Form 10-Q

0001193125-12-469472.txt : 20121114 0001193125-12-469472.hdr.sgml : 20121114 20121114111106 ACCESSION NUMBER: 0001193125-12-469472 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 11 CONFORMED PERIOD OF REPORT: 20120930 FILED AS OF DATE: 20121114 DATE AS OF CHANGE: 20121114 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BHM Discretionary Futures Fund L.P. CENTRAL INDEX KEY: 0001504886 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-54284 FILM NUMBER: 121201858 BUSINESS ADDRESS: STREET 1: 522 FIFTH AVENUE STREET 2: 14TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 212-296-1999 MAIL ADDRESS: STREET 1: 522 FIFTH AVENUE STREET 2: 14TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 10-Q 1 d404518d10q.htm FORM 10-Q Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 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 000-54284

BHM DISCRETIONARY FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

Delaware

27-3371689

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

c/o Ceres Managed Futures LLC

522 Fifth Avenue -14^th Floor

New York, New York 10036

(Address of principal executive offices) (Zip Code)

(855) 672-4468

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes X No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of 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. (Check one):


Large accelerated filer		Accelerated filer		Non-accelerated filer X		Smaller reporting company

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes No X

BHM DISCRETIONARY FUTURES FUND L.P.

FORM 10-Q

INDEX


	Page Number
PART I — Financial Information:
Item 1. Financial Statements:
Statements of Financial Condition at September 30, 2012 (unaudited) and December 31, 2011		3
Statements of Income and Expenses for the three and nine months ended September 30, 2012 and 2011 (unaudited)		4
Statement of Changes in Partners’ Capital for the nine months ended September 30, 2012 and 2011 (unaudited)		5
Notes to Financial Statements, including the Financial Statements of BHM I, LLC (unaudited)		6-22
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		23-25
Item 3. Quantitative and Qualitative Disclosures about Market Risk		26-28
Item 4. Controls and Procedures		29
PART II — Other Information
Item 1. Legal Proceedings		30
Item 1A. Risk Factors		31
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds		31
Item 5. Other Information		32
Item 6. Exhibits		33

PART I

Item 1. Financial Statements

BHM Discretionary Futures Fund L.P.

Statements of Financial Condition


	(Unaudited) September 30, 2012		December 31, 2011
Assets:
Investment in Trading Company, at fair value	$	286,454,084	$	270,589,333

Total assets	$	286,454,084	$	270,589,333

Liabilities and Partners’ Capital:
Liabilities:
Redemptions payable	$	3,445,948	$	4,181,653

Total liabilities		3,445,948		4,181,653

Partners’ Capital:
General Partner, Class A, (0 units equivalents outstanding at September 30, 2012 and December 31, 2011)		0		0
General Partner, Class D, (0 units equivalents outstanding at September 30, 2012 and December 31, 2011)		0		0
General Partner, Class Z, (3,625.305 and 3,322.258 units equivalents outstanding at September 30, 2012 and December 31, 2011, respectively)		2,914,093		2,719,733
Limited Partners, Class A, (338,875.769 and 297,148.967 units outstanding at September 30, 2012 and December 31, 2011, respectively)		270,404,612		246,995,994
Limited Partners, Class D, (9,581.734 and 20,469.784 units outstanding at September 30, 2012 and December 31, 2011, respectively)		7,160,455		15,667,296
Limited Partners, Class Z, (3,146.221 and 1,251.675 units outstanding at September 30, 2012 and December 31, 2011, respectively)		2,528,976		1,024,657

Total Partners’ Capital		283,008,136		266,407,680

Total liabilities and Partners’ Capital	$	286,454,084	$	270,589,333

Net asset value per unit:
Class A	$	797.95	$	831.22

Class D	$	747.30	$	765.39

Class Z	$	803.82	$	818.64

The accompanying notes are integral part of these financial statements.

BHM Discretionary Futures Fund L.P.

Statements of Income and Expenses

(Unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Investment income:
Interest income allocated from Trading Company	$	0		$	(14,492	)	$	(37,961	)	$	(20,894	)

Expenses:
Expenses allocated from Trading Company		1,527,324			1,583,065			4,865,818			3,389,782
Ongoing placement agent fees		2,054,914			2,062,683			6,313,982			4,411,264
Administrative fees		712,694			715,976			2,210,344			1,531,161
Other		59,574			11,931			202,949			164,675

Total expenses		4,354,506			4,373,655			13,593,093			9,496,882

Net investment income (loss)		(4,354,506	)		(4,388,147	)		(13,631,054	)		(9,517,776	)

Trading Results:
Net realized gains (losses) on closed contracts allocated from Trading Company		(4,185,838	)		(11,863,041	)		(17,155,709	)		(11,683,649	)
Change in net unrealized gains (losses) on open contracts allocated from Trading Company		17,188,890			(21,127,141	)		17,877,044			(39,167,806	)

Total trading results allocated from Trading Company		13,003,052			(32,990,182	)		721,335			(50,851,455	)

Net income (loss)	$	8,648,546		$	(37,378,329	)	$	(12,909,719	)	$	(60,369,231	)

Net income (loss) allocation from Trading Company
Class A	$	8,189,487		$	(35,464,369	)	$	(12,442,674	)	$	(57,174,901	)

Class D	$	262,274		$	(1,805,055	)	$	(328,210	)	$	(3,085,425	)

Class Z	$	196,785		$	(108,905	)	$	(138,835	)	$	(108,905	)

Net asset value per unit
Class A	$	797.95		$	874.42		$	797.95		$	874.42

Class D	$	747.30		$	800.55		$	747.30		$	800.55

Class Z	$	803.82		$	854.65		$	803.82		$	854.65

Net income (loss) per unit*
Class A	$	23.44		$	(125.88	)	$	(33.27	)	$	(203.74	)

Class D	$	25.97		$	(109.88	)	$	(18.09	)	$	(199.45	)

Class Z	$	29.38		$	(145.35	)	$	(14.82	)	$	(145.35	)

Weighted average units outstanding
Class A		347,407.572			266,597.297			338,556.092			183,292.345

Class D		10,549.884			15,907.137			15,614.052			12,505.428

Class Z		6,764.380			442.426			6,252.353			442.426

*	Based on change in net asset value per unit.

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

BHM Discretionary Futures Fund L.P.

Statements of Changes in Partners’ Capital

For the Nine Months Ended September 30, 2012 and 2011

(Unaudited)


	Class A						Class D						Class Z						Total
	Amount			Units			Amount			Units			Amount			Units			Amount			Units
Partners’ Capital at December 31, 2011	$	246,995,994			297,148.967		$	15,667,296			20,469.784		$	3,744,390			4,573.933		$	266,407,680			322,192.684
Subscriptions — Limited Partners		66,566,869			79,801.002			539,571			696.660			1,716,120			2,059.888			68,822,560			82,557.550
Subscriptions — General Partner		0			0			0			0			250,000			303.047			250,000			303.047
Net income (loss)		(12,442,674	)		0			(328,210	)		0			(138,835	)		0			(12,909,719	)		0
Redemptions — Limited Partners		(30,715,577	)		(38,074.200	)		(8,718,202	)		(11,584.710	)		(128,606	)		(165.342	)		(39,562,385	)		(49,824.252	)

Partners’ Capital at September 30, 2012	$	270,404,612			338,875.769		$	7,160,455			9,581.734		$	5,443,069			6,771.526		$	283,008,136			355,229.029


	Class A						Class D					Class Z						Total
	Amount			Units			Amount			Units		Amount			Units			Amount			Units
Partners’ Capital at December 31, 2010	$	57,300,554			53,051.293		$	0			0	$	0			0		$	57,300,554			53,051.293
Subscriptions — Limited Partners		259,093,945			240,174.134			12,755,959			12,850.879		760,561			762.481			272,610,465			253,787.494
Subscriptions — General Partner		1,250,000			1,132.249			3,338,254			3,398.972		0			0			4,588,254			4,531.221
Net income (loss)		(57,174,901	)		0			(3,085,425	)		0		(108,905	)		0			(60,369,231	)		0
Redemptions — Limited Partners		(19,415,807	)		(19,120.875	)		0			0		(22,221	)		(26.000	)		(19,438,028	)		(19,146.875	)
Redemptions — General Partner		(1,863,254	)		(1,695.038	)		0			0		0			0			(1,863,254	)		(1,695.038	)

Partners’ Capital at September 30, 2011	$	239,190,537			273,541.763		$	13,008,788			16,249.851	$	629,435			736.481		$	252,828,760			290,528.095

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

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

1. General:

BHM Discretionary Futures Fund L.P. (the “Partnership”) is a limited partnership organized on August 23, 2010 under the partnership laws of the State of Delaware to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The Partnership commenced trading on November 1, 2010. The commodity interests that are traded by the Partnership are volatile and involve a high degree of market risk. The Partnership is authorized to sell an unlimited number of redeemable units of limited partnership interest (“Units”) on a continuous basis.

Ceres Managed Futures LLC, a Delaware limited liability company, serves as the Partnership’s general partner (the “General Partner” or “Ceres”). Demeter Management LLC (“Demeter”) previously served as the Partnership’s general partner. Demeter was merged into Ceres effective December 1, 2010. Ceres is a wholly-owned subsidiary of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”). Morgan Stanley is the indirect majority owner of MSSBH and Citigroup Inc. is the indirect minority owner of MSSBH.

On November 1, 2010, the Partnership allocated substantially all of its capital to the Morgan Stanley Smith Barney BHM I, LLC (the “Trading Company”), a limited liability company organized under the Delaware Limited Liability Company Law. The Trading Company was formed in order to permit accounts managed by Blenheim Capital Management LLC (“Blenheim” or the “Advisor”) using Blenheim’s Global Markets Strategy-Futures/FX program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the trading manager of the Trading Company. Individual and pooled accounts currently managed by the General Partner, including the Partnership, are permitted to be members of the Trading Company. The General Partner and the Advisor believe that trading through this master/feeder structure promotes efficiency and economy in the trading process.

On February 1, 2011, the Units offered pursuant to the Limited Partnership Agreement were deemed “Class A Units.” The rights, liabilities, risks, and fees associated with investment in the Class A Units were not changed. In addition, beginning on February 1, 2011, Class D Units were offered. Beginning August 1, 2011, Class Z units were offered to certain employees of Morgan Stanley Smith Barney LLC (“MSSB” or the “Placement Agent”) and its affiliates (and their family members). Class A, Class D and Class Z will each be referred to as a “Class” and collectively referred to as the “Classes.” The Class of Units that a Limited Partner receives upon a subscription will generally depend upon the amount invested in the Partnership, although the General Partner may determine to offer Units to investors at its discretion.

As of September 26, 2012, MSSB is doing business as Morgan Stanley Wealth Management. This entity, where the Partnership continues to maintain a cash account, previously acted as a non-clearing broker for the Trading Company. The clearing commodity brokers for the Trading Company are Morgan Stanley & Co. LLC (“MS&CO.”) and Morgan Stanley & Co. International plc (“MSIP”).

At September 30, 2012, the Partnership owned approximately 66.4% of the Trading Company. At December 31, 2011, the Partnership owned approximately 59.4% of the Trading Company. The Partnership intends to continue to invest substantially all of its assets in the Trading Company. The performance of the Partnership is directly affected by the performance of the Trading Company. The Trading Company’s trading of futures, forwards, and options contracts, as applicable, is done primarily on U.S. and foreign commodity exchanges. The Trading Company’s Statements of Financial Condition, including Condensed Schedules of Investments and Statements of Income and Expenses and Changes in Members’ Capital are included herein.

The General Partner and each limited partner of the Partnership (each a “Limited Partner”) share in the profits and losses of the Partnership in proportion to the amount of partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits or losses, if any, net of distributions.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at September 30, 2012 and December 31, 2011, and the results of its operations for the three and nine months ended September 30, 2012 and 2011 and changes in partners’ capital for the nine months ended September 30, 2012 and 2011. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s Annual Report on the Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2011.

The preparation of financial statements in accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, 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. As a result, actual results could differ from these estimates.

Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

The Trading Company’s Statements of Financial Condition and Condensed Schedules of Investments as of September 30, 2012 and December 31, 2011 and Statements of Income and Expenses and Changes in Members’ Capital for the three and nine months ended September 30, 2012 and 2011 are presented below:

BHM I, LLC

Statements of Financial Condition


	(Unaudited) September 30, 2012		December 31, 2011
Assets:
Equity in trading account:
Unrestricted cash	$	381,138,218	$	431,008,463
Restricted cash		35,477,785		39,680,416

Total cash		416,616,003		470,688,879

Net unrealized gain (loss) on open contracts (MS&Co.)		7,666,621		(2,733,968	)
Net unrealized gain (loss) on open contracts (MSIP)		6,569,543		(9,386,431	)

Total net unrealized gain (loss) on open contracts		14,236,164		(12,120,399	)

Options purchased, (premiums paid $16,713,354 and $10,429,207, respectively)		8,972,431		12,753,218

Total trading equity		439,824,598		471,321,698
Expense reimbursements		8,943		15,406

Total assets	$	439,833,541	$	471,337,104

Liabilities and Members’ Capital:
Liabilities:
Options written (premiums received $16,245,918 and $11,823,204, respectively)	$	7,649,336	$	15,280,523
Accrued management fees		596,278		592,596
Interest payable (MSSB)		—		7,910
Accrued administrative fees		1,695		1,947

Total liabilities		8,247,309		15,882,976

Members’ Capital:
Non-Managing Members		431,586,232		455,454,128

Total members’ capital		431,586,232		455,454,128

Total liabilities and members’ capital	$	439,833,541	$	471,337,104

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

BHM I, LLC

Condensed Schedule of Investments

September 30, 2012

(Unaudited)


	Fair Value			% of Members’ Capital
Futures and Forward Contracts Purchased
Commodity	$	27,311,367			6.33	%
Equity		(90	)		(0.00	)*
Foreign currency		(2,176,568	)		(0.50	)

Total futures and forward contracts purchased		25,134,709			5.83


Futures and Forward Contracts Sold
Commodity		(9,600,774	)		(2.22	)
Foreign currency		12,075			0.00	*
Interest rates		(636,044	)		(0.15	)

Total futures and forward contracts sold		(10,224,743	)		(2.37	)

Unrealized currency loss		(673,802	)		(0.16	)

Net fair value	$	14,236,164			3.30	%


Options Contracts
Options purchased on futures Contracts	$	8,972,431			2.08	%
Options written on futures Contracts	$	(7,649,336	)		(1.77	)%

*	Due to rounding.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

BHM I, LLC

Condensed Schedule of Investments

December 31, 2011


	Fair Value			% of Members’ Capital
Futures and Forward Contracts Purchased
Commodity	$	(14,245,073	)		(3.13	)%
Foreign currency		(5,365,591	)		(1.17	)
Interest rates		19,224			0.00	*

Total futures and forward contracts purchased		(19,591,440	)		(4.30	)


Futures and Forward Contracts Sold
Commodity		8,637,143			1.89
Equity		(11,703	)		(0.00	)*
Foreign currency		(572,376	)		(0.13	)
Interest rates		(111,982	)		(0.02	)

Total futures and forward contracts sold		7,941,082			1.74

Unrealized currency loss		(470,041	)		(0.10	)

Net fair value	$	(12,120,399	)		(2.66	)%


Options Contracts
Options purchased on futures Contracts	$	12,753,218			2.80	%
Options written on futures Contracts	$	(15,280,523	)		(3.36	)%

*	Due to rounding.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

BHM I, LLC

Statements of Income and Expenses and Changes in Members’ Capital

(Unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Investment income:
Interest income (MS&Co. & MSSB)	$	—		$	(19,396	)	$	(48,368	)	$	(27,873	)


Expenses:
Management fees		1,784,538			1,911,749			5,592,450			4,245,819
Brokerage, clearing and transaction fees		161,814			260,691			724,001			626,328
Administrative fees		5,231			7,858			16,822			85,861
Incentive fees		—			—			—			245,858

Total expenses		1,951,583			2,180,298			6,333,273			5,203,866
Expense reimbursements		(27,828	)		(51,867	)		(139,166	)		(153,305	)

Net expenses		1,923,755			2,128,431			6,194,107			5,050,561

Net investment loss		(1,923,755	)		(2,147,827	)		(6,242,475	)		(5,078,434	)

Trading results:
Trading profit (loss):
Net realized		(6,446,161	)		(20,371,825	)		(26,287,632	)		(9,116,006	)
Net change in unrealized		26,202,810			(39,318,772	)		28,345,530			(75,604,199	)

Total trading results		19,756,649			(59,690,597	)		2,057,898			(84,720,205	)


Net income (loss)	$	17,832,894		$	(61,838,424	)	$	(4,184,577	)	$	(89,798,639	)

Net income (loss) allocation
Non-managing members	$	17,832,894		$	(61,838,424	)	$	(4,184,577	)	$	(89,798,639	)



	Managing Member		Non-Managing Members			Total
Members’ Capital, December 31, 2011	$	—	$	455,454,128		$	455,454,128
Capital contributions		—		32,589,994			32,589,994
Net loss		—		(4,184,577	)		(4,184,577	)
Capital withdrawals		—		(52,273,313	)		(52,273,313	)

Members’ Capital, September 30, 2012	$	—	$	431,586,232		$	431,586,232


Members’ Capital, December 31, 2010		—	$	208,652,878		$	208,652,878
Capital contributions		—		346,718,013			346,718,013
Net loss		—		(89,798,639	)		(89,798,639	)
Capital withdrawals		—		(12,163,444	)		(12,163,444	)

Members’ Capital, September 30, 2011	$	—	$	453,408,808		$	453,408,808

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

2. Financial Highlights:

Changes in the net asset value per redeemable unit for each Class for the three and nine months ended September 30, 2012 and 2011 were as follows:


	Three Months Ended September 30, 2012									Three Months Ended September 30, 2011						For the period August 1, 2011 (commencement of operations) to September 30, 2011
	Class A			Class D			Class Z			Class A			Class D			Class Z
Net realized and unrealized gains (losses) *	$	29.46		$	31.60		$	35.41		$	(118.19	)	$	(102.86	)	$	(140.30	)
Net investment income (loss) **		(6.02	)		(5.63	)		(6.03	)		(7.69	)		(7.02	)		(5.05	)

Increase (decrease) for the period		23.44			25.97			29.38			(125.88	)		(109.88	)		(145.35	)
Net asset value per Unit, beginning of period		774.51			721.33			774.44			1,000.30			910.43			1,000.00

Net asset value per Unit, end of period	$	797.95		$	747.30		$	803.82		$	874.42		$	800.55		$	854.65

Redemption/subscription value per Unit, end of period	$	797.95		$	747.30		$	803.82		$	874.44	***	$	800.64	***	$	854.65	***


	Nine Months Ended September 30, 2012									Nine Months Ended September 30, 2011			For the period February 1, 2011 (commencement of operations) to September 30, 2011			For the period August 1, 2011 (commencement of operations) to September 30, 2011
	Class A			Class D			Class Z			Class A			Class D			Class Z

Net realized and unrealized gains (losses) *	$	(14.17	)	$	(0.36	)	$	4.17		$	(175.18	)	$	(180.28	)	$	(140.30	)
Net investment income (loss) **		(19.10	)		(17.73	)		(18.99	)		(28.56	)		(19.17	)		(5.05	)

Increase (decrease) for the period		(33.27	)		(18.09	)		(14.82	)		(203.74	)		(199.45	)		(145.35	)
Net asset value per Unit, beginning of period		831.22			765.39			818.64			1,078.16			1,000.00			1,000.00

Net asset value per Unit, end of period	$	797.95		$	747.30		$	803.82		$	874.42		$	800.55		$	854.65

Redemption/subscription value per Unit, end of period	$	797.95		$	747.30		$	803.82		$	874.44	***	$	800.64	***	$	854.65	***

*	Includes brokerage fees.

**	Excludes brokerage fees.

***	GAAP net asset value per unit adjusted for the remaining accrued liability for reimbursement of organizational costs (Note 3).

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)


	Three Months Ended September 30, 2012									Three Months Ended September 30, 2011						For the period August 1, 2011 (commencement of operations) to September 30, 2011
	Class A			Class D			Class Z			Class A****			Class D****			Class Z****
Ratios to average net assets:*****
Net investment income (loss)		(6.3	)%		(4.0	)%		(3.2	)%		(6.7	)%		(4.1	)%		(4.9	)%
Incentive fees allocated from the Trading company		—	%		—	%		—	%		—	%		—	%		—	%

Net investment loss before incentive fees******		(6.3	)%		(4.0	)%		(3.2	)%		(6.7	)%		(4.1	)%		(4.9	)%


Operating expense		6.3	%		4.0	%		3.2	%		6.7	%		4.1	%		4.9	%
Incentive fees		—	%		—	%		—	%		—	%		—	%		—	%

Total expenses		6.3	%		4.0	%		3.2	%		6.7	%		4.1	%		4.9	%

Total return:
Total return before incentive fees		3.0	%		3.6	%		3.8	%		(12.6	)%		(12.1	)%		(14.5	)%
Incentive fees		—	%		—	%		—	%		—	%		—	%		—	%

Total return after incentive fees		3.0	%		3.6	%		3.8	%		(12.6	)%		(12.1	)%		(14.5	)%


	Nine Months Ended September 30, 2012									Nine Months Ended September 30, 2011			For the period February 1, 2011 (commencement of operations) to September 30, 2011			For the period August 1, 2011 (commencement of operations) to September 30, 2011
	Class A			Class D			Class Z			Class A****			Class D****			Class Z****
Ratios to average net assets:*****
Net investment income (loss)		(6.5	)%		(4.3	)%		(3.8	)%		(7.2	)%		(4.1	)%		(4.9	)%
Incentive fees allocated from the Trading company		—	%		—	%		—	%		—	%		—	%		—	%

Net investment income (loss) before incentive fees ******		(6.5	)%		(4.3	)%		(3.8	)%		(7.2	)%		(4.1	)%		(4.9	)%


Operating expenses		6.5	%		4.3	%		3.8	%		7.1	%		4.1	%		4.9	%
Incentive fees		—	%		—	%		—	%		—	%		—	%		—	%

Total expenses		6.5	%		4.3	%		3.8	%		7.1	%		4.1	%		4.9	%

Total return:
Total return before incentive fees		(4.0	)%		(2.4	)%		(1.8	)%		(18.9	)%		(19.9	)%		(14.5	)%
Incentive fees		—	%		—	%		—	%		—	%		—	%		—	%

Total return after incentive fees		(4.0	)%		(2.4	)%		(1.8	)%		(18.9	)%		(19.9	)%		(14.5	)%

**** The ratios are shown net and gross of incentive fees to conform to current period presention.

*****

Annualized (other than incentive fees).

******

Interest income less operating expenses which exclude incentive fees allocated from the Trading Company.

The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

Financial Highlights of the Trading Company:


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Ratios to average Members’ Capital: ⁽¹⁾
Net investment loss⁽²⁾		(1.78	)		(1.78	)		(1.81	)		(1.79	)
Expenses before incentive fees⁽²⁾		1.78			1.76			1.80			1.72
Expenses after incentive fees⁽²⁾		1.78			1.76			1.80			1.78
Net income (loss)		4.14			(12.92	)		(0.91	)		(23.98	)
Total return before incentive fees		4.18			(11.60	)		(0.70	)		(15.95	)
Total return after incentive fees		4.18			(11.60	)		(0.70	)		(15.75	)

⁽¹⁾	The calculation is based on non-managing Members’ allocated income and expenses and average non-managing Members’ Capital.

⁽²⁾	Annualized except for incentive fees.

3. Organizational Costs:

Organizational costs of $96,931 relating to the issuance and marketing of the Partnership’s Units offered were initially paid by MS&Co. These costs were recorded as due to MS&Co. in its 2010 Statement of Financial Condition. These costs were reimbursed to MS&Co. by the Partnership in twelve monthly installments.

As of September 30, 2012, all of these costs have been reimbursed to MS&Co by the Partnership.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

4. Trading Activities:

The Partnership’s pro rata share of the results of the Trading Company’s trading activities are shown in the Statement of Income and Expenses.

The Partnership and Trading Company in the normal course of business, enter into various contracts with MSSB, MS&Co., and MSIP acting as their commodity brokers. The brokerage agreements with MSSB, MS&Co., give the Partnership and the Trading Company, respectively, the legal right to net unrealized gains and losses on open futures and forward contracts. The Trading Company nets, for financial reporting purposes, the unrealized gains and losses on open futures and forward contracts on its Statements of Financial Condition as the criteria under Accounting Standards Codification (“ASC”) 210-20, “Balance Sheet,” have been met.

The following tables summarize the valuation of the Trading Company’s investments as of September 30, 2012 and December 31, 2011, respectively.

September 30, 2012


Futures and Forward Contracts	Long Unrealized Gain		Long Unrealized Loss			Short Unrealized Gain		Short Unrealized Loss			Net Unrealized Gain/(Loss)			Average number of contracts outstanding for nine months (absolute quantity)
Commodity	$	33,895,114	$	(6,583,747	)	$	2,759,133	$	(12,359,907	)	$	17,710,593			14,100
Equity		—		(90	)		—		—			(90	)		101
Foreign currency		339,966		(2,516,534	)		12,075		—			(2,164,493	)		2,012
Interest rates		—		—			—		(636,044	)		(636,044	)		1,768

Total	$	34,235,080	$	(9,100,371	)	$	2,771,208	$	(12,995,951	)	$	14,909,966

Unrealized currency loss												(673,802	)

Total net unrealized loss on open contracts											$	14,236,164	*


				Average number of contracts outstanding for three months (absolute quantity)
Option Contracts at Fair Value
Options purchased	$	8,972,431	**		5,503
Options written	$	(7,649,336	)***		3,269

*	This amount is in “Total net unrealized gain (loss) on open contracts” on the Trading Company’s Statements of Financial Condition.

**	This amount is in “Options purchased,” on the Trading Company’s Statements of Financial Condition.

***	This amount is in “Options written,” on the Trading Company’s Statements of Financial Condition.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

December 31, 2011


Futures and Forward Contracts	Long Unrealized Gain		Long Unrealized Loss			Short Unrealized Gain		Short Unrealized Loss			Net Unrealized Gain/(Loss)			Average number of contracts outstanding for the year (absolute quantity)
Commodity	$	13,170,302	$	(27,415,375	)	$	14,692,444	$	(6,055,301	)	$	(5,607,930	)		11,722
Equity		—		—			—		(11,703	)		(11,703	)		41
Foreign currency		28,585		(5,394,176	)		669,975		(1,242,351	)		(5,937,967	)		984
Interest rates		61,069		(41,845	)		—		(111,982	)		(92,758	)		2,514

Total	$	13,259,956	$	(32,851,396	)	$	15,362,419	$	(7,421,337	)	$	(11,650,358	)


Unrealized currency loss												(470,041	)


Total net unrealized loss on open contracts											$	(12,120,399	)*


Option Contracts at Fair Value				Average number of contracts outstanding for the year (absolute quantity)
Options purchased	$	12,753,218	**		3,558
Options written	$	(15,280,523	)***		2,886

*	This amount is in “Total net unrealized gain (loss) on open contracts” on the Trading Company’s Statements of Financial Condition.

**	This amount is in “Options purchased,” on the Trading Company’s Statements of Financial Condition.

***	This amount is in “Options written,” on the Trading Company’s Statements of Financial Condition.

The following tables indicate the trading gains and losses, by market sector, on derivative instruments for the three and nine months ended September 30, 2012 and 2011.


Sector	Three Months Ended September 30, 2012			Nine Months Ended September 30, 2012			Three Months Ended September 30, 2011			Nine Months Ended September 30, 2011
Commodity	$	25,370,013		$	15,016,946		$	(39,940,531	)	$	(54,695,988	)
Equity		(734,053	)		657,123			(1,350,138	)		(699,533	)
Foreign currency		(1,575,729	)		(4,226,377	)		(12,416,145	)		(7,328,821	)
Interest rates		(3,117,988	)		(9,186,033	)		(6,197,829	)		(22,201,952	)
Unrealized currency loss		(185,594	)		(203,761	)		214,046			206,089

Total	$	19,756,649	****	$	2,057,898	****	$	(59,690,597	)****	$	(84,720,205	)****

****	This amount is in “Total trading results” on the Trading Company’s Statements of Income and Expenses and Changes in Members’ Capital.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

5. Fair Value Measurements:

Partnership’s Investments. The Partnership values its investment in the Trading Company at its net asset value per unit as calculated by the Trading Company. The Trading Company values its investments as described in Note 2 of the Partnership’s notes to the annual financial statements as of December 31, 2011.

Partnership’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s Level 2 assets.

The Partnership will separately present purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

Effective January 1, 2012, the Partnership adopted Accounting Standards update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)”. The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify the Financial Accounting Standards Board’s (“FASB”) intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnership’s financial statements.

The Partnership values investments in the Trading Company where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Trading Company (Level 2). The value of the Partnership’s investment in the Trading Company reflects its proportional interest in the Trading Company. As of and for the periods ended September 30, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets and liabilities between Level 1 and Level 2.


	September 30, 2012		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Trading Company	$	286,454,084	$	—	$	286,454,084	$	—

Net fair value	$	286,454,084	$	—	$	286,454,084	$	—


	December 31, 2011		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Investment in Trading Company	$	270,589,333	$	—	$	270,589,333	$	—

Net fair value	$	270,589,333	$	—	$	270,589,333	$	—

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

Trading Company’s Investments. All commodity interests of the Trading Company (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Members’ Capital.

Trading Company’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety.

GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Trading Company’s Level 1 assets and liabilities are actively traded.

The Trading Company will separately present purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.

The Trading Company considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended September 30, 2012 and December 31, 2011, the Trading Company did not hold any derivative instruments for which market quotations were not readily available and which were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.


	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		September 30, 2012
Assets
Futures	$	36,666,323	$	—			n/a	$	36,666,323
Forwards		—		339,965			n/a		339,965
Options purchased		8,972,431		—			n/a		8,972,431

Total assets		45,638,754		339,965			n/a		45,978,719

Liabilities
Futures	$	19,580,010	$	—			n/a	$	19,580,010
Forwards		—		2,516,312					2,516,312
Options written		7,649,336		—					7,649,336

Total liabilities		27,229,346		2,516,312			n/a		29,745,658

Unrealized currency loss								$	(673,802	)

*Net fair value	$	18,409,408	$	(2,176,347	)		n/a	$	15,559,259

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)


	Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		December 31, 2011
Assets
Futures	$	28,622,375		$	—			n/a	$	28,622,375
Options purchased		12,753,218			—			n/a		12,753,218

Total assets		41,375,593			—			n/a		41,375,593

Liabilities
Futures	$	34,907,188		$	—			n/a	$	34,907,188
Forwards		—			5,365,545			n/a		5,365,545
Options written		15,280,523			—			n/a		15,280,523

Total liabilities		50,187,711			5,365,545			n/a		55,553,256

Unrealized currency loss									$	(470,041	)

*Net fair value	$	(8,812,118	)	$	(5,365,545	)		n/a	$	(14,647,704	)

*	This amount comprises of the net unrealized gain (loss) on open contracts, options purchased and options written on the Statement of Financial Condition.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

6. Financial Instrument Risks:

In the normal course of business, the Partnership, through its investment in the Trading Company, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

The risk to the limited partners that have purchased Units in the Partnership is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under Delaware law.

Market risk is the potential for changes in the value of the financial instruments traded by the Trading Company due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Trading Company is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Trading Company’s risk of loss in the event of a counterparty default is typically limited to the asset amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Trading Company’s risk of loss is reduced through the use of legally enforceable Trading Company netting agreements with counterparties that permit the Partnership/Trading Company to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Trading Company has credit risk and concentration risk, as MSSB or a MSSB affiliate is the sole counterparty or broker with respect to the Partnership’s/Trading Company’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MSSB, the Partnership’s/Trading Company’s counterparty is an exchange or clearing organization.

As both a buyer and seller of options, the Partnership/Trading Company pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Trading Company to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset.

The General Partner/managing member monitors and attempts to control the Partnership’s/Trading Company’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Trading Company may be subject. These monitoring systems generally allow the General Partner/managing member to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.

The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Trading Company’s business, these instruments may not be held to maturity.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

7. Critical Accounting Policies:

Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

Partnership’s and the Trading Company’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Trading Company Level 1 assets and liabilities are actively traded.

The Trading Company considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended September 30, 2012 and December 31, 2011, the Trading Company did not hold any derivative instruments for which market quotations were not readily available, and were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no Level 3 assets and liabilities, and there were no transfers of assets or liabilities between Level 1 and Level 2.

Futures Contracts. The Trading Company trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Trading Company each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Trading Company. When the contract is closed, the Trading Company records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Members’ Capital.

BHM Discretionary Futures Fund L.P.

Notes to Financial Statements

September 30, 2012

(Unaudited)

Forward Foreign Currency Contracts. Forward foreign currency contracts are those contracts where the Trading Company agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Forward foreign currency contracts are valued daily, and the Trading Company’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Members’ Capital.

The Trading Company does not isolate the portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net income (loss) in the Statements of Income and Expenses and Changes in Members’ Capital.

Options. The Trading Company may purchase and write (sell) both exchange listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Trading Company writes an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Trading Company purchases an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Members’ Capital.

Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses.

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely than- not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements.

The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. In general the statute of limitations of the Partnership’s U.S. federal tax returns remains open three years after a tax return is filed. The statutes of limitations on the Partnership’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.

Subsequent Events. The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and has determined that there were no subsequent events requiring adjustments of or disclosure in the financial statements.

Recent Accounting Pronouncements. In October 2011, the FASB issued a proposed ASU intended to improve and converge financial reporting by setting forth consistent criteria for determining whether an entity is an investment company. Under longstanding GAAP, investment companies carry all of their investments at fair value, even if they hold a controlling interest in another company. The primary changes being proposed by the FASB relate to which entities would be considered investment companies as well as certain disclosure and presentation requirements. In addition to the changes to the criteria for determining whether an entity is an investment company, the FASB also proposes that an investment company consolidate another investment company if it holds a controlling financial interest in the entity. In August 2012, the FASB updated the proposed ASU to state that entities regulated under the Investment Company Act of 1940 should qualify to be investment companies within the proposed investment company guidance. The Partnership will evaluate the impact that this proposed update would have on the financial statements once the pronouncement is issued.

In December 2011, the FASB issued ASU 2011-11, “Disclosures about Offsetting Assets and Liabilities,” which creates a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangement associated with its financial instrument and derivative instrument. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of this disclosure is to facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of IFRS. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The Partnership would also provide the disclosures retrospectively for all comparative periods presented. The Partnership is currently evaluating the impact that the pronouncement would have on the financial statements.

Net Income (Loss) per Redeemable Unit. Net income (loss) per unit for each Class is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights.”

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Liquidity and Capital Resources

The Partnership does not engage in sales of goods or services. Its only assets are its investment in the Trading Company and cash. The Trading Company does not engage in the sale of goods or services. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership, through its investment in the Trading Company. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the third quarter of 2012.

There are no known trends, demands, commitments, events, or uncertainties at the present time that are reasonably likely to result in the Partnership’s liquidity increasing or decreasing in any material way.

The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by income (loss) from its investment in the Trading Company and by expenses, interest income, subscriptions, redemptions of Units and distributions of profits, if any.

For the nine months ended September 30, 2012, Partnership capital increased 6.2% from $266,407,680 to $283,008,136. This increase was attributable by the subscriptions of 82,557.550 Units totaling $68,822,560 and 303.047 General Partner unit equivalents totaling $250,000, which was partially offset by redemptions of 49,824.252 Units totaling $39,562,385, coupled with net loss of $12,909,719. Future redemptions could impact the amount of funds available for investment in the Trading Company in subsequent periods.

The Trading Company’s capital consists of the capital contributions of the members as increased or decreased by realized and/or unrealized gains or losses on commodity futures trading and by expenses, interest income, redemptions of units and distributions of profits, if any.

For the nine months ended September 30, 2012, the Trading Company’s capital decreased 5.2% from $455,454,128 to $431,586,232. This decrease was attributable to a the net loss of $4,184,577, coupled with withdrawals of $52,273,313 which was partially offset by the contributions of $32,589,994. Future withdrawals can impact the amount of funds available for investments in commodity contract positions in subsequent periods.

There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes to, the Partnership’s capital resource arrangement at the present time.

Critical Accounting Policies

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates and assumptions utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 7 of the Financial Statements.

The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized gains (losses) and change in net unrealized gains (losses) in the Statements of Income and Expenses and Changes in Members’ Capital.

Results of Operations

During the Partnership’s third quarter of 2012, the net asset value per Unit for Class A increased 3.0% from $774.51 to $797.95 as compared to a decrease of 12.6% in the third quarter of 2011. During the Partnership’s third quarter of 2012, the net asset value per Unit for Class D increased 3.6% from $721.33 to $747.30 as compared to a decrease of 12.1% in the third quarter of 2011. During the Partnership’s third quarter of 2012, the net asset value per Unit for Class Z increased 3.8% from $774.44 to $803.82 as compared to a decrease of 14.5% from August 1, 2011 to September 30, 2011. The Partnership, through its investment in the Trading Company, experienced a net trading gain in the third quarter of 2012 of $13,003.052. Gains were primarily attributable to the Trading Company’s trading in commodities and were partially offset by losses in interest rates, equities and currencies. The Partnership, for its own account, through its investment in the Trading Company experienced a net trading loss in the third quarter of 2011 of $32,990,182. Losses were primarily attributable to the Trading Company’s trading in commodities, currencies, equities and interest rates.

During the third quarter of 2012, the most significant gains were recorded during August in metals from long futures positions in platinum and palladium as prices for these metals advanced on concerns that labor related violence in South Africa will curb supply. Further gains were recorded from long futures positions in tin as prices appreciated as China announced they may use stimulus measures to boost their economy, thus increasing potential demand. Further gains were recorded in grains from long futures positions in soybeans as prices continued to climb higher after a severe drought in the U.S. Midwest deteriorated supplies amidst rising demand for the commodity. Trading gains were also recorded during August in soft commodities from long futures positions in cocoa as prices rallied on speculation that dry weather in West Africa would hamper supplies from the Ivory Coast, the world’s top grower of cocoa. A portion of these gains was offset by losses from trading global interest rates and currencies. The most significant losses were incurred in global interest rate futures during July from short futures positions in U.S. 30-year Treasury bond futures as prices were negatively impacted given continued concerns about the euro zone and as the financial “health” of the U.S. economy saw investors seeking the “relative stability” of government debt during the latter half of the month. Further losses were incurred from short futures positions in the U.S. 10-year Treasury notes. Additional losses were incurred in currencies during September from a long Australian dollar position versus the U.S. dollar as the value of the Australian dollar declined after a report signaled that Chinese manufacturing will contract, clouding the prospects for the South Pacific nation’s resource exports.

During the nine months ended September 30, 2012, the net asset value per Unit for Class A decreased 4.0% from $831.22 to $797.95 as compared to a decrease of 18.9% in the same period of 2011. During the nine months ended September 30, 2012, the net asset value per Unit for Class D decreased 2.4% from $765.39 to $747.30 as compared to a decrease of 19.9% from February 1, 2011 to September 30, 2011. During the nine months ended September 30, 2012, the net asset value per Unit for Class Z decreased 1.8% from $818.64 to $803.82 as compared to a decrease of 14.5% from August 1, 2011 to September 30, 2011. The Partnership, for its own account, through its investment in the Trading Company experienced a net trading gain in the nine months ended September 30, 2012 of $721,335. Gains were primarily attributable to the Trading Company’s trading in commodities and equities and were partially offset by losses in currencies and interest rates. The Partnership, for its own account, through its investment in the Trading Company experienced a net trading loss in the nine months ended September 30, 2011 of $50,851,455. Losses were primarily attributable to the Trading Company’s trading in commodities, currencies, equities and interest rates.

During the nine months ended September 30, 2012, the most significant losses were incurred within global interest rate futures in April from short futures positions in U.S. 30-year Treasury bonds as prices rallied given concerns about the Greek debt crisis as investors sought “safe haven” assets in the form of U.S. government debt. Further losses were incurred during July from short futures positions in U.S. 30-year Treasury bond futures as prices were negatively impacted given continued concerns about the euro zone and as the financial “health” of the U.S. economy saw investors seeking the “relative stability” of government debt. Currencies also incurred losses for the Partnership during the first nine months of the year most notably during March and April from a long position in the Brazilian real, which was adversely impacted given concerns over earnings in China that reduced demand for higher-yielding currencies. Further losses were incurred in September from a long Australian dollar position versus the U.S. dollar as the value of the Australian dollar declined after a report signaled that Chinese manufacturing will contract, clouding the prospects for the South Pacific nation’s resource exports. The Partnership’s trading losses for the first nine months of the year were offset by gains from trading metals, agricultural commodities and energies. The most significant gains were recorded during August in metals from long futures positions in platinum and palladium as prices for these metals advanced on concerns that labor related violence in South Africa will curb supply. Further gains were recorded from long futures positions in tin as prices appreciated as China announced they may use stimulus measures to boost their economy, thus increasing potential demand. Further gains were recorded during August within the grains complex from long futures positions in soybeans as prices continued to climb higher after a severe drought in the U.S. Midwest deteriorated supplies amidst rising demand for the commodity. Trading gains were also recorded during August in soft commodities from long futures positions in cocoa as prices rallied on speculation that dry weather in West Africa would hamper supplies from the Ivory Coast, the world’s top grower of cocoa. Energies trading benefited during April and May from short futures positions in natural gas as prices declined given the mild weather throughout the United States. Further gains were recorded from short futures positions in Brent crude oil during May and June as prices declined given weaker global demand for the commodity.

Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership (and the Trading Company) depends on the Advisor’s ability to forecast price changes in energy and energy-related commodities. Such price changes are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that the Advisor correctly makes such forecasts, the Partnership (and the Trading Company) expects to increase capital through operations.

Interest expense allocated from the Trading Company for the three months ended September 30, 2012 decreased $14,492, as compared to the corresponding period in 2011. The decrease in interest expense is due to lower U.S. Treasury bill rates during the three months ended September 30, 2012, as compared to the corresponding period in 2011. Interest expense allocated from the Trading Company for the nine months ended September 30, 2012 increased $17,067, as compared to the corresponding period in 2011. The increase in interest expense is due to higher U.S. Treasury bill rates during the nine months ended September 30, 2012, as compared to the corresponding period in 2011. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s account and upon interest rates.

Placement agent fees are calculated on a monthly basis as a percentage of the net assets (as defined in the Limited Partnership Agreement) of the Partnership as of the beginning of each month. The placement agent fees for the three months ended September 30, 2012 decreased $7,769, as compared to the corresponding period in 2011. The decrease in placement agent fees is due to lower average net assets during the three months ended September 30, 2012, as compared to the corresponding period in 2011. The placement agent fees for the nine months ended September 30, 2012 increased $1,902,718, as compared to the corresponding period in 2011. The increase in placement agent fees is due to higher average net assets during the nine months ended September 30, 2012, as compared to the corresponding period in 2011.

The Partnership pays the ongoing administrative, operating, offering and organizational expenses of the Partnership and the Trading Company as such expenses are incurred, not to exceed 0.25% annually of the Net Assets of the Partnership. Administrative expenses for the three months ended September 30, 2012 decreased $3,282, as compared to the corresponding period in 2011. Administrative expenses for the nine months ended September 30, 2012 increased $679,183, as compared to the corresponding period in 2011.

Management and incentive fees are borne by the Trading Company.

In allocating substantially all of the assets of the Partnership to the Trading Company, the General Partner considers the Advisor’s past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets to the Advisor at any time and allocate assets to additional advisors at any time.

Off-Balance Sheet Arrangements and Contractual Obligations

The Partnership does not have any off-balance sheet arrangements, nor does it have contractual obligations or commercial commitments to make future payments, that would affect its liquidity or capital resources.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

All of the Partnership’s assets are subject to the risk of trading loss through its investment in the Trading Company. The Trading Company is a speculative commodity pool. The market sensitive instruments held by the Trading Company are acquired for speculative trading purposes, and all or substantially all of the Partnership’s capital is subject to the risk of trading loss, through its investment in the Trading Company. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trading Company’s and the Partnership’s main line of business.

The Limited Partners will not be liable for losses exceeding the current net asset value of their investment.

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

The Trading Company rapidly acquires and liquidates both long and short positions in a range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trading Company’s past performance is not necessarily indicative of its future results.

Quantifying the Trading Company Trading Value at Risk

The following quantitative disclosures regarding the Trading Company 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 purpose of the safe harbor, except for the statements of historical fact.

The Trading Company accounts for open positions on the basis of mark to market accounting principles. Any loss in the market value of the Trading Company open positions is directly reflected in the Trading Company earnings and cash balance.

The Trading Company Value at Risk computation is based on the risk representation of the underlying benchmark for each instrument or contract and do not distinguish between exchange and non-exchange dealer-based instruments. Its also not based on exchange and/or dealer-based maintenance margin requirements. Value at Risk models, including the models used by Morgan Stanley and Ceres, are continually evolving as trading portfolios become more diverse and modeling techniques and systesms capabilities improve. Please note that the Value at Risk model is used to quantify market risk for historic reporting purposes only and is not utilized by either Ceres or the Advisor in its daily risk management activities. Please further note that Value at Risk as described above may not be comparable to similarly-titled measures used by other entities.

Limitations on Value at Risk as an Assessment of Market Risk

Value at Risk models permit estimation of a portfolio’s aggregate market risk exposure, incorporating a range of Value at Riskied market risks, reflect risk reduction due to portfolio diversification or hedging activities, and can cover a wide range of portfolio assets. However, Value at Risk risk measures should be viewed in light of the methodology’s limitations, which include, but may not be limited to the following:

•

past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;

•

changes in portfolio value caused by market movements may differ from those of the Value at Risk model;

•

Value at Risk results reflect past market fluctuations applied to current trading positions while future risk depends on future positions;

•

Value at Risk using a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and

•

the historical market risk factor data used for Value at Risk estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

In addition, the Value at Risk tables above, as well as the past performance of the Partnership and the Trading Company, give no indication of the Partnership’s potential “risk of ruin.”

The Value at Risk tables provided present the results of the Partnership’s Value at Risk for each of the Trading Company’s market risk exposures and on an aggregate basis at September 30, 2012 and December 31, 2011.

Value at Risk is not necessarily representative of the Trading Company’s historic risk, nor should it be used to predict the Partnership or the Trading Company’s future financial performance or their ability to manage or monitor risk. There can be no assurance that the Trading Company’s actual losses on a particular day will not exceed the Value at Risk amounts indicated above or that such losses will not occur more than once in 100 trading days.

“Value at Risk” is a measure of the maximum amount which the Trading Company could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Trading Company’s speculative trading and the recurrence in the markets traded by the Trading Company of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Trading 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 in this section should not be considered to constitute any assurance or representation that the Trading Company’s losses in any market sector will be limited to Value at Risk or by the Trading Company’s attempts to manage its market risk.

Exchange maintenance margin requirements have been used by the Trading Company as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. There has been no material change in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on the Form 10-K filed with the SEC for the year ended December 31, 2011.

As of September 30, 2012, the Trading Company’s total capitalization was $431,586,232, and the Partnership owned approximately 66.4% of the Trading Company. The Partnership invests substantially all of its assets in the Trading Company. The Trading Company’s Value at Risk as of September 30, 2012 was as follows:

September 30, 2012


						Three months ended September 30, 2012
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Commodity	$	26,888,375		6.23	%	$	28,239,460	$	17,748,256	$	23,940,721
Currency		10,952,410		2.54	%		11,061,700		259,639		5,838,760
Interest Rate		6,125,958		1.42	%		6,255,317		362,880		3,334,609

Total	$	43,966,743		10.19	%

*	Average of month-end Values at Risk.

As of December 31, 2011, the Trading Company’s total capitalization was $455,454,128 and the Partnership owned approximately 59.4% of the Trading Company. The Partnership invests substantially all of its assets in the Trading Company. The Trading Company’s Value at Risk as of December 31, 2011 was as follows:

December 31, 2011



						Twelve months ended December 31, 2011
Market Sector	Value at Risk		% of Total Capitalization			High Value at Risk		Low Value at Risk		Average Value at Risk*
Commodity	$	21,344,468		4.69	%	$	35,677,615	$	10,694,579	$	23,741,783
Currency		11,805,110		2.59	%		11,968,638		37,598		2,182,917
Equity		135,000		0.03	%		3,312,598		135,000		337,667
Interest Rate		354,263		0.08	%		6,674,377		77,306		2,622,385

Total	$	33,638,841		7.39	%

*	Annual average month-end Values at Risk.

Non-Trading Risk

The Trading Company has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Partnership’s market risk exposures — except for (A) those disclosures that are statements of historical fact and (B) the descriptions of how the Partnership manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. The Partnership’s primary market risk exposures, as well as the strategies used and to be used by Ceres and the Advisor for managing such exposures, are subject to numerous uncertainties, contingencies and risks, any one of these could cause the actual results of the Partnership’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation, and many other factors could result in material losses, as well as in material changes to the risk exposures and the risk management strategies of the Partnership.

Investors must be prepared to lose all or substantially all of their investment in the Partnership.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The General Partner monitors and attempts to control the Partnership’s, through its investment in the Trading Company, risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Trading Company may be subject.

The General Partner monitors the Trading Company’s performance and the concentration of open positions, and consults with the Advisor concerning the Trading Company’s overall risk profile. If the General Partner felt it necessary to do so, the General Partner could require the Advisor to close out positions as well as enter positions traded on behalf of the Trading Company. However, any such intervention would be a highly unusual event. The General Partner primarily relies on the Advisor’s own risk control policies while maintaining a general supervisory overview of the Trading Company’s market risk exposures.

The Advisor applies its own risk management policies to its trading. The Advisor often follows diversification guidelines, margin limits and stop loss points to exit a position. The Advisor’s research of risk management often suggests ongoing modifications to its trading programs.

As part of the General Partner’s risk management, the General Partner periodically meets with the Advisor to discuss its risk management and to look for any material changes to the Advisor’s portfolio balance and trading techniques. The Advisor is required to notify the General Partner of any material changes to its programs.

Item 4. Controls and Procedures

The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934 (the “Exchange Act”), is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the President and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.

The General Partner is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.

The General Partner’s President and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of September 30, 2012 and, based on that evaluation, the General Partner’s President and CFO have concluded that, at that date, the Partnership’s disclosure controls and procedures were effective.

The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s President and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:

•

pertain to the maintenance of records that, in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;

•

provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and

•

provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.

There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended September 30, 2012 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

Limitations on the Effectiveness of Controls

Any control system, no matter how well designed and operated, can provide reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

There was no additional information to supplement or amend the discussion set forth under Part I, Item 3. “Legal Proceedings” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2011, as updated by the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012.

Unless the context otherwise requires, for purposes of this section, the terms the “Company,” “we,” “us” and “our” mean Morgan Stanley and its consolidated subsidiaries. In addition to the matters described in the Form 10-K, those described in the Partnership’s Quarterly Report on Form 10-Q for the quarterly period ending June 30, 2012 (the “Second Quarter Form 10-Q”), and those described below, in the normal course of business, the Company has been named, from time to time, as a defendant in various legal actions, including arbitrations, class actions and other litigation, arising in connection with its activities as a global diversified financial services institution. Certain of the actual or threatened legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages. In some cases, the entities that would otherwise be the primary defendants in such cases are bankrupt or in financial distress.

The Company is also involved, from time to time, in other reviews, investigations and proceedings (both formal and informal) by governmental and self-regulatory agencies regarding the Company’s business, including, among other matters, accounting and operational matters, certain of which may result in adverse judgments, settlements, fines, penalties, injunctions or other relief.

The Company contests liability and/or the amount of damages as appropriate in each pending matter. Where available information indicates that it is probable a liability had been incurred at the date of the condensed consolidated financial statements and the Company can reasonably estimate the amount of that loss, the Company accrues the estimated loss by a charge to income.

In many proceedings, however, it is inherently difficult to determine whether any loss is probable or even possible or to estimate the amount of any loss. The Company cannot predict with certainty if, how or when such proceedings will be resolved or what the eventual settlement, fine, penalty or other relief, if any, may be, particularly for proceedings that are in their early stages of development or where plaintiffs seek substantial or indeterminate damages. Numerous issues may need to be resolved, including through potentially lengthy discovery and determination of important factual matters, determination of issues related to class certification and the calculation of damages, and by addressing novel or unsettled legal questions relevant to the proceedings in question, before a loss or additional loss or range of loss or additional loss can be reasonably estimated for any proceeding. Subject to the foregoing, the Company believes, based on current knowledge and after consultation with counsel, that the outcome of such proceedings will not have a material adverse effect on the consolidated financial condition of the Company, although the outcome of such proceedings could be material to the Company’s operating results and cash flows for a particular period depending on, among other things, the level of the Company’s revenues or income for such period.

Over the last several years, the level of litigation and investigatory activity focused on residential mortgage and credit crisis related matters has increased materially in the financial services industry. As a result, the Company expects that it may become the subject of increased claims for damages and other relief regarding residential mortgages and related securities in the future and, while the Company has identified below certain proceedings that the Company believes to be material, individually or collectively, there can be no assurance that additional material losses will not be incurred from residential mortgage claims that have not yet been notified to the Company or are not yet determined to be material.

The following developments have occurred with respect to certain matters previously reported in the Form 10-K or the Second Quarter Form 10-Q or concern new actions that have been filed since the Second Quarter Form 10-Q:

The Company Residential Mortgage and Credit Crisis Related Matters.

Class Actions.

On September 12, 2012, the Company filed its answer to the third amended complaint in In re Morgan Stanley Pass-Through Certificates Litigation. On September 20, 2012, the plaintiffs filed a motion seeking to expand the offerings at issue in the litigation, relying on recent precedent from the United States Court of Appeals for the Second Circuit (“Second Circuit”). Defendants have opposed the motion. If the motion is granted, plaintiffs will be purporting to represent investors who purchased approximately $7.82 billion in mortgage pass through certificates issued in 2006 by thirteen trusts.

Other Litigation.

On August 17, 2012, the court in Abu Dhabi Commercial Bank, et al. v. Morgan Stanley & Co. Inc., et al. granted the Company’s motion for summary judgment with respect to the plaintiffs’ fraud claim, denied the Company’s motion for summary judgment with respect to the plaintiffs’ aiding and abetting fraud claim, and ordered plaintiffs to show cause why the negligent misrepresentation claim should not be dismissed. The court dismissed all or part of the claims of three of the fifteen plaintiffs based on lack of standing or reliance and plaintiffs have moved for reconsideration of the dismissal. On September 17, 2012, plaintiffs filed expert reports with the court alleging that they are seeking $713 million in compensatory damages on behalf of all fifteen plaintiffs. On October 5, 2012, the court ruled that plaintiffs sufficiently showed cause as to why the negligent misrepresentation claim against the Company should not be dismissed.

On October 2, 2012, the court in Cambridge Place Investment Management Inc. v. Morgan Stanley & Co., Inc. et al. denied, in substantial part, defendants’ motion to dismiss plaintiff’s amended complaints.

On October 11, 2012, defendants filed motions to dismiss the amended complaint in Federal Home Loan Bank of Boston v. Ally Financial, Inc. F/K/A GMAC LLC et al.

Item 1A. Risk Factors

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on the Form 10-K for the fiscal year ended December 31, 2011 and under Part II, Item 1A, “Risk Factors” in the Partnership’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2012 and June 30, 2012.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

For the three months ended September 30, 2012, there were subscriptions of 14,028.776 Units of Class A totaling $11,004,054 and 102.406 Units of Class Z totaling $81,982. The Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Units were purchased by accredited investors as described in Regulation D.

Proceeds from the sale of Units are used in the trading of commodity interests including futures contracts, swaps, options and forward contracts.

The following chart sets forth the purchases of Units for each Class by the Partnership.


Period	Class A (a) Total Number of Units Purchased*		Class A (b) Average Price Paid per Unit**		Class D (a) Total Number of Units Purchased*		Class D (b) Average Price Paid per Unit**		Class Z (a) Total Number of Units Purchased*		Class Z (b) Average Price Paid per Unit**		(c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs	(d) Maximum Number (or Approximate Dollar Value) of Units that May Yet Be Purchased Under the Plans or Programs
July 1, 2012 - July 31, 2012		3,679.297	$	775.95		1,968.905	$	724.03		165.342	$	777.82	N/A	N/A
August 1, 2012 - August 31, 2012		11,610.004	$	799.22		—	$	747.09		—	$	803.08	N/A	N/A
September 1, 2012 - September 30, 2012		4,026.448	$	797.95		311.848	$	747.30		—	$	803.82	N/A	N/A
		19,315.749	$	794.52		2,280.753	$	727.21		165.342	$	777.82	N/A	N/A

Generally, limited partners are permitted to redeem their Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner may compel redemption but to date the General Partner has not exercised this right. Purchases of Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.

**	Redemptions of Units are effected as of the last day of each month at the net asset value per Unit as of that day.

Item 3. Defaults Upon Senior Securities. None.

Item 4. Mine Safety Disclosures. Not applicable.

Item 5. Other Information

The registrant does not have a board of directors. The registrant’s general partner, Ceres Managed Futures LLC (“CMF”), is managed by a board of directors.

Effective November 14, 2012, Mr. Damian George was appointed a director of CMF.

Damian George, age 45, has been a Director of the general partner since November 2012. Since June 2012, Mr. George has been the Chief Financial Officer and a principal of the general partner and is an associate member of the National Futures Association. Since August 2009, Mr. George has been employed by Morgan Stanley Smith Barney LLC (“Morgan Stanley Smith Barney”), a financial services firm, where his responsibilities include oversight of budgeting, finance and Sarbanes-Oxley testing for the Alternative Investments—Managed Futures group. Since August 2009, Mr. George has been registered as an associated person of Morgan Stanley Smith Barney. From November 2005 through July 2009, Mr. George was employed by Citi Alternative Investments, a division of Citigroup Inc. (“Citigroup”), a financial services firm, which administered Citigroup’s hedge fund and fund of funds business, where he served as Director and was responsible for budgeting, finance and Sarbanes-Oxley testing for the Hedge Fund Management group. From November 2004 through July 2009, Mr. George was registered as an associated person of Citigroup Global Markets Inc. Mr. George earned his Bachelor of Science degree in Accounting in May 1989 from Fordham University and his Master of Business Administration degree in International Finance in February 1998 from Fordham University. Mr. George is a Certified Public Accountant.

Item 6. Exhibits

Exhibits:

31.1 Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director).

31.2 Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director).

32.1 Section 1350 Certification (Certification of President and Director).

32.2 Section 1350 Certification (Certification of Chief Financial Officer and Director).


101.INS*		XBRL Instance Document

101.SCH*		XBRL Taxonomy Extension Schema Document

101.CAL*		XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB*		XBRL Taxonomy Extension Label Linkbase Document

101.PRE*		XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF*		XBRL Taxonomy Extension Definition Document

Notes to Exhibits List

* Submitted electronically herewith.

Pursuant to applicable securities laws and regulations, the Partnership is deemed to have complied with the reporting obligation relating to the submission of interactive data files in Exhibit 101 to this report and is not subject to liability under any anti-fraud provisions of the federal securities laws as long as the Partnership has made a good faith attempt to comply with the submission requirements and promptly amends the interactive data files after becoming aware that the interactive data files fails to comply with the submission requirements. Users of this data are advised that, pursuant to Rule 406T, these interactive data files are deemed not filed and otherwise are not subject to liability.

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.


BHM Discretionary Futures Fund L.P.

By:		Ceres Managed Futures LLC (General Partner)



By:		/s/ Walter Davis
		Walter Davis
		President and Director

Date: November 14, 2012



By:		/s/ Damian George
		Damian George
		Chief Financial Officer and Director (Principal Accounting Officer)

Date: November 14, 2012

EX-31.1 2 d404518dex311.htm RULE 13A-14(A)/15D-14(A) CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)

Exhibit 31.1

CERTIFICATIONS

I, Walter Davis, certify that:

1.	I have reviewed this Quarterly Report on Form 10-Q of BHM Discretionary Futures Fund L.P.;

2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.	The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 14, 2012

/s/ Walter Davis

Walter Davis

Ceres Managed Futures LLC

President and Director

EX-31.2 3 d404518dex312.htm RULE 13A-14(A)/15D-14(A) CERTIFICATION (CERTIFICATION OF CFO AND DIRECTOR). Rule 13a-14(a)/15d-14(a) Certification (Certification of CFO and Director).

Exhibit 31.2

CERTIFICATIONS

I, Damian George, certify that:

1.	I have reviewed this Quarterly Report on Form 10-Q of BHM Discretionary Futures Fund L.P.;

2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.	Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

(a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)

(c)

(d)

5.	The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)

(b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 14, 2012

/s/ Damian George

Damian George

Ceres Managed Futures LLC

Chief Financial Officer and Director

EX-32.1 4 d404518dex321.htm SECTION 1350 CERTIFICATION (CERTIFICATION OF PRESIDENT AND DIRECTOR) Section 1350 Certification (Certification of President and Director)

Exhibit 32.1

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of BHM Discretionary Futures Fund L.P. (the “Partnership”) on Form 10-Q for the quarter ended September 30, 2012 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Walter Davis, President and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

(1)

The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2)

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Partnership.

/s/ Walter Davis

Walter Davis

Ceres Managed Futures LLC

President and Director

Date: November 14, 2012

EX-32.2 5 d404518dex322.htm SECTION 1350 CERTIFICATION (CERTIFICATION OF CFO AND DIRECTOR). Section 1350 Certification (Certification of CFO and Director).

Exhibit 32.2

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report of BHM Discretionary Futures Fund L.P. (the “Partnership”) on Form 10-Q for the quarter ended September 30, 2012 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Damian George, Chief Financial Officer and Director of Ceres Managed Futures LLC, certify, pursuant to 18 U.S.C. § 1350, as adopted pursuant to § 906 of the Sarbanes-Oxley Act of 2002, that:

(1)

The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2)

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operation of the Partnership.

/s/ Damian George

Damian George

Ceres Managed Futures LLC

Chief Financial Officer and Director

Date: November 14, 2012

EX-101.INS 6 ms-20120930.xml XBRL INSTANCE DOCUMENT

290528.095

252828760

-12120399

453408808

-470041

-11703

-14245073

8637143

19224

-111982

-5365591

-572376

15280523

12753218

-19591440

7941082

453408808

273541.763

239190537

874.42 874.44 874.42

16249.851

13008788

800.55 800.64 800.55

736.481

629435

854.65 854.65 854.65

355229.029

286454084

29745658

286454084

15559259

3445948

45978719

283008136

673802 286454084 16245918 0.664

0.0330

35477785

439833541

596278

14236164

439833541

8247309

7649336

431586232

416616003

431586232

439824598 -673802 381138218 8943 286454084 431586232 14236164 8972431 1695 -0.0016 -636044 -636044 -2164493 339966 -2516534 12075

0.00

-90

-90 -90

0.0633

27311367

-0.0222

-9600774

17710593 33895114 -6583747 2759133 -12359907

-0.0015

-636044

-0.0050

-2176568

0.00

12075

286454084

7649336

8972431 0.0208 -0.0177

0.0583

25134709

-0.0237

-10224743

431586232

-673802 14909966 14236164 34235080 -9100371 2771208 -12995951 7666621 6569543

27229346

18409408

45638754

19580010

36666323

7649336

8972431

2516312

-2176347

339965

286454084

2516312

339965

338875.769

270404612

797.95 797.95 797.95

9581.734

7160455

747.30 747.30 747.30

6771.526

3146.221

2914093

5443069

3625.305

2528976

803.82 803.82 803.82

2516312

339965

19580010

36666323

7649336

8972431

53051.293

57300554

208652878

53051.293

57300554

0.000

322192.684

270589333

55553256

270589333

-14647704

4181653

41375593

266407680

470041 270589333 11823204 0.594

-0.0266

39680416

471337104

592596

471337104

7910

15882976

15280523

455454128

470688879

455454128

471321698 -470041 431008463 -12120399 15406 270589333 455454128 -12120399 12753218 1947 -0.0010 -92758 61069 -41845 -111982 -5937967 28585 -5394176 669975 -1242351

0.00

-11703 -11703

-0.0313

0.0189

-5607930 13170302 -27415375 14692444 -6055301

0.00

-0.0002

-0.0117

-0.0013

270589333 0.0280 -0.0336

-0.0430

0.0174

455454128

-11650358 13259956 -32851396 15362419 -7421337 -2733968 -9386431

50187711

-8812118

41375593

34907188

28622375

15280523

12753218

5365545

-5365545

270589333

5365545

297148.967

246995994

831.22

20469.784

15667296

765.39

4573.933

1251.675

2719733

3744390

3322.258

1024657

818.64

5365545

34907188

28622375

15280523

12753218

-20894

164675

1531161

-60369231

9496882

-50851455

-9517776 3389782 -39167806 -11683649 4411264

346718013

-27873

-75604199

-5078434

-89798639

5050561

-85861

-626328

-5203866

-153305

-84720205

-9116006

-4245819 -245858 -89798639 -12163444 0.0178 0.0172 -0.2398 -0.0179 -0.1575 -0.1595

346718013

-89798639

-12163444

-84720205

-22201952

-7328821

-699533

-54695988

206089

272610465

19146.875

253787.494

19438028

259093945

19120.875

240174.134

19415807

12755959

0.000

12850.879

760561

26.000

762.481

22221

4588254

1695.038

4531.221

1863254

1250000

1695.038

1132.249

1863254

3338254

0.000

3398.972

0.000

-203.74

-57174901

183292.345

0.071 -0.072 -0.072 0.071 0.189 0.189 -175.18 -28.56 1078.16 -203.74

-199.45

-3085425

12505.428

0.041 -0.041 -0.041 0.041 0.199 0.199 -180.28 -19.17 1000.00 -199.45

-145.35

-108905

442.426

0.049 -0.049 -0.049 0.049 0.145 0.145 Q3 2012 10-Q 2012-09-30 0001504886 --12-31 BHM DISCRETIONARY FUTURES FUND L.P. false Non-accelerated Filer

-37961

<div> BHM I, LLC Condensed Schedule of Investments September 30, 2012 (Unaudited)   <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="78%"></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Fair Value</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">% of Members’ Capital</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Futures and Forward Contracts Purchased </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Commodity </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">27,311,367</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">6.33</td> <td valign="bottom" nowrap="nowrap">% </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Equity </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(90</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(0.00</td> <td valign="bottom" nowrap="nowrap">)* </td> </tr> <tr> <td valign="top"> Foreign currency </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(2,176,568</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(0.50</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total futures and forward contracts purchased </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">25,134,709</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5.83</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td height="13"></td> <td height="13" colspan="4"></td> <td height="13" colspan="4"></td> </tr> <tr> <td valign="top"> Futures and Forward Contracts Sold </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Commodity </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(9,600,774</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(2.22</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Foreign currency </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,075</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.00</td> <td valign="bottom" nowrap="nowrap">* </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Interest rates </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(636,044</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(0.15</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> Total futures and forward contracts sold </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(10,224,743</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(2.37</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Unrealized currency loss </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(673,802</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(0.16</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> Net fair value </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">14,236,164</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">3.30</td> <td valign="bottom" nowrap="nowrap">% </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td height="13"></td> <td height="13" colspan="4"></td> <td height="13" colspan="4"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Options Contracts </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Options purchased on futures Contracts </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">8,972,431</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.08</td> <td valign="bottom" nowrap="nowrap">% </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Options written on futures Contracts </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(7,649,336</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1.77</td> <td valign="bottom" nowrap="nowrap">)% </td> </tr> </table>   <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="2%" align="left">*</td> <td valign="top" align="left">Due to rounding.</td> </tr> </table> BHM I, LLC Condensed Schedule of Investments December 31, 2011   <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="78%"></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom">  </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Fair Value</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">% of Members’ Capital</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Futures and Forward Contracts Purchased </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr> <td valign="top"> Commodity </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(14,245,073</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(3.13</td> <td valign="bottom" nowrap="nowrap">)% </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Foreign currency </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(5,365,591</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(1.17</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Interest rates </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">19,224</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">0.00</td> <td valign="bottom" nowrap="nowrap">* </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total futures and forward contracts purchased </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(19,591,440</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(4.30</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td height="13"></td> <td height="13" colspan="4"></td> <td height="13" colspan="4"></td> </tr> <tr> <td valign="top"> Futures and Forward Contracts Sold </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Commodity </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,637,143</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.89</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Equity </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(11,703</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(0.00</td> <td valign="bottom" nowrap="nowrap">)* </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Foreign currency </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(572,376</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(0.13</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr> <td valign="top"> Interest rates </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(111,982</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(0.02</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total futures and forward contracts sold </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,941,082</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">1.74</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> Unrealized currency loss </td> <td valign="bottom">  </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(470,041</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(0.10</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Net fair value </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(12,120,399</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(2.66</td> <td valign="bottom" nowrap="nowrap">)% </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom">  </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td height="13"></td> <td height="13" colspan="4"></td> <td height="13" colspan="4"></td> </tr> <tr> <td valign="top"> Options Contracts </td> <td valign="bottom">  </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Options purchased on futures Contracts </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">12,753,218</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2.80</td> <td valign="bottom" nowrap="nowrap">% </td> </tr> <tr> <td valign="top"> Options written on futures Contracts </td> <td valign="bottom">  </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(15,280,523</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">(3.36</td> <td valign="bottom" nowrap="nowrap">)% </td> </tr> </table>     <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="4%" align="left">*</td> <td valign="top" align="left">Due to rounding.</td> </tr> </table> </div>

<div> 5. Fair Value Measurements: Partnership’s Investments. The Partnership values its investment in the Trading Company at its net asset value per unit as calculated by the Trading Company. The Trading Company values its investments as described in Note 2 of the Partnership’s notes to the annual financial statements as of December 31, 2011. Partnership’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s Level 2 assets. The Partnership will separately present purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP. Effective January 1, 2012, the Partnership adopted Accounting Standards update (“ASU”) 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)”. The amendments within this ASU change the wording used to describe many of the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements to eliminate unnecessary wording differences between GAAP and IFRS. However, some of the amendments clarify the Financial Accounting Standards Board’s (“FASB”) intent about the application of existing fair value measurement requirements and other amendments change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements. This new guidance did not have a significant impact on the Partnership’s financial statements. The Partnership values investments in the Trading Company where there are no other rights or obligations inherent within the ownership interest held by the Partnership based on the end of the day net asset value of the Trading Company (Level 2). The value of the Partnership’s investment in the Trading Company reflects its proportional interest in the Trading Company. As of and for the periods ended September 30, 2012 and December 31, 2011, the Partnership did not hold any derivative instruments that were based on unadjusted quoted prices in active markets for identical assets (Level 1) or priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets and liabilities between Level 1 and Level 2.   <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="56%"></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="6%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">September 30, 2012</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Quoted Prices in Active  Markets for Identical Assets (Level 1)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Significant Other Observable  Inputs (Level 2)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Significant Unobservable  Inputs (Level 3)</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top" align="center">Assets</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr> <td valign="top"> Investment in Trading Company </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">286,454,084</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">286,454,084</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Net fair value </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">286,454,084</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">286,454,084</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td height="13"></td> <td height="13" colspan="4"></td> <td height="13" colspan="4"></td> <td height="13" colspan="4"></td> <td height="13" colspan="4"></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">December 31, 2011</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Quoted Prices in Active Markets for Identical Assets (Level 1)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Significant Other Observable Inputs (Level 2)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" align="center">Significant Unobservable Inputs (Level 3)</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top" align="center">Assets</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr> <td valign="top"> Investment in Trading Company </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">270,589,333</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">270,589,333</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Net fair value </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">270,589,333</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">270,589,333</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> </table>   Trading Company’s Investments. All commodity interests of the Trading Company (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Members’ Capital. Trading Company’s Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. GAAP also requires the use of judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, the Trading Company’s Level 1 assets and liabilities are actively traded. The Trading Company will separately present purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP. The Trading Company considers prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets and liabilities (Level 1). The values of non-exchange traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets and liabilities from observable inputs (Level 2). As of and for the periods ended September 30, 2012 and December 31, 2011, the Trading Company did not hold any derivative instruments for which market quotations were not readily available and which were priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2) or that were priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3). During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.   <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="60%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Significant  Other Observable Inputs (Level 2)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Significant Unobservable Inputs (Level 3)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">September 30, 2012</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top" align="center">Assets</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr> <td valign="top"> Futures </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">36,666,323</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">36,666,323</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">339,965</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">339,965</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Options purchased </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,972,431</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,972,431</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total assets </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">45,638,754</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">339,965</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">45,978,719</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top" align="center">Liabilities</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Futures </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">19,580,010</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">19,580,010</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,516,312</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,516,312</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Options written </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,649,336</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,649,336</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> Total liabilities </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">27,229,346</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,516,312</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">29,745,658</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Unrealized currency loss </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(673,802</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> *Net fair value </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">18,409,408</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(2,176,347</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">15,559,259</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Quoted Prices  in Active Markets for Identical Assets and Liabilities (Level 1)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Significant Other Observable Inputs (Level 2)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Significant Unobservable Inputs (Level 3)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">December 31, 2011</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top" align="center">Assets</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr> <td valign="top"> Futures </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right"> 28,622,375</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right"> —</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right"> 28,622,375</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Options purchased </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,753,218</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,753,218</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> Total assets </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">41,375,593</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">41,375,593</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top" align="center">Liabilities</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr> <td valign="top"> Futures </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">34,907,188</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">34,907,188</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,365,545</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,365,545</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Options written </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">15,280,523</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">15,280,523</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total liabilities </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">50,187,711</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,365,545</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">55,553,256</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> Unrealized currency loss </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(470,041</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> *Net fair value </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(8,812,118</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(5,365,545</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(14,647,704</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> </table>     <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr> <td valign="top" width="4%" align="left">*</td> <td valign="top" align="left">This amount comprises of the net unrealized gain (loss) on open contracts, options purchased and options written on the Statement of Financial Condition.</td> </tr> </table> </div>

<div> 6. Financial Instrument Risks: In the normal course of business, the Partnership, through its investment in the Trading Company, is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash balances, or to purchase or sell other financial instruments at specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include certain forwards and option contracts. Specific market movements of commodities or futures contracts underlying an option cannot accurately be predicted. The purchaser of an option may lose the entire premium paid for the option. The writer or seller of an option has unlimited risk. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract. The risk to the limited partners that have purchased Units in the Partnership is limited to the amount of their share of the Partnership’s net assets and undistributed profits. This limited liability is a result of the organization of the Partnership as a limited partnership under Delaware law. Market risk is the potential for changes in the value of the financial instruments traded by the Trading Company due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Trading Company is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Trading Company’s risk of loss in the event of a counterparty default is typically limited to the asset amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Trading Company’s risk of loss is reduced through the use of legally enforceable Trading Company netting agreements with counterparties that permit the Partnership/Trading Company to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Trading Company has credit risk and concentration risk, as MSSB or a MSSB affiliate is the sole counterparty or broker with respect to the Partnership’s/Trading Company’s assets. Credit risk with respect to exchange-traded instruments is reduced to the extent that, through MSSB, the Partnership’s/Trading Company’s counterparty is an exchange or clearing organization. As both a buyer and seller of options, the Partnership/Trading Company pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Partnership/Trading Company to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The General Partner/managing member monitors and attempts to control the Partnership’s/Trading Company’s risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Trading Company may be subject. These monitoring systems generally allow the General Partner/managing member to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions. The majority of these financial instruments mature within one year of the inception date. However, due to the nature of the Trading Company’s business, these instruments may not be held to maturity. </div>

<div> Subsequent Events. The General Partner evaluates events that occur after the balance sheet date but before financial statements are filed. The General Partner has assessed the subsequent events through the date of filing and has determined that there were no subsequent events requiring adjustments of or disclosure in the financial statements. </div>

202949

2210344

<div> During the nine months ended September 30, 2012, there were no transfers of assets or liabilities between Level 1 and Level 2.   <table style="BORDER-COLLAPSE: collapse" border="0" cellspacing="0" cellpadding="0" width="100%" align="center"> <tr> <td width="60%"></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> <td valign="bottom" width="4%"></td> <td></td> <td></td> <td></td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Significant  Other Observable Inputs (Level 2)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Significant Unobservable Inputs (Level 3)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">September 30, 2012</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top" align="center">Assets</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr> <td valign="top"> Futures </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">36,666,323</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">36,666,323</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">339,965</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">339,965</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Options purchased </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,972,431</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">8,972,431</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Total assets </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">45,638,754</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">339,965</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">45,978,719</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top" align="center">Liabilities</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Futures </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">19,580,010</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">19,580,010</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,516,312</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,516,312</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Options written </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,649,336</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">7,649,336</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> Total liabilities </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">27,229,346</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">2,516,312</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">29,745,658</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Unrealized currency loss </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(673,802</td> <td valign="bottom" nowrap="nowrap">) </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> *Net fair value </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">18,409,408</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">(2,176,347</td> <td valign="bottom" nowrap="nowrap">) </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">15,559,259</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Quoted Prices  in Active Markets for Identical Assets and Liabilities (Level 1)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Significant Other Observable Inputs (Level 2)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">Significant Unobservable Inputs (Level 3)</td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td style="BORDER-BOTTOM: #000000 1px solid" valign="bottom" colspan="2" nowrap="nowrap" align="center">December 31, 2011</td> <td valign="bottom"> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top" align="center">Assets</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr> <td valign="top"> Futures </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right"> 28,622,375</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right"> —</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right"> 28,622,375</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Options purchased </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,753,218</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">12,753,218</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr> <td valign="top"> Total assets </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">41,375,593</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">41,375,593</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr style="FONT-SIZE: 1px"> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> <td valign="bottom"> </td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"></td> <td valign="bottom"> </td> <td valign="bottom">   </td> <td valign="bottom">   </td> <td> </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top" align="center">Liabilities</td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> <td valign="bottom"> </td> <td valign="top"></td> <td valign="top"></td> <td valign="top"></td> </tr> <tr> <td valign="top"> Futures </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">34,907,188</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom">$</td> <td valign="bottom" align="right">34,907,188</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr bgcolor="#CCEEFF"> <td valign="top"> Forwards </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">—</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,365,545</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">n/a</td> <td valign="bottom" nowrap="nowrap">  </td> <td valign="bottom"> </td> <td valign="bottom"> </td> <td valign="bottom" align="right">5,365,545</td> <td valign="bottom" nowrap="nowrap">  </td> </tr> <tr> <td valign="top"> Options written </td> <td valign="bottom"><font s

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents