Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM 10-Q

 

 

(Mark One)

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: 000-53647

 

 

RICI^® Linked – PAM Advisors Fund, LLC

(Exact name of registrant as specified in charter)

 

 

 

Delaware				38-3743129
(State or other jurisdiction of incorporation or organization)				(IRS Employer Identification No.)
c/o Price Asset Management, Inc. 141 West Jackson Blvd., Suite 1340A Chicago, IL				60604
(Address of Principal Executive Offices)				(Zip Code)

(312) 261-4431

(Registrant’s telephone number, including area code)

Not applicable

(Former name, former address and former fiscal years, if changed since last report)

 

 

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 Website, 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   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.

 

Large accelerated filer		¨		Accelerated filer		¨
Non-accelerated filer		x  (Do not check if a smaller reporting company)		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

 

 

 

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Table of Contents

PART I – FINANCIAL INFORMATION

 

ITEM 1.

FINANCIAL STATEMENTS

The following unaudited financial statements of RICI^® Linked – PAM Total Index Series, RICI^® Linked – PAM Agricultural Sector Series, and RICI^® Linked – PAM Energy Sector Series, each a series of RICI^® Linked – PAM Advisors Fund, LLC, as well as the consolidated, unaudited financial statements of RICI^® Linked – PAM Advisors Fund, LLC, are included in Item 1:

 

		Page
Financial Statements
Statements of Financial Condition as of September 30 , 2011 (Unaudited) and December  31, 2010 (Audited)			3
Condensed Schedule of Investments as of September 30, 2011 (Unaudited)			4
Condensed Schedule of Investments as of December 31, 2010 (Audited)			6
Statements of Operations for the Three Months and Nine Months Ended September  30, 2011 and 2010 (Unaudited)			7
Statements of Changes in Members’ Equity (Net Assets) for the Nine Months ended September  30, 2011 and 2010 (Unaudited)			8
Notes to Financial Statements			9

 

2

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Table of Contents

RICI^® Linked - PAM Advisors Fund, LLC

Statements of Financial Condition

September 30, 2011 (Unaudited) and December 31, 2010 (Audited)

 

		Total Index Series								Agricultural Sector Series								Energy Sector Series								Total for RICI® Linked - PAM Advisors Fund, LLC
		September 30, 2011				December 31, 2010				September 30, 2011				December 31, 2010				September 30, 2011				December 31, 2010				September 30, 2011				December 31, 2010
Assets
Equity in broker trading account
Cash		$	63,293,432			$	14,326,003			$	3,821,510			$	1,061,906			$	—			$	—			$	67,114,942			$	15,387,909
Net unrealized gain (loss) on open futures contracts			(33,136,486	)			20,897,933				(1,842,596	)			1,791,496				—				—				(34,979,082	)			22,689,429
			30,156,946				35,223,936				1,978,914				2,853,402				—				—				32,135,860				38,077,338
Cash and cash equivalents			13,853,163				26,361,701				440,713				886,273				3,290				14,555				14,297,166				27,262,529
Investments
Government-sponsored enterprise securities, at fair value			248,982,120				282,847,260				12,499,255				13,489,960				—				—				261,481,375				296,337,220
Mutual funds, at fair value			498,159				329,030				83,024				575,299				—				—				581,183				904,329
Interest receivable			184				1,480				1				111				—				—				185				1,591
Total assets		$	293,490,572			$	344,763,407			$	15,001,907			$	17,805,045			$	3,290			$	14,555			$	308,495,769			$	362,583,007
Liabilities and Members’ Equity (Net Assets)
Accrued operating expenses		$	142,672			$	182,020			$	32,418			$	37,549			$	3,290			$	14,555			$	178,380			$	234,124
Management fee payable to Managing Member			156,793				178,285				8,039				9,565				—				—				164,832				187,850
Support services fee payable			24,109				27,414				1,236				1,471				—				—				25,345				28,885
Servicing fee payable to selling agent			32,727				32,142				7,341				7,099				—				—				40,068				39,241
Withdrawals payable			1,484,964				3,346,945				140,917				130,892				—				—				1,625,881				3,477,837
Subscriptions received in advance			3,824,811				15,378,230				85,000				60,000				—				—				3,909,811				15,438,230
			5,666,076				19,145,036				274,951				246,576				3,290				14,555				5,944,317				19,406,167
Members’ equity (net assets)			287,824,496				325,618,371				14,726,956				17,558,469				—				—				302,551,452				343,176,840
Total liabilities and members’ equity (net assets)		$	293,490,572			$	344,763,407			$	15,001,907			$	17,805,045			$	3,290			$	14,555			$	308,495,769			$	362,583,007

The accompanying notes are an integral part of these financial statements.

 

 

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Table of Contents

RICI ^® Linked - PAM Advisors Fund, LLC

Condensed Schedule of Investments

September 30, 2011 (Unaudited)

 

		Total Index Series								Agricultural Sector Series								Energy Sector Series								Total for RICI ® Linked -  PAM Advisors Fund, LLC
		Net Unrealized								Net Unrealized								Net Unrealized								Net Unrealized
		Gain (Loss)				Percent of				Gain (Loss)				Percent of				Gain (Loss)				Percent of				Gain (Loss)				Percent of
		on Open				Members’				on Open				Members’				on Open				Members’				on Open				Members’
		Long Futures				Equity				Long Futures				Equity				Long Futures				Equity				Long Futures				Equity
		Contracts				(Net Assets)				Contracts				(Net Assets)				Contracts				(Net Assets)				Contracts				(Net Assets)
Futures contracts
United States
Agriculture
28 December 2011 CBT Bean Oil		$	—				—	%		$	(159,432	)			(1.08	)%		$	—				—	%		$	(159,432	)			(0.05	)%
63 December 2011 CBOT Corn Contracts			—				—				(278,650	)			(1.89	)			—				—				(278,650	)			(0.09	)
38 December 2011 NYC Cotton Contracts			—				—				(567,000	)			(3.85	)			—				—				(567,000	)			(0.19	)
257 December 2011 NYC Cotton Contracts			(3,793,405	)			(1.32	)			—				—				—				—				(3,793,405	)			(1.25	)
63 December 2011 CBOT Wheat Contracts			—				—				(355,025	)			(2.41	)			—				—				(355,025	)			(0.12	)
Other*			(7,896,696	)			(2.74	)			(418,784	)			(2.85	)			—				—				(8,315,480	)			(2.75	)
Energy
778 NY LT Crude Contracts (November 2011 – December 2011)			(3,445,250	)			(1.20	)			—				—				—				—				(3,445,250	)			(1.14	)
Other*			(1,157,695	)			(0.40	)			—				—				—				—				(1,157,695	)			(0.38	)
Metals*			(2,369,830	)			(0.82	)			—				—				—				—				(2,369,830	)			(0.78	)
Total futures contracts – United States			(18,662,876	)			(6.48	)			(1,778,891	)			(12.08	)			—				—				(20,441,767	)			(6.75	)
Foreign
Agriculture*			(394,009	)			(0.14	)			(63,705	)			(0.43	)			—				—				(457,714	)			(0.15	)
Energy*			(1,844,915	)			(0.64	)			—				—				—				—				(1,844,915	)			(0.61	)
Metals
252 LME Copper Contracts (October 2011 – December 2011)1			(3,983,750	)			(1.38	)			—				—				—				—				(3,983,750	)			(1.32	)
Other*			(8,250,936	)			(2.87	)			—				—				—				—				(8,250,936	)			(2.72	)
Total futures contracts – Foreign			(14,473,610	)			(5.03	)			(63,705	)			(0.43	)			—				—				(14,537,315	)			(4.80	)
Total net unrealized gain (loss) on open futures contracts		$	(33,136,486	)			(11.51	)%		$	(1,842,596	)			(12.51	)%		$	—				—	%		$	(34,979,082	)			(11.55	)%

 

*	No individual futures contract position constituted greater than 1% of members’ equity (net assets).

Accordingly, the number of contracts and expiration dates are not presented.

1	Included in the aggregate is 97 November 2011 LME Copper Contracts valued at ($3,063,088).

This individual position constitutes (1.06%) of the members’ equity (net assets) for the Total Index Series.

The accompanying notes are an integral part of these financial statements.

 

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Table of Contents

RICI ^® Linked - PAM Advisors Fund, LLC

Condensed Schedule of Investments (Continued)

September 30, 2011 (Unaudited)

 

Government-sponsored enterprise securities

 

										Percent of												Percent of												Percent of												Percent of
										Members’												Members’												Members’												Members’
										Equity												Equity												Equity												Equity
		Cost				Fair Value				(Net Assets)				Cost				Fair Value				(Net Assets)				Cost				Fair Value				(Net Assets)				Cost				Fair Value				(Net Assets)
United States
U.S.Treasury Bills
$ 35,000,000 Treasury bill due 10/13/2011		$	34,981,807			$	35,000,000				12.16	%		$	—			$	—				—	%		$	—			$	—				—	%		$	34,981,807			$	35,000,000				11.57	%
$ 1,000,000 Treasury bill due 10/13/2011			—				—				—				999,503				1,000,000				6.79				—				—				—				999,503				1,000,000				0.33
$ 10,000,000 Treasury bill due 10/20/2011			9,994,363				9,999,900				3.47				—				—				—				—				—				—				9,994,363				9,999,900				3.31
$ 45,000,000 Treasury bill due 11/10/2011			44,985,786				44,999,550				15.63				—				—				—				—				—				—				44,985,786				44,999,550				14.87
$ 500,000 Treasury bill due 11/10/2011			—				—				—				499,847				499,995				3.40				—				—				—				499,847				499,995				0.17
$ 10,000,000 Treasury bill due 12/15/2011			9,994,950				9,999,700				3.47				—				—				—				—				—				—				9,994,950				9,999,700				3.31
$ 20,000,000 Treasury bill due 12/22/2011			19,991,266				19,999,400				6.95				—				—				—				—				—				—				19,991,266				19,999,400				6.61
$ 3,500,000 Treasury bill due 12/22/2011			—				—				—				3,498,478				3,499,895				23.77				—				—				—				3,498,478				3,499,895				1.16
$ 10,000,000 Treasury bill due 12/29/2011			9,995,497				9,999,600				3.47				—				—				—				—				—				—				9,995,497				9,999,600				3.31
$ 81,000,000 Treasury bill due 01/26/2012			80,961,962				80,994,330				28.14				—				—				—				—				—				—				80,961,962				80,994,330				26.77
$ 3,000,000 Treasury bill due 01/26/2012			2,998,559				2,999,790				1.04				—				—				—				—				—				—				2,998,559				2,999,790				0.99
$ 7,000,000 Treasury bill due 01/26/2012			—				—				—				6,996,755				6,999,510				47.53				—				—				—				6,996,755				6,999,510				2.31
$ 35,000,000 Treasury bill due 04/15/2012			34,996,368				34,989,850				12.16				—				—				—				—				—				—				34,996,368				34,989,850				11.56
$ 500,000 Treasury bill due 04/15/2012			—				—				—				499,950				499,855				3.39				—				—				—				499,950				499,855				0.17
Total Government-sponsored enterprise securities		$	248,900,558			$	248,982,120				86.49	%		$	12,494,533			$	12,499,255				84.88	%		$	—			$	—				—	%		$	261,395,091			$	261,481,375				86.44	%
Mutual funds
United States
AIM Government & Agency
Portfolio Institutional (498,159 shares)		$	498,159			$	498,159				0.17	%		$	—			$	—				—	%		$	—			$	—				—	%		$	498,159			$	498,159				0.16	%
AIM Government & Agency
			—				—				—				83,024				83,024				0.56				—				—				—				83,024				83,024				0.03
		$	498,159			$	498,159				0.17	%		$	83,024			$	83,024				0.56	%		$	—			$	—				—	%		$	581,183			$	581,183				0.19	%

The accompanying notes are an integral part of these financial statements.

 

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Table of Contents

RICI^® Linked-PAM Advisors Fund, LLC

Condensed Schedule of Investments

December 31, 2010 (Audited)

 

		Total Index Series								Agricultural Sector Series								Energy Sector Series								Total for RICI ® Linked -  PAM Advisors Fund, LLC
		Net Unrealized Gain (Loss) on Open Long Futures Contracts				Percent of Members’ Equity (Net Assets)				Net Unrealized Gain (Loss) on Open Long Futures Contracts				Percent of Members’ Equity (Net Assets)				Net Unrealized Gain (Loss) on Open Long Futures Contracts				Percent of Members’ Equity (Net Assets)				Net Unrealized Gain (Loss) on Open Long Futures Contracts				Percent of Members’ Equity (Net Assets)
Futures contracts *
United States
Agriculture		$	11,473,080				3.52	%		$	1,712,614				9.76	%		$	—				—	%		$	13,185,694				3.84	%
Energy			2,003,177				0.62				—				—				—				—				2,003,177				0.58
Metals			2,411,320				0.74				—				—				—				—				2,411,320				0.70
Total futures contracts – United States Foreign			15,887,577				4.88				1,712,614				9.76				—				—				17,600,191				5.12
Agriculture			537,685				0.17				78,882				0.44				—				—				616,567				0.18
Energy			1,262,395				0.39				—				—				—				—				1,262,395				0.37
Metals			3,210,276				0.99				—				—				—				—				3,210,276				0.94
Total futures contracts – Foreign			5,010,356				1.55				78,882				0.44				—				—				5,089,238				1.49
Total net unrealized gain (loss) on open futures contracts		$	20,897,933				6.43	%		$	1,791,496				10.20	%		$	—				—	%		$	22,689,429				6.61	%

 

Government-Sponsored enterprise securities		Cost				Fair Value				Percent of Members’ Equity (Net Assets)				Cost				Fair Value				Percent of Members’ Equity (Net Assets)				Cost				Fair Value				Percent of Members’ Equity (Net Assets)				Cost				Fair Value				Percent  of Members’ Equity (Net Assets)
United States
Federal Home Loan Bank
$ 10,000,000 discount note, due 01/20/2011		$	9,996,533			$	9,999,800				3.07	%		$	—			$	—				—	%		$	—			$	—				—	%		$	9,996,533			$	9,999,800				2.91	%
$ 10,000,000 discount note, due 02/23/2011			9,993,121				9,998,900				3.07				—				—				—				—				—				—				9,993,121				9,998,900				2.91
$ 3,000,000 discount note, due 02/23/2011			2,998,095				2,999,670				0.92				—				—				—				—				—				—				2,998,095				2,999,670				0.87
$ 20,000,000 discount note, due 03/23/2011			19,979,000				19,995,600				6.14				—				—				—				—				—				—				19,979,000				19,995,600				5.83
$ 20,000,000 discount note, due 03/25/2011			19,978,000				19,995,400				6.14				—				—				—				—				—				—				19,978,000				19,995,400				5.83
$ 20,000,000 discount note, due 04/06/2011			19,977,250				19,994,400				6.14				—				—				—				—				—				—				19,977,250				19,994,400				5.83
$ 5,000,000 discount note, due 04/07/2011			4,994,283				4,998,550				1.54				—				—				—				—				—				—				4,994,283				4,998,550				1.46
$ 1,000,000 discount note, due 04/07/2011			—				—				—				998,857				999,710				5.69				—				—				—				998,857				999,710				0.29
$ 10,000,000 discount note, due 05/18/2011			9,992,650				9,995,100				3.07				—				—				—				—				—				—				9,992,650				9,995,100				2.91
$ 33,000,000 discount note, due 06/22/2011			32,959,062				32,974,920				10.13				—				—				—				—				—				—				32,959,062				32,974,920				9.61
$ 6,000,000 discount note, due 06/22/2011			—				—				—				5,992,593				5,995,440				34.15				—				—				—				5,992,593				5,995,440				1.75
$ 34,000,000 discount note, due 06/28/2011			33,962,978				33,973,480				10.43				—				—				—				—				—				—				33,962,978				33,973,480				9.90
$ 34,000,000 discount note, due 07/26/2011			33,951,342				33,965,320				10.43				—				—				—				—				—				—				33,951,342				33,965,320				9.90
$ 20,000,000 discount note, due 07/26/2011			19,971,633				19,979,600				6.14				—				—				—				—				—				—				19,971,633				19,979,600				5.82
$ 5,000,000 discount note, due 07/26/2011			—				—				—				4,993,778				4,994,900				28.45				—				—				—				4,993,778				4,994,900				1.46
Federal National Mortgage Association
$ 10,000,000 discount note, due 02/01/2011			9,995,417				9,999,400				3.07				—				—				—				—				—				—				9,995,417				9,999,400				2.91
$ 1,500,000 discount note, due 02/01/2011			—				—				—				1,499,306				1,499,910				8.54				—				—				—				1,499,306				1,499,910				0.44
U.S.Treasury Bills
$ 20,000,000 Treasury bill due 03/24/2011			19,983,408				19,994,800				6.14				—				—				—				—				—				—				19,983,408				19,994,800				5.83
$ 34,000,000 Treasury bill due 05/12/2011			33,971,908				33,982,320				10.44				—				—				—				—				—				—				33,971,908				33,982,320				9.90
Total Government-sponsored enterprise securities		$	282,704,680			$	282,847,260				86.87	%		$	13,484,534			$	13,489,960				76.83	%		$	—			$	—				—	%		$	296,189,214			$	296,337,220				86.36	%
Mutual funds
United States
AIM Government & Agency
Portfolio Institutional (329,030 shares)		$	329,030			$	329,030				0.10	%		$	—			$	—				—	%		$	—			$	—				—	%		$	329,030			$	329,030				0.10	%
AIM Government & Agency
Portfolio Institutional (575,299 shares)			—				—				—				575,299				575,299				3.28				—				—				—				575,299				575,299				0.17
Total mutual funds		$	329,030			$	329,030				0.10	%		$	575,299			$	575,299				3.28	%		$	—			$	—				—	%		$	904,329			$	904,329				0.27	%

 

*	No individual futures contract position constituted greater than 1% of members’ equity (net assets).

Accordingly, the number of contracts and expiration dates are not presented.

The accompanying notes are an integral part of these financial statements.

 

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Table of Contents

RICI^® Linked - PAM Advisors Fund, LLC

Statements of Operations

For the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)

 

		Total Index Series																Agricultural Sector Series
		Three Months Ended								Nine Months Ended								Three Months Ended								Nine Months Ended
		September 30,								September 30,								September 30,								September 30,
		2011				2010				2011				2010				2011				2010				2011				2010
Realized and unrealized gains (losses) on investments
Realized gains (losses) on futures contracts		$	(21,167,471	)		$	13,036,987			$	18,379,453			$	(805,815	)		$	(943,479	)		$	2,681,451			$	1,084,145			$	556,242
Realized gains on securities			142,468				86,794				380,950				117,213				7,174				3,987				17,535				7,800
Change in unrealized gains (losses) on open futures contracts			(19,067,935	)			20,092,086				(54,034,419	)			12,156,388				(434,401	)			989,113				(3,634,092	)			973,991
Change in unrealized gains (losses) on securities			(82,254	)			32,135				(61,018	)			132,928				(2,874	)			3,374				(704	)			10,732
Brokerage commissions			(120,244	)			(118,835	)			(419,273	)			(357,699	)			(5,970	)			(8,796	)			(24,825	)			(36,573	)
Net realized and unrealized gain (loss) on investments			(40,295,436	)			33,129,167				(35,754,307	)			11,243,015				(1,379,550	)			3,669,129				(2,557,941	)			1,512,192
Investment income
Interest income			3,446				21,966				31,591				85,250				443				1,715				1,729				3,958
Expenses
Management fees			520,234				426,107				1,702,336				1,074,413				25,793				25,303				84,144				80,649
Operating expenses			108,412				114,852				343,731				327,061				13,819				12,939				38,723				37,527
Support services fee			79,993				65,518				261,756				84,240				3,966				3,891				12,938				5,237
Servicing fees			32,727				29,486				107,084				87,478				7,341				5,765				23,825				14,580
			741,366				635,963				2,414,907				1,573,192				50,919				47,898				159,630				137,993
Net investment loss			(737,920	)			(613,997	)			(2,383,316	)			(1,487,942	)			(50,476	)			(46,183	)			(157,901	)			(134,035	)
Net income (loss)		$	(41,033,356	)		$	32,515,170			$	(38,137,623	)		$	9,755,073			$	(1,430,026	)		$	3,622,946			$	(2,715,842	)		$	1,378,157
		Energy Sector Series																Total for RICI ® Linked - PAM Advisors Fund, LLC
		Three Months Ended								Nine Months Ended								Three Months Ended								Nine Months Ended
		September 30,								September 30,								September 30,								September 30,
		2011				2010				2011				2010				2011				2010				2011				2010
Realized and unrealized gains (losses) on investments
Realized gains (losses) on futures contracts		$	—			$	100,819			$	—			$	(206,448	)		$	(22,110,950	)		$	15,819,257			$	19,463,598			$	(456,021	)
Realized gains on securities			—				1,086								1,620				149,642				91,867				398,485				126,633
Change in unrealized gains (losses) on open futures contracts			—				(2,829	)			—				—				(19,502,336	)			21,078,370				(57,668,511	)			13,130,379
Change in unrealized gains (losses) on securities			—				(1,030	)			—				—				(85,128	)			34,479				(61,722	)			143,660
Brokerage commissions			—				(480	)			—				(3,433	)			(126,214	)			(128,111	)			(444,098	)			(397,705	)
Net realized and unrealized gain (loss) on investments			—				97,566				—				(208,261	)			(41,674,986	)			36,895,862				(38,312,248	)			12,546,946
Investment income
Interest income			—				284				—				883				3,889				23,965				33,320				90,091
Expenses
Management fees			—				1,409				—				10,726				546,027				452,819				1,786,480				1,165,788
Operating expenses			—				2,201				—				15,287				122,231				129,992				382,454				379,875
Support services fee			—				217				—				426				83,959				69,626				274,694				89,903
Servicing fees			—				36				—				71				40,068				35,287				130,909				102,129
			—				3,863				—				26,510				792,285				687,724				2,574,537				1,737,695
Net investment loss			—				(3,579	)			—				(25,627	)			(788,396	)			(663,759	)			(2,541,217	)			(1,647,604	)
Net income (loss)		$	—			$	93,987			$	—			$	(233,888	)		$	(42,463,382	)		$	36,232,103			$	(40,853,465	)		$	10,899,342

 

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RICI^® Linked - PAM Advisors Fund, LLC

Statement of Changes in Members’ Equity (Net Assets)

For the Nine Months Ended September 30, 2011 and 2010 (Unaudited)

 

		Total Index Series												Agricultural Sector Series												Energy Sector Series												Total for RICI ® Linked - PAM Advisors Fund, LLC
		Managing Member				Non-Managing Members				Total				Managing Member				Non-Managing Members				Total				Managing Member				Non-Managing Members				Total				Managing Member				Non-Managing Members				Total
Members’ equity (net assets) December 31, 2010		$	40,880			$	325,577,491			$	325,618,371			$	43,751			$	17,514,718			$	17,558,469			$	—			$	—			$	—			$	84,631			$	343,092,209			$	343,176,840
Subscriptions, net			—				54,386,262				54,386,262				—				2,717,291				2,717,291				—				—				—				—				57,103,553				57,103,553
Withdrawals			—				(54,042,514	)			(54,042,514	)			—				(2,832,962	)			(2,832,962	)			—				—				—				—				(56,875,476	)			(56,875,476	)
Net income (loss)			(4,648	)			(38,132,975	)			(38,137,623	)			(6,423	)			(2,709,419	)			(2,715,842	)			—				—				—				(11,071	)			(40,842,394	)			(40,853,465	)
Members’ equity (net assets) September 30, 2011		$	36,232			$	287,788,264			$	287,824,496			$	37,328			$	14,689,628			$	14,726,956			$	—			$	—			$	—			$	73,560			$	302,477,892			$	302,551,452
Members’ equity (net assets) December 31, 2009		$	34,479			$	168,020,505			$	168,054,984			$	32,183			$	10,071,867			$	10,104,050			$	—			$	—			$	—			$	66,662			$	178,092,372			$	178,159,034
Subscriptions, net			—				113,339,124				113,339,124				—				11,306,149				11,306,149				—				3,083,446				3,083,446				—				127,728,719				127,728,719
Withdrawals			—				(17,811,928	)			(17,811,928	)			—				(8,840,446	)			(8,840,446	)			—				(2,849,558	)			(2,849,558	)			—				(29,501,932	)			(29,501,932	)
Net income (loss) for the nine months ended September 30, 2010			800				9,754,273				9,755,073				3,522				1,374,635				1,378,157				—				(233,888	)			(233,888	)			4,322				10,895,020				10,899,342
Members’ equity (net assets) September 30, 2010		$	35,279			$	273,301,974			$	273,337,253			$	35,705			$	13,912,205			$	13,947,910			$	—			$	—			$	—			$	70,984			$	287,214,179			$	287,285,163

The accompanying notes are an integral part of these financial statements.

 

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Notes to Financial Statements

Note. 1 Nature of Operations and Significant Accounting Policies

RICI^® Linked – PAM Advisors Fund, LLC (the Company) is a limited liability company organized under the Delaware Limited Liability Company Act. The Company engages in the speculative trading of commodity futures, options on futures, forward contracts and other derivatives on exchanges and markets located in the United States and abroad. These financial statements incorporate the financial condition, results of operations and changes in members’ equity (net assets) of the Company as a whole as well as each Series of membership interest in the Company.

The Company consists of four series (each, a Series) of limited liability company interests (Interests): the RICI^® Linked – PAM Total Index Series (Total Index Series), the RICI^® Linked – PAM Agricultural Sector Series (Agricultural Sector Series), the RICI^® Linked – PAM Energy Sector Series (Energy Sector Series), and the RICI^® Linked – PAM Metals Sector Series (Metals Sector Series). Each Series invests substantially all of its assets in derivative contracts representing the commodity positions contained in the Rogers International Commodity Index^® (Index), or a sub-index thereof. Currently, three Series have commenced trading, the Total Index Series, which began trading May 8, 2007, the Agricultural Sector Series, which began trading February 1, 2008, and the Energy Sector Series, which began trading January 1, 2010. At the end of July 2010, all the investors in the Energy Sector Series redeemed out of the Energy Sector Series, however, the Energy Sector Series has not been closed.

The Company has been granted a license to use the Index pursuant to a sub-licensing arrangement. If the sub-license arrangement were to terminate and the Company lost use of the Index, the Company will not be able to raise additional capital.

The Company is organized as a “series” limited liability company such that, pursuant to Section 18-215(b) of the Delaware Limited Liability Company Act, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Company generally or any other Series. Accordingly, the assets of one Series of the Company include only those funds and other assets that are paid to, held by or distributed to the Company on account of and for the benefit of that Series, including, without limitation, funds delivered to the Company for investment in that Series.

Total Index Series: trading is comprised of three commodity product sectors encompassing 38 markets worldwide.

Agricultural Sector Series: trading is comprised of one commodity product sector encompassing 22 agricultural markets worldwide.

Energy Sector Series: trading is comprised of one commodity product sector encompassing 6 energy markets worldwide.

Metals Sector Series: trading is comprised of one commodity product sector encompassing 10 metals markets worldwide.

Use of estimates: The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Cash and cash equivalents: Cash and cash equivalents include highly liquid instruments with original maturities of three months or less at the date of acquisition.

Net asset value: “Net Asset Value” or “Net Assets” associated with each Series is the sum of all cash plus investments, at fair value, plus the liquidating value of all open commodity positions maintained by the Series, plus interest receivable and other assets, less all liabilities of the Series determined in accordance with GAAP.

 

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Note 1. Nature of Operations and Significant Accounting Policies (Continued)

 

Securities and derivative financial instruments: Investments in securities and derivative financial instruments and related expenses are recorded on trade date and at fair value. Gains and losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts (the difference between contract purchase price and market price) at the date of the statements of financial condition are included in equity in broker trading accounts as a net unrealized gain or loss, as there exists a right to offset. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Brokerage commissions include clearing and exchange fees and are separately reported in the statements of operations.

Translation of foreign currencies: The Company’s functional currency is the U.S. dollar; however, it transacts business in foreign currencies. Investments denominated in foreign currencies are translated into U.S. dollars at the rates in effect at the date of the statements of financial condition. Income and expense items denominated in foreign currencies are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported as part of realized gains and losses in the statements of operations.

Subscriptions: Non-managing member subscriptions are presented in the statement of changes in members’ equity (net assets), net of sales fees, if any.

Withdrawals payable: Withdrawals approved by Price Asset Management, Inc. (the Managing Member) prior to month end with a fixed effective date and fixed amount are recorded as withdrawals payable as of month end.

Ongoing offering expenses: Ongoing offering expenses are charged to expense as incurred.

Income taxes: No provision for income taxes has been made in these financial statements because members are individually responsible for reporting income or loss based on their respective shares in the Company’s income and expenses as reported for income tax purposes.

The Financial Accounting Standards Board (FASB) provides guidance for how uncertain tax positions should be recognized, measured, disclosed and presented in the financial statements. The guidance requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. For the periods ended September 30, 2011 and 2010 management has determined that there are no material uncertain income tax positions.

The Company is not subject to examination by U.S. Federal and state tax authorities for years before 2008.

Reclassifications: certain balances for the period ended September 30, 2010, have been reclassified to conform to current period presentation with no effect on results from operations.

Statement of cash flows: The Company has elected not to provide statements of cash flows as permitted by GAAP as all of the following conditions have been met:

 

a.

During the period, substantially all of the Company’s investments were highly liquid;

 

b.

Substantially all of the Company’s investments are carried at fair value;

 

c.

The Company had little or no debt during the period; and

 

d.

The Company’s financial statements include a statement of changes in members’ equity (net assets).

New accounting pronouncements: In May 2011, the FASB issued Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (IFRS). This Accounting Standards Update (ASU) represents the converged guidance of the FASB and the International Accounting Standards Board (collectively, the Boards) on fair value measurement. The collective efforts of the Boards and their staffs have resulted in common requirements for measuring fair value and for disclosing information about fair value measurements, including a consistent meaning of the term “fair value” and enhanced disclosure requirements for investments that do not have readily determinable fair values. The Boards have concluded the common requirements will result in greater comparability of fair value measurements presented and disclosed in financial statements prepared in accordance with GAAP and IFRS. The amendments to the FASB Codification in this ASU are to be applied prospectively. For public entities, the amendments are effective during interim and annual periods beginning after

 

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Note 1. Nature of Operations and Significant Accounting Policies (Continued)

 

December 15, 2011. The Company is currently assessing the impact of this ASU on its future consolidated financial statements.

Note 2. Fair Value of Financial Instruments

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Company utilizes valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs are broadly defined as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy are described below:

Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly; and fair value is determined through the use of models or other valuation methodologies. A significant adjustment to a Level 2 input could result in the Level 2 measurement becoming a Level 3 measurement.

Level 3. Inputs are unobservable for the asset or liability and include situations where there is little, if any, market activity for the asset or liability. The inputs into the determination of fair value are based upon the best information in the circumstances and may require significant management judgment or estimation.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following section describes the valuation techniques used by the Company to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.

The fair values of exchange traded futures contracts are based upon exchange settlement prices. Shares of mutual funds, which include money market funds, are valued at the net asset value based on quoted market prices. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices for identical assets in an active market. These financial instruments are classified as Level 1 of the fair value hierarchy.

The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis within the fair value hierarchy as of:

 

		Total Index Series								Agricultural Sector Series								Energy Sector Series								Total for RICI ® Linked - PAM Advisors Fund, LLC
Description		September 30, 2011 Level 1				December 31, 2010 Level 1				September 30, 2011 Level 1				December 31, 2010 Level 1				September 30, 2011 Level 1				December 31, 2010 Level 1				September 30, 2011 Level 1				December 31, 2010 Level 1
Equity in broker trading account
Futures contracts		$	(33,136,486	)		$	20,897,933			$	(1,842,596	)		$	1,791,496			$	—			$	—			$	(34,979,082	)		$	22,689,429
Cash and cash equivalents
Money market funds			10,186,915				173,142				—				—				—				—				10,186,915				173,142
Investments
Government-sponsored enterprise securities			248,982,120				282,847,260				12,499,255				13,489,960				—				—				261,481,375				296,337,220
Mutual funds			498,159				329,030				83,024				575,299				—				—				581,183				904,329
		$	226,530,708			$	304,247,365			$	10,739,683			$	15,856,755			$	—			$	—			$	237,270,391			$	320,104,120

 

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Note 2. Fair Value of Financial Instruments (Continued)

 

At September 30, 2011 and December 31, 2010 the Company had no Level 2 or Level 3 assets or liabilities.

In addition, substantially all of the Company’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.

Note. 3 Derivative Instruments

Expanded disclosure is presented, in accordance with recent FASB guidance, to provide the users of the financial statements with an enhanced understanding of the use of derivative instruments, and how derivative and hedging activities affect financial position and operations.

The Company’s derivative contracts are comprised of futures contracts. These derivative contracts are recorded on the statements of financial condition as assets measured at fair value and the related realized and unrealized gain (loss) associated with these derivatives is recorded in the statements of operations. The Company has considered the counterparty credit risk related to all its futures contracts and does not deem any counterparty credit risk material at this time. The Company does not consider any derivative instruments to be hedging instruments, as this term is generally understood under FASB guidance.

Total Index Series

As of September 30, 2011 and December 31, 2010 the Total Index Series’ derivative contracts had the following impact on the statement of financial condition:

 

Contract Risk                     Location		Asset Derivatives September 30, 2011				Liability Derivatives September 30, 2011				Net
Futures: Commodity price Equity in broker trading account
Agriculture		$	574,047			$	(12,658,157	)		$	(12,084,110	)
Energy			—				(6,447,860	)			(6,447,860	)
Metals			9,356,423				(23,960,939	)			(14,604,516	)
		$	9,930,470			$	(43,066,956	)		$	(33,136,486	)
Contract risk                    Location		Asset Derivatives December 31, 2010				Liability Derivatives December 31, 2010				Net
Futures: Commodity price Equity in broker trading account
Agriculture		$	12,043,365			$	(32,599	)		$	12,010,766
Energy			3,311,524				(45,953	)			3,265,571
Metals			10,616,348				(4,994,752	)			5,621,596
		$	25,971,237			$	(5,073,304	)		$	20,897,933

 

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Note 3. Derivative Instruments (Continued)

 

For the three and nine months ended September 30, 2011 and 2010 the Total Index Series’ derivative contracts had the following impact on the statement of operations:

 

		Nine months ended September 30, 2011
Contract Risk		Realized gains (losses) on futures contracts				Change in unrealized gains (losses) on open futures contracts				Net trading gains (losses)
Futures: Commodity price
Agriculture		$	7,604,484			$	(24,199,035	)		$	(16,594,551	)
Energy			792,518				(9,713,432	)			(8,920,914	)
Metals			9,982,451				(20,121,952	)			(10,139,501	)
		$	18,379,453			$	(54,034,419	)		$	(35,654,966	)
		Nine months ended September 30, 2010
Contract Risk		Realized gains (losses) on futures contracts				Change in unrealized gains (losses) on open futures contracts				Net trading gains (losses)
Futures Commodity price
Agriculture		$	6,160,874			$	6,877,304			$	13,038,178
Energy			(9,985,817	)			3,074,892				(6,910,925	)
Metals			3,019,128				2,204,192				5,223,320
		$	(805,815	)		$	12,156,388			$	11,350,573
		Three months ended September 30, 2011
Contract Risk		Realized gains (losses) on futures contracts				Change in unrealized gains (losses) on open futures contracts				Net trading gains (losses)
Futures: Commodity price
Agriculture		$	(5,935,263	)		$	(2,404,599	)		$	(8,339,862	)
Energy			(15,569,669	)			(4,973,181	)			(20,542,850	)
Metals			337,461				(11,690,155	)			(11,352,694	)
		$	(21,167,471	)		$	(19,067,935	)		$	(40,235,406	)
		Three months ended September 30, 2010
Contract Risk		Realized gains (losses) on futures contracts				Change in unrealized gains (losses) on open futures contracts				Net trading gains (losses)
Futures Commodity price
Agriculture		$	14,154,021			$	6,873,397			$	21,027,418
Energy			(301,784	)			3,320,235				3,018,451
Metals			(815,250	)			9,898,454				9,083,204
		$	13,036,987			$	20,092,086			$	33,129,073

 

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Note 3. Derivative Instruments (Continued)

 

For the nine months ended September 30, 2011 and 2010, the monthly average number of futures contracts bought and sold was approximately 6,973 and 6,628, respectively.

Agricultural Sector Series

As of September 30, 2011 and December 31, 2010 the Agricultural Sector Series’ derivative contracts had the following impact on the statement of financial condition:

 

Contract Risk                     Location		Asset Derivatives September 30, 2011				Liability Derivatives September 30, 2011				Net
Futures: Commodity price Equity in broker trading account
Agriculture		$	84,316			$	(1,926,912	)		$	(1,842,596	)
Energy			—				—				—
Metals			—				—				—
		$	84,316			$	(1,926,912	)		$	(1,842,596	)
Contract risk                     Location		Asset Derivatives December 31, 2010				Liability Derivatives December 31, 2010				Net
Futures: Commodity price Equity in broker trading account
Agriculture		$	1,796,274			$	(4,778	)		$	1,791,496
Energy			—				—				—
Metals			—				—				—
		$	1,796,274			$	(4,778	)		$	1,791,496

 

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Note 3. Derivative Instruments (Continued)

 

For the three and nine months ended September 30, 2011 and 2010 the Agricultural Sector Series’ derivative contracts had the following impact on the statement of operations:

 

		Nine months ended September 30, 2011
Contract Risk		Realized gains (losses) on futures contracts				Change in unrealized gains  (losses) on open futures contracts				Net trading gains (losses)
Futures: Commodity price
Agriculture		$	1,084,145			$	(3,634,092	)		$	(2,549,947	)
Energy			—				—				—
Metals			—				—				—
		$	1,084,145			$	(3,634,092	)		$	(2,549,947	)
		Nine months ended September 30, 2010
Contract Risk		Realized gains (losses) on  futures contracts				Change in unrealized gains (losses) on open futures contracts				Net trading gains (losses)
Futures Commodity price
Agriculture		$	556,242			$	973,991			$	1,530,233
Energy			—				—				—
Metals			—				—				—
		$	556,242			$	973,991			$	1,530,233
		Three months ended September 30, 2011
Contract Risk		Realized gains (losses) on futures contracts				Change in unrealized gains (losses) on open futures contracts				Net trading gains (losses)
Futures: Commodity price
Agriculture		$	(943,479	)		$	(434,401	)		$	(1,377,880	)
Energy			—				—				—
Metals			—				—				—
		$	(943,479	)		$	(434,401	)		$	(1,377,880	)
		Three months ended September 30, 2010
Contract Risk		Realized gains (losses) on futures contracts				Change in unrealized gains (losses) on open futures contracts				Net trading gains (losses)
Futures Commodity price
Agriculture		$	2,681,451			$	989,113			$	3,670,564
Energy			—				—				—
Metals			—				—				—
		$	2,681,451			$	989,113			$	3,670,564

 

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Note 3. Derivative Instruments (Continued)

 

For the nine months ended September 30, 2011 and 2010, the monthly average number of futures contracts bought and sold was approximately 354 and 531, respectively.

Energy Sector Series

As of September 30, 2011 and December 31, 2010 the Energy Sector Series’ derivative contracts had no impact on the statement of financial condition.

For the three and nine months ended September 30, 2011 the Energy Sector Series’ derivative contracts had no impact on the statement of operations.

For the three and nine months ended September 30, 2010 the Energy Sector Series’ derivative contracts had the following impact on the statement of operations:

 

		Nine months ended September 30, 2010
Contract Risk		Realized gains (losses) on futures contracts				Change in unrealized gains (losses) on open futures contracts				Net trading gains (losses)
Futures Commodity price
Agriculture		$	—			$	—			$	—
Energy			(206,448	)			—				(206,448	)
Metals			—				—				—
		$	(206,448	)		$	—			$	(206,448	)

 

		Three months ended September 30, 2010
Contract Risk		Realized gains (losses) on futures contracts				Change in unrealized gains (losses) on open futures contracts				Net trading gains (losses)
Futures Commodity price
Agriculture		$	—			$	—			$	—
Energy			100,819				(2,829	)			97,990
Metals			—				—				—
		$	100,819			$	(2,829	)		$	97,990

For the nine months ended September 30, 2010, the monthly average number of futures contracts bought and sold was approximately 59.

Note 4. Equity in Broker Trading Account

Cash and financial instruments held at the Company’s clearing broker collateralize amounts due to the clearing broker, if any, and may serve to satisfy regulatory or clearing broker margin requirements. The Company earns interest on its assets deposited with the broker. At September 30, 2011 and December 31, 2010, the following amounts of cash and futures contracts were held at the clearing broker to satisfy margin requirements.

 

		September 30, 2011				December 31, 2010
Total Index Series		$	25,769,184			$	21,752,248
Agricultural Sector Series			1,256,736				1,284,994
Energy Sector Series			—				—

 

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Note 5. Subscriptions, Withdrawals, and Distributions

Subscriptions are effective at the opening of business on the first day of trading of the next calendar month.

Non-managing members may withdraw some or all of their interest in the Company as of the end of any calendar month upon five business days prior written notice. Withdrawals from any Series made prior to the end of the sixth full calendar month following a non-managing member’s initial investment in such Series are subject to a withdrawal charge, payable to the relevant Series, equal to 1 percent of the amount withdrawn, provided that such charge will not apply if the withdrawal results from a request to exchange Interests in one Series for Interests in another Series. The Managing Member may defer or suspend withdrawal rights under certain circumstances.

Distributions may be made at the discretion of the Managing Member.

Note 6. The Managing Member

Price Asset Management, Inc., an Illinois corporation, is the managing member, commodity pool operator and commodity trading advisor of the Company.

The Managing Member will maintain a capital account balance in each Series sufficient for such Series to be treated as a partnership for federal income tax purposes (which may be $0) and may make withdrawals from its capital accounts without notice to the non-managing members. The Managing Member is not subject to the Managing Member’s management fee, but will otherwise bear its proportionate share of each Series’ expenses.

Note 7. Fees and Expenses

Each Series pays the Managing Member in respect of each non-managing member in the Series, monthly in arrears, a management fee equal to 0.054167 of 1% of the month-end Net Asset Value of each non-managing member’s capital account in a Series (a 0.65% annual rate). The Managing Member may waive or reduce its management fee in respect of any non-managing member without entitling any other non-managing member to a similar waiver or reduction. There were no waived management fees for the three and nine months ended September 30, 2011 and 2010. The management fees for the three and nine months ended September 30, 2011 and 2010 were as follows and are reflected in the statements of operations.

 

		Nine months ended
		September 30, 2011				September 30, 2010
Total Index Series		$	1,702,336			$	1,074,413
Agricultural Sector Series			84,144				80,649
Energy Sector Series			—				10,726
		Three months ended
		September 30, 2011				September 30, 2010
Total Index Series		$	520,234			$	426,107
Agricultural Sector Series			25,793				25,303
Energy Sector Series			—				1,409

Beginning June 1, 2010, each Series began to pay the Managing Member in respect of each non-managing member in the Series, monthly in arrears, a support services fee equal to 0.0083 of 1% of the month-end Net Asset Value of each non-managing member’s capital account in a Series (a 0.10% annual rate). The Managing Member may waive or reduce its support services fee in respect of any non-managing member without entitling any other non-managing member to a similar waiver or reduction. The Managing Member anticipates that a substantial majority of the support services fee will be used to pay broker-dealers for distribution related services to the Company such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member. The support services fees for the three and nine months ended September 30, 2011 and 2010 were as follows and are reflected in the statements of operations.

 

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Note 7. Fees and Expenses (Continued)

 

 

		Nine months ended
		September 30, 2011				September 30, 2010
Total Index Series		$	261,756			$	84,240
Agricultural Sector Series			12,938				5,237
Energy Sector Series			—				426
		Three months ended
		September 30, 2011				September 30, 2010
Total Index Series		$	79,993			$	65,518
Agricultural Sector Series			3,966				3,891
Energy Sector Series			—				217

Non-managing members in a Series introduced to the Company by their selling agents are charged a monthly servicing fee of up to 1% per annum as agreed, or as otherwise agreed between the non-managing member and such non-managing member’s selling agent. The servicing fee is deducted from a non-managing member’s capital account and paid to such non-managing member’s selling agent monthly in arrears based on the month-end Net Asset Value of such non-managing member’s capital account. Non-managing members introduced through qualified advisors, including the marketing representative, Uhlmann Price Securities, LLC, will not be charged a servicing fee. Uhlmann Price Securities, LLC, an affiliate of the Managing Member, will be paid its introducing fee by the Managing Member without reimbursement from a Series or the Company. The Series incurred the following amount of servicing fees to the selling agents for the three and nine months ended September 30, 2011 and 2010, respectively.

 

		Nine months ended
		September 30, 2011				September 30, 2010
Total Index Series		$	107,084			$	87,478
Agricultural Sector Series			23,825				14,580
Energy Sector Series			—				71
		Three months ended
		September 30, 2011				September 30, 2010
Total Index Series		$	32,727			$	29,486
Agricultural Sector Series			7,341				5,765
Energy Sector Series			—				36

Non-managing members introduced to the Company by selling agents may also be charged an up-front sales commission up to 1% of such investment, or as otherwise agreed between the investor and such investor’s selling agent. Sales commissions for the three and nine months ended September 30, 2011 and 2010 were as follows:

 

		Nine months ended
		September 30, 2011				September 30, 2010
Total Index Series		$	16,607			$	17,000
Agricultural Sector Series			8,853				13,631
Energy Sector Series			—				—
		Three months ended
		September 30, 2011				September 30, 2010
Total Index Series		$	2,938			$	250
Agricultural Sector Series			3,500				5,800
Energy Sector Series			—				—

 

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Note 7. Fees and Expenses (Continued)

 

The Company pays all of its own legal, accounting, auditing, reporting, administrative and initial offering expenses.

Any expenses of the Company as a whole, and not specific to any Series of the Company, will be allocated ratably among the Series, in the ratio that the Net Asset Value of each Series bears to the aggregate Net Asset Value of all Series. The Managing Member believes this allocation method to be reasonable.

The Price Futures Group, Inc. (PFG), a related party to the Managing Member through common management, acts as the introducing broker for the Company, whereby certain accounts of the Company are introduced to the Company’s clearing broker. A portion of the brokerage fee paid by the Company for clearing transactions is paid to PFG by the clearing broker.

Note 8. Trading Activities and Related Risks

The Company is exposed to both market risk, the risk arising from changes in the market value of the financial instruments, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

Market risk: The Company engages in the speculative trading of derivative financial instruments that involve varying degrees of off balance sheet market risk whereby changes in the market values of the underlying commodities may result in changes in the value of the derivative financial instruments in excess of the amounts reflected in the statements of financial condition. Theoretically, the Company is exposed to a market risk equal to the notional value of futures and forward contracts purchased.

Credit risk and concentration of credit risk: Credit risk arises primarily from the potential inability of counterparties, such as clearing brokers, banks or other financial institutions, to perform in accordance with the terms of a contract. The Company’s exposure to credit risk associated with counterparty nonperformance is limited to the current cost to replace all contracts in which the Company has a gain. Exchange traded financial instruments, such as financial futures, generally do not give rise to significant counterparty exposure due to daily cash settlement procedures for daily gains and losses and the margin requirements of the individual exchanges. The Company clears all of its trades through MF Global, Inc. In the event this broker does not fulfill its obligations, the Company may be exposed to risk.

See Note 12. Subsequent Events.

The Company maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Company does not believe it is exposed to any significant credit risk.

The Managing Member has established procedures to actively monitor the creditworthiness of the counterparties with which it conducts business in order to minimize market and credit risks. The non-managing members bear the risk of loss only to the extent of the value of their respective investments and, in certain circumstances, distributions and withdrawals received.

 

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Note 9. Financial Highlights

Financial highlights for non-managing members of each Series for the three and nine months ended September 30, 2011 and 2010 are as follows:

 

		Total Index Series																Agricultural Sector Series
		Three months ended September 30,								Nine months ended September 30,								Three months ended September 30,								Nine months ended September 30,
		2011 Unaudited				2010 Unaudited				2011 Unaudited				2010 Unaudited				2011 Unaudited				2010 Unaudited				2011 Unaudited				2010 Unaudited
Total Return			(12.41	)%			13.64	%			(11.89	)%			1.75	%			(8.52	)%			25.38	%			(15.29	)%			10.28	%
Ratios to average members’ equity (net assets)
Total expenses (1) (3)			0.89	%			1.04	%			0.91	%			0.96	%			1.25	%			1.37	%			1.21	%			1.12	%
Net investment income (loss) (2) (3)			(0.88	)%			(1.01	)%			(0.90	)%			(0.91	)%			(1.24	)%			(1.33	)%			(1.20	)%			(1.09	)%

 

		Energy Sector Series
		Three months ended September 30,								Nine months ended September 30,
		2011 Unaudited				2010 Unaudited				2011 Unaudited				2010 Unaudited
Total Return			—	%			3.74	%			—	%			(7.61	)%
Ratios to average members’ equity (net assets)
Total expenses (1)(3)			—	%			1.95	%			—	%			1.59	%
Net investment income (loss) (2) (3)			—	%			(1.80	)%			—	%			(1.54	)%

 

(1)	The ratio of operating expenses to average members’ equity (net asset) values does not include brokerage commissions.

(2)	Net investment loss does not include net realized and unrealized gains and losses and the related brokerage commissions of the Series.

(3)	Annualized.

Each ratio is calculated for the non-managing members taken as a whole. Total return is based on the change in value during the period of a theoretical investment made in each Series at the beginning of each calendar month during the year. The computation of an individual non-managing member’s ratios may vary from the ratios calculated above based on any fee waivers and the timing of capital transactions.

The total returns and ratios exclude the effects of any 1 percent sales fees charged by the selling agents.

Note 10. Indemnifications

In the normal course of business, the Company enters into contracts and agreements that contain a variety of representations and warranties that provide indemnifications under certain circumstances. The Company’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Company that have not yet occurred. The Managing Member expects the risk of any future obligations under these indemnifications to be remote.

Note 11. Interim Financial Statements

The statements of financial condition, including the condensed schedule of investments, as of September 30, 2011, the statements of operations for the three and nine months ended September 30, 2011 and 2010 and changes in members’ equity (net assets) for the three and nine months ended September 30, 2011 and 2010 and the accompanying notes to the financial statements are unaudited. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of the Managing Member, such financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of the financial position as of September 30, 2011, results of

 

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Note 11. Interim Financial Statements (Continued)

 

operations for the three and nine months ended September 30, 2011 and 2010 and changes in members’ equity (net asset) for the three and nine months ended September 30, 2011 and 2010. The results of operations for the three and nine months ended September 30, 2011 and 2010 are not necessarily indicative of the results to be expected for the full year or any other period. These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Company’s Form 10-K as filed with the SEC.

Note 12. Subsequent Events

The Company’s management evaluated subsequent events for potential recognition and/or disclosure through the date that these financial statements were issued.

Subsequent to September 30, 2011, subscriptions and withdrawals of interests were as follows:

 

		Total Index Series								Agricultural Sector Series								Energy Sector Series								Total for RICI ® Linked -  PAM Advisors Fund, LLC
		Subscriptions				Withdrawals				Subscriptions				Withdrawals				Subscriptions				Withdrawals				Subscriptions				Withdrawals
October		$	3,823,161			$	2,231,954			$	238,997			$	149,730			$	—			$	—			$	4,062,158			$	2,381,684
November			3,821,969				—				149,750				—				—				—				3,971,719				—
Total		$	7,645,130			$	2,231,954			$	388,747			$	149,730			$	—			$	—			$	8,033,877			$	2,381,684

On October 31, 2011, MF Global Holdings Ltd., the parent company of MF Global Inc., then the Company’s futures commission merchant, filed for bankruptcy protection under Chapter 11 of the Bankruptcy Code. The Securities and Exchange Commission and CFTC agreed that a SIPC-lead bankruptcy of MF Global Inc. would be the safest and most prudent course of action to protect customer accounts and assets and SIPC initiated the liquidation of MF Global Inc. under the Securities Investor Protection Act. As of October 31, 2011 the Company held approximately 12% of its assets in customer segregated accounts at MF Global Inc. The CFTC has stated that there is a shortfall in customer segregated accounts, although as of November 14, 2011, the true extent of such shortfall remains unknown. Although some assets have been transferred from MF Global Inc. to the Company’s new futures commission merchant, ADM Investor Services, as of November 14, 2011, the Managing Member believes that a portion of the Company’s assets are, and may remain for sometime, illiquid, but does not have sufficient information to estimate accurately how long such assets may be unavailable to the Company or the percentage of assets that may be lost. Notwithstanding the foregoing, each of the Series are currently continuing their operations tracking the Index, or a sub-index thereof, and anticipate continuing to do so for the foreseeable future.

 

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ITEM 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

INTRODUCTION

RICI^® Linked – PAM Advisors Fund, LLC (the “Company”) consists of four series (each, a “Series”): the RICI^® Linked – PAM Total Index Series (the “Total Index Series”), the RICI^® Linked – PAM Agricultural Sector Series (the “Agricultural Sector Series”), the RICI^® Linked – PAM Energy Sector Series (the “Energy Sector Series”), and the RICI^® Linked – PAM Metals Sector Series (the “Metals Sector Series”). The Total Index Series, Agricultural Sector Series and Energy Sector Series commenced operations on May 8, 2007, February 7, 2008 and January 1, 2010, respectively. The Energy Sector Series temporarily ceased operations after paying out withdrawal proceeds with respect to the July 31, 2010 withdrawal date. The Metals Sector Series has not yet commenced operations.

For the avoidance of doubt, the Company is organized as a “series” limited liability company such that, pursuant to Section 18-215(b) of the Delaware Limited Liability Company Act (the “Act”), the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Company generally or any other Series. Accordingly, the assets of one Series of the Company include only those funds and other assets that are paid to, held by or distributed to the Company on account of and for the benefit of that Series, including, without limitation, funds delivered to the Company for investment in that Series.

LIQUIDITY

The Company generally holds approximately 90% of its assets as cash, cash equivalents in U.S. government-sponsored enterprise securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other CFTC-authorized investments, shares of mutual funds and certain other money market investments (e.g., bankers acceptances and Eurodollar or other time deposits) through one or more federally chartered U.S. banking institutions. The aforementioned positions are withdrawn, as necessary, to pay withdrawals and expenses. Price Asset Management, Inc. (the “Managing Member”) will commit the remaining assets of each Series to margin such Series’ futures, forward and swap positions such that the total market exposure of each Series is approximately equal to its net assets. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the futures trading, the Company’s assets are highly liquid and are expected to remain so. During its operations through September 30, 2011, the Company experienced no meaningful periods of illiquidity in any of the markets traded by the Managing Member on behalf of the Company.

On October 31, 2011, MF Global Holdings Ltd., the parent company of MF Global Inc., then the Company’s futures commission merchant, filed for bankruptcy protection under Chapter 11 of the Bankruptcy Code. The Securities and Exchange Commission and CFTC agreed that a SIPC-lead bankruptcy of MF Global Inc. would be the safest and most prudent course of action to protect customer accounts and assets and SIPC initiated the liquidation of MF Global Inc. under the Securities Investor Protection Act. As of October 31, 2011 the Company held approximately 12% of its assets in customer segregated accounts at MF Global Inc. The CFTC has stated that there is a shortfall in customer segregated accounts, although as of November 14, 2011, the true extent of such shortfall remains unknown. Although some assets have been transferred from MF Global Inc. to the Company’s new futures commission merchant, ADM Investor Services, as of November 14, 2011, the Managing Member believes that a portion of the Company’s assets are, and may remain for sometime, illiquid, but does not have sufficient information to estimate accurately how long such assets may be unavailable to the Company or the percentage of assets that may be lost. Notwithstanding the foregoing, each of the Series are currently continuing their operations tracking the Index, or a sub-index thereof, and anticipate continuing to do so for the foreseeable future.

CAPITAL RESOURCES

The Company raises additional capital only through the sale of interests (“Interests”) and capital is increased through trading profits (if any) and through interest income. The Company does not engage in borrowing.

 

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The amount of capital raised for the Company should not have a significant impact on its operations, as the Company has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses. Within broad ranges of capitalization, the Company’s trading positions should increase or decrease in approximate proportion to the size of the Company.

Due to the nature of the Company’s business, approximately 90% of its assets are represented by cash, cash equivalents with maturities of three months or less, U.S. government-sponsored enterprise securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other CFTC-authorized investments, shares of mutual funds and certain other money market investments (e.g., bankers acceptances and Eurodollar or other time deposits) through one or more federally chartered U.S. banking institutions, while the Company currently maintains its market exposure through open futures contract positions.

The Company trades futures contracts on U.S. and non-U.S. markets, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Company’s counterparties or brokers may require margin in excess of minimum exchange requirements. Risk arises from changes in the value of these instruments (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the notional value, or face amount, of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The counterparty for futures contracts traded in the U.S. is the clearinghouse associated with the relevant exchange. Clearinghouse arrangements are generally perceived to reduce credit risk because, in general, clearinghouses are backed by the corporate members of the clearinghouses, which are required to share any financial burden resulting from the non-performance of any one of the members of the clearinghouse.

Clearinghouse arrangements are generally perceived to reduce credit risk because, in general, clearinghouses are backed by the corporate members of the clearinghouses, which are required to share any financial burden resulting from the non-performance of any one of the members of the clearinghouse.

All of the contracts currently traded by the Managing Member on behalf of the Company are exchange-traded, although the Managing Member is authorized to, and may in the future, trade over-the-counter forward and swap contracts. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions since, in over-the-counter transactions, the Company must rely solely on the credit of its respective trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the clearinghouse. In the future, the Company may enter into non-exchange traded contracts and be subject to the credit risk associated with counterparty non-performance. The Managing Member attempts to control credit risk associated with off-exchange transactions, if any, by dealing exclusively with large, well capitalized banks and dealers.

Critical Accounting Estimates

The Company’s securities and derivative financial instruments are recorded at fair value. The fair values of exchange-traded futures contracts are based upon exchange settlement prices. Fair value of non-exchange traded futures contracts is based on third-party quoted dealer values on the Interbank market. Shares of mutual funds, which include money market funds, are valued at the net asset value based on quoted market prices. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices for identical assets in an active market.

The Company accounts for subscriptions, allocations and withdrawals on a per member (“Member”) capital account basis. Income or loss is allocated pro rata to the capital accounts of all Members.

The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires the Managing Member to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Company, the Managing Member believes that the estimates utilized in preparing the Company’s financial statements are appropriate and reasonable; however, actual results could differ from these estimates.

 

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The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The Managing Member further believes that, based on the nature of the business and operations of the Company, no other reasonable assumptions relating to the application of the Company’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

RESULTS OF OPERATIONS

The rules the Managing Member follows in replicating the Index or a Sub-Index, on behalf of the Company, on a Series by Series basis, do not predict price movements, nor do they rely on fundamental economic supply or demand analysis or on macroeconomic assessments of the relative strengths of different national economies or economic sectors. Instead, the rules are designed to follow passively, on an essentially unleveraged basis, changes in an index of raw materials traded in the world markets and, unlike with operating companies, operational or micro-economic trends have no relevance to the results. Generally, if prices of the relevant commodities rise, then the value of an investment should appreciate. Correspondingly, if prices of the relevant commodities decline, then the value of an investment should go down.

The performance summary set forth below is an outline description of how the Company, on a Series by Series basis, has performed in the past. The portfolios of the Series are marked-to-market every trading day and their trading accounts are credited or debited with their daily gains or losses. Past performance is not necessarily indicative of how they will perform in the future.

Three Months ended September 30, 2011

Total Index Series

During the third quarter of 2011, the Total Index Series achieved a net realized and unrealized loss of $40,295,436 from its trading operations, which is net of brokerage commissions of $120,244. The Total Index Series incurred total expenses of $741,366 including $520,234 in Management Fees (paid to the Managing Member), $32,727 in Servicing Fees (paid to selling agents), $108,412 in operating expenses, and $79,993 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index series earned $3,446 in interest income. An analysis of trading gains and losses (net of all trading fees and expenses) by market sector is as follows:

 

Sector		% (Loss)
Agricultural			(2.49	)%
Energy			(6.16	)%
Metals			(3.38	)%
Total Portfolio			(12.03	)%

The Total Index Series posted a net gain of 2.4% in July. All three sectors, agricultural, energy and metals, posted gains of 0.61%, 0.60% and 1.15%, respectively. Highest grossing commodities for the Total Index Series’ performance in July were silver, sugar, palladium, rice and soft red winter wheat.

The Total Index Series posted a net loss of (0.3)% in August. The agricultural sector posted a gain of 2.14% while the energy and metals sectors posted net losses of (1.96)% and (0.43)%, respectively. The highest grossing commodities for the Total Index Series’ performance in August were coffee, corn, hard red winter wheat, gold and soft red winter wheat.

The Total Index Series posted a net loss of (14.1)% in September. All three sectors, agricultural, energy and metals posted losses of (5.24)%, (4.79)% and (4.11)%, respectively. Highest grossing commodities for the Total Index Series’ performance in September were lean hogs, live cattle, azuki beans, rapeseed and greasy wool.

 

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Agricultural Index Series

During the third quarter of 2011, the Agricultural Index Series achieved a net realized and unrealized loss of $1,379,550 from its trading operations, which is net of brokerage commissions of $5,970. The Agricultural Index Series incurred total expenses of $50,919, including $25,793 in Management Fees (paid to the Managing Member), $7,341 in Servicing Fees (paid to selling agents), $13,819 in operating expenses, and $3,966 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Index Series earned $443 in interest income.

The Agricultural Index Series posted a net gain of 1.58% in July. Highest grossing commodities for the Agricultural Index Series’ performance in July were sugar, rice, soft red winter wheat, soybean meal and hard red winter wheat.

The Agricultural Index Series posted a net gain of 6.00% in August. Highest grossing commodities for the Agricultural Index Series’ performance in August were coffee, corn, hard red winter wheat, soft red winter wheat and rice.

The Agricultural Index Series posted a net loss of (15.03)% in September. Highest grossing commodities for the Agricultural Index Series’ performance in September were lean hogs, live cattle, azuki beans, rapeseed and greasy wool.

Total Index Series

During the second quarter of 2011, the Total Index Series achieved a net realized and unrealized loss of $28,486,841 from its trading operations, which is net of brokerage commissions of $146,496. The Total Index Series incurred total expenses of $830,294, including $590,126 in Management Fees (paid to the Managing Member), $37,294 in Servicing Fees (paid to Selling Agents), $112,135 in operating expenses, and $90,739 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index Series earned $8,854 in interest income. An analysis of trading losses (net of all trading fees and expenses) by market sector is as follows:

 

Sector		%(Loss)
Agricultural			(4.16	)%
Energy			(3.26	)%
Metals			(0.54	)%
Total Portfolio			(7.96	)%

The Total Index Series posted a net gain of 3.1% in April. The energy and metals sectors posted gains of 3.00% and 0.80%, respectively, while the agricultural sector posted a loss of (0.74)%. Highest grossing commodities for the Total Index Series’ performance in April were silver, coffee, cocoa, RBOB gasoline and gold.

The Total Index Series posted a net loss of (5.3)% in May. All three sectors, agricultural, energy and metals, posted losses of (0.56)%, (3.74)% and (0.95)%, respectively. Highest grossing commodities for the Total Index Series’ performance in May were greasy wool, rapeseed, milling wheat, oats and orange juice.

The Total Index Series posted a net loss of (5.8)% in June. All three sectors, agricultural, energy and metals, posted losses of (2.86)%, (2.53)% and (0.39)%, respectively. Highest grossing commodities for the Total Index Series’ performance in June were sugar, greasy wool, lead, live cattle and orange juice.

Agricultural Sector Series

During the second quarter of 2011, the Agricultural Sector Series achieved a net realized and unrealized loss of $2,124,024 from its trading operations, which is net of brokerage commissions of $8,855. The Agricultural Sector Series incurred total expenses of $53,070, including $28,070 in Management Fees (paid to the Managing Member), $8,093 in Servicing Fees (paid to selling agents), $12,591 in operating expenses, and $4,316 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector Series earned $478 in interest income.

 

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The Agricultural Sector Series posted a net loss of (2.20)% in April. Highest grossing commodities for the Agricultural Sector Series’ performance in April were coffee, cocoa, corn, orange juice and rice.

The Agricultural Sector Series posted a net loss of (1.78)% in May. Highest grossing commodities for the Agricultural Sector Series’ performance in May were greasy wool, rapeseed, milling wheat, oats and orange juice.

The Agricultural Sector Series posted a net loss of (8.28)% in June. Highest grossing commodities for the Agricultural Sector Series’ performance in June were sugar, greasy wool, live cattle, orange juice and cocoa.

Three Months ended March 31, 2011

Total Index Series

During the first quarter of 2011, the Total Index Series achieved a net realized and unrealized gain of $33,027,972 from its trading operations, which is net of brokerage commissions of $152,534. The Total Index Series incurred total expenses of $843,247, including $591,976 in Management Fees (paid to the Managing Member), $37,063 in Servicing Fees (paid to selling agents), $123,184 in operating expenses, and $91,024 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index Series earned $19,291 in interest income. An analysis of trading gains (net of all trading fees and expenses) by market sector is as follows:

 

Sector		% Gain
Agricultural			1.96	%
Energy			6.73	%
Metals			0.93	%
Total Portfolio			9.62	%

The Total Index Series posted a net gain of 3.3% in January. The agricultural and energy sectors posted gains of 2.06% and 1.29%, respectively, while the metals sector posted a loss of (0.04)%. Highest grossing commodities for the Total Index Series’ performance in January were cotton, rubber, tin, lean hogs and nickel.

The Total Index Series posted a net gain of 3.9% in February. All three sectors, agricultural, energy and metals, posted gains of 0.54%, 2.38% and 0.98%, respectively. Highest grossing commodities for the Total Index Series’ performance in February were silver, cotton, gas oil, brent oil and coffee.

The Total Index Series posted a net gain of 2.4% in March. The energy sector posted a gain of 3.04% while the agricultural and metals sectors posted losses of (0.61)% and (0.01)%, respectively. Highest grossing commodities for the Total Index Series’ performance in March were silver, greasy wool, WTI crude, natural gas and RBOB gasoline.

Agricultural Sector Series

During the first quarter of 2011, the Agricultural Sector Series achieved a net realized and unrealized gain of $945,633 from its trading operations, which is net of brokerage commissions of $9,998. The Agricultural Sector Series incurred total expenses of $55,641, including $30,281 in Management Fees (paid to the Managing Member), $8,391 in Servicing Fees (paid to selling agents), $12,313 in operating expenses, and $4,656 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector series earned $808 in interest income.

The Agricultural Sector Series posted a net gain of 5.52% in January. Highest grossing commodities for the Agricultural Sector Series’ performance in January were cotton, rubber, lean hogs, greasy wool and cocoa.

 

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The Agricultural Sector Series posted a net gain of 1.48% in February. Highest grossing commodities for the Agricultural Sector Series’ performance in February were cotton, coffee, cocoa, corn and orange juice.

The Agricultural Sector Series posted a net loss of (1.83)% in March. Highest grossing commodities for the Agricultural Sector Series’ performance in March were greasy wool, rapeseed, live cattle, cotton and lean hogs.

Three Months ended September 30, 2010

Total Index Series

During the third quarter of 2010, the Total Index Series achieved a net realized and unrealized gain of $33,129,167 from its trading operations, which is net of brokerage commissions of $118,835. The Total Index Series incurred total expenses of $635,963, including $426,107 in Management Fees (paid to the Managing Member), $29,486 in Servicing Fees (paid to selling agents), $114,852 in operating expenses, and $65,518 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index series earned $21,966 in interest income. An analysis of trading gains and losses (net of all trading fees and expenses) by market sector is as follows:

 

Sector		% Gain
Agricultural			8.12	%
Energy			0.94	%
Metals			4.45	%
Total Portfolio			13.51	%

The Total Index Series posted a net gain of 8.4% in July. All three sectors, agricultural, energy and metals, posted gains of 4.55%, 1.49% and 2.38%, respectively. Highest grossing commodities for the Total Index Series’ performance in July were soft red winter wheat, hard red winter wheat, sugar, lead and rapeseed.

The Total Index Series posted a net loss of (2.90)% in August. The agricultural and metals sectors posted gains of 0.80% and 0.16%, respectively, while the energy sector posted a loss of (3.86)%. Highest grossing commodities for the Total Index Series’ performance in August were cotton, corn, tin, silver and rubber.

The Total Index Series posted a net gain of 7.99% in September. All three sectors, agricultural, energy and metals, posted gains of 2.77%, 3.31% and 1.91%, respectively. Highest grossing commodities for the Total Index Series’ performance in September were oats, sugar, cotton, tin and aluminum.

Agricultural Index Series

During the third quarter of 2010, the Agricultural Index Series achieved a net realized and unrealized gain of $3,669,129 from its trading operations, which is net of brokerage commissions of $8,796. The Agricultural Index Series incurred total expenses of $47,898, including $25,303 in Management Fees (paid to the Managing Member), $5,765 in Servicing Fees (paid to selling agents), $12,939 in operating expenses, and $3,891 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Index Series earned $1,715 in interest income.

The Agricultural Index Series posted a net gain of 13.59% in July. Highest grossing commodities for the Agricultural Index Series’ performance in July were soft red winter wheat, hard red winter wheat, rapeseed and soybean meal.

The Agricultural Index Series posted a net gain of 2.03% in August. Highest grossing commodities for the Agricultural Index Series’ performance in August were cotton, corn, and rubber.

The Agricultural Index Series posted a net gain of 8.26% in September. Highest grossing commodities for the Agricultural Index Series’ performance in September were oats, sugar, cotton, corn and soybean oil.

 

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Energy Index Series

During the third quarter of 2010, the Energy Index Series traded through the month ending July 31, 2010. The Energy Index Series achieved a net realized and unrealized gain of $97,566 from its trading operations, which is net of brokerage commissions of $480. The Energy Index Series incurred total expenses of $3,863, including $1,409 in Management Fees (paid to the Managing Member), $36 in Servicing Fees (paid to selling agents), $2,201 in operating expenses and $217 in Support Services Fees. The Energy Index Series earned $284 in interest income.

The Energy Index Series posted a net gain of 3.74% in July. Highest grossing commodities for the Energy Index Series’ performance in July were natural gas, brent oil and crude oil.

Three Months ended June 30, 2010

Total Index Series

During the second quarter of 2010, the Total Index Series achieved a net realized and unrealized loss of $18,366,804 from its trading operations, which is net of brokerage commissions of $128,633. The Total Index Series incurred total expenses of $511,335, including $357,798 in Management Fees (paid to the Managing Member), $29,441 in Servicing Fees (paid to Selling Agents) and $105,374 in operating expenses. The Total Index Series also accrued $18,722 in Support Services Fees in June (accrued to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index Series earned $32,987 in interest income. An analysis of trading losses (net of all trading fees and expenses) by market sector is as follows:

 

Sector		% (Loss)
Agricultural			(0.70	)%
Energy			(5.06	)%
Metals			(2.34	)%
Total Portfolio			(8.10	)%

The Total Index Series posted a net gain of 2.8% in April. All three sectors, agricultural, energy and metals, posted gains of 1.10%, 1.51% and 0.15%, respectively. Highest grossing commodities for the Total Index Series’ performance in April were palladium, soybean, hard red winter wheat, soft red winter wheat and cocoa.

The Total Index Series posted a net loss of (10.3)% in May. All three sectors, agricultural, energy and metals, posted losses of (2.09)%, (6.53)% and (1.72)%, respectively. Highest grossing commodities for the Total Index Series’ performance in May were natural gas, orange juice, gold, rapeseed and greasy wool.

The Total Index Series posted a net gain of 0.02% in June. The agricultural and energy sectors posted gains of 0.42% and 0.29%, respectively, while the metals sector posted a loss of (0.69)%. Highest grossing commodities for the Total Index Series’ performance in June were oats, coffee, canola, sugar and rapeseed.

Agricultural Sector Series

During the second quarter of 2010, the Agricultural Sector Series achieved a net realized and unrealized loss of $318,321 from its trading operations, which is net of brokerage commissions of $12,981. The Agricultural Sector Series incurred total expenses of $46,519, including $28,390 in Management Fees (paid to the Managing Member), $4,492 in Servicing Fees (paid to selling agents) and $12,291 in operating expenses. The Agricultural Sector Series also accrued $1,346 in Support Services Fees in June (accrued to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fee will be used to pay broker dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or producing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector Series earned $152 in interest income.

The Agricultural Sector Series posted a net gain of 3.13% in April. Highest grossing commodities for the Agricultural Sector Series’ performance in April were soybean meal, hard red winter wheat, soft red winter wheat, cocoa and azuki beans.

 

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The Agricultural Sector Series posted a net loss of (6.12)% in May. Highest grossing commodities for the Agricultural Sector Series’ performance in May were orange juice, rapeseed, greasy wool, coffee and rubber.

The Agricultural Sector Series posted a net gain of 1.09% in June. Highest grossing commodities for the Agricultural Sector Series’ performance in June were oats, coffee, canola, sugar and rapeseed.

Energy Sector Series

During the second quarter of 2010, the Energy Sector Series achieved a net realized and unrealized loss of $330,556 from its trading operations, which is net of brokerage commissions of $1,376. The Energy Sector Series incurred total expenses of $11,468, including $4,618 in Management Fees (paid to the Managing Member), $35 in Servicing Fees (paid to selling agents) and $6,606 in operating expenses. The Energy Sector Series also accrued $209 in Support Services Fees in June (accrued to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fee will be used to pay broker-dealers for distribution related services to the Energy Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Energy Sector Series earned $177 in interest income.

The Energy Sector Series posted a net gain of 3.14% in April. Highest grossing commodities for the Energy Sector Series’ performance in April were gas, oil, heating oil and brent oil.

The Energy Sector Series posted a net loss of (14.57)% in May. Highest grossing commodities for the Energy Sector Series’ performance in May were natural gas, gas oil and heating oil.

The Energy Sector Series posted a net gain of 0.60% in June. Highest grossing commodities for the Energy Sector Series’ performance in June were brent oil, heating oil and crude oil.

Three Months ended March 31, 2010

Total Index Series

During the first quarter of 2010, the Total Index Series achieved a net realized and unrealized loss of $3,519,350 from its trading operations, which is net of brokerage commissions of $110,231. The Total Index Series incurred total expenses of $425,893, including $290,508 in Management Fees (paid to the Managing Member), $28,550 in Servicing Fees (paid to selling agents) and $106,835 in operating expenses. The Total Index Series earned $30,297 in interest income. An analysis of trading gains and losses (net of all trading fees and expenses) by market sector is as follows:

 

Sector		% Gain (Loss)
Agricultural			(3.50	)%
Energy			0.83	%
Metals			0.84	%
Total Portfolio			(1.83	)%

The Total Index Series posted a net loss of (7.9)% in January. All three sectors, agricultural, energy and metals, posted losses of (2.62)%, (3.79)% and (1.44)%, respectively. Highest grossing commodities for the Total Index Series’ performance in January were sugar, orange juice, lumber, azuki beans and greasy wool.

The Total Index Series posted a net gain of 5.3% in February. All three sectors, agricultural, energy and metals, posted gains of 1.39%, 3.07% and 0.86%, respectively. Highest grossing commodities for the Total Index Series’ performance in February were cotton, nickel, crude oil, soybean oil and RBOB gasoline.

The Total Index Series posted a net gain of 0.7% in March. The energy and metals sectors posted a net gain of 1.63% and 1.38%, respectively, while the agricultural sector posted a loss of (2.31)%. Highest grossing commodities for the Total Index Series’ performance in March were nickel, palladium, aluminum, copper and tin.

 

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Agricultural Sector Series

During the first quarter of 2010, the Agricultural Sector Series achieved a net realized and unrealized loss of $1,838,616 from its trading operations, which is net of brokerage commissions of $14,796. The Agricultural Sector Series incurred total expenses of $43,575, including $26,956 in Management Fees (paid to the Managing Member), $4,322 in Servicing Fees (paid to selling agents) and $12,297 in operating expenses. The Agricultural Sector Series earned $2,090 in interest income.

The Agricultural Sector Series posted a net loss of (7.72)% in January. Highest grossing commodities for the Agricultural Sector Series’ performance in January were sugar, orange juice, lumber, azuki beans and greasy wool.

The Agricultural Sector Series posted a net gain of 3.97% in February. Highest grossing commodities for the Agricultural Sector Series’ performance in February were cotton, soybean oil, rubber, soft red winter wheat and lean hogs.

The Agricultural Sector Series posted a net loss of (6.33)% in March. Highest grossing commodities for the Agricultural Sector Series’ performance in March were lumber, rapeseed, rubber, coffee and live cattle.

Energy Sector Series

During the first quarter of 2010, the Energy Sector Series achieved a net realized and unrealized gain of $24,730 from its trading operations, which is net of brokerage commissions of $1,577. The Energy Sector Series incurred total expenses of $11,277, including $4,699 in Management Fees (paid to the Managing Member), $0 in Servicing Fees (paid to selling agents) and $6,578 in operating expenses. The Energy Sector Series earned $574 in interest income.

The Energy Sector Series posted a net loss of (8.77)% in January. Highest grossing commodities for the Energy Sector Series’ performance in January were gas oil, RBOB gasoline and natural gas.

The Energy Sector Series posted a net gain of 6.66% in February. Highest grossing commodities for the Energy Sector Series’ performance in February were crude oil, RBOB gasoline and brent oil.

The Energy Sector Series posted a net gain of 3.25% in March. Highest grossing commodities for the Energy Sector Series’ performance in March were gas oil, heating oil and brent oil.

OFF-BALANCE SHEET RISK

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Company trades in futures, and may trade in forward and swap, contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Company at the same time, the Company could experience substantial losses. Because the Company is designed to replicate the Index, or a Sub-Index, the Managing Member adjusts the Company’s portfolios, on a Series by Series basis, only as necessary to accommodate expirations in particular commodity futures contracts and to adjust overall position size for changes resulting from subscriptions and withdrawals. The Managing Member does not exercise discretion over the positions a Series maintains. Consequently, the Managing Member does not apply risk management techniques in its trading decisions. The Company initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques. The Company maintains approximately 90% of its assets in cash, cash equivalents with maturities of three months or less, U.S. government-sponsored enterprise securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other CFTC-authorized investments, shares of mutual funds and certain money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits) through one or more federally chartered U.S. banking institutions, for which the Managing Member believes the market-risk to be minimal.

In addition to market risk, in entering into futures, and potentially forward and swap, contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Company. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

 

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OFF-BALANCE SHEET ARRANGEMENTS

The Company does not enter into off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

The Company does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Company’s sole business is trading long (contracts to buy) futures, and potentially forward and swap, contracts. All such contracts are settled by offset, not delivery. The Financial Statements of the Company present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the open futures and other contracts at September 30, 2011 and December 31, 2010.

 

ITEM 3.

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

 

ITEM 4.

CONTROLS AND PROCEDURES

The Managing Member, with the participation of its principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Company and each Series as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the Managing Member’s internal controls over financial reporting during the quarter ended September 30, 2011 that have materially affected, or are reasonably likely to materially affect, the Managing Member’s internal control over financial reporting with respect to the Company and each Series.

The Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer, Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer, Section 1350 Certification of Principal Executive Officer and Section 1350 Certification of Principal Financial Officer, Exhibit 31.1, Exhibit 31.2, Exhibit 32.1 and Exhibit 32.2 hereto, respectively, are applicable with respect to each Series individually, as well as to the Company as a whole.

PART II – OTHER INFORMATION

 

ITEM 1.

LEGAL PROCEEDINGS

None.

 

ITEM 1A.

RISK FACTORS

Risk of Loss. An investor in the Company (an “Investor”) may incur significant losses on an investment in the Company. The Managing Member cannot provide any assurance that Investors will not lose all or substantially all of their investment.

Futures and Forward Contract Trading Is Volatile. Trading in the futures and forward markets typically results in volatile performance. Several occasions in the recent past have witnessed sudden and major reversals in these markets, resulting in major losses for traders.

Highly Leveraged Trading. Commodity futures contracts are traded on margin, which typically range from about 2% to 20% of the value of the contracts. The average margin is less than 10% of the value of the contract. Low margin provides a large amount of leverage, i.e., commodity contracts for a large number of units (bushels, pounds, etc.) of a commodity, having a value substantially greater than the margin, may be traded for a relatively small amount of money. The use of leverage can magnify both profits and losses.

 

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Markets May Be Illiquid or Disrupted. Most United States futures exchanges limit fluctuations in some futures contract prices during a single day by regulations referred to as “daily limits.” During a single trading day, no trades may be executed in such contracts at prices beyond the daily limit. Once the price of a futures contract has increased or decreased to the limit point, positions can be neither taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent a Series from executing trades and subject a Series to substantial losses. Also, the CFTC or exchanges may suspend or limit trading. Trading on non-United States exchanges and in the forward currency markets is not subject to daily limits, although such trading is also subject to periods of significant illiquidity.

Speculative Position Limits May Alter Investment Decisions for the Company. The CFTC has established limits on the maximum net long or net short positions which any person may hold or control in certain futures contracts. Exchanges also have established such limits. In January 2011, the CFTC proposed a separate position limits regime for 28 so-called “exempt” (i.e., metal and energy) and agricultural futures and option contacts and their economically equivalent swap transactions. All accounts controlled by the Managing Member, including the account of each Series, are combined for speculative position limit purposes. If positions in those accounts were to approach the level of the particular speculative position limit, such limits could cause a modification of the Managing Member’s investment decisions for each Series or force liquidation of certain futures positions.

Failure of Brokerage Firms and Forward and Swaps Market Participants. The Commodity Exchange Act requires a clearing broker to segregate all funds received from such broker’s customers in respect of futures (but not forward) transactions from such broker’s proprietary funds. If any of a Series’ commodity brokers were not to do so to the full extent required by law, or in the event of a substantial default by one or more of such broker’s other customers, the assets of a Series might not be fully protected in the event of the bankruptcy of such broker. Furthermore, in the event of such a bankruptcy, a Series would be limited to recovering only a pro rata share of all available funds segregated on behalf of the affected commodity broker’s combined customer accounts, even though certain property specifically traceable to a Series (for example, United States Treasury bills or cash deposited by a Series with such broker) was held by such broker. Commodity broker bankruptcies have occurred in which customers were not able to recover from the broker’s estate the full amount of their funds on deposit with such broker and owing to them. Commodity broker bankruptcies are not insured by any governmental agency, and Investors would not have the benefit of any protection such as that afforded customers of bankrupt securities broker-dealers by the Securities Investors Protection Corporation.

Each Series intends to hold no more than 20% of its assets at CFTC-registered commodity brokers within customer segregated accounts. The remainder will be held at one or more major federally chartered banks.

In respect of its forward or swaps trading, if any, a Series is subject to the risk of the inability or refusal to perform with respect to such contracts on the part of the principals or agents with or through which a Series trades. Any failure or refusal to discharge their contractual obligations by the counterparties with which a Series deals on the forward or swaps markets, whether due to insolvency, bankruptcy or other causes, could subject a Series to substantial losses. The Series intend to deal in the forward and swaps markets only with counterparties which the Managing Member considers to be creditworthy. However, defaults have occurred in the forward and swaps markets, and the risk of such defaults cannot be eliminated from a Series’ trading.

None of the CFTC, NFA, futures exchanges or banking authorities currently regulate forward trading with respect to “eligible contract participants” such as the Series. Because a Series may trade in the forward markets, prospective investors must recognize that this portion of a Series’ activity takes place in unregulated markets rather than on futures exchanges subject to the jurisdiction of the CFTC or other regulatory bodies. While the forward markets are well established, it is impossible to predict how, given certain unusual market scenarios, the unregulated nature of these markets might affect a Series. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) amended the definition of “eligible contract participant,” and the CFTC is interpreting that definition in such a manner that each Series may no longer be permitted to engage in currency forward transactions by directly accessing the interbank market. Rather, each Series may be limited to engaging in “retail forex transactions” which could limit each Series’ potential currency forward counterparties. Thus, limiting each Series’ potential currency forward counterparties could lead to each Series bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. The “retail forex” markets could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of such currency forward counterparties with whom each Series may be required to trade could be significantly weaker than the creditworthiness of the financial institutions with whom each Series currently engages for its currency forward transactions. The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to the Reform Act might limit such forward trading to less than that which the Managing Member would otherwise recommend, to the possible detriment of each Series.

 

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Forwards, Swaps and Other Derivatives are Subject to Varying CFTC Regulation. Enacted in July 2010, the Reform Act includes provisions that comprehensively regulate the over-the-counter derivatives markets for the first time. The Reform Act will require that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses. Over-the-counter trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as possible SEC- or CFTC-mandated margin requirements. The regulators also have broad discretion to impose margin requirements on non-cleared over-the-counter derivatives. Over-the-counter derivative dealers also will be required to post margin to the clearinghouses through which they clear their customers’ trades instead of using such margin in their operations, as they currently are allowed to do. This will further increase the dealers’ costs, which costs are expected to be passed through to other market participants in the form of higher fees and less favorable dealer marks.

The SEC and CFTC may also require a substantial portion of derivative transactions that are currently executed on a bi-lateral basis in the over-the-counter markets to be executed through a regulated securities, futures, or swap exchange or execution facility. Such requirements may make it more difficult and costly for investment funds, including the Series, to enter into highly tailored or customized transactions.

Over-the-counter derivative dealers will be required to register with the SEC and/or CFTC. Dealers will be subject to minimum capital and margin requirements. These requirements may apply irrespective of whether the over-the-counter derivatives in question are exchange-traded or cleared. Over-the-counter derivatives dealers will also be subject to new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These requirements may increase the overall costs for over-the-counter derivative dealers, which are likely to be passed along, at least partially, to market participants in the form of higher fees or less advantageous dealer marks. The overall impact of the Reform Act on the Company is highly uncertain and it is unclear how the over-the-counter derivatives markets will adapt to this new regulatory regime.

Although the Reform Act will require many over-the-counter derivative transactions previously entered into on a principal-to-principal basis to be submitted for clearing by a regulated clearinghouse, certain of the derivatives that may be traded by a Series may remain principal-to-principal or over-the-counter contracts between such Series and third parties entered into privately. The risk of counterparty nonperformance can be significant in the case of these over-the-counter instruments, and “bid-ask” spreads may be unusually wide in these heretofore substantially unregulated markets. While the Reform Act is intended in part to reduce these risks, its success in this respect may not be evident for some time after the Reform Act is fully implemented, a process that may take several years. To the extent not mitigated by implementation of the Reform Act, if at all, the risks posed by such instruments and techniques, which can be extremely complex and may involve leveraging of the Series’ assets, include: (1) credit risks (the exposure to the possibility of loss resulting from a counterparty’s failure to meet its financial obligations); (2) market risk (adverse movements in the price of a financial asset or commodity); (3) legal risks (the characterization of a transaction or a party’s legal capacity to enter into it could render the financial contract unenforceable, and the insolvency or bankruptcy of a counterparty could preempt otherwise enforceable contract rights); (4) operational risk (inadequate controls, deficient procedures, human error, system failure or fraud); (5) documentation risk (exposure to losses resulting from inadequate documentation); (6) liquidity risk (exposure to losses created by inability to prematurely terminate the derivative); (7) systemic risk (the risk that financial difficulties in one institution or a major market disruption will cause uncontrollable financial harm to the financial system); (8) concentration risk (exposure to losses from the concentration of closely related risks such as exposure to a particular industry or exposure linked to a particular entity); and (9) settlement risk (the risk faced when one party to a transaction has performed its obligations under a contract but has not yet received value from its counterparty).

Trading on Futures Exchanges outside the United States. The Managing Member trades on futures exchanges outside the United States on behalf of a Series. Trading on such exchanges is not regulated by any United States government agency and may involve certain risks not applicable to trading on United States exchanges. For example, some foreign exchanges are “principals’ markets” in which performance is the responsibility only of the individual member with whom a Series has traded, not that of the exchange or a clearing facility. In such cases, a Series will be subject to the risk that the Member with whom the Series has traded is unable or unwilling to perform its obligations under the transaction. Trading on foreign exchanges also involves the additional risks of expropriation, burdensome or confiscatory taxation, moratoriums, exchange or investment controls and political or diplomatic disruptions, each of which might materially adversely affect a Series’ trading activities. In trading on foreign exchanges, a Series is also subject to the risk of changes in the exchange rates between the United States dollar and the currencies in which the foreign contracts are settled.

 

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Failure of Futures Commission Merchants. FCMs are required to segregate assets pursuant to CFTC regulations. If the assets of a Series were not so segregated, a Series would be subject to the risk of the failure of such FCMs. Even given proper segregation, in the event of the insolvency of an FCM, a Series may be subject to a risk of loss of its funds and would be able to recover only a pro rata share (together with all other commodity customers of such FCM) of assets, such as United States Treasury bills, specifically traceable to the account of a Series and its Investors. In commodity broker insolvencies, customers have, in fact, been unable to recover from the broker’s estate the full amount of their “customer” funds. In addition, under certain circumstances, such as the inability of another client of an FCM or the FCM itself to satisfy substantial deficiencies in such other client’s account, a client may be subject to a risk of loss of the funds on deposit with the FCM, even if such funds are properly segregated. In the case of any such bankruptcy or client loss, a client might recover only a pro rata share of all property available for distribution to all of the FCM’s clients or possibly, nothing at all, and, as demonstrated by the recent bankruptcy liquidation of MF Global Inc., FCM client funds held by an FCM in bankruptcy may not be distributed promptly and may subject to a lengthy claims process.

CFTC Regulations permit FCMs to invest customer funds in a number of, generally high quality and generally interest bearing, financial instruments. Such financial instruments may, nevertheless, prove to be riskier than expected and may lose value.

A Bankruptcy Court Could Find the Assets of One Series to be Available to Offset the Liabilities of the Other Series. The Company is organized as a limited liability company pursuant to Section 18-215 (“Section 18-215”) of the Act, with separate series of limited liability company interests and assets. Section 18-215 provides that, if certain conditions (as set forth in Section 18-215) are met, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular series shall be enforceable only against the assets of such series and not against the assets of the limited liability company generally or any other series. Accordingly, the assets of one Series of the Company include only those funds and other assets that are paid to, held by or distributed to the Company on account of and for the benefit of that Series, including, without limitation, funds delivered to the Company for the purchase of Interests in that Series. However, the limitations on inter-series liability provided by Section 18-215 have never been tested in court. Thus there is a risk that a court, and in particular, a Bankruptcy Court, could determine that the assets of one Series should be applied to meet the liabilities of the other Series or the liabilities of the Company generally where the assets of such other Series or of the Company generally are insufficient to meet its liabilities.

Termination of License to the Index and of Trading Activities. The Company has been granted a license to use the Index pursuant to a sub-licensing arrangement with Beeland Management Company, L.L.C. (“Beeland”). If Beeland’s license to the Index were to terminate, or the licensing arrangement with the Company were to otherwise terminate, and if the Company was not able to otherwise license the use of the Index, the Company will terminate the offering of its Interests and, if a Series were to experience sufficient withdrawals such that its assets were not sufficient to trade the Index or relevant Sub-Index, such Series would terminate its trading activities, possibly incurring losses in doing so.

 

ItEM 2.

UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

During the third fiscal quarter of 2011, the Total Index Series issued Interests, to both new and existing Members, in the following dollar amounts: July: $4,172,670; August: $4,348,954; and September: $3,828,465.

During the third fiscal quarter of 2011, the Agricultural Sector Series issued Interests, to both new and existing Members, in the following dollar amounts: July: $60,535; August: $274,500; and September: $845,222.

During the third quarter of 2011, the Energy Sector Series issued no Interests.

Each of the foregoing Interests was privately offered and sold only to “accredited investors,” as defined in Rule 501(a) under the Securities Act of 1933, as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506 under the 1933 Act, and are persons with whom the Managing Member, Uhlmann Price Securities, LLC, the Company’s marketing representative, or a selling agent have a pre-existing substantive relationship and with respect to whom it has been determined that the Interests are a suitable investment.

 

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Pursuant to the Company’s Limited Liability Company Agreement, Members may withdraw capital from their capital accounts as of the end of each calendar month. The withdrawal of capital by Members has no impact on the value of the capital accounts of other Members.

The following table summarizes the withdrawals by Members from the Total Index Series during the three months ended September 30, 2011:

 

Date of  Closing		Total Amount of Withdrawals
July 31, 2011		$2,930,079
August 31, 2011		$2,696,728
September 30, 2011		$1,484,964

The following table summarizes the withdrawals by Members from the Agricultural Sector Series during the three months ended September 30, 2011:

 

Date of  Closing		Total Amount of Withdrawals
July 31, 2011		$462,577
August 31, 2011		$146,602
September 30, 2011		$140,917

 

ITEM 3.

DEFAULTS UPON SENIOR SECURITIES

Not applicable.

 

ITEM 4.

(REMOVED AND RESERVED)

 

ITEM 5.

OTHER INFORMATION

None.

 

ITEM 6.

EXHIBITS

The following exhibits are included herewith:

 

31.1	Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer

 

31.2	Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer

 

32.1	Section 1350 Certification of Principal Executive Officer

 

32.2	Section 1350 Certification of Principal Financial Officer

 

101

The following financial information from our Quarterly Report on Form 10-Q for the third quarter of 2011, filed with the SEC on November 14, 2011, formatted in Extensible Business Reporting Language (XBRL): (i) the Unaudited Consolidated Balance Sheets as of September 30, 2011 and December 31, 2010, (ii) the Unaudited Consolidated Statements of Operations for the quarters and years to date ended September 30, 2011 and September 30, 2010, (iii) the Unaudited Consolidated Statements of Cash Flows for the years to date ended September 30, 2011 and September 30, 2010, and (iv) Notes to Unaudited Consolidated Financial Statements.

 

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

Date: November 14, 2011						RICI® Linked  –PAM Advisors Fund, LLC
						(Registrant)
						By: Price Asset Management, Inc.
						Managing Member
						By: /s/ Walter Thomas Price III
						Walter Thomas Price III
						Principal Executive Officer
						By: /s/ Allen D. Goodman
						Allen D. Goodman
						Principal Financial Officer

 

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EXHIBIT INDEX

 

Exhibit Number		Description of Document		Page Number
31.1		Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer			E-2
31.2		Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer			E-3
32.1		Section 1350 Certification of Principal Executive Officer			E-4
32.2		Section 1350 Certification of Principal Financial Officer			E-5
101		The following financial information from our Quarterly Report on Form 10-Q for the third quarter of 2011, filed with the SEC on November 14, 2011, formatted in Extensible Business Reporting Language (XBRL): (i) the Unaudited Consolidated Balance Sheets as of September 30, 2011 and December 31, 2010, (ii) the Unaudited Consolidated Statements of Operations for the quarters and years to date ended September 30, 2011 and September 30, 2010, (iii) the Unaudited Consolidated Statements of Cash Flows for the years to date ended September 30, 2011 and September 30, 2010, and (iv) Notes to Unaudited Consolidated Financial Statements.

 

E-1