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EX-32.1 - Altegris QIM Futures Fund, L.P.fp0008612_ex321.htm
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C.  20549
 

 
FORM 10-Q
 

 
[X]
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the quarterly period ended September 30, 2013
 
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:  000-53815
 

  
ALTEGRIS  QIM FUTURES FUND, L.P.
(Exact name of registrant as specified in its charter)
 

 
DELAWARE
 
27-0473854
(State or other jurisdiction
of incorporation or organization)
 
(I.R.S. Employer
Identification No.)
 
c/o ALTEGRIS PORTFOLIO MANAGEMENT, INC.
1200 Prospect Street, Suite 400
La Jolla, California 92037
(Address of principal executive offices)
 
(858) 459-7040
(Registrant’s telephone number, including area code)
 
Securities registered pursuant to Section 12(b) of the Act:  None
 
Securities registered pursuant to Section 12(g) of the Act:  Limited Partnership Interests
 
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes  [X] No  [   ]

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of 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 definition 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  [   ]
Smaller reporting company  [X]
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes  [   ] No  [X]
 
 
 

 
 
TABLE OF CONTENTS
     
   
Page
     
PART I – FINANCIAL INFORMATION
1
     
1Item 1.
Financial Statements
1
     
 
Statements of Financial Condition
1
     
 
Condensed Schedules of Investments
2
     
 
Statements of Operations
6
     
 
Statements of Changes in Partners’ Capital (Net Asset Value)
7
     
 
Notes to Financial Statements
8
     
Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
25
     
Item 3.
Quantitative and Qualitative Disclosures About Market Risk
29
     
Item 4.
Controls and Procedures
29
     
PART II – OTHER INFORMATION
29
     
Item 1.
Legal Proceedings
29
     
Item 1A.
Risk Factors
29
     
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds
29
     
Item 3.
Defaults Upon Senior Securities
29
     
Item 4.
Mine Safety Disclosure
30
     
Item 5.
Other Information
30
     
Item 6.
Exhibits
30
     
Signatures
31
     
Rule 13a–14(a)/15d–14(a) Certifications
32
     
Section 1350 Certifications
33
 
 
 

 
 
PART I – FINANCIAL INFORMATION


Item 1:  Financial Statements.
 
ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2013 (Unaudited) and DECEMBER 31, 2012 (Audited)
_______________
 
   
2013
   
2012
 
ASSETS
           
    Equity in commodity broker account:
           
        Restricted cash
  $ 3,015,526     $ 7,932,508  
        Cash
    2,181,374       4,817,430  
        Restricted foreign currency (cost - $2,725,510 and $3,454,913)
    2,779,823       4,687,677  
                 
      7,976,723       17,437,615  
                 
    Cash
    3,799,910       9,824,680  
    Investment securities at value
               
      (cost - $87,026,559 and $114,773,911)
    87,038,774       114,785,129  
    Interest receivable
    63,971       104,514  
                 
 Total assets
  $ 98,879,378     $ 142,151,938  
                 
LIABILITIES
               
    Equity in commodity broker account:
               
        Foreign currency (proceeds - $1,713,225 and $3,013,100)
  $ 1,748,257     $ 4,088,218  
        Unrealized loss on open commodity futures contracts
    1,436,093       965,168  
                 
      3,184,350       5,053,386  
                 
    Brokerage Commissions payable
    96,133       63,679  
    Management fee payable
    92,306       125,815  
    Administrative fee payable
    21,291       28,617  
    Service fees payable
    70,953       95,415  
    Incentive fees payable
    -       17,244  
    Redemptions payable
    3,337,711       2,487,346  
    Subscriptions received in advance
    116,400       2,489,976  
    Payable to General Partner
    1,067       1,067  
    Other liabilities
    121,327       198,178  
                 
                Total liabilities
    7,041,538       10,560,723  
                 
                 
PARTNERS' CAPITAL (NET ASSET VALUE)
               
    General Partner
    800       889  
    Limited Partners
    91,837,040       131,590,326  
                 
                Total partners' capital (Net Asset Value)
    91,837,840       131,591,215  
                 
 Total liabilities and partners' capital
  $ 98,879,378     $ 142,151,938  
 
See accompanying notes.
 
 
-1-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2013 (Unaudited)
_______________
 
INVESTMENT SECURITIES
               
Face Value
 
Maturity Date
 
 Description
 
Value
   
% of Partners' Capital
 
                     
                     
Fixed Income Investments
               
                     
U.S. Government Agency Bonds and Notes
           
$ 5,850,000  
10/1/2013
 
Federal Farm Credit Bank Disc Note, 0.00%
  $ 5,850,000       6.37 %
  2,000,000  
11/20/2013
 
Federal Farm Credit Bank, 0.20%
    2,000,326       2.17 %
  5,750,000  
1/17/2014
 
Federal Farm Credit Bank, 0.15%
    5,751,185       6.26 %
  5,000,000  
10/18/2013
 
Federal Home Loan Bank, 0.19%
    5,000,260       5.44 %
  2,000,000  
11/15/2013
 
Federal Home Loan Bank, 0.29%
    2,000,514       2.18 %
  2,000,000  
2/20/2014
 
Federal Home Loan Bank, 0.12%
    2,000,308       2.18 %
  3,000,000  
3/28/2014
 
Federal Home Loan Bank, 0.16%
    3,001,050       3.27 %
  2,000,000  
4/1/2014
 
Federal Home Loan Bank, 0.17%
    2,000,798       2.18 %
  2,000,000  
7/24/2014
 
Federal Home Loan Bank, 0.19%
    2,000,690       2.18 %
  2,000,000  
8/27/2014
 
Federal Home Loan Mortgage Corp, 1.00%
    2,016,128       2.20 %
  3,000,000  
10/9/2013
 
Federal National Mort Assoc Disc Note, 0.016%
    2,999,988       3.27 %
  6,900,000  
12/18/2013
 
Federal National Mortgage Association, 0.75%
    6,910,329       7.52 %
Total U.S. Government Agency Bonds and Notes (cost - $41,521,889)
    41,531,576       45.22 %
                           
Corporate Notes
                     
$ 1,100,000  
10/25/2013
 
Albion Capital LLC, 0.15%
    1,099,853       1.20 %
  2,600,000  
10/4/2013
 
American Honda Finance Corp Disc Note, 0.05%
    2,599,986       2.83 %
  4,000,000  
10/2/2013
 
Automatic Data Processing Inc, 0.05%
    3,999,989       4.35 %
  2,700,000  
10/3/2013
 
Banco del Estado de Chile, NY, 0.15%
    2,699,995       2.94 %
  2,700,000  
10/10/2013
 
Bank of Montreal, 0.10%
    2,700,000       2.94 %
  1,780,000  
10/22/2013
 
Danaher Corp Disc Note, 0.14%
    1,779,884       1.94 %
  2,250,000  
10/2/2013
 
Exxon Mobil Corp Disc Note, 0.07%
    2,249,931       2.45 %
  2,800,000  
10/4/2013
 
NetJets Corp Disc Note, 0.07%
    2,799,860       3.05 %
  2,700,000  
10/4/2013
 
Norinchukin Bank, 0.15%
    2,700,000       2.94 %
  2,800,000  
10/15/2013
 
Regency Markets No. 1 LLC, 0.14%
    2,799,662       3.05 %
  2,700,000  
10/10/2013
 
Sumitomo Mutsui Banking Co Disc Note, 0.16%
    2,699,984       2.94 %
  2,700,000  
10/10/2013
 
Sumitomo Trust & Banking Co Disc Note, 0.16%
    2,700,000       2.94 %
  2,700,000  
10/3/2013
 
Toyota Motor Credit Corp Disc Note, 0.03%
    2,699,895       2.94 %
  3,300,000  
10/4/2013
 
Victory Receivables Corp Disc Note, 0.13%
    3,299,808       3.59 %
  3,150,000  
10/7/2013
 
Wal-Mart Stores Inc, 0.02%
    3,149,933       3.43 %
Total Corporate Notes (cost - $39,978,801)
    39,978,780       43.53 %
                           
U.S. Treasury Obligations
                   
$ 2,000,000  
11/30/2013
 
United States Treasury Note, 2.00%
    2,006,406       2.18 %
  3,500,000  
4/15/2014
 
United States Treasury Note, 1.25%
    3,522,012       3.84 %
Total United States Treasury Obligations (cost - $5,525,869)
    5,528,418       6.02 %
                           
Total Investment Securities (cost - $87,026,559)
  $ 87,038,774       94.77 %
 
See accompanying notes.
 
 
-2-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
SEPTEMBER 30, 2013 (Unaudited)
_______________
 
 
Range of Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners' Capital
 
                     
Long Futures Contracts:
                   
Currencies
Dec 13
    158     $ 22,426       0.03 %
Energy
Oct 13
    14       (26,153 )     (0.03 )%
Interest Rates
Dec 13
    2       (507 )     (0.00 )%
Stock Indices
Oct 13 - Dec 13
    1,001       (779,034 )     (0.85 )%
                           
Total Long Futures Contracts
      1,175       (783,268 )     (0.85 )%
                           
Short Futures Contracts:
                         
Currencies
Dec 13
    4       1,118       0.00 %
Energy
Oct 13 - Nov 13
    22       8,635       0.01 %
Interest Rates
Dec 13
    703       (646,739 )     (0.70 )%
Metals
Dec 13
    2       (989 )     (0.00 )%
Stock Indices
Oct 13
    17       (14,850 )     (0.02 )%
                           
Total Short Futures Contracts
      748       (652,825 )     (0.71 )%
                           
Total Futures Contracts
      1,923     $ (1,436,093 )     (1.56 )%
 
See accompanying notes.
 
 
-3-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2012 (Audited)
_______________
 
INVESTMENT SECURITIES
               
Face Value
 
Maturity Date
 
 Description
 
Value
   
% of Partners' Capital
 
                     
                     
Fixed Income Investments
               
                     
U.S. Government Agency Bonds and Notes
           
$ 2,302,000  
1/2/2013
 
Federal Farm Credit Bank Disc Note, 0.01%
  $ 2,301,999       1.75 %
  1,000,000  
5/2/2013
 
Federal Farm Credit Bank, 0.75%
    1,002,032       0.76 %
  2,000,000  
11/20/2013
 
Federal Farm Credit Bank, 0.20%
    2,000,352       1.52 %
  4,000,000  
1/16/2013
 
Federal Home Loan Bank Disc Note, 0.018%
    3,999,968       3.04 %
  2,500,000  
1/10/2013
 
Federal Home Loan Bank, 0.18%
    2,500,027       1.90 %
  2,100,000  
1/29/2013
 
Federal Home Loan Bank, 0.375%
    2,100,386       1.59 %
  4,250,000  
2/8/2013
 
Federal Home Loan Bank, 0.16%
    4,250,128       3.23 %
  5,000,000  
10/18/2013
 
Federal Home Loan Bank, 0.19%
    5,000,395       3.80 %
  2,000,000  
11/15/2013
 
Federal Home Loan Bank, 0.29%
    2,001,910       1.52 %
  6,000,000  
1/4/2013
 
Federal National Mort Assoc Disc Note, 0.009%
    5,999,994       4.56 %
  3,200,000  
2/22/2013
 
Federal National Mortgage Association, 1.75%
    3,207,194       2.44 %
  500,000  
2/26/2013
 
Federal National Mortgage Association, 0.75%
    500,465       0.38 %
  3,500,000  
5/7/2013
 
Federal National Mortgage Association, 1.75%
    3,519,061       2.67 %
  4,100,000  
8/20/2013
 
Federal National Mortgage Association, 1.25%
    4,126,970       3.14 %
  5,000,000  
9/23/2013
 
Federal National Mortgage Association, 1.00%
    5,028,960       3.82 %
  2,900,000  
12/18/2013
 
Federal National Mortgage Association, 0.75%
    2,916,704       2.22 %
Total U.S. Government Agency Bonds and Notes (cost - $50,448,493)
    50,456,545       38.34 %
                           
Corporate Notes
                     
$ 3,450,000  
1/17/2013
 
Alpine Securitization Corp Disc Note, 0.17%
    3,449,454       2.62 %
  3,300,000  
1/14/2013
 
American Honda Finance Corp Disc Note, 0.18%
    3,299,679       2.51 %
  5,000,000  
1/2/2013
 
Bank of Nova Scotia Disc Note, 0.03%
    4,999,992       3.80 %
  2,400,000  
1/22/2013
 
Banco del Estado de Chile, NY, 0.20%
    2,400,000       1.82 %
  2,500,000  
1/3/2013
 
Northern Pines Funding LLC, 0.173%
    2,499,985       1.90 %
  2,360,000  
1/4/2013
 
General Electric Capital Corp Disc Note, 0.07%
    2,359,931       1.79 %
  2,000,000  
1/11/2013
 
International Business Machines Corp Disc Note, 0.15%
    1,999,782       1.52 %
  3,450,000  
1/7/2013
 
National Rural Utilities Cooperative Finance, 0.175%
    3,449,828       2.62 %
  2,850,000  
1/2/2013
 
NetJets Corp Disc Note, 0.14%
    2,850,000       2.17 %
  3,450,000  
1/9/2013
 
Norinchukin Bank, 0.17%
    3,449,396       2.62 %
  4,000,000  
1/15/2013
 
Regency Markets No. 1 LLC, 0.19%
    3,999,323       3.04 %
  3,450,000  
1/18/2013
 
Royal Bank of Canada, 0.16%
    3,450,000       2.62 %
  3,350,000  
1/4/2013
 
Sumitomo Trust & Banking Co Disc Note, 0.17%
    3,350,000       2.55 %
  4,000,000  
1/4/2013
 
Toronto-Dominion Holdings, 0.11%
    3,999,440       3.04 %
Total Corporate Notes (cost - $45,556,810)
    45,556,810       34.62 %
                           
U.S. Treasury Obligations
                   
$ 7,000,000  
1/10/2013
 
United States Treasury Bill, 0.001%
    6,999,951       5.32 %
  2,500,000  
3/15/2013
 
United States Treasury Note, 1.375%
    2,506,348       1.90 %
  2,000,000  
4/15/2013
 
United States Treasury Note, 1.75%
    2,009,376       1.53 %
  2,000,000  
5/15/2013
 
United States Treasury Note, 1.375%
    2,009,296       1.53 %
  200,000  
5/31/2013
 
United States Treasury Note, 0.50%
    200,320       0.15 %
  3,000,000  
6/15/2013
 
United States Treasury Note, 1.125%
    3,013,593       2.29 %
  2,000,000  
11/30/2013
 
United States Treasury Note, 2.00%
    2,032,890       1.55 %
Total United States Treasury Obligations (cost - $18,768,608)
    18,771,774       14.27 %
                           
Total Investment Securities (cost - $114,773,911)
  $ 114,785,129       87.23 %
 
See accompanying notes.
 
 
-4-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS (continued)
DECEMBER 31, 2012 (Audited)
_______________
 
 
Range of Expiration Dates
 
Number of Contracts
   
Value
   
% of Partners' Capital
 
                     
Long Futures Contracts:
                   
Agriculture
Feb 13 - Mar 13
    66     $ (16,989 )     (0.01 )%
Currencies
Mar 13
    466       (226,255 )     (0.17 )%
Energy
Feb 13
    23       14,803       0.01 %
Interest Rates
Mar 13
    823       1,282,253       0.97 %
Metals
Feb 13 - Mar 13
    45       72,630       0.06 %
Stock Indices
Jan 13
    140       (113,687 )     (0.09 )%
                           
Total Long Futures Contracts
      1,563       1,012,755       0.77 %
                           
Short Futures Contracts:
                         
Agriculture
Mar 13
    31       6,336       0.00 %
Currencies
Mar 13
    179       (6,124 )     (0.00 )%
Energy
Feb 13
    33       41,631       0.03 %
Interest Rates
Mar 13
    120       116,306       0.09 %
Metals
Apr 13
    7       (595 )     (0.00 )%
Stock Indices
Jan 13 - Mar 13
    2,449       (1,478,141 )     (1.12 )%
Treasury Rates
Mar 13
    1,748       (657,336 )     (0.50 )%
                           
Total Short Futures Contracts
      4,567       (1,977,923 )     (1.50 )%
                           
Total Futures Contracts
      6,130     $ (965,168 )     (0.73 )%
 
See accompanying notes.
 
 
-5-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF INCOME (LOSS)
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012 (Unaudited)
_______________
 
 
Three Months Ended
   
Nine Months Ended
 
 
September 30,
   
September 30,
 
   
2013
   
2012
   
2013
   
2012
 
TRADING GAIN (LOSS)
                       
Gain (loss) on trading of commodity futures
                       
Realized
  $ 1,285,966     $ 4,138,528     $ (8,154,254 )   $ 16,845,554  
Change in unrealized
    (538,554 )     (5,590,219 )     (470,925 )     (1,832,398 )
Brokerage Commissions
    (380,768 )     (487,139 )     (1,322,289 )     (1,415,197 )
                                 
Gain (loss) from trading futures
    366,644       (1,938,830 )     (9,947,468 )     13,597,959  
                                 
Gain (loss) on trading of securities
                               
Realized
    6,248       12,162       27,709       39,721  
Change in unrealized
    8,601       5,731       997       4,147  
                                 
Gain from trading securities
    14,849       17,893       28,706       43,868  
                                 
Gain (loss) on trading of foreign currency
                               
Realized
    (3,164 )     15,241       399,274       16,997  
Change in unrealized
    16,690       (22,654 )     (138,365 )     (22,637 )
                                 
Gain (loss) from trading foreign currency
    13,526       (7,413 )     260,909       (5,640 )
                                 
Total trading gain (loss)
    395,019       (1,928,350 )     (9,657,853 )     13,636,187  
                                 
NET INVESTMENT INCOME (LOSS)
                               
Income
                               
Interest income
    27,741       36,454       98,860       107,234  
                                 
Expenses
                               
Management fee
    292,415       369,203       1,010,312       1,071,706  
Service fees
    220,175       260,815       734,856       776,446  
Professional fees
    100,215       111,141       327,076       324,442  
Administrative fee
    67,341       82,919       230,453       242,249  
Offering costs
    -       -       1,684       20,716  
Incentive fees
    -       7,091       -       4,302,850  
Organization and initial offering expenses
    3,200       3,200       9,600       9,600  
Interest expense
    6,575       4,208       30,665       7,673  
Other expenses
    57,500       18,094       112,344       103,007  
                                 
Total expenses
    747,421       856,671       2,456,990       6,858,689  
                                 
Net investment loss
    (719,680 )     (820,217 )     (2,358,130 )     (6,751,455 )
                                 
NET INCOME (LOSS)
  $ (324,661 )   $ (2,748,567 )   $ (12,015,983 )   $ 6,884,732  
 
See accompanying notes.
 
 
-6-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012 (Unaudited)
_______________
 
         
Limited Partners
       
                               
                     
Institutional
   
General
 
   
Total
   
Class A
   
Class B
   
Interests
   
Partner
 
                               
Balances at December 31, 2011
  $ 122,413,035     $ 50,364,450     $ 47,125,361     $ 24,922,360     $ 864  
                                         
Transfers
    -       (1,576,592 )     1,556,577       20,015       -  
                                         
Capital additions
    24,097,015       10,189,015       8,640,767       5,267,233       -  
                                         
Capital withdrawals
    (21,312,148 )     (9,075,338 )     (10,471,395 )     (1,765,415 )     -  
                                         
From operations:
                                       
Net investment loss
    (6,751,455 )     (3,289,424 )     (2,244,932 )     (1,217,071 )     (28 )
Net realized gain from investments
    15,487,075       6,502,158       5,459,322       3,525,486       109  
Net change in unrealized loss from investments
    (1,850,888 )     (744,949 )     (652,920 )     (453,004 )     (15 )
Net income
    6,884,732       2,467,785       2,561,470       1,855,411       66  
                                         
Balances at September 30, 2012
  $ 132,082,634     $ 52,369,320     $ 49,412,780     $ 30,299,604     $ 930  
                                         
Balances at December 31, 2012
  $ 131,591,215     $ 55,016,242     $ 48,367,809     $ 28,206,275     $ 889  
                                         
Transfers
    -       (572,022 )     572,022       -       -  
                                         
Capital additions
    13,685,708       5,499,959       5,895,443       2,290,306       -  
                                         
Capital withdrawals
    (41,423,100 )     (14,182,727 )     (17,773,221 )     (9,467,152 )     -  
                                         
From operations:
                                       
Net investment loss
    (2,358,130 )     (1,484,036 )     (657,133 )     (216,937 )     (24 )
Net realized loss from investments
    (9,049,560 )     (3,721,863 )     (3,374,106 )     (1,953,532 )     (59 )
Net change in unrealized loss from investments
    (608,293 )     (289,981 )     (201,553 )     (116,753 )     (6 )
Net loss
    (12,015,983 )     (5,495,880 )     (4,232,792 )     (2,287,222 )     (89 )
                                         
Balances at September 30, 2013
  $ 91,837,840     $ 40,265,572     $ 32,829,261     $ 18,742,207     $ 800  
 
See accompanying notes.
 
 
-7-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
 
A.
General Description of the Partnership
 
Altegris QIM Futures Fund, L.P. (“Partnership”) was organized as a Delaware limited partnership in June 2009.  The Partnership's general partner is Altegris Portfolio Management, Inc. (d/b/a Altegris Funds) ("General Partner").  The Partnership speculatively trades commodity futures contracts, and may trade options on futures contracts, forward contracts and other commodity interests.  The objective of the Partnership’s business is appreciation of its assets. It is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and Futures Commission Merchants (brokers) through which the Partnership trades.
 
The General Partner is controlled by AqGen Liberty Holdings LLC ("AqGen"), an entity owned and controlled by (i) private equity funds managed by Aquiline Capital Partners LLC and its affiliates ("Aquiline"), and by Genstar Capital Management, LLC and its affiliates ("Genstar"), and (ii) certain senior management of the Partnership's general partner and its affiliates.  Aquiline is a private equity firm located in New York, New York, and Genstar is a private equity firm located in San Francisco, California.  Neither AqGen nor any of its beneficial owners has committed itself to increase or maintain the General Partner's capital or provide any direct or indirect financial support to the General Partner, and the General Partner is not reliant on AqGen, its direct or indirect subsidiaries or its beneficial owners to provide it with operating capital.
 
B.
Method of Reporting
 
The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”).  The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of September 30, 2013 and December 31, 2012, and reported amounts of income and expenses for the three and nine months ended September 30, 2013 and 2012, respectively.  Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that the differences could be material.
 
The accompanying unaudited condensed financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the U.S. Securities and Exchange Commission (the “SEC”) and, therefore, do not include all information and footnote disclosure required under U.S. GAAP.  The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the condensed financial statements for the interim period.
 
C.
Fair Value
 
In accordance with the authoritative guidance under U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants at the measurement date.
 
 
-8-

 

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
C.  Fair Value (continued)
 
In determining fair value, the Partnership uses various valuation approaches. The authoritative guidance under U.S. GAAP establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Partnership.
 
Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows:

Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Partnership has the ability to access at the measurement date;

Level 2 – Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

The availability of valuation techniques and observable inputs can vary among assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.

 
-9-

 

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
C.  Fair Value (continued)
 
Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Partnership’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Partnership uses prices and inputs that are current as of the measurement date, including prices and inputs during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many assets and liabilities. This condition could cause an asset or liability to be reclassified to a lower level within the fair value hierarchy.

The Partnership values futures contracts at the closing price of the contract’s primary exchange.  The Partnership includes futures contracts in Level 1 of the fair value hierarchy, as they are exchange traded derivatives.

The fair value of U.S. government agency bonds and notes is generally based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs which include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government agency bonds and notes are categorized in Level I or Level 2 of the fair value hierarchy. As of September 30, 2013 and December 31, 2012 none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models.

The fair value of U.S. treasury obligations is generally based on quoted prices in active markets. U.S. treasury obligations are categorized in Level 1 of the fair value hierarchy.
 
The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, notes, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of September 30, 2013 and December 31, 2012 none of the Partnership’s holdings in corporate notes were fair valued using valuation models.

 
-10-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
C.  Fair Value (continued)
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. There were no changes in the Partnership’s valuation methodology during the nine month period ended September 30, 2013 and the year ended December 31, 2012.

The following table presents information about the Partnership’s assets and liabilities measured at fair value as of September 30, 2013 and December 31, 2012:
 
 September 30, 2013
 
Level 1
   
Level 2
   
Level 3
   
Balance as of
September 30, 2013
 
                         
Assets
                       
                         
    Futures contracts (1)
  $ 49,283     $ -     $ -     $ 49,283  
    U.S. Government agency bonds and notes
    41,531,576       -       -       41,531,576  
    Corporate notes
    -       39,978,780       -       39,978,780  
    U.S. Treasury obligations
    5,528,418       -       -       5,528,418  
                                 
 Total Assets
  $ 47,109,277     $ 39,978,780     $ -     $ 87,088,057  
                                 
Liabilities
                               
                                 
    Futures contracts (1)
  $ (1,485,376 )   $ -     $ -     $ (1,485,376 )
 
                         
 December 31, 2012
 
Level 1
   
Level 2
   
Level 3
   
Balance as of
December 31, 2012
 
                         
Assets
                       
                         
    Futures contracts (1)
  $ 1,740,253     $ -     $ -     $ 1,740,253  
    U.S. Government agency bonds and notes
    50,456,545       -       -       50,456,545  
    Corporate notes
    -       45,556,810       -       45,556,810  
    U.S. Treasury obligations
    18,771,774       -       -       18,771,774  
                                 
Total Assets
  $ 70,968,572     $ 45,556,810     $ -     $ 116,525,382  
                                 
Liabilities
                               
                                 
    Futures contracts (1)
  $ (2,705,421 )   $ -     $ -     $ (2,705,421 )
 
(1)
See Note 7. "Financial Derivative Instruments" for the fair value in each type of contracts within this category.

For the nine month period ended September 30, 2013 and the year ended December 31, 2012, there were no transfers between Level 1 and Level 2 assets and liabilities. As of September 30, 2013 and for the nine month period then ended and as of December 31, 2012 and the year then ended there were no Level 3 securities.
 
 
-11-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
D.  Investment Transactions and Investment Income
 
Security transactions are recorded on the trade date for financial reporting purposes.  Realized gains and losses from security transactions are determined using the identified cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on securities and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction.  Interest income is recorded on an accrual basis.
 
Gains or losses on futures contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures contracts include other trading fees and are incurred as an expense when contracts are opened, and are recognized as trading gains and losses.

Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, sales and maturities of foreign currency forward contracts, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized appreciation (depreciation) on foreign currency denominated other assets and liabilities arise from changes in the value of assets, other than investments in securities, and liabilities at fiscal year end, resulting from changes in the exchange rates.

JPMorgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. The Partnership has cash deposited with the Custodian.  For cash not held with J.P. Morgan Securities, LLC, the Partnership’s commodity broker (the “Clearing Broker”), the Partnership receives cash management services from an affiliate of the Custodian, J.P. Morgan Investment Management Inc. (“JPMIM”).  
 
E.  Futures Contracts
 
The Partnership may engage in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in unrealized gain (loss) on futures contracts. The Partnership recognizes a realized gain or loss when the contract is closed.
 
 
-12-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
E.  Futures Contracts (continued)
 
There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at September 30, 2013 and December 31, 2012 are reflected within the Condensed Schedules of Investments.
 
F.  Foreign Currency Transactions
 
The Partnership’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar 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 currencies other than the U.S. dollar 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 in the Statements of Income (Loss).
 
G.  Cash
 
Restricted cash is held as maintenance margin deposits for futures transactions.
 
The Partnership maintains a custody account with a major financial institution. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account.
 
H.  Income Taxes
 
As an entity taxable as a partnership for U.S. Federal income tax purposes; the Partnership itself is not subject to federal income tax. The Partnership prepares and files calendar year U.S. and applicable state information tax returns and reports to the partners their allocable shares of the Partnership’s income and expenses.
 
The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position.  The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority.  De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’
 
 
-13-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 
H.  Income Taxes (continued)
 
capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of September 30, 2013 and December 31, 2012.  However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. 
 
The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively.  No interest expense or penalties have been recognized for the nine month period ended September 30, 2013 and for the year ended December 31, 2012.
 
The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2010. 
 
I.  Reclassifications
 
Certain amounts in the December 31, 2012 and September 30, 2012 financial statements were reclassified to conform to the 2013 presentation.
 
NOTE 2 - PARTNERS’ CAPITAL
 
A.  Capital Accounts and Allocation of Income and Loss
 
The Partnership accounts for subscriptions and redemptions on a per partner capital account basis.

The Partnership consists of the General Partner’s Interest, Class A Interests, Class B Interests and Institutional Interests (collectively referred to as “Interests”).  Income or loss (prior to management fees, administrative fees, service fees and incentive fees) is allocated pro rata among the partners based on their respective capital accounts as of the end of each month in which the items accrue, pursuant to the terms of the Partnership’s agreement of limited partnership, as may be amended and restated from time to time (the “Agreement”).  Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement.

No limited partner of the Partnership (each, a “Limited Partner” and collectively the “Limited Partners”) shall be liable for any debts or liabilities of the Partnership or any losses thereof in excess of such Limited Partner's capital contributions, except as may be required by law.

 
-14-

 


ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 2 - PARTNERS’ CAPITAL (CONTINUED)
 
B.  Subscriptions, Distributions and Redemptions
 
Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.

The Partnership is not required to make distributions, but may do so at the sole discretion of the General Partner.  The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. No distributions were made for the nine months ended September 30, 2013 and 2012.

The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner.

NOTE 3 -RELATED PARTY TRANSACTIONS
 
A.  General Partner Management Fee

The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, 0.0625% (0.75% annually) for Institutional Interests, and 0.0208% (0.25% annually) for Special Interests of the Partnership's management fee net asset value. The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners.

Total management fees earned by the General Partner for the three and nine months ended September 30, 2013 and 2012 are shown on the Statements of Income (Loss) as Management Fee.
 
B.  Administrative Fee
 
The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the three and nine months ended September 30, 2013, administrative fees for Class A Interests were $36,407 and $122,712, respectively, and administrative fees for Class B Interests were $30,934 and $107,741, respectively.  For the three and nine months ended September 30, 2012, administrative fees for Class A Interests were $43,359 and $126,612, respectively, and administrative fees for Class B Interests were $39,560 and $115,637, respectively.

 
-15-

 

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 3 - RELATED PARTY TRANSACTIONS (CONTINUED)
 
C.  Altegris Investments, Inc. and Altegris Futures, L.L.C.
 
Altegris Investments, Inc. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the Securities Exchange Commission. Beginning January 1, 2011, Altegris Futures, L.L.C. (“Altegris Futures”), an affiliate of the General Partner and an introducing broker registered with the CFTC, became the Partnership’s introducing broker. Prior to January 1, 2011, Altegris Investments served as the Partnership’s introducing broker.  Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. Altegris Futures, as the Partnership’s introducing broker, receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and Altegris Futures, at a minimum, brokerage charges at a monthly flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value.  Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.
 
At September 30, 2013 and December 31, 2012, respectively, the Partnership had commissions and brokerage fees payable to Altegris Futures of $105,511 and $101,419 and service fees payable to Altegris Investments of $15,018 and $25,089, respectively. The following tables show the fees paid to Altegris Investments and Altegris Futures for the three and nine months ended September 30, 2013 and 2012, respectively:
 
   
Three months ended
   
Nine months ended
   
Three months ended
   
Nine months ended
 
   
September 30, 2013
   
September 30, 2013
   
September 30, 2012
   
September 30, 2012
 
Altegris Futures - Brokerage Commission fees
  $ 348,321     $ 1,124,132     $ 339,878     $ 1,001,915  
Altegris Investments- Service fees
    48,490       179,860       71,700       212,816  
Total
  $ 396,811     $ 1,303,992     $ 411,578     $ 1,214,731  
 
The amounts above are included in Brokerage Commissions and Service Fees on the Statements of Income (Loss), respectively. The amounts shown on the Statements of Income (Loss) include fees paid to non-related parties.
 
NOTE 4 - ADVISORY CONTRACT
 
The Partnership’s trading activities are conducted pursuant to an advisory contract with Quantitative Investment Management LLC (QIM) (“Advisor”).  The Partnership pays the Advisor a quarterly incentive fee of 30% of the trading profits.  However, the quarterly incentive fee is payable only on cumulative profits, calculated separately for each partner’s interest, achieved from commodity trading. The incentive fee is accrued on a monthly basis and paid quarterly. Incentive fees are reflected in the Statements of Income (Loss).
 
 
-16-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 5 - SERVICE FEES
 
Class A Interests pay selling agents an ongoing monthly payment of 0.166% of the month-end net asset value (2% annually) of the value of Interests sold by them which are outstanding at month-end as compensation for their continuing services to such Class A Limited Partners. Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing monthly payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month-end as compensation for their continuing services to such Limited Partners holding Institutional Interests. For the three and nine months ended September 30, 2013, service fees for Class A Interests were $220,057 and $734,190, respectively, and service fees for Institutional Interests were $118 and $666, respectively.  For the three and nine months ended September 30, 2012, service fees for Class A Interests were $260,681 and $775,329, respectively, and service fees for Institutional Interests were $134 and $1,117, respectively.

NOTE 6 - BROKERAGE COMMISSIONS
The Partnership pays brokerage commissions to the Clearing Broker for clearing trades on its behalf, which are reflected in the Statements of Income (Loss) as Brokerage Commissions. The Partnership pays to its Clearing Broker a monthly brokerage commission equal to the greater of: (1) actual brokerage commissions, which are based upon trading volume, or (2) a flat rate of 0.125% (1.5% annually) (the “Minimum Amount”) of the Partnership’s management fee net asset value.

If actual brokerage commissions paid to the Clearing Broker are less than the Minimum Amount, the Partnership will pay to the introducing broker, the difference. However, if actual brokerage commissions are greater than the Minimum Amount, the Partnership only pays the actual brokerage commissions.
 
 NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS
 
The Partnership engages in the speculative trading of futures contracts for the purpose of achieving capital appreciation.  None of the Partnership’s derivative instruments are designated as hedging instruments, nor are they used for other risk management purposes.  The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters.  Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.
 
 
-17-

 

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
 
The following presents the fair value of derivative contracts as of September 30, 2013 and December 31, 2012.  The fair value of derivative contracts is presented as an asset if in a gain position and a liability if in a loss position.  Fair value is presented on a gross basis in the table below even though the derivative contracts qualify for net presentation in the Statements of Financial Condition.
 
September 30, 2013
 
   
Asset
   
Liability
   
 
 
   
Derivatives
   
Derivatives
   
Net
 
   
Fair Value
   
Fair Value
   
Fair Value
 
                   
 Futures Contacts
  $ 49,283     $ (1,485,376 )   $ (1,436,093 )
 
December 31, 2012
 
   
Asset
   
Liability
   
 
 
   
Derivatives
   
Derivatives
   
Net
 
   
Fair Value
   
Fair Value
   
Fair Value
 
                   
 Futures Contacts
  $ 1,740,253     $ (2,705,421 )   $ (965,168 )
 
The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three and nine months ended September 30, 2013 and 2012.
 
The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss).
 
Three Months Ended September 30, 2013
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
 Futures Contracts
  $ 1,285,966     $ (538,554 )     9,405  
 
Nine Months Ended September 30, 2013
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
 Futures Contracts
  $ (8,154,254 )   $ (470,925 )     77,973  
 
 
-18-

 
 
ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________

NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
 
Three Months Ended September 30, 2012
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
 Futures Contracts
  $ 4,138,528     $ (5,590,219 )     38,593  
 
Nine Months Ended September 30, 2012
 
         
Change in
   
Number of
 
   
Realized
   
Unrealized
   
Contracts Closed
 
                   
 Futures Contracts
  $ 16,845,554     $ (1,832,398 )     113,298  
 
 
Effective January 1, 2013, the Partnership adopted Accounting Standards Update 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities (the “ASU,” “ASU 2011-11”).  The amendments to this standard require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position.
 
With respect to futures contracts and options on futures contracts, the Partnership has entered into an agreement with the Clearing Broker which  grants the Clearing Broker the right to offset recognized derivative assets and derivative liabilities if certain conditions exist, which would require the Clearing Broker to liquidate the Partnership’s positions. These events include the following: (i) upon the dissolution, winding-up, liquidation or merger of the Partnership, (ii) failure to maintain initial margin or failure to make timely payment of additional variation margin, (iii) failure to pay the premium on any option purchased, (iv) upon the commencement of bankruptcy, insolvency or similar proceeding for the protection of creditors against the Partnership, (v) the Clearing Broker determines, at its discretion, that the risk in the Partnership’s account must be reduced for protection of the Clearing Broker, or (vi) if the Partnership’s registration status is suspended or is pending suspension.
 
 
-19-

 

ALTEGRIS QIM FUTURES FUND, L.P.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
_______________
 
NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS (CONTINUED)
 
The following table summarizes the disclosure requirements for offsetting assets and liabilities:
 
Offsetting the Financial Assets and Derivative Assets
                         
                                     
                     
Gross Amounts Not Offset in the Statement of Financial Condition
       
                                     
 As of September 30, 2013
                                   
 Description
 
Gross
Amounts of
Recognized
Assets
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Assets Presented
in the Statement
of Financial Condition
   
Financial
Instruments
   
Cash Collateral
Received (1)
   
Net Amount
 
                                     
 Commodity futures contracts
  $ 49,283     $ (49,283 )   $ -     $ -     $ -     $ -  
 
Offsetting the Financial Liabilities and Derivative Liabilities
                                 
 
                           
Gross Amounts Not Offset in the Statement of Financial Condition
         
                                                 
 As of September 30, 2013
                                               
 Description
 
Gross
Amounts of
Recognized
Liabilities
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Liabilities Presented
in the Statement
of Financial Condition
   
Financial
Instruments
   
Cash Collateral
Pledged (1)
   
Net Amount
 
                                                 
 Commodity futures contracts
  $ (1,485,376 )   $ 49,283     $ (1,436,093 )   $ -     $ -     $ (1,436,093 )
 
 
Offsetting the Financial Assets and Derivative Assets
                         
                     
Gross Amounts Not Offset in the Statement of Financial Condition
       
                         
 As of December 31, 2012
                                   
 Description
 
Gross
Amounts of
Recognized Assets
   
Gross Amounts
Offset in the
Statement of
Financial Condition
   
Net Amounts
of Assets Presented
in the Statement
of Financial Condition
   
Financial
Instruments
   
Cash Collateral
Received (1)
   
Net Amount
 
                                     
 Commodity futures contracts
  $ 1,740,253     $ (1,740,253 )   $ -     $ -     $ -     $ -  
 
Offsetting the Financial Liabilities and Derivative Liabilities
                                 
                           
Gross Amounts Not Offset in the Statement of Financial Condition
         
                                                 
 As of December 31, 2012