10-Q 1 d398393d10q.htm FORM 10-Q Form 10-Q
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, 2012

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 1320A

Chicago, IL

  60604
(Address of Principal Executive Offices)   (Zip Code)

(877) 261-4400

(Registrant’s telephone number, including area code)

Not applicable

(Former name, former address and former fiscal year, 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

 

 

 


Table of Contents

PART I - FINANCIAL INFORMATION

 

ITEM 1. FINANCIAL STATEMENTS

The following unaudited financial statements of RICI® Linked – PAM Total Index Series and RICI® Linked – PAM Agricultural 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, 2012 (Unaudited) and December  31, 2011 (Audited)

     3   

Condensed Schedule of Investments as of September 30, 2012 (Unaudited)

     4   

Condensed Schedule of Investments as of December 31, 2011 (Audited)

     5   

Statements of Operations for the Three and Nine Months Ended September 30, 2012 and 2011 (Unaudited)

     6   

Statements of Changes in Members’ Equity (Net Assets) for the Nine Months Ended September  30, 2012 and 2011 (Unaudited)

     7   

Notes to Financial Statements (Unaudited)

     8   

 

2


Table of Contents

RICI® Linked - PAM Advisors Fund, LLC

Statements of Financial Condition

September 30, 2012 (Unaudited) and December 31, 2011 (Audited)

 

               

Total RICI® Linked -

PAM Advisors Fund, LLC

 
    Total Index Series     Agricultural Sector Series    
    September 30, 2012     December 31, 2011     September 30, 2012     December 31, 2011     September 30, 2012     December 31, 2011  

Assets

           

Equity in broker trading account

           

Cash

  $ 28,455,898      $ 39,022,097      $ 2,461,251      $ 1,716,218      $ 30,917,149      $ 40,738,315   

Net unrealized gain (loss) on open futures contracts

    8,786,983        (7,034,079     137,262        (218,253     8,924,245        (7,252,332
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    37,242,881        31,988,018        2,598,513        1,497,965        39,841,394        33,485,983   

Cash and cash equivalents

    3,680,693        3,892,851        113,780        189,915        3,794,473        4,082,766   

Investments

           

Government-sponsored enterprise securities, at fair value

    245,961,020        245,980,900        9,497,525        9,498,975        255,458,545        255,479,875   

Mutual funds, at fair value

    4,109,382        5,920,265        —          846,264        4,109,382        6,766,529   

Receivable from MF Global

    12,548,999        11,047,988        1,041,012        972,273        13,590,011        12,020,261   

Interest receivable

    57        —          —          —          57        —     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

  $ 303,543,032      $ 298,830,022      $ 13,250,830      $ 13,005,392      $ 316,793,862      $ 311,835,414   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities and Members’ Equity (Net Assets)

           

Accrued operating expenses

  $ 117,407      $ 170,048      $ 43,786      $ 38,507      $ 161,193      $ 208,555   

Management fee payable to Managing Member

    163,386        161,056        7,124        7,002        170,510        168,058   

Support services fee payable

    25,123        24,764        1,095        1,077        26,218        25,841   

Servicing fee payable to selling agent

    28,340        28,790        4,940        6,142        33,280        34,932   

Withdrawals payable *

    6,094,188        4,148,997        177,620        1,364,418        6,271,808        5,513,415   

Subscriptions received in advance

    1,510,000        1,270,000        —          —          1,510,000        1,270,000   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    7,938,444        5,803,655        234,565        1,417,146        8,173,009        7,220,801   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Members’ equity (net assets)

    295,604,588        293,026,367        13,016,265        11,588,246        308,620,853        304,614,613   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities and members’ equity (net assets)

  $ 303,543,032      $ 298,830,022      $ 13,250,830      $ 13,005,392      $ 316,793,862      $ 311,835,414   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

* Included in the withdrawals payable are $606,498 for the Total Index Series and $101,575 for the Agricultural Sector Series due to redeemed investors who were investors in the Company as of October 31, 2011 and participated in the MF Global write down.

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

 

3


Table of Contents

RICI® Linked - PAM Advisors Fund, LLC

Condensed Schedule of Investments

September 30, 2012 (Unaudited)

 

          Total Index Series           Agricultural Sector Series          

Total RICI® Linked -

PAM Advisors Fund, LLC

 
          Net Unrealized                 Net Unrealized                 Net Unrealized        
          Gain (Loss)     Percent of           Gain (Loss)     Percent of           Gain (Loss)     Percent of  
          on Open     Members’           on Open     Members’           on Open     Members’  
          Long Futures     Equity           Long Futures     Equity           Long Futures     Equity  
          Contracts     (Net Assets)           Contracts     (Net Assets)           Contracts     (Net Assets)  

Futures contracts*

                 

United States

                 

Agriculture*

    $ 765,301        0.26     $ 72,868        0.56     $ 838,169        0.27

Energy*

      (212,084     (0.07       —          —            (212,084     (0.07

Metals*

      2,626,615        0.89          —          —            2,626,615        0.85   
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 

Total futures contracts - United States

      3,179,832        1.08          72,868        0.56          3,252,700        1.05   
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 

Foreign

                 

Agriculture*

      490,517        0.17          64,394        0.49          554,911        0.18   

Energy*

      (126,860     (0.04       —          —            (126,860     (0.04

Metals*

      5,243,494        1.77          —          —            5,243,494        1.70   
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 

Total futures contracts - Foreign

      5,607,151        1.90          64,394        0.49          5,671,545        1.84   
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 

Total net unrealized gain on open futures contracts

    $ 8,786,983        2.98     $ 137,262        1.05     $ 8,924,245        2.89
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 
                Percent of                 Percent of                 Percent of  
                Members’                 Members’                 Members’  
                Equity                 Equity                 Equity  
    Cost     Fair Value     (Net Assets)     Cost     Fair Value     (Net Assets)     Cost     Fair Value     (Net Assets)  

Government-sponsored enterprise securities

                 

United States

                 

U.S.Treasury Bills

                 

$ 25,000,000 Treasury bill due 10/11/2012

  $ 24,984,838      $ 24,999,750        8.46   $ —        $ —          —     $ 24,984,838      $ 24,999,750        8.10

$ 20,000,000 Treasury bill due 10/18/2012

    19,989,044        19,999,400        6.77        —          —          —          19,989,044        19,999,400        6.48   

$ 20,000,000 Treasury bill due 10/18/2012

    19,988,939        19,999,400        6.77        —          —          —          19,988,939        19,999,400        6.48   

$ 50,000,000 Treasury bill due 11/08/2012

    49,968,324        49,996,000        16.91        —          —          —          49,968,324        49,996,000        16.20   

$ 41,000,000 Treasury bill due 12/27/2012

    40,973,251        40,990,570        13.87        —          —          —          40,973,251        40,990,570        13.28   

$ 2,000,000 Treasury bill due 12/27/2012

    —          —          —          1,998,450        1,999,540        15.36        1,998,450        1,999,540        0.65   

$ 40,000,000 Treasury bill due 01/10/2013

    39,971,850        39,990,800        13.53        —          —          —          39,971,850        39,990,800        12.96   

$ 30,000,000 Treasury bill due 01/17/2013

    29,982,858        29,993,100        10.15        —          —          —          29,982,858        29,993,100        9.72   

$ 6,500,000 Treasury bill due 01/17/2013

    —          —          —          6,496,052        6,498,505        49.93        6,496,052        6,498,505        2.11   

$ 16,000,000 Treasury bill due 02/07/2013

    15,988,675        15,994,080        5.41        —          —          —          15,988,675        15,994,080        5.18   

$ 4,000,000 Treasury bill due 02/28/2013

    3,997,499        3,997,920        1.35        —          —          —          3,997,499        3,997,920        1.30   

$ 1,000,000 Treasury bill due 02/28/2013

    —          —          —          999,378        999,480        7.68        999,378        999,480        0.32   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Government-sponsored enterprise securities

  $ 245,845,278        245,961,020        83.21   $ 9,493,880      $ 9,497,525        72.97   $ 255,339,158      $ 255,458,545        82.77
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual funds

                 

United States

                 

Federated Government Obligations Fund (2,000,000 shares)

  $ 2,000,005      $ 2,000,000        0.68   $ —        $ —          —     $ 2,000,005      $ 2,000,000        0.65

AIM Government & Agency Portfolio Institutional (2,109,382 shares)

    2,109,382        2,109,382        0.71        —          —          —          2,109,382        2,109,382        0.68   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total mutual funds

  $ 4,109,387      $ 4,109,382        1.39   $ —        $ —          —     $ 4,109,387      $ 4,109,382        1.33
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

* 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.

 

4


Table of Contents

RICI® Linked - PAM Advisors Fund, LLC

Condensed Schedule of Investments

December 31, 2011 (Audited)

          Total Index Series           Agricultural Sector Series           Total RICI® Linked - PAM
Advisors Fund, LLC
 
          Net Unrealized                 Net Unrealized                 Net Unrealized        
          Gain (Loss)     Percent of           Gain (Loss)     Percent of           Gain (Loss)     Percent of  
          on Open     Members’           on Open     Members’           on Open     Members’  
          Long Futures     Equity           Long Futures     Equity           Long Futures     Equity  
          Contracts     (Net Assets)           Contracts     (Net Assets)           Contracts     (Net Assets)  

Futures contracts *

                 

United States

                 

Agriculture

    $ (1,896,563     (0.65 )%      $ (251,777     (2.17 )%      $ (2,148,340     (0.71 )% 

Energy

      (1,192,742     (0.41       —          —            (1,192,742     (0.39

Metals

      (1,778,430     (0.61       —          —            (1,778,430     (0.58
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 

Total futures contracts - United States

      (4,867,735     (1.67       (251,777     (2.17     $ (5,119,512     (1.68
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 

Foreign

                 

Agriculture

      295,602        0.10          33,524        0.29          329,126        0.11   

Energy

      (271,260     (0.09       —          —            (271,260     (0.09

Metals

      (2,190,686     (0.75       —          —            (2,190,686     (0.72
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 

Total futures contracts - Foreign

      (2,166,344     (0.74       33,524        0.29          (2,132,820     (0.70
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 

Total net unrealized gain/(loss) on open futures contracts

    $ (7,034,079     (2.41 )%      $ (218,253     (1.88 )%      $ (7,252,332     (2.38 )% 
   

 

 

   

 

 

     

 

 

   

 

 

     

 

 

   

 

 

 
                Percent of                 Percent of                 Percent of  
                Members’                 Members’                 Members’  
                Equity                 Equity                 Equity  
    Cost     Fair Value     (Net Assets)     Cost     Fair Value     (Net Assets)     Cost     Fair Value     (Net Assets)  

Government-sponsored enterprise securities

                 

United States

                 

U.S.Treasury Bills

                 

$ 84,000,000 Treasury bill due 01/26/2012

  $ 83,960,521      $ 83,999,160        28.67   $ —        $ —          —     $ 83,960,521      $ 83,999,160        27.58

$ 6,000,000 Treasury bill due 01/26/2012

    —          —          —          5,997,205        5,999,940        51.78        5,997,205        5,999,940        1.97   

$ 35,000,000 Treasury bill due 04/05/2012

    34,996,368        34,998,250        11.94        —          —          —          34,996,368        34,998,250        11.49   

$ 40,000,000 Treasury bill due 04/19/2012

    39,989,389        39,997,600        13.65        —          —          —          39,989,389        39,997,600        13.13   

$ 10,000,000 Treasury bill due 04/26/2012

    9,997,735        9,999,300        3.41        —          —          —          9,997,735        9,999,300        3.28   

$ 57,000,000 Treasury bill due 05/17/2012

    56,991,341        56,992,590        19.45        —          —          —          56,991,341        56,992,590        18.71   

$ 500,000 Treasury bill due 05/17/2012

    —          —          —          499,929        499,935        4.31        499,929        499,935        0.16   

$ 20,000,000 Treasury bill due 06/28/2012

    19,995,456        19,994,000        6.82        —          —          —          19,995,456        19,994,000        6.56   

$ 3,000,000 Treasury bill due 06/28/2012

    —          —          —          2,999,323        2,999,100        25.88        2,999,323        2,999,100        0.98   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total Government-sponsored enterprise securities

  $ 245,930,810      $ 245,980,900        83.94   $ 9,496,457      $ 9,498,975        81.97   $ 255,427,267      $ 255,479,875        83.86
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Mutual funds

                 

United States

                 

AIM Government & Agency

                 

Portfolio Institutional (5,920,265 shares)

  $ 5,920,265      $ 5,920,265        2.02   $ —        $ —          —     $ 5,920,265      $ 5,920,265        1.94

AIM Government & Agency

                 

Portfolio Institutional (846,264 shares)

    —          —          —          846,264        846,264        7.30        846,264        846,264        0.28   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total mutual funds

  $ 5,920,265      $ 5,920,265        2.02   $ 846,264      $ 846,264        7.30   $ 6,766,529      $ 6,766,529        2.22
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

* 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.

 

 

5


Table of Contents

RICI® Linked - PAM Advisors Fund, LLC

Statements of Operations

For the Three Months and Nine Months Ended September 30, 2012 and 2011 (Unaudited)

 

    Total Index Series     Agricultural Sector Series    

Total RICI® Linked -

PAM Advisors Fund, LLC

 
    Three Months Ended     Nine Months Ended     Three Months Ended     Nine Months Ended     Three Months Ended     Nine Months Ended  
    September 30,     September 30,     September 30,     September 30,     September 30,     September 30,  
    2012     2011     2012     2011     2012     2011     2012     2011     2012     2011     2012     2011  

Realized and unrealized gains (losses) on investments

                       

Realized gains (losses) on futures contracts

  $ 28,982,173      $ (21,167,471   $ (115,951   $ 18,379,453      $ 1,981,350      $ (943,479   $ 645,669      $ 1,084,145      $ 30,963,523      $ (22,110,950   $ 529,718      $ 19,463,598   

Realized gains on securities

    28,663        142,468        98,216        380,950        2,360        7,174        5,788        17,535        31,023        149,642        104,004        398,485   

Change in unrealized gains (losses) on open futures contracts

    1,686,734        (19,067,935     15,821,062        (54,034,419     (905,086     (434,401     355,515        (3,634,092     781,648        (19,502,336     16,176,577        (57,668,511

Change in unrealized gains (losses) on securities

    60,704        (82,254     65,648        (61,018     1,466        (2,874     1,128        (704     62,170        (85,128     66,776        (61,722

Brokerage commissions

    (116,346     (120,244     (403,083     (419,273     (5,118     (5,970     (20,171     (24,825     (121,464     (126,214     (423,254     (444,098
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss) on investments

    30,641,928        (40,295,436     15,465,892        (35,754,307     1,074,972        (1,379,550     987,929        (2,557,941     31,716,900        (41,674,986     16,453,821        (38,312,248
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Investment income

                       

Interest income

    8,032        3,446        13,264        31,591        570        443        755        1,729        8,602        3,889        14,019        33,320   

MF Global Recovery

    2,190,574        —          2,190,574        —          48,811        —          48,811        —          2,239,385        —          2,239,385        —     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    2,198,606        3,446        2,203,838        31,591        49,381        443        49,566        1,729        2,247,987        3,889        2,253,404        33,320   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

                       

Management fees

    483,149        520,234        1,447,646        1,702,336        21,991        25,793        64,203        84,144        505,140        546,027        1,511,849        1,786,480   

Operating expenses

    105,634        108,412        338,731        343,731        12,726        13,819        39,861        38,723        118,360        122,231        378,592        382,454   

Support services fee

    74,291        79,993        222,594        261,756        3,380        3,966        9,872        12,938        77,671        83,959        232,466        274,694   

Servicing fees

    28,340        32,727        82,592        107,084        4,940        7,341        13,830        23,825        33,280        40,068        96,422        130,909   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    691,414        741,366        2,091,563        2,414,907        43,037        50,919        127,766        159,630        734,451        792,285        2,219,329        2,574,537   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment gain (loss)

    1,507,192        (737,920     112,275        (2,383,316     6,344        (50,476     (78,200     (157,901     1,513,536        (788,396     34,075        (2,541,217
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net income (loss)

  $ 32,149,120      $ (41,033,356   $ 15,578,167      $ (38,137,623   $ 1,081,316      $ (1,430,026   $ 909,729      $ (2,715,842   $ 33,230,436      $ (42,463,382   $ 16,487,896      $ (40,853,465
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

 

 

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Table of Contents

RICI® Linked - PAM Advisors Fund, LLC

Statement of Changes in Members’ Equity (Net Assets)

For the Nine Months Ended September 30, 2012 and 2011 (Unaudited)

 

    Total Index Series     Agricultural Sector Series    

Total RICI® Linked -

PAM Advisors Fund, LLC

 
    Managing
Member
    Non-Managing
Members
    Total     Managing
Member
    Non-Managing
Members
    Total     Managing
Member
    Non-Managing
Members
    Total  

Members’ equity (net assets) December 31, 2011

  $ 37,002      $ 292,989,365      $ 293,026,367      $ 35,511      $ 11,552,735      $ 11,588,246      $ 72,513      $ 304,542,100      $ 304,614,613   

Subscriptions, net

    —          47,988,598        47,988,598        —          2,618,709        2,618,709        —          50,607,307        50,607,307   

Withdrawals

    —          (60,988,544     (60,988,544     —          (2,100,419     (2,100,419     —          (63,088,963     (63,088,963

Net Income

    2,228        15,575,939        15,578,167        2,854        906,875        909,729        5,082        16,482,814        16,487,896   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Members’ equity (net assets) September 30, 2012

  $ 39,230      $ 295,565,358      $ 295,604,588      $ 38,365      $ 12,977,900      $ 13,016,265      $ 77,595      $ 308,543,258      $ 308,620,853   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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 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   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

 

7


Table of Contents
For the quarterly period ended September 30, 2012

Notes to Financial Statements (Unaudited)

 

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, and may engage in the speculative trading of options on futures, forward contracts and other derivatives, on exchanges and markets located in the United States (U.S.) 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. The Energy Sector Series 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.

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.

Price Asset Management, Inc. is the Managing Member of the Company. 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.

Accounting policies: The Company follows generally accepted accounting principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations.

Use of estimates: The preparation of financial statements in conformity with 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. The Company’s estimate regarding the carrying value of its receivable from MF Global, Inc. (Note 5) is a significant estimate and due to the uncertainty of future events, this estimate could change materially in the near term.

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.

 

8


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

 

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.

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 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 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, 2012 and 2011 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.

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).

Recently issued accounting pronouncements: In November 2011, the FASB issued new guidance that requires 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. This guidance is effective for annual and interim periods beginning on or after January 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance is not expected to have a material impact on the Company’s financial position or results of operations.

 

9


Table of Contents
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.

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     Total RICI® Linked - PAM
Advisors Fund, LLC
 
     September 30,      December 31,     September 30,      December 31,     September 30,      December 31,  
     2012      2011     2012      2011     2012      2011  

Description

   Level 1      Level 1     Level 1      Level 1     Level 1      Level 1  

Equity in broker trading account Futures contracts

   $ 8,786,983       $ (7,034,079   $ 137,262       $ (218,253   $ 8,924,245       $ (7,252,332

Cash and cash equivalents

               

Money market funds

     1,198,679         191,286        98,418         —          1,297,097         191,286   

Investments

               

Government-sponsored enterprise securities

     245,961,020         245,980,900        9,497,525         9,498,975        255,458,545         255,479,875   

Mutual funds

     4,109,382         5,920,265        —           846,264        4,109,382         6,766,529   
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 
   $ 260,056,064       $ 245,058,372      $ 9,733,205       $ 10,126,986      $ 269,789,269       $ 255,185,358   
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

 

10


Table of Contents
Note 2. Fair Value of Financial Instruments (Continued)

 

At September 30, 2012 and December 31, 2011 the Company had no Level 2 or Level 3 assets or liabilities. The Company assesses the levels or assets and liabilities measured at fair value at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstance that caused the transfer. There was no transfer among Levels 1, 2 and 3 during the period ended September 30, 2012 and year ended December 31, 2011.

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, 2012 and December 31, 2011 the Total Index Series’ derivative contracts had the following impact on the statement of financial condition:

 

Contract Risk

 

Location

   Asset Derivatives
September 30, 2012
     Liability Derivatives
September 30, 2012
    Net  

Futures:  Commodity price

 

Equity in broker trading account

       

Agriculture

     $ 2,522,923       $ (1,267,105   $ 1,255,818   

Energy

       456,766         (795,710     (338,944

Metals

       7,870,109         —          7,870,109   
    

 

 

    

 

 

   

 

 

 
     $ 10,849,798       $ (2,062,815   $ 8,786,983   
    

 

 

    

 

 

   

 

 

 

Contract risk

 

Location

   Asset Derivatives
December 31, 2011
     Liability Derivatives
December 31, 2011
    Net  

Futures:   Commodity
price

 

Equity in broker trading account

       

Agriculture

     $ 1,758,810       $ (3,359,771   $ (1,600,961

Energy

       102,759         (1,566,761     (1,464,002

Metals

       2,412,135         (6,381,251     (3,969,116
    

 

 

    

 

 

   

 

 

 
     $ 4,273,704       $ (11,307,783   $ (7,034,079
    

 

 

    

 

 

   

 

 

 

 

11


Table of Contents
Note 3. Derivative Instruments (Continued)

 

For the three and nine months ended September 30, 2012 and 2011 the Total Index Series’ derivative contracts had the following impact on the statement of operations:

 

     Nine months ended September 30, 2012  

Contract Risk

   Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on
open futures
contracts
    Net trading gains  

Futures:     Commodity price

      

Agriculture

   $ 7,144,320      $ (5,641,799   $ 1,502,521   

Energy

     (639,287     6,518,371        5,879,084   

Metals

     (6,620,984     14,944,490        8,323,506   
  

 

 

   

 

 

   

 

 

 
   $ (115,951   $ 15,821,062      $ 15,705,111   
  

 

 

   

 

 

   

 

 

 
     Nine months ended September 30, 2011  

Contract Risk

   Realized gains on
futures contracts
    Change in unrealized
losses on open
futures contracts
    Net trading
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
  

 

 

   

 

 

   

 

 

 
     Three months ended September 30, 2012  

Contract Risk

   Realized gains
(losses) on futures
contracts
    Change in unrealized
gains (losses) on
open futures
contracts
    Net trading gains  

Futures:     Commodity price

      

Agriculture

   $ 14,544,930      $ (6,741,669   $ 7,803,261   

Energy

     19,182,830        (3,997,556     15,185,274   

Metals

     (4,745,587     12,425,959        7,680,372   
  

 

 

   

 

 

   

 

 

 
   $ 28,982,173      $ 1,686,734      $ 30,668,907   
  

 

 

   

 

 

   

 

 

 
     Three months ended September 30, 2011  

Contract Risk

   Realized gains
(losses) on futures
contracts
    Change in unrealized
losses on open
futures contracts
    Net trading
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
  

 

 

   

 

 

   

 

 

 

For the nine months ended September 30, 2012 and 2011, the monthly average number of futures contracts bought and sold was approximately 7,280 and 6,973, respectively.

 

12


Table of Contents
Note 3. Derivative Instruments (Continued)

 

Agricultural Sector Series

As of September 30, 2012 and December 31, 2011, the Agricultural Sector Series’ derivative contracts had the following impact on the statement of financial condition:

 

Contract Risk

 

Location

   Asset Derivatives
September 30, 2012
     Liability Derivatives
September 30, 2012
    Net  

Futures:   Commodity price

 

Equity in broker trading account

       

Agriculture

     $ 306,485       $ (169,223   $ 137,262   

Energy

       —           —          —     

Metals

       —           —          —     
    

 

 

    

 

 

   

 

 

 
     $ 306,485       $ (169,223   $ 137,262   
    

 

 

    

 

 

   

 

 

 

Contract risk

 

Location

   Asset Derivatives
December 31, 2011
     Liability Derivatives
December 31, 2011
    Net  

Futures:   Commodity price

 

Equity in broker trading account

       

Agriculture

     $ 188,335       $ (406,588   $ (218,253

Energy

       —           —          —     

Metals

       —           —          —     
    

 

 

    

 

 

   

 

 

 
     $ 188,335       $ (406,588   $ (218,253
    

 

 

    

 

 

   

 

 

 

 

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Table of Contents
Note 3. Derivative Instruments (Continued)

 

For the three and nine months ended September 30, 2012 and 2011, the Agricultural Sector Series’ derivative contracts had the following impact on the statement of operations:

 

     Nine months ended September 30, 2012  

Contract Risk

   Realized gains on
futures contracts
    Change in unrealized
gains on open futures
contracts
    Net trading gains  

Futures:     Commodity price

      

Agriculture

   $ 645,669      $ 355,515      $ 1,001,184   

Energy

     —          —          —     

Metals

     —          —          —     
  

 

 

   

 

 

   

 

 

 
   $ 645,669      $ 355,515      $ 1,001,184   
  

 

 

   

 

 

   

 

 

 
     Nine months ended September 30, 2011  

Contract Risk

   Realized gains on
futures contracts
    Change in unrealized
losses on open futures
contracts
    Net trading
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
  

 

 

   

 

 

   

 

 

 
     Three months ended September 30, 2012  

Contract Risk

   Realized gains on
futures contracts
    Change in unrealized
gains (losses) on open
futures contracts
    Net trading gains  

Futures:     Commodity price

      

Agriculture

   $ 1,981,350      $ (905,086   $ 1,076,264   

Energy

     —          —          —     

Metals

     —          —          —     
  

 

 

   

 

 

   

 

 

 
   $ 1,981,350      $ (905,086   $ 1,076,264   
  

 

 

   

 

 

   

 

 

 
     Three months ended September 30, 2011  

Contract Risk

   Realized losses on
futures contracts
    Change in unrealized
losses on open futures
contracts
    Net trading
losses
 

Futures     Commodity price

      

Agriculture

   $ (943,479   $ (434,401   $ (1,377,880

Energy

     —          —          —     

Metals

     —          —          —     
  

 

 

   

 

 

   

 

 

 
   $ (943,479   $ (434,401   $ (1,377,880
  

 

 

   

 

 

   

 

 

 

For the nine months ended September 30, 2012 and 2011, the monthly average number of futures contracts bought and sold was approximately 390 and 354, respectively.

 

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Note 4. Equity in Broker Trading Account

Cash and financial instruments held at the Company’s clearing brokers collateralize amounts due to the clearing brokers, if any, and may serve to satisfy regulatory or clearing broker margin requirements. The Company earns interest on its assets deposited with brokers. At September 30, 2012 and December 31, 2011, the following amounts of cash and futures contracts were held at clearing brokers to satisfy margin requirements.

 

     September 30, 2012      December 31, 2011  

Total Index Series

   $ 18,847,451       $ 23,495,853   

Agricultural Sector Series

     890,043         871,324   

 

Note 5. Receivable from MF Global

On October 31, 2011, MF Global Inc., the Company’s clearing broker at that time (MF Global), reported to the Securities and Exchange Commission (SEC) and the Commodity Futures Trading Commission (CFTC) possible deficiencies in customer segregated accounts held at the firm. As a result, the SEC and CFTC determined that a liquidation led by the Securities Investor Protection Corporation (SIPC) would be the safest and most prudent course of action to protect customer accounts and assets, and a SIPC led liquidation commenced. The Company held $33,268,088 of assets in customer segregated and secured accounts on deposit as required to support futures positions at MF Global as of October 31, 2011, although the majority of the Company’s assets were then held in bank custody accounts.

On November 21, 2011, the liquidation trustee for MF Global (the Trustee) made a statement that the apparent shortfall in MF Global segregated funds could be as much as $1.2 billion. In light of the foregoing, the inherent uncertainty in the timing and results of the liquidation process from the bankruptcy proceedings, and after consultation with professional advisors, the Managing Member made the decision to account for the Company’s estimated exposure to such shortfall by recording a reserve in accordance with GAAP, of $7,330,679 or 2.33% of the member’s equity of the Total Index Series and $486,844 or 3.17% of the member’s equity of the Agricultural Sector Series. The remaining receivable from MF Global was $12,020,261 as of December 31, 2011 and $13,590,011 as of September 30, 2012. The amount of the receivable from MF Global increased from December 31, 2011 to September 30, 2012 by $1,569,750 due to foreign currency conversions recorded in January 2012 of $157,344, a distribution by the Trustee of $826,971 (reducing the receivable) in September 2012, and write up of $2,239,385 by the Company in September 2012, based on the current information regarding the bankruptcy proceedings and the levels at which other claimants have been able to sell their claims.

On November 1, 2012, the Company sold its MF Global claims for both the Total Index Series and the Agricultural Sector Series. The US trading account claims (4d) were sold for 97.75% and the foreign futures trading accounts (30.7) were sold for 92.75% of the total claim amount. The sale amount of the claims was booked on October 31, 2012 and the proceeds were received on November 2, 2012 for the Total Index Series and the Agricultural Sector Series in the amount of $16,047,085 and $1,339,829, respectively.

Given the adverse impact of the MF Global liquidation and surrounding events, the Company issued separate classes of Interests to Members (Class B Interests) who invest in the Total Index Series or the Agricultural Sector Series on or after November 1, 2011. Members in these separate classes will not participate in any losses related to the MF Global liquidation nor will they participate in the recoveries from MF Global or the reversals of any reserves or losses taken related to the MF Global liquidation.

 

Note 6. Subscriptions, Withdrawals, and Distributions

Subscriptions are effective at the opening of business on the first day of trading of the next calendar month. Class A Interests were issued through October 2011. As described above, Class B interests were issued for contributions received on or after November 1, 2011.

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.

 

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Note 7. The Managing Member

Price Asset Management, Inc., an Illinois corporation, is the managing member, commodity pool operator and commodity trading advisor of the Company. On August 24, 2012 Price Asset Management, Inc. became registered as an investment adviser.

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 or support services fee, but will otherwise bear its proportionate share of each Series’ expenses.

 

Note 8. Fees and Expenses

The Company pays the Managing Member a monthly management fee of 0.054167 percent of the month-end Net Asset Value of each non-managing member’s capital account in the Company (0.65 percent per annum). 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, 2012 and 2011.

The management fees for the three and nine months ended September 30, 2012 and 2011 were as follows and are reflected in the statements of operations.

 

     Nine months ended  
     September 30, 2012      September 30, 2011  

Total Index Series

   $ 1,447,646       $ 1,702,336   

Agricultural Sector Series

     64,203         84,144   
  

 

 

    

 

 

 

The Company

   $ 1,511,849       $ 1,786,480   
  

 

 

    

 

 

 
     Three months ended  
     September 30, 2012      September 30, 2011  

Total Index Series

   $ 483,149       $ 520,234   

Agricultural Sector Series

     21,991         25,793   
  

 

 

    

 

 

 

The Company

   $ 505,140       $ 546,027   
  

 

 

    

 

 

 

Non-managing members in the Company introduced by their respective selling agents may be charged a monthly service fee of 0.0833 percent (1 percent per annum) payable to the selling agent. They may also be charged an upfront sales fee of up to one percent of the subscriptions amount that is deducted from the subscription proceeds and paid to the applicable selling agent, if any. For the three and nine months ended September 30, 2012 and 2011 subscriptions are net of the following amounts in sales fees that were charged to applicable non-managing members.

 

     Nine months ended  
     September 30, 2012      September 30, 2011  

Total Index Series

   $ 8,910       $ 16,606.99   

Agricultural Sector Series

     5,350         8,853   
  

 

 

    

 

 

 

The Company

   $ 14,260       $ 25,460   
  

 

 

    

 

 

 
     Three months ended  
     September 30, 2012      September 30, 2011  

Total Index Series

   $ 5,910       $ 2,938.00   

Agricultural Sector Series

     750         3,500   
  

 

 

    

 

 

 

The Company

   $ 6,660       $ 6,438   
  

 

 

    

 

 

 

 

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Table of Contents
Note 8. Fees and Expenses (Continued)

 

Non-managing members introduced through qualified advisors, including the marketing representative, Uhlmann Price Securities, LLC, will not be charged a service fee. Uhlmann Price Securities, LLC, an affiliate of the Managing Member, will be paid its introducing fee by the Managing Member without reimbursement from the Company. The Company incurred the following amount of servicing fees to the selling agents during the three and nine months ended September 30, 2012 and 2011, respectively.

 

     Nine months ended  
     September 30, 2012      September 30, 2011  

Total Index Series

   $ 82,592       $ 107,084   

Agricultural Sector Series

     13,830         23,825   
  

 

 

    

 

 

 

The Compay

   $ 96,422       $ 130,909   
  

 

 

    

 

 

 
     Three months ended  
     September 30, 2012      September 30, 2011  

Total Index Series

   $ 28,340       $ 32,727   

Agricultural Sector Series

     4,940         7,341   
  

 

 

    

 

 

 

The Company

   $ 33,280       $ 40,068   
  

 

 

    

 

 

 

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. (Price Futures), an affiliate of the Managing Member, 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 Price Futures by the clearing broker.

Commencing June 1, 2010, the Company pays 0.0083 percent (0.10 percent per annum) of the month-end net asset value, Series by Series, as a support service fee to pay broker-dealers for distribution related services to the Company for hosting distribution platforms or providing custody solutions.

The Company incurred the following amount of support services fees during the three and nine months ended September 30, 2012 and 2011, respectively.

 

     Nine months ended  
     September 30, 2012      September 30, 2011  

Total Index Series

   $ 222,594       $ 261,756   

Agricultural Sector Series

     9,872         12,938   
  

 

 

    

 

 

 

The Company

   $ 232,466       $ 274,694   
  

 

 

    

 

 

 
     Three months ended  
     September 30, 2012      September 30, 2011  

Total Index Series

   $ 74,291       $ 79,993   

Agricultural Sector Series

     3,380         3,966   
  

 

 

    

 

 

 

The Company

   $ 77,671       $ 83,959   
  

 

 

    

 

 

 

 

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Table of Contents
Note 9. 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 ADM Investor Services, Inc and RBC Capital Markets, LLC. In the event these brokers do not fulfill their obligations, the Company may be exposed to risk.

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.

 

Note 10. Financial Highlights

Financial highlights for non-managing members of the Company for the three and nine months ended September 30, 2012 and 2011 are as follows:

 

     Total Index Series     Agricultural Sector Series  
     Three months ended September 30,     Three months ended September 30,  
     2012
(Unaudited)
    2011
(Unaudited)
    2012
(Unaudited)
    2011
(Unaudited)
 

Total Return

     11.80     (12.41 )%      8.36     (8.52 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average members’ equity (net assets)

        

Total expenses (1) (3)

     0.97     0.89     1.31     1.25
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss) (2) (3)

     2.10     (0.88 )%      0.19     (1.24 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 
     Total Index Series     Agricultural Sector Series  
     Nine months ended September 30,     Nine months ended September 30,  
     2012
(Unaudited)
    2011
(Unaudited)
    2012
(Unaudited)
    2011
(Unaudited)
 

Total Return

     5.43     (11.89 )%      7.37     (15.29 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average members’ equity (net assets)

        

Total expenses (1) (3)

     0.95     0.91     1.30     1.21
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss) (2) (3)

     0.05     (0.90 )%      (0.80 )%      (1.20 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

(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.

 

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Note 10. Financial Highlights (Continued)

 

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, the timing of capital transactions in participation of gains or losses resulting from MF Global.

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

 

Note 11. 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 12. Interim Financial Statements

The statements of financial condition, including the condensed schedule of investments, as of September 30, 2012, the statements of operations for the three and nine months ended September 30, 2012 and 2011 and changes in members’ equity (net assets) for the nine months ended September 30, 2012 and 2011 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, 2012, results of operations for the three and nine months ended September 30, 2012 and 2011 and changes in members’ equity (net assets) for the nine months ended September 30, 2012 and 2011. The results of operations for the three and nine months ended September 30, 2012 and 2011 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 2011 Form 10-K as filed with the SEC.

 

Note 13. 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, 2012, subscriptions and withdrawals of interests were as follows:

 

     Total Index Series      Agricultural Sector Series      Total RICI® Linked - PAM
Advisors Fund, LLC
 
     Subscriptions      Withdrawals      Subscriptions      Withdrawals      Subscriptions      Withdrawals  

October

   $ 1,916,764       $ 3,767,146       $ —         $ 135,394       $ 1,916,764       $ 3,902,540   

November

     2,152,603         —           264,575         —           2,417,178         —     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 4,069,367       $ 3,767,146       $ 264,575       $ 135,394       $ 4,333,942       $ 3,902,540   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

As a result of the sale of the MF Global claims the actual net loss resulting from the MF Global bankruptcy was $1,642,019 (Total Index Series) and $139,215 (Agricultural Sector Series), respectively. The difference between the amount received on the sale in November and the estimated receivable as of September 30, 2012 will be recorded as MF Global recovery in October 2012, in the amount of $3,498,086 (Total Index Series) and $298,817 (Agricultural Sector Series), respectively.

 

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Table of Contents
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 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

Approximately 90% of the Company’s assets, excluding the assets used to satisfy margin requirements, are invested in U.S. government securities, including securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other Commodity Futures Trading Commission (CFTC) -authorized investments and certain other money market instruments at 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, 2012, 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 Inc., the Company’s clearing broker at that time (MF Global), reported to the Securities and Exchange Commission (SEC) and the CFTC possible deficiencies in customer segregated accounts held at the firm. As a result, the SEC and CFTC determined that a liquidation led by the Securities Investor Protection Corporation (SIPC) would be the safest and most prudent course of action to protect customer accounts and assets, and a SIPC led liquidation commenced. The Company held assets in customer segregated and secured amount accounts on deposit as required to support futures positions at MF Global as of October 31, 2011, although the majority of the Company’s assets were then, and are now, held in bank custody accounts.

On November 21, 2011, the liquidation trustee for MF Global (the Trustee) made a statement that the apparent shortfall in MF Global segregated funds could be as much as $1.2 billion. In light of the foregoing, the inherent uncertainty in the timing and results of the liquidation process from the bankruptcy proceedings, and after consultation with professional advisors, the Managing Member made the decision to account for the Company’s estimated exposure to such shortfall by taking a reserve, in accordance with U.S. generally accepted accounting principles (GAAP), of $7,330,679 or 2.33% of the members’ equity of the Total Index Series and $486,844 or 3.17% of the members’ equity of the Agricultural Sector Series, although there can be no assurance that any actual shortfall will not be greater than the Trustee’s estimate or that missing segregated funds will not be located reducing the estimated shortfall. The amount of the receivable from MF Global increased from December 31, 2011 to September 30, 2012 by $1,569,750 due to foreign currency conversions recorded in January 2012 of $157,344, a distribution by the Trustee of $826,971 (reducing the receivable) in September 2012, and write up of $2,239,385 taken by the Company in September 2012 which was based on the current information available regarding the bankruptcy proceedings and the levels that other claimants have been able to sell their claims. On November 1, 2012, the Company sold its MF Global claims for both the Total Index Series and the Agricultural Sector Series. The US trading account claims (4d) were sold for 97.75% and the foreign futures trading accounts (30.7) were sold for 92.75% of the total claim amount. The sale amount of the claims was booked on October 31, 2012 and the proceeds were received on November 2, 2012 for the Total Index Series and the Agricultural Sector Series in the amount of $16,047,085 and $1,339,829, respectively.

 

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Given the adverse impact of the MF Global liquidation and surrounding events, the Company issued separate classes of Interests to Members (Class B Interests) who invest in the Total Index Series or the Agricultural Sector Series on or after November 1, 2011. Members in these separate classes of Interests will not participate in any potential future losses related to the MF Global liquidation nor will they participate in the recoveries from MF Global or the reversals of any reserves or losses taken related to the MF Global liquidation.

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.

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, excluding the assets used to satisfy margin requirements, are invested in U.S. government securities, including 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 and certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits) at 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.

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.

 

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The preparation of financial statements in conformity with GAAP 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. The estimate of the receivable from MF Global is deemed a significant estimate as of September 30, 2012.

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, 2012

Total Index Series

During the third quarter of 2012, the Total Index Series achieved a net realized and unrealized gain of $32,832,502 from its trading operations, which is net of brokerage commissions of $116,346. The Total Index Series incurred total expenses of $691,414 including $483,149 in Management Fees (paid to the Managing Member), $28,340 in Servicing Fees (paid to selling agents), $105,634 in operating expenses, and $74,291 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 $8,032 in interest income. An analysis of trading gains and losses by market sector is as follows:

 

Sector

   % Gain  

Agricultural

     2.92

Energy

     5.44

Metals

     2.58
  

 

 

 

Total Portfolio

     10.94
  

 

 

 

The Total Index Series posted a net gain of 5.76% in July. The agricultural and energy sectors posted gains of 3.42% and 2.56%, respectively and the metals sector posted a net loss of (0.22)% Highest grossing commodities for the Total Index Series’ performance in July were corn, soybean meal, hard red winter wheat, soft red winter wheat and soybeans.

The Total Index Series posted a net loss of 4.82% in August. All three sectors, agricultural, energy and metals posted gains of 0.42%, 3.70% and 0.70%, respectively. Highest grossing commodities for the Total Index Series’ performance in September were RBOB gasoline, silver, heating oil, brent oil and gas oil.

The Total Index Series posted a net gain of 0.36% in September. The metals sector posted a gain of 2.10% and the agricultural and energy sectors posted losses of (0.92)% and (0.82)%, respectively. The highest grossing commodities for the Total Index Series’ performance in August were rubber, lead, nickel, zinc and natural gas.

 

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For the month ending October 31, 2011, the Total Index Series took a reserve of $7,330,679 or 2.33% due to the MF Global bankruptcy. The reserve was based on information provided by the Trustee at that time. Based on current information regarding the bankruptcy proceedings, including with respect to the levels at which other claimants have been able to sell their claims, it is the opinion of the Company that the best estimate as to the ultimate affect of the MF Global bankruptcy will be less than 2.33%. For this reason, a write up of $2,190,574 or 0.74% was credited to all investors that were in the Total Index Series prior to October 31, 2011. A hold back of $606,498 is due to Investors that have redeemed, but were Investors in the Total Index Series as of October 31, 2011 and participated in the MF Global write down. They will be paid their pro rata share of $606,498 along with their pro rata share of the MF Global recovery when the MF Global claims have been sold.

Agricultural Sector Series

During the third quarter of 2012, the Agricultural Sector Series achieved a net realized and unrealized gain of $1,123,783 from its trading operations, which is net of brokerage commissions of $5,118. The Agricultural Sector Series incurred total expenses of $43,037, including $21,991 in Management Fees (paid to the Managing Member), $4,940 in Servicing Fees (paid to selling agents), $12,726 in operating expenses, and $3,380 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 $570 in interest income.

The Agricultural Sector Series posted a net gain of 9.86% in July. Highest grossing commodities for the Agricultural Sector Series’ performance in July were corn, soybean meal, hard red winter wheat, soft red winter wheat and soybeans.

The Agricultural Sector Series posted a net gain of 1.11% in August. Highest grossing commodities for the Agricultural Sector Series’ performance in August were cocoa, orange juice, cotton, soybean meal and soybeans.

The Agricultural Sector Series posted a net loss of (2.44)% in September. Highest grossing commodities for the Agricultural Sector Series’ performance in September were rubber, milk, coffee, hard red winter wheat and milling wheat.

For the month ending October 31, 2011, the Agricultural Sector Series took a reserve of $486,845 or 3.17% due to the MF Global bankruptcy. The reserve was based on information provided by the Trustee at that time. Based on current information regarding the bankruptcy proceedings, including with respect to the levels at which other claimants have been able to sell their claims, it is the opinion of the Company that the best estimate as to the ultimate affect of the MF Global bankruptcy will be less than 3.17%. For this reason, a write up of $48,811 or 0.36% was credited to all investors that were in the Agricultural Sector Series prior to October 31, 2011. A hold back of $101,575 is due to Investors that have redeemed, but were Investors in the Agricultural Sector Series as of October 31, 2011 and participated in the MF Global write down. They will be paid their pro rata share of $101,575 along with their pro rata share of the MF Global recovery when the MF Global claims have been sold.

Three Months ended June 30, 2012

Total Index Series

During the second quarter of 2012, the Total Index Series achieved a net realized and unrealized loss of $30,137,196 from its trading operations, which is net of brokerage commissions of $136,264. The Total Index Series incurred total expenses of $670,777 including $460,154 in Management Fees (paid to the Managing Member), $27,356 in Servicing Fees (paid to Selling Agents), $112,512 in operating expenses, and $70,755 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 $4,866 in interest income. An analysis of trading losses (net of all trading fees and expenses) by market sector is as follows:

 

Sector

   % (Loss)  

Agricultural

     (0.48 )% 

Energy

     (7.11 )% 

Metals

     (2.07 )% 
  

 

 

 

Total Portfolio

     (9.66 )% 
  

 

 

 

The Total Index Series posted a net loss of (0.7)% in April. All three sectors, agricultural, energy and metals, posted losses of (0.55)%, (0.12)% and (0.06)%, respectively. Highest grossing commodities for the Total Index Series’ performance in April were soybean meal, azuki beans, soybeans, lumber and lead.

 

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The Total Index Series posted a net loss of (11.5)% in May. All three sectors, agricultural, energy and metals, posted losses of (3.04)%, (6.49)% and (1.98)%, respectively. Highest grossing commodities for the Total Index Series’ performance in May were milk, lean hogs, live cattle, natural gas and milling wheat.

The Total Index Series posted a net gain of 2.8% in June. The agricultural sector posted a gain of 3.10% while the energy and metals sectors posted losses of (0.51)% and (0.03)%, respectively. Highest grossing commodities for the Total Index Series’ performance in June were corn, oats, soybean meal, soft red winter wheat and natural gas.

Agricultural Sector Series

During the second quarter of 2012, the Agricultural Sector Series achieved a net realized and unrealized loss of $327,138 from its trading operations, which is net of brokerage commissions of $7,901. The Agricultural Sector Series incurred total expenses of $42,550, including $21,267 in Management Fees (paid to the Managing Member), $4,363 in Servicing Fees (paid to selling agents), $13,650 in operating expenses, and $3,270 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 $412 in interest income.

The Agricultural Sector Series posted a net loss of (1.64)% in April. Highest grossing commodities for the Agricultural Sector Series’ performance in April were soybean meal, azuki beans, soybeans, lumber and rapeseed.

The Agricultural Sector Series posted a net loss of (8.74)% in May. Highest grossing commodities for the Agricultural Sector Series’ performance in May were milk, lean hogs, live cattle, milling wheat and hard red winter wheat.

The Agricultural Sector Series posted a net gain of 8.51% in June. Highest grossing commodities for the Agricultural Sector Series’ performance in June were corn, oats, soybean meal, soft red winter wheat and soybeans.

Three Months ended March 31, 2012

Total Index Series

During the first quarter of 2012, the Total Index Series achieved a net realized and unrealized gain of $14,961,159 from its trading operations, which is net of brokerage commissions of $150,473. The Total Index Series incurred total expenses of $729,372, including $504,342 in Management Fees (paid to the Managing Member), $26,896 in Servicing Fees (paid to selling agents), $120,585 in operating expenses, and $77,549 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 $366 in interest income. An analysis of trading gains (net of all trading fees and expenses) by market sector is as follows:

 

Sector

   % Gain (Loss)  

Agricultural

     (0.99 )% 

Energy

     3.99

Metals

     2.20
  

 

 

 

Total Portfolio

     5.20
  

 

 

 

The Total Index Series posted a net gain of 3.4% in January. All three sectors, agricultural, energy and metals, posted gains of 0.89%, 0.35% and 2.20%, respectively. Highest grossing commodities for the Total Index Series’ performance in January were tin, orange juice, silver, rubber and zinc.

The Total Index Series posted a net gain of 4.4% in February. All three sectors, agricultural, energy and metals, posted gains of 0.66%, 3.68% and 0.08%, respectively. Highest grossing commodities for the Total Index Series’ performance in February were brent oil, soybean meal, canola, soybeans and crude oil.

 

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The Total Index Series posted a net loss of (2.6)% in March. All three sectors, agricultural, energy and metals, posted losses of (2.54)%, (0.04)% and (0.08)%, respectively. Highest grossing commodities for the Total Index Series’ performance in March were soybean meal, oats, canola, rapeseed and soybeans.

Agricultural Sector Series

During the first quarter of 2012, the Agricultural Sector Series achieved a net realized and unrealized gain of $240,093 from its trading operations, which is net of brokerage commissions of $7,152. The Agricultural Sector Series incurred total expenses of $42,177, including $20,945 in Management Fees (paid to the Managing Member), $4,526 in Servicing Fees (paid to selling agents), $13,485 in operating expenses, and $3,221 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 incurred $227 in interest expense due to market fluctuations as treasury bills are marked to market.

The Agricultural Sector Series posted a net gain of 1.19% in January. Highest grossing commodities for the Agricultural Sector Series’ performance in January were orange juice, rubber, milling wheat, cocoa and rapeseed.

The Agricultural Sector Series posted a net gain of 1.38% in February. Highest grossing commodities for the Agricultural Sector Series’ performance in February were soybean meal, canola, soybeans, sugar and oats.

The Agricultural Sector Series posted a net loss of (0.83)% in March. Highest grossing commodities for the Agricultural Sector Series’ performance in March were soybean meal, oats, canola, rapeseed and rubber.

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 Sector Series

During the third quarter of 2011, the Agricultural Sector 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 Sector 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 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 $443 in interest income.

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

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

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

Three Months ended June 30, 2011

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

 

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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.

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.

 

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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.

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.

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, excluding the assets used to satisfy margin requirements, in U.S. government securities, including securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-United States exchanges), other CFTC-authorized investments and certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits) at 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.

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, 2012 (unaudited) and December 31, 2011.

 

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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Introduction

Past Results Are Not Necessarily Indicative of Future Performance

The Company is a speculative index fund designed to replicate positions in a commodity index. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Company’s main line of business.

Market movements result in frequent changes in the fair market value of the Company’s open positions and, consequently, in its earnings and cash flow. The Company’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, the market value of financial instruments and contracts, the diversification effects among the Company’s open positions and the liquidity of the markets in which it trades.

The Company can rapidly acquire and/or liquidate long positions in a wide range of commodity markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Company’s past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Company could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Company’s speculative trading and the occurrence in the markets traded by the Company of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond that indicated or the Company’s experience to date (i.e., risk of ruin). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Company’s losses in any market sector will be limited to Value at Risk or by the Company’s attempts to manage its market risk.

Materiality, as used in this section “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Company’s market sensitive instruments.

Quantifying the Company’s Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Company’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Company’s risk exposure in the various market sectors traded by the Managing Member is quantified below in terms of Value at Risk. Due to the Company’s mark-to-market accounting, any loss in the fair value of the Company’s open positions is directly reflected in the Company’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have been used by the Company as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed 95-99% of the maximum one-day losses in the fair value of any given contract incurred during the time period over which historical price fluctuations are researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In quantifying the Company’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Company’s positions are rarely, if ever, 100% positively correlated have not been reflected.

 

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Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest amounts of trading Value at Risk associated with the Total Index Series’ open positions by market category for the quarter ended September 30, 2012 and fiscal year ended December 31, 2011. During the quarter ended September 30, 2012 and the fiscal year ended December 31, 2011, the Total Index Series’ average total capitalization was approximately $292,668,126 and $332,251,093, respectively.

 

Total Index Series  

Three Months Ended September 30, 2012

 

Market Sector

   Average Value
at Risk
     % of Average
Capitalization
    Highest Value
at Risk
     Lowest Value
at Risk
 

Commodities

   $ 17.13         5.9   $ 17.82       $ 16.17   

Fiscal Year Ended December 31, 2011

 

Market Sector

   Average Value
at Risk
     % of Average
Capitalization
    Highest Value
at Risk
     Lowest Value
at Risk
 

Commodities

   $ 20.39         6.2   $ 21.17       $ 17.92   

Average, highest and lowest Value at Risk amounts relate to the quarter end amounts during the relevant period. Average Capitalization is the Total Index Series’ capitalization at the end of each month during the relevant period. Dollar amounts represent millions of dollars.

The following table indicates the average, highest and lowest amounts of trading Value at Risk associated with the Agricultural Sector Series’ open positions by market category for the quarter ended September 30, 2012 and fiscal year ended December 31, 2011. During the quarter ended September 30, 2012 and the fiscal year ended December 31, 2011, the Agricultural Sector Series’ average total capitalization was approximately $13,217,437 and $15,976,230, respectively.

 

Agricultural Sector Series  

Three Months Ended September 30, 2012

 

Market Sector

   Average Value
at Risk
     % of Average
Capitalization
    Highest Value
at Risk
     Lowest Value
at Risk
 

Commodities

   $ 0.72         5.4   $ 0.72       $ 0.72   

Fiscal Year Ended December 31, 2011

 

Market Sector

   Average Value
at Risk
     % of Average
Capitalization
    Highest Value
at Risk
     Lowest Value
at Risk
 

Commodities

   $ 0.98         6.1   $ 1.11       $ 0.66   

Average, highest and lowest Value at Risk amounts relate to the quarter end amounts during the relevant period. Average Capitalization is the average of the Agricultural Sector Series’ capitalization at the end of each month during the relevant period. Dollar amounts represent millions of dollars.

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Company is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally range between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Company. The magnitude of the Company’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Company to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Company — give no indication of this “risk of ruin.”

Non-Trading Risk

The Company may experience non-trading market risk on any foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are expected to be immaterial. The Company also may have non-trading market risk as a result of investing in U.S. Treasury instruments. The market risk represented by these investments is expected to be immaterial.

 

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Qualitative Disclosures

There have been no material changes in the qualitative disclosures about market risk to the Company from those previously disclosed in the Company’s Annual Report on Form 10-K for its fiscal year ended December 31, 2011.

 

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, 2012 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.

 

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PART II - OTHER INFORMATION

 

ITEM 1. LEGAL PROCEEDINGS

None.

 

ITEM 1A. RISK FACTORS

There are no material changes from risk factors as previously disclosed in Form 10-K, filed March 30, 2012.

 

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

During the third fiscal quarter of 2012, the Total Index Series issued Interests, to both new and existing Members, in the following dollar amounts: July: $25,990,209; August: $1,399,330; and September: $1,756,720.

During the third fiscal quarter of 2012, the Agricultural Sector Series issued Interests, to both new and existing Members, in the following dollar amounts: July: $48,641; August: $30,000; and September: $114,350.

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.

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, 2012:

 

Date of Closing

   Total Amount of
Withdrawals
 

July 31, 2012

   $ 2,875,891   

August 31, 2012

   $ 4,159,401   

September 30, 2012

   $ 6,094,188   

The following table summarizes the withdrawals by Members from the Agricultural Sector Series during the three months ended September 30, 2012:

 

Date of Closing

   Total Amount of
Withdrawals
 

July 31, 2012

   $ 860,601   

August 31, 2012

   $ 0   

September 30, 2012

   $ 177,620   

 

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ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not applicable.

 

ITEM 4. MINE SAFETY DISCLOSURES

Not applicable.

 

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 quarter ended September 30, 2012, filed with the SEC on November 14, 2012 formatted in Extensible Business Reporting Language (XBRL): (i) the Unaudited Consolidated Balance Sheets as of September 30, 2012 and December 31, 2011, (ii) the Unaudited Consolidated Statements of Operations for the quarter and year to date ended September 30, 2012 and September 30, 2011, and (iii) 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, 2012

    RICI® Linked – PAM Advisors Fund, LLC
    (Registrant)
    By:   Price Asset Management, Inc.
      Managing Member
    By:  

/s/ John D. Reese

      John D. Reese
      Principal Executive Officer
    By:  

/s/ Maura A. Clark

      Maura A. Clark
      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 2012, filed with the SEC on November 14, 2012, formatted in Extensible Business Reporting Language (XBRL): (i) the Unaudited Consolidated Balance Sheets as of September 30, 2012 and December 31, 2011, (ii) the Unaudited Consolidated Statements of Operations for the quarter and year to date ended September 30, 2012 and September 30, 2011, and (iii) Notes to Unaudited Consolidated Financial Statements.

 

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