On October 19, 2011, the SEC and Citigroup announced a settlement, subject to judicial approval, in
connection with the SECs investigation into the structuring and sale of CDOs. Pursuant to the
proposed settlement, CGM agreed to pay $160 million in disgorgement, $30 million in prejudgment
interest, and a civil penalty of $95 million relating to CGMs role in the structuring and sale of
the Class V Funding III CDO transaction. Additional information relating to this matter is publicly
available in court filings under the docket number 11 Civ. 7387 (S.D.N.Y.) (Rakoff, J.).
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 Reports on Form 10-Q for the quarters ended March 31, 2011 and
June 30, 2011.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
For the three months ended
September 30, 2011, there were subscriptions of 892.3995 Redeemable Units totaling $1,219,776. 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. The Redeemable 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, swaps and forwards contracts.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
(d) Maximum Number | ||||||||||||||||
(c) Total Number | (or Approximate | |||||||||||||||
of Redeemable Units | Dollar Value) of | |||||||||||||||
Purchased as Part | Redeemable Units that | |||||||||||||||
(a) Total Number | (b) Average | of Publicly | May Yet Be | |||||||||||||
of Redeemable | Price Paid per | Announced | Purchased Under the | |||||||||||||
Period | Units Purchased* | Redeemable Unit** | Plans or Programs | Plans or Programs | ||||||||||||
July 1, 2011 - July 31, 2011 |
3,577.4651 | $ | 1,373.12 | N/A | N/A | |||||||||||
August 1, 2011 - August 31, 2011 |
3,256.4382 | $ | 1,384.31 | N/A | N/A | |||||||||||
September 1, 2011 - September 30, 2011 |
2,186.4458 | $ | 1,400.22 | N/A | N/A | |||||||||||
9,020.3491 | $ | 1,383.73 |
* | Generally, limited partners are permitted to redeem their Redeemable Units as of the last day 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. No fee will be charged for redemptions. |
Item 3. Defaults Upon Senior Securities None
Item 4. [Removed and Reserved]
Item 5. Other Information None
25
Table of Contents
Item 6. Exhibits
Exhibit
3.1
|
(a) | Certificate of Limited Partnership dated April 15, 2005 (filed as Exhibit 3.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | ||
(b) | Certificate of Amendment of the Certificate of Limited Partnership dated September 21, 2005 (filed as Exhibit 3.1(a) to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |||
(c) | Certificate of Amendment of the Certificate of Limited Partnership dated September 19, 2008 (filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
(d) | Certificate of Amendment of the Certificate of Limited Partnership 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). | |||
(e) | Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.1(e) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference). | |||
(f) | Certificate of Amendment of the Certificate of Limited Partnership Agreement dated September 2, 2011 (filed as Exhibit 3.1(f) to the Current Report on Form 8-K filed on September 7, 2011 and incorporated herein by reference). | |||
3.2
|
Third Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.1 to the Current Report on Form 8-K filed on April 27, 2010 and incorporated herein by reference). | |||
10.1
|
(a) | Advisory Agreement among the Partnership, the General Partner and SandRidge Capital, L.P. (filed as Exhibit 10.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | ||
(b) | Letter from the General Partner to SandRidge Capital, L.P. extending the Advisory Agreement through June 30, 2011 (filed as Exhibit 10.1(b) to the Annual Report on Form 10-K filed on March 31, 2011 and incorporated herein by reference). | |||
10.2
|
(a) | Customer Agreement between the Partnership, the General Partner and CGM (filed as Exhibit 10.2 to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | ||
(b) | Addendum to the Customer Agreement between the Partnership, the General Partner and CGM (filed as Exhibit 10.2(a) to the General Form for Registration of Securities on Form 10 filed on April 30, 2007 and incorporated herein by reference). | |||
10.3
|
Amended and Restated Agency Agreement between the Partnership, the General Partner and CGM and MSSB (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on August 3, 2010 and incorporated herein by reference). | |||
10.4
|
Form of Subscription Agreement (filed as Exhibit 10.4 to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |||
10.5
|
Joinder Agreement among the Partnership, the General Partner, CGM and Morgan Stanley Smith Barney LLC (filed as Exhibit 10 to the Quarterly Report on Form 10-Q filed on August 14, 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). | |||
32.1
|
Section 1350 Certification (Certification of President and Director). | |||
32.2
|
Section 1350 Certification (Certification of Chief Financial Officer). |
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. |
26
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.
BRISTOL ENERGY FUND L.P. |
||||
By: | Ceres Managed Futures LLC (General Partner) |
|||
By: | /s/ Walter Davis | |||
Walter Davis | ||||
President and Director | ||||
Date:
November 14, 2011
By: | /s/ Brian Centner | |||
Brian Centner | ||||
Chief Financial Officer
(Principal Accounting Officer) |
||||
Date:
November 14, 2011
27