UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2013
OR
o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission File number: 000-53647
RICI® Linked – PAM Advisors Fund, LLC
(Exact name of registrant as specified in charter)
Delaware |
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38-3743129 |
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(State or other jurisdiction of |
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(IRS Employer Identification No.) |
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incorporation or organization) |
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c/o Price Asset Management, Inc. |
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141 West Jackson Blvd., Suite 1320A |
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Chicago, IL |
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60604 |
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(Address of Principal Executive Offices) |
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(Zip Code) |
(877) 261-4400
(Registrant’s telephone number, including area code)
Not applicable
(Former name, former address and former fiscal year, if changed since last report)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes x No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes x No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer o |
Accelerated filer o |
Non-accelerated filer x (Do not check if a smaller reporting company) |
Smaller reporting company o |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes o No x
1
PART I - FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
The following unaudited financial statements of RICI® Linked – PAM Total Index Series and RICI® Linked – PAM Agricultural Sector Series, each a series of RICI® Linked – PAM Advisors Fund, LLC, as well as the unaudited financial statements of RICI® Linked – PAM Advisors Fund, LLC, are included in Item 1:
2
RICI® Linked - PAM Advisors Fund, LLC
Statements of Financial Condition
June 30, 2013 (Unaudited) and December 31, 2012 (Audited) |
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Total Index Series |
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Agricultural Sector Series |
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RICI® Linked - PAM Advisors Fund, LLC |
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June 30, 2013 |
December 31, 2012 |
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June 30, 2013 |
December 31, 2012 |
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June 30, 2013 |
December 31, 2012 |
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Assets |
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Equity in broker trading account |
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Cash |
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$ |
34,579,342 |
$ |
35,834,498 |
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$ |
2,414,906 |
$ |
2,626,089 |
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$ |
36,994,248 |
$ |
38,460,587 |
Net unrealized gain (loss) on open futures contracts |
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|
(6,828,190) |
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(660,454) |
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(463,220) |
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(447,627) |
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(7,291,410) |
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(1,108,081) |
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27,751,152 |
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35,174,044 |
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1,951,686 |
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2,178,462 |
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29,702,838 |
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37,352,506 |
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Cash and cash equivalents |
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7,280,606 |
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22,155,680 |
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500,321 |
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355,529 |
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7,780,927 |
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22,511,209 |
Investments |
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Government-sponsored enterprise securities, at fair value |
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211,975,310 |
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219,959,160 |
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7,299,712 |
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9,698,930 |
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219,275,022 |
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229,658,090 |
Mutual funds, at fair value |
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203 |
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10,000,554 |
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- |
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200,000 |
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203 |
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10,200,554 |
Total assets |
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$ |
247,007,271 |
$ |
287,289,438 |
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$ |
9,751,719 |
$ |
12,432,921 |
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$ |
256,758,990 |
$ |
299,722,359 |
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Liabilities and Members' Equity (Net Assets) |
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Accrued operating expenses |
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$ |
99,302 |
$ |
145,587 |
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$ |
51,421 |
$ |
50,011 |
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$ |
150,723 |
$ |
195,598 |
Management fee payable to Managing Member |
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132,557 |
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155,139 |
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5,213 |
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6,686 |
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137,770 |
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161,825 |
Support services fee payable |
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20,382 |
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23,854 |
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802 |
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1,028 |
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21,184 |
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24,882 |
Servicing fee payable to selling agent |
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22,592 |
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27,046 |
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3,551 |
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4,589 |
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26,143 |
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31,635 |
Withdrawals payable |
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4,486,557 |
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14,926,716 |
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- |
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555,579 |
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4,486,557 |
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15,482,295 |
Subscriptions received in advance |
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2,127,000 |
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650,000 |
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40,000 |
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- |
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2,167,000 |
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650,000 |
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6,888,390 |
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15,928,342 |
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100,987 |
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617,893 |
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6,989,377 |
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16,546,235 |
Members' equity (net assets) |
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240,118,881 |
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271,361,096 |
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9,650,732 |
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11,815,028 |
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249,769,613 |
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283,176,124 |
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Total liabilities and members' equity (net assets) |
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$ |
247,007,271 |
$ |
287,289,438 |
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$ |
9,751,719 |
$ |
12,432,921 |
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$ |
256,758,990 |
$ |
299,722,359 |
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The accompanying notes are an integral part of these financial statements. |
3
RICI® Linked - PAM Advisors Fund, LLC
Condensed Schedule of Investments
June 30, 2013 (Unaudited)
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Total Index Series |
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Agricultural Sector Series |
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Total RICI® Linked - PAM Advisors Fund, LLC |
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Net Unrealized |
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Net Unrealized |
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Net Unrealized |
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Gain (Loss) |
Percent of |
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Gain (Loss) |
Percent of |
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Gain (Loss) |
Percent of |
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on Open |
Members' |
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on Open |
Members' |
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on Open |
Members' |
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Long Futures |
Equity |
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Long Futures |
Equity |
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Long Futures |
Equity |
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Contracts |
(Net Assets) |
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Contracts |
(Net Assets) |
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Contracts |
(Net Assets) |
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Futures contracts |
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United States |
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Agriculture |
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$ |
(3,471,085) | (1.45) |
% |
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$ |
- |
- |
% |
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$ |
(3,874,255) | (1.55) |
% |
39 Sept. 2013 CBOT Wheat Contracts |
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- |
- |
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(109,687) | (1.14) |
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- |
- |
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46 Sept 2013 CBOT Corn Contracts |
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- |
- |
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(104,238) | (1.08) |
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- |
- |
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Other* |
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- |
- |
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(189,245) | (1.96) |
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- |
- |
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Energy* |
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117,959 | 0.05 |
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- |
- |
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117,959 | 0.05 |
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Metals* |
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(1,539,215) | (0.64) |
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- |
- |
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(1,539,215) | (0.62) |
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Total futures contracts - United States |
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(4,892,341) | (2.04) |
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(403,170) | (4.18) |
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(5,295,511) | (2.12) |
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Foreign |
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Agriculture* |
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(502,836) | (0.21) |
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(60,050) | (0.62) |
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(562,886) | (0.23) |
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Energy* |
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(17,730) | (0.01) |
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- |
- |
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(17,730) | (0.01) |
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Metals* |
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(1,415,283) | (0.59) |
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- |
- |
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(1,415,283) | (0.57) |
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Total futures contracts - Foreign |
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(1,935,849) | (0.81) |
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(60,050) | (0.62) |
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(1,995,899) | (0.81) |
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Total net unrealized loss on open futures contracts |
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$ |
(6,828,190) | (2.85) |
% |
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$ |
(463,220) | (4.80) |
% |
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$ |
(7,291,410) | (2.93) |
% |
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* No individual futures contract position constituted greater than 1% of members' equity (net assets). |
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Accordingly, the number of contracts and expiration dates are not presented. |
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The accompanying notes are an integral part of these financial statements. |
4
RICI® Linked - PAM Advisors Fund, LLC
Condensed Schedule of Investments
June 30, 2013 (Unaudited)
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Total Index Series |
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Agricultural Sector Series |
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Total RICI® Linked - PAM Advisors Fund, LLC |
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Percent of |
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Percent of |
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Percent of |
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Members' |
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Members' |
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Members' |
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Government-sponsored enterprise securities |
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Equity |
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Equity |
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Equity |
|||
United States |
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Cost |
Fair Value |
(Net Assets) |
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Cost |
Fair Value |
(Net Assets) |
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Cost |
Fair Value |
(Net Assets) |
|||||||||
U.S.Treasury Bills |
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$35,000,000 Treasury bill due 07/05/2013 |
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$ |
34,986,565 |
$ |
35,000,000 | 14.58 |
% |
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$ |
- |
$ |
- |
- |
% |
|
$ |
34,986,565 |
$ |
35,000,000 | 14.01 |
% |
$41,000,000 Treasury bill due 07/18/2013 |
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40,979,684 |
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40,999,590 | 17.07 |
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- |
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- |
- |
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40,979,684 |
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40,999,590 | 16.41 |
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$5,800,000 Treasury bill due 07/18/2013 |
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- |
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- |
- |
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5,797,131 |
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5,799,942 | 60.10 |
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5,797,131 |
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5,799,942 | 2.32 |
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$20,000,000 Treasury bill due 08/15/2013 |
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19,988,377 |
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19,999,400 | 8.33 |
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- |
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- |
- |
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19,988,377 |
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19,999,400 | 8.01 |
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$1,000,000 Treasury bill due 09/19/2013 |
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- |
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- |
- |
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|
999,418 |
|
999,920 | 10.36 |
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|
999,418 |
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999,920 | 0.40 |
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$12,000,000 Treasury bill due 10/03/2013 |
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|
11,995,931 |
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11,998,560 | 5.00 |
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- |
|
- |
- |
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|
|
11,995,931 |
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11,998,560 | 4.80 |
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$14,000,000 Treasury bill due 10/17/2013 |
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|
13,995,442 |
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13,997,760 | 5.83 |
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- |
|
- |
- |
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13,995,442 |
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13,997,760 | 5.60 |
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$20,000,000 Treasury bill due 10/31/2013 |
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|
19,992,570 |
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19,996,200 | 8.33 |
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- |
|
- |
- |
|
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|
19,992,570 |
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19,996,200 | 8.01 |
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$40,000,000 Treasury bill due 11/07/2013 |
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|
39,985,927 |
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39,992,800 | 16.66 |
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- |
|
- |
- |
|
|
|
39,985,927 |
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39,992,800 | 16.01 |
|
$30,000,000 Treasury bill due 12/12/2013 |
|
|
29,990,775 |
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29,991,000 | 12.49 |
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|
|
- |
|
- |
- |
|
|
|
29,990,775 |
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29,991,000 | 12.01 |
|
$500,000 Treasury bill due 12/12/2013 |
|
|
- |
|
- |
- |
|
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|
499,851 |
|
499,850 | 5.18 |
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|
499,851 |
|
499,850 | 0.20 |
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Total Government-sponsored enterprise securities |
|
$ |
211,915,271 |
$ |
211,975,310 | 88.29 |
% |
|
$ |
7,296,400 |
$ |
7,299,712 | 75.64 |
% |
|
$ |
219,211,671 |
$ |
219,275,022 | 87.78 |
% |
Mutual funds |
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United States |
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Federated Government Obligations Fund |
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(203 Shares) |
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$ |
203 |
$ |
203 |
** |
% |
|
$ |
- |
$ |
- |
- |
% |
|
$ |
203 |
$ |
203 |
** |
% |
Total mutual funds |
|
$ |
- |
$ |
- |
** |
% |
|
$ |
- |
$ |
- |
- |
% |
|
$ |
- |
$ |
- |
** |
% |
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** Represents less than 0.01% of members' equity (net assets). |
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The accompanying notes are an integral part of these financial statements. |
5
RICI® Linked - PAM Advisors Fund, LLC
Condensed Schedule of Investments
December 31, 2012 (Audited)
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Total Index Series |
|
Agricultural Sector Series |
|
Total RICI® Linked - PAM Advisors Fund, LLC |
|||||||||
|
|
Net Unrealized |
|
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Net Unrealized |
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|
Net Unrealized |
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|||
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Gain (Loss) |
Percent of |
|
Gain (Loss) |
Percent of |
|
Gain (Loss) |
Percent of |
||||||
|
|
on Open |
Members' |
|
on Open |
Members' |
|
on Open |
Members' |
||||||
|
|
Long Futures |
Equity |
|
Long Futures |
Equity |
|
Long Futures |
Equity |
||||||
|
|
Contracts |
(Net Assets) |
|
Contracts |
(Net Assets) |
|
Contracts |
(Net Assets) |
||||||
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States |
|
|
|
|
|
|
|
|
|
|
|
|
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|
Agriculture* |
|
$ |
(3,604,351) | (1.33) |
% |
|
$ |
(450,743) | (3.81) |
% |
|
$ |
(4,055,094) | (1.43) |
% |
Energy* |
|
|
431,994 | 0.16 |
|
|
|
- |
- |
|
|
|
431,994 | 0.15 |
|
Metals* |
|
|
(515,960) | (0.19) |
|
|
|
- |
- |
|
|
|
(515,960) | (0.18) |
|
Total futures contracts - United States |
|
|
(3,688,317) | (1.36) |
|
|
|
(450,743) | (3.81) |
|
|
|
(4,139,060) | (1.46) |
|
Foreign |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture* |
|
|
4,585 | 0.00 |
|
|
|
3,116 | 0.03 |
|
|
|
7,701 | 0.00 |
|
Energy* |
|
|
141,040 | 0.05 |
|
|
|
- |
- |
|
|
|
141,040 | 0.05 |
|
Metals* |
|
|
2,882,238 | 1.06 |
|
|
|
- |
- |
|
|
|
2,882,238 | 1.02 |
|
Total futures contracts - Foreign |
|
|
3,027,863 | 1.12 |
|
|
|
3,116 | 0.03 |
|
|
|
3,030,979 | 1.07 |
|
Total net unrealized loss on open futures contracts |
|
$ |
(660,454) | (0.24) |
% |
|
$ |
(447,627) | (3.78) |
% |
|
$ |
(1,108,081) | (0.39) |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* No individual futures contract position constituted greater than 1% of members' equity (net assets). |
|||||||||||||||
Accordingly, the number of contracts and expiration dates are not presented. |
|||||||||||||||
The accompanying notes are an integral part of these financial statements. |
6
RICI® Linked - PAM Advisors Fund, LLC
Condensed Schedule of Investments
December 31, 2012 (Audited)
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|
Total Index Series |
|
Agricultural Sector Series |
|
Total RICI® Linked - PAM Advisors Fund, LLC |
|||||||||||||||
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Percent of |
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Percent of |
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Percent of |
|||
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|
Members' |
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|
Members' |
|
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|
|
Members' |
|||
Government-sponsored enterprise securities |
|
|
|
|
|
Equity |
|
|
|
|
|
Equity |
|
|
|
|
|
Equity |
|||
United States |
|
Cost |
Fair Value |
(Net Assets) |
|
Cost |
Fair Value |
(Net Assets) |
|
|
Cost |
|
Fair Value |
(Net Assets) |
|||||||
U.S.Treasury Bills |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$40,000,000 Treasury bill due 01/10/2013 |
|
$ |
39,971,850 |
$ |
39,999,600 | 14.74 |
% |
|
$ |
- |
$ |
- |
- |
% |
|
$ |
39,971,850 |
$ |
39,999,600 | 14.13 |
% |
$30,000,000 Treasury bill due 01/17/2013 |
|
|
29,982,858 |
|
29,999,700 | 11.06 |
|
|
|
- |
|
- |
- |
|
|
|
29,982,858 |
|
29,999,700 | 10.59 |
|
$6,200,000 Treasury bill due 01/17/2013 |
|
|
- |
|
- |
- |
|
|
|
6,196,241 |
|
6,199,938 | 52.48 |
|
|
|
6,196,241 |
|
6,199,938 | 2.19 |
|
$16,000,000 Treasury bill due 02/07/2013 |
|
|
15,988,675 |
|
15,999,520 | 5.90 |
|
|
|
- |
|
- |
- |
|
|
|
15,988,675 |
|
15,999,520 | 5.65 |
|
$4,000,000 Treasury bill due 02/28/2013 |
|
|
3,997,499 |
|
3,999,840 | 1.47 |
|
|
|
- |
|
- |
- |
|
|
|
3,997,499 |
|
3,999,840 | 1.41 |
|
$1,000,000 Treasury bill due 02/28/2013 |
|
|
- |
|
- |
- |
|
|
|
999,378 |
|
999,960 | 8.46 |
|
|
|
999,378 |
|
999,960 | 0.35 |
|
$20,000,000 Treasury bill due 04/11/2013 |
|
|
19,986,068 |
|
19,996,400 | 7.37 |
|
|
|
- |
|
- |
- |
|
|
|
19,986,068 |
|
19,996,400 | 7.06 |
|
$20,000,000 Treasury bill due 04/18/2013 |
|
|
19,985,830 |
|
19,995,800 | 7.37 |
|
|
|
- |
|
- |
- |
|
|
|
19,985,830 |
|
19,995,800 | 7.06 |
|
$20,000,000 Treasury bill due 04/18/2013 |
|
|
19,985,828 |
|
19,995,800 | 7.37 |
|
|
|
- |
|
- |
- |
|
|
|
19,985,828 |
|
19,995,800 | 7.06 |
|
$40,000,000 Treasury bill due 05/09/2013 |
|
|
39,973,839 |
|
39,987,200 | 14.74 |
|
|
|
- |
|
- |
- |
|
|
|
39,973,839 |
|
39,987,200 | 14.12 |
|
$1,000,000 Treasury bill due 05/16/2013 |
|
|
- |
|
- |
- |
|
|
|
999,405 |
|
999,660 | 8.46 |
|
|
|
999,405 |
|
999,660 | 0.35 |
|
$30,000,000 Treasury bill due 06/20/2013 |
|
|
29,986,453 |
|
29,985,300 | 11.05 |
|
|
|
- |
|
- |
- |
|
|
|
29,986,453 |
|
29,985,300 | 10.59 |
|
$1,500,000 Treasury bill due 06/20/2013 |
|
|
- |
|
- |
- |
|
|
|
1,499,372 |
|
1,499,372 | 12.69 |
|
|
|
1,499,372 |
|
1,499,372 | 0.53 |
|
Total Government-sponsored enterprise securities |
|
$ |
219,858,900 |
$ |
219,959,160 | 81.07 |
% |
|
$ |
9,694,396 |
$ |
9,698,930 | 82.09 |
% |
|
$ |
229,553,296 |
$ |
229,658,090 | 81.09 |
% |
Mutual funds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federated Government Obligations Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(5,000,057 shares) |
|
$ |
5,000,067 |
$ |
5,000,057 | 1.84 |
% |
|
$ |
- |
$ |
- |
- |
% |
|
$ |
5,000,067 |
$ |
5,000,057 | 1.77 |
% |
Federated Government Obligations Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(100,000 shares) |
|
|
- |
|
- |
- |
|
|
|
100,000 |
|
100,000 | 0.85 |
|
|
|
100,000 |
|
100,000 | 0.04 |
|
AIM Government & Agency Portfolio Institutional |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(5,000,497 shares) |
|
|
5,000,497 |
|
5,000,497 | 1.84 |
|
|
|
- |
|
- |
- |
|
|
|
5,000,497 |
|
5,000,497 | 1.77 |
|
AIM Government & Agency Portfolio Institutional |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(100,000 shares) |
|
|
- |
|
- |
- |
|
|
|
100,000 |
|
100,000 | 0.85 |
|
|
|
100,000 |
|
100,000 | 0.04 |
|
Total mutual funds |
|
$ |
10,000,564 |
$ |
10,000,554 | 3.68 |
% |
|
$ |
200,000 |
$ |
200,000 | 1.70 |
% |
|
$ |
10,200,564 |
$ |
10,200,554 | 3.58 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
7
RICI® Linked - PAM Advisors Fund, LLC
Statements of Operations
For the Three Months and Six Months Ended June 30, 2013 and 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Index Series |
|
Agricultural Sector Series |
|
Total RICI® Linked - PAM Advisors Fund, LLC |
|||||||||||||||||||||
|
|
Three Months Ended |
Six Months Ended |
|
Three Months Ended |
Six Months Ended |
|
Three Months Ended |
Six Months Ended |
||||||||||||||||||
|
|
June 30, |
June 30, |
|
June 30, |
|
June 30, |
|
June 30, |
June 30, |
|||||||||||||||||
|
|
2013 |
2012 |
2013 |
2012 |
|
2013 |
2012 |
2013 |
2012 |
|
2013 |
2012 |
2013 |
2012 |
||||||||||||
Realized and unrealized gains (losses) on investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized losses on futures contracts |
|
$ |
(16,799,230) |
$ |
(41,785,945) |
$ |
(13,287,715) |
$ |
(29,098,125) |
|
$ |
(539,876) |
$ |
(1,287,481) |
$ |
(877,737) |
$ |
(1,335,681) |
|
$ |
(17,339,106) |
$ |
(43,073,426) |
$ |
(14,165,452) |
$ |
(30,433,806) |
Realized gains on securities |
|
|
86,199 |
|
28,236 |
|
145,307 |
|
69,554 |
|
|
979 |
|
660 |
|
5,407 |
|
3,427 |
|
|
87,178 |
|
28,896 |
|
150,714 |
|
72,981 |
Change in unrealized gains |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(losses) on open futures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts |
|
|
(3,032,283) |
|
11,729,895 |
|
(6,167,737) |
|
14,134,328 |
|
|
(168,106) |
|
966,241 |
|
(15,593) |
|
1,260,600 |
|
|
(3,200,389) |
|
12,696,136 |
|
(6,183,331) |
|
15,394,928 |
Change in unrealized gains |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(losses) on securities |
|
|
(40,710) |
|
26,882 |
|
(40,211) |
|
4,943 |
|
|
846 |
|
1,343 |
|
(1,222) |
|
(338) |
|
|
(39,864) |
|
28,225 |
|
(41,433) |
|
4,605 |
Brokerage commissions |
|
|
(146,973) |
|
(136,264) |
|
(267,836) |
|
(286,737) |
|
|
(8,323) |
|
(7,901) |
|
(14,814) |
|
(15,053) |
|
|
(155,296) |
|
(144,165) |
|
(282,650) |
|
(301,790) |
Net realized and unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
gain (loss) on investments |
|
|
(19,932,997) |
|
(30,137,196) |
|
(19,618,193) |
|
(15,176,037) |
|
|
(714,480) |
|
(327,138) |
|
(903,959) |
|
(87,045) |
|
|
(20,647,477) |
|
(30,464,334) |
|
(20,522,152) |
|
(15,263,082) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income |
|
|
3,629 |
|
4,866 |
|
9,132 |
|
5,232 |
|
|
320 |
|
412 |
|
582 |
|
185 |
|
|
3,949 |
|
5,278 |
|
9,714 |
|
5,417 |
|
|
|
3,629 |
|
4,866 |
|
9,132 |
|
5,232 |
|
|
320 |
|
412 |
|
582 |
|
185 |
|
|
3,949 |
|
5,278 |
|
9,714 |
|
5,417 |
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Management fees |
|
|
408,277 |
|
460,154 |
|
866,774 |
|
964,496 |
|
|
16,568 |
|
21,267 |
|
35,759 |
|
42,212 |
|
|
424,845 |
|
481,421 |
|
902,533 |
|
1,006,708 |
Operating expenses |
|
|
110,104 |
|
112,512 |
|
221,446 |
|
233,097 |
|
|
15,275 |
|
13,650 |
|
28,440 |
|
27,135 |
|
|
125,379 |
|
126,162 |
|
249,886 |
|
260,232 |
Support services fee |
|
|
62,778 |
|
70,755 |
|
133,278 |
|
148,304 |
|
|
2,547 |
|
3,270 |
|
5,498 |
|
6,491 |
|
|
65,325 |
|
74,025 |
|
138,776 |
|
154,795 |
Servicing fees |
|
|
22,591 |
|
27,356 |
|
49,546 |
|
54,252 |
|
|
3,551 |
|
4,363 |
|
7,930 |
|
8,889 |
|
|
26,142 |
|
31,719 |
|
57,476 |
|
63,141 |
|
|
|
603,750 |
|
670,777 |
|
1,271,044 |
|
1,400,149 |
|
|
37,941 |
|
42,550 |
|
77,627 |
|
84,727 |
|
|
641,691 |
|
713,327 |
|
1,348,671 |
|
1,484,876 |
Net investment loss |
|
|
(600,121) |
|
(665,911) |
|
(1,261,912) |
|
(1,394,917) |
|
|
(37,621) |
|
(42,138) |
|
(77,045) |
|
(84,542) |
|
|
(637,742) |
|
(708,049) |
|
(1,338,957) |
|
(1,479,459) |
Net income (loss) |
|
$ |
(20,533,118) |
$ |
(30,803,107) |
$ |
(20,880,104) |
$ |
(16,570,954) |
|
$ |
(752,101) |
$ |
(369,276) |
$ |
(981,004) |
$ |
(171,587) |
|
$ |
(21,285,219) |
$ |
(31,172,383) |
$ |
(21,861,108) |
$ |
(16,742,541) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8
RICI® Linked - PAM Advisors Fund, LLC
Statement of Changes in Members' Equity (Net Assets)
For the Six Months Ended June 30, 2013 and 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Index Series |
|
Agricultural Sector Series |
|
Total RICI® Linked - PAM Advisors Fund, LLC |
|||||||||||||||
|
|
Managing Member |
Non- Managing Members |
Total |
|
Managing Member |
Non-Managing Members |
Total |
|
Managing Member |
Non-Managing Members |
Total |
|||||||||
Members' equity (net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
|
$ |
38,321 |
$ |
271,322,775 |
$ |
271,361,096 |
|
$ |
36,801 |
$ |
11,778,227 |
$ |
11,815,028 |
|
$ |
75,122 |
$ |
283,101,002 |
$ |
283,176,124 |
Subscriptions, net |
|
|
- |
|
23,432,499 |
|
23,432,499 |
|
|
- |
|
332,587 |
|
332,587 |
|
|
- |
|
23,765,086 |
|
23,765,086 |
Withdrawals |
|
|
- |
|
(33,794,610) |
|
(33,794,610) |
|
|
- |
|
(1,515,879) |
|
(1,515,879) |
|
|
- |
|
(35,310,489) |
|
(35,310,489) |
Net loss |
|
|
(2,865) |
|
(20,877,239) |
|
(20,880,104) |
|
|
(3,142) |
|
(977,862) |
|
(981,004) |
|
|
(6,007) |
|
(21,855,101) |
|
(21,861,108) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Members' equity (net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2013 |
|
$ |
35,456 |
$ |
240,083,425 |
$ |
240,118,881 |
|
$ |
33,659 |
$ |
9,617,073 |
$ |
9,650,732 |
|
$ |
69,115 |
$ |
249,700,498 |
$ |
249,769,613 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Members' equity (net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2011 |
|
$ |
37,002 |
$ |
292,989,365 |
$ |
293,026,367 |
|
$ |
35,511 |
$ |
11,552,735 |
$ |
11,588,246 |
|
$ |
72,513 |
$ |
304,542,100 |
$ |
304,614,613 |
Subscriptions, net |
|
|
- |
|
18,842,340 |
|
18,842,340 |
|
|
- |
|
2,425,718 |
|
2,425,718 |
|
|
- |
|
21,268,058 |
|
21,268,058 |
Withdrawals |
|
|
- |
|
(47,859,063) |
|
(47,859,063) |
|
|
- |
|
(1,062,199) |
|
(1,062,199) |
|
|
- |
|
(48,921,262) |
|
(48,921,262) |
Net loss |
|
|
(1,970) |
|
(16,568,984) |
|
(16,570,954) |
|
|
(167) |
|
(171,420) |
|
(171,587) |
|
|
(2,137) |
|
(16,740,404) |
|
(16,742,541) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Members' equity (net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2012 |
|
$ |
35,032 |
$ |
247,403,658 |
$ |
247,438,690 |
|
$ |
35,344 |
$ |
12,744,834 |
$ |
12,780,178 |
|
$ |
70,376 |
$ |
260,148,492 |
$ |
260,218,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
9
Notes to Financial Statements (Unaudited)
Note 1.Nature of Operations and Significant Accounting Policies
RICI® Linked - PAM Advisors Fund, LLC (the Company) is a limited liability company organized under the Delaware Limited Liability Company Act. The Company engages in the speculative trading of commodity futures, and may engage in the speculative trading of options on futures, forward contracts and other derivatives, on exchanges and markets located in the United States (U.S.) and abroad. These financial statements incorporate the financial condition, results of operations and changes in members’ equity (net assets) of the Company as a whole as well as each Series of membership interest in the Company.
The Company consists of four series (each, a Series) of limited liability company interests (Interests): the RICI® Linked – PAM Total Index Series ( the Total Index Series), the RICI® Linked – PAM Agricultural Sector Series (the Agricultural Sector Series), the RICI® Linked – PAM Energy Sector Series (the Energy Sector Series), and the RICI® Linked – PAM Metals Sector Series (the Metals Sector Series). Each Series invests substantially all of its assets in derivative contracts representing the commodity positions contained in the Rogers International Commodity Index® (Index), or a sub-index thereof. Currently, three Series have commenced trading, the Total Index Series, which began trading May 8, 2007, the Agricultural Sector Series, which began trading February 1, 2008, and the Energy Sector Series, which began trading January 1, 2010. The Energy Sector Series ceased operations after paying out withdrawal proceeds with respect to the July 31, 2010 withdrawal date. The Metals Sector Series has not yet commenced operations.
The Company has been granted a license to use the Index pursuant to a sub-licensing arrangement. If the sub-license arrangement were to terminate and the Company lost use of the Index, the Company would not be able to raise additional capital.
Price Asset Management, Inc. is the Managing Member of the Company. The Company is organized as a “series” limited liability company such that, pursuant to Section 18-215(b) of the Delaware Limited Liability Company Act, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Company generally or any other Series. Accordingly, the assets of one Series of the Company include only those funds and other assets that are paid to, held by or distributed to the Company on account of and for the benefit of that Series, including, without limitation, funds delivered to the Company for investment in that Series.
Total Index Series: trading is comprised of three commodity product sectors encompassing 37 markets worldwide.
Agricultural Sector Series: trading is comprised of one commodity product sector encompassing 21 agricultural markets worldwide.
Energy Sector Series: trading is comprised of one commodity product sector encompassing 6 energy markets worldwide.
Metals Sector Series: trading is comprised of one commodity product sector encompassing 10 metals markets worldwide.
Accounting policies: The Company follows generally accepted accounting principles (GAAP), as established by the Financial Accounting Standards Board (FASB), to ensure consistent reporting of financial condition and results of operations.
Use of estimates: The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
Cash and cash equivalents: Cash and cash equivalents include highly liquid instruments with original maturities of three months or less at the date of acquisition.
10
Note 1.Nature of Operations and Significant Accounting Policies (Continued)
Net asset value: “Net Asset Value” or “Net Assets” associated with each Series is the sum of all cash plus investments, at fair value, plus the liquidating value of all open commodity positions maintained by the Series, plus interest receivable and other assets, less all liabilities of the Series determined in accordance with GAAP.
Securities and derivative financial instruments: Investments in securities and derivative financial instruments and related expenses are recorded on trade date and at fair value. Gains and losses are realized when contracts are liquidated and are included as net realized gain (loss) on investments in the statement of operations. Unrealized gains or losses on open contracts (the difference between contract purchase price and market price) at the date of the statements of financial condition are included in equity in broker trading accounts as a net unrealized gain or loss, as there exists a right to offset. The difference between the cost and the fair value of open investments is reflected as unrealized gains (losses) on investments. Any change in net unrealized gain or loss from the preceding period is reported in the statements of operations. Brokerage commissions include clearing and exchange fees and are separately reported in the statements of operations.
Translation of foreign currencies: The Company’s functional currency is the U.S. dollar; however, it transacts business in foreign currencies. Investments denominated in foreign currencies are translated into U.S. dollars at the rates in effect at the date of the statements of financial condition. Income and expense items denominated in foreign currencies are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported as part of realized gains and losses in the statements of operations.
Subscriptions: Non-managing member subscriptions are presented in the statement of changes in members’ equity (net assets), net of sales fees, if any.
Withdrawals payable: Withdrawals approved by the Managing Member prior to month end with a fixed effective date and fixed amount are recorded as withdrawals payable as of month end.
Ongoing offering expenses: Ongoing offering expenses are charged to expense as incurred.
Income taxes: No provision for income taxes has been made in these financial statements because members are individually responsible for reporting income or loss based on their respective shares in the Company’s income and expenses as reported for income tax purposes.
The FASB provides guidance for how uncertain tax positions should be recognized, measured, disclosed and presented in the financial statements. The guidance requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained “when challenged” or “when examined” by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense and liability in the current year. Through June 30, 2013 management has determined that there are no material uncertain income tax positions.
The Company is not subject to examination by U.S. Federal and state tax authorities for years before 2009.
Statement of cash flows: The Company has elected not to provide statements of cash flows as permitted by GAAP as all of the following conditions have been met:
During the period, substantially all of the Company’s investments were classified as Level 1 and Level 2 assets and liabilities within the Fair Value hierarchy;
Substantially all of the Company’s investments are carried at fair value;
The Company had little or no debt during the period; and
The Company’s financial statements include a statement of changes in members’ equity (net assets).
Recently issued accounting pronouncements: In December 2011, the FASB issued new guidance that requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. This guidance is effective for annual and interim periods beginning on or after January 1, 2013. An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented. The adoption of this guidance did not have a material impact on the Company’s financial position or results of operations.
11
Note 2.Fair Value of Financial Instruments
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Company utilizes valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs are broadly defined as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy are described below:
Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly; and fair value is determined through the use of models or other valuation methodologies.
Level 3. Inputs are unobservable for the asset or liability and include situations where there is little, if any, market activity for the asset or liability. The inputs into the determination of fair value are based upon the best information in the circumstances and may require significant management judgment or estimation.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following section describes the valuation techniques used by the Company to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.
The fair values of exchange traded futures contracts are based upon exchange settlement prices. Shares of mutual funds, which include money market funds, are valued at the net asset value based on quoted market prices. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices for identical assets in an active market. These financial instruments are classified as Level 1 of the fair value hierarchy.
The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis within the fair value hierarchy as of:
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Total Index Series |
|
Agricultural Sector Series |
|
Total RICI® Linked - PAM Advisors Fund, LLC |
|||||||||||
|
|
June 30, |
|
December 31, |
|
June 30, |
December 31, |
|
June 30, |
|
December 31, |
||||||
|
|
2013 |
|
2012 |
|
2013 |
2012 |
|
2013 |
|
2012 |
||||||
Description |
|
Level 1 |
|
Level 1 |
|
Level 1 |
Level 1 |
|
Level 1 |
|
Level 1 |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity in broker trading |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
account |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
$ |
(6,828,190) |
|
$ |
(660,454) |
|
$ |
(463,220) |
$ |
(447,627) |
|
$ |
(7,291,410) |
|
$ |
(1,108,081) |
Cash and cash equivalents |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Money market funds |
|
|
4,861,533 |
|
|
11,779,729 |
|
|
456,103 |
|
309,127 |
|
|
5,317,636 |
|
|
12,088,856 |
Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government-sponsored |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
enterprise securities |
|
|
211,975,310 |
|
|
219,959,160 |
|
|
7,299,712 |
|
9,698,930 |
|
|
219,275,022 |
|
|
229,658,090 |
Mutual funds |
|
|
203 |
|
|
10,000,554 |
|
|
- |
|
200,000 |
|
|
203 |
|
|
10,200,554 |
|
|
$ |
210,008,856 |
|
$ |
241,078,989 |
|
$ |
7,292,595 |
$ |
9,760,430 |
|
$ |
217,301,451 |
|
$ |
250,839,419 |
12
13
Note 2.Fair Value of Financial Instruments (Continued)
At June 30, 2013 and December 31, 2012 the Company had no Level 2 or Level 3 assets or liabilities. The Company assesses the levels or assets and liabilities measured at fair value at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstance that caused the transfer. There was no transfer among Levels 1, 2 and 3 during the period ended June 30, 2013 and year ended December 31, 2012.
In addition, substantially all of the Company’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.
Note 3.Derivative Instruments
The Company’s derivative contracts are comprised of futures contracts. These derivative contracts are recorded on the statements of financial condition as assets measured at fair value and the related realized and unrealized gain (loss) associated with these derivatives is recorded in the statements of operations. The Company has considered the counterparty credit risk related to all its futures contracts and does not deem any counterparty credit risk material at this time. The Company does not consider any derivative instruments to be hedging instruments, as this term is generally understood under FASB guidance.
Total Index Series
As of June 30, 2013 and December 31, 2012 the Total Index Series’ derivative contracts had the following impact on the statement of financial condition:
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|
|
Asset Derivatives |
Liability Derivatives |
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||
|
Contract Risk |
Location |
June 30, 2013 |
June 30, 2013 |
Net |
|||
|
|
|
|
|
|
|
|
|
Futures: |
Commodity price |
Equity in broker trading account |
||||||
Agriculture |
|
|
$ |
128,748 |
$ |
(4,102,669) |
$ |
(3,973,921) |
Energy |
|
|
|
482,030 |
|
(381,801) |
|
100,229 |
Metals |
|
|
|
94,806 |
|
(3,049,304) |
|
(2,954,498) |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
705,584 |
$ |
(7,533,774) |
$ |
(6,828,190) |
|
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|
|
|
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|
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|
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|
|
|
|
|
|
|
|
|
|
|
Asset Derivatives |
Liability Derivatives |
|
|
||
|
Contract Risk |
Location |
December 31, 2012 |
December 31, 2012 |
Net |
|||
|
|
|
|
|
|
|
|
|
Futures: |
Commodity price |
Equity in broker trading account |
||||||
Agriculture |
|
|
$ |
1,123,319 |
$ |
(4,723,085) |
$ |
(3,599,766) |
Energy |
|
|
|
924,732 |
|
(351,698) |
|
573,034 |
Metals |
|
|
|
3,996,960 |
|
(1,630,682) |
|
2,366,278 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,045,011 |
$ |
(6,705,465) |
$ |
(660,454) |
14
Note 3.Derivative Instruments (Continued)
For the three and six months ended June 30, 2013 and 2012 the Total Index Series’ derivative contracts had the following impact on the statement of operations:
|
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|
Six months ended June 30, 2013 |
|||||
|
Contract Risk |
|
Realized gains (losses) on futures contracts |
Change in unrealized gains (losses) on open futures contracts |
Net trading gains (losses) |
|||
Futures: |
Commodity price |
|
|
|
|
|
|
|
Agriculture |
|
|
$ |
(7,220,867) |
$ |
(374,156) |
$ |
(7,595,023) |
Energy |
|
|
|
271,536 |
|
(472,805) |
|
(201,269) |
Metals |
|
|
|
(6,338,384) |
|
(5,320,776) |
|
(11,659,160) |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(13,287,715) |
$ |
(6,167,737) |
$ |
(19,455,452) |
|
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|
|
|
|
|
|
|
|
|
|
Six months ended June 30, 2012 |
|||||
|
Contract Risk |
|
Realized gains (losses) on futures contracts |
Change in unrealized gains (losses) on open futures contracts |
Net trading gains (losses) |
|||
Futures: |
Commodity price |
|
|
|
|
|
|
|
Agriculture |
|
|
$ |
(7,400,610) |
$ |
1,099,869 |
$ |
(6,300,741) |
Energy |
|
|
|
(19,822,118) |
|
10,515,927 |
|
(9,306,191) |
Metals |
|
|
|
(1,875,397) |
|
2,518,532 |
|
643,135 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(29,098,125) |
$ |
14,134,328 |
$ |
(14,963,797) |
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|
|
|
|
|
|
|
|
|
|
Three months ended June 30, 2013 |
|||||
|
Contract Risk |
|
Realized gains (losses) on futures contracts |
Change in unrealized gains (losses) on open futures contracts |
Net trading gains (losses) |
|||
Futures: |
Commodity price |
|
|
|
|
|
|
|
Agriculture |
|
|
$ |
(4,248,678) |
$ |
(1,802,933) |
$ |
(6,051,611) |
Energy |
|
|
|
(2,692,828) |
|
(2,988,161) |
|
(5,680,989) |
Metals |
|
|
|
(9,857,724) |
|
1,758,811 |
|
(8,098,913) |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(16,799,230) |
$ |
(3,032,283) |
$ |
(19,831,513) |
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, 2012 |
|||||
|
Contract Risk |
|
Realized gains (losses) on futures contracts |
Change in unrealized gains (losses) on open futures contracts |
Net trading gains (losses) |
|||
Futures: |
Commodity price |
|
|
|
|
|
|
|
Agriculture |
|
|
$ |
(9,983,232) |
$ |
7,388,086 |
$ |
(2,595,146) |
Energy |
|
|
|
(26,883,520) |
|
5,644,738 |
|
(21,238,782) |
Metals |
|
|
|
(4,919,193) |
|
(1,302,929) |
|
(6,222,122) |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(41,785,945) |
$ |
11,729,895 |
$ |
(30,056,050) |
For the six months ended June 30, 2013 and 2012, the monthly average number of futures contracts bought and sold was approximately 7,718 and 8,033, respectively.
15
Note 3. Derivative Instruments (Continued)
Agricultural Sector Series
As of June 30, 2013 and December 31, 2012, the Agricultural Sector Series’ derivative contracts had the following impact on the statement of financial condition:
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|
|
|
|
|
|
|
|
Asset Derivatives |
Liability Derivatives |
|
|
||
|
Contract Risk |
Location |
June 30, 2013 |
June 30, 2013 |
Net |
|||
|
|
|
|
|
|
|
|
|
Futures: |
Commodity price |
Equity in broker trading account |
||||||
Agriculture |
|
|
$ |
14,268 |
$ |
(477,488) |
$ |
(463,220) |
Energy |
|
|
|
- |
|
- |
|
- |
Metals |
|
|
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
14,268 |
$ |
(477,488) |
$ |
(463,220) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivatives |
Liability Derivatives |
|
|
||
|
Contract Risk |
Location |
December 31, 2012 |
December 31, 2012 |
Net |
|||
|
|
|
|
|
|
|
|
|
Futures: |
Commodity price |
Equity in broker trading account |
||||||
Agriculture |
|
|
$ |
143,072 |
$ |
(590,699) |
$ |
(447,627) |
Energy |
|
|
|
- |
|
- |
|
- |
Metals |
|
|
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
143,072 |
$ |
(590,699) |
$ |
(447,627) |
For the three and six months ended June 30, 2013 and 2012, the Agricultural Sector Series’ derivative contracts had the following impact on the statement of operations:
|
||||||||
|
|
|
Six months ended June 30, 2013 |
|||||
|
Contract Risk |
|
Realized gains ( losses) on futures contracts |
Change in unrealized gains (losses) on open futures contracts |
Net trading gains (losses) |
|||
Futures: |
Commodity price |
|
|
|
|
|
|
|
Agriculture |
|
|
$ |
(877,737) |
$ |
(15,593) |
$ |
(893,330) |
Energy |
|
|
|
- |
|
- |
|
- |
Metals |
|
|
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(877,737) |
$ |
(15,593) |
$ |
(893,330) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, 2012 |
||||
|
Contract Risk |
|
Realized gains (losses) on futures contracts |
Change in unrealized gains (losses) on open futures contracts |
Net trading gains (losses) |
|||
Futures: |
Commodity price |
|
|
|
|
|
|
|
Agriculture |
|
|
$ |
(1,335,681) |
$ |
1,260,600 |
$ |
(75,081) |
Energy |
|
|
|
- |
|
- |
|
- |
Metals |
|
|
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,335,681) |
$ |
1,260,600 |
$ |
(75,081) |
Note 3. Derivative Instruments (Continued)
16
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, 2013 |
|||||
|
Contract Risk |
|
Realized gains ( losses) on futures contracts |
Change in unrealized gains (losses) on open futures contracts |
Net trading gains (losses) |
|||
Futures: |
Commodity price |
|
|
|
|
|
|
|
Agriculture |
|
|
$ |
(539,876) |
$ |
(168,106) |
$ |
(707,982) |
Energy |
|
|
|
- |
|
- |
|
- |
Metals |
|
|
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(539,876) |
$ |
(168,106) |
$ |
(707,982) |
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, 2012 |
|||||
|
Contract Risk |
|
Realized gains ( losses) on futures contracts |
Change in unrealized gains (losses) on open futures contracts |
Net trading gains (losses) |
|||
Futures: |
Commodity price |
|
|
|
|
|
|
|
Agriculture |
|
|
$ |
(1,287,481) |
$ |
966,241 |
$ |
(321,240) |
Energy |
|
|
|
- |
|
- |
|
- |
Metals |
|
|
|
- |
|
- |
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,287,481) |
$ |
966,241 |
$ |
(321,240) |
For the six months ended June 30, 2013 and 2012, the monthly average number of futures contracts bought and sold was approximately 376 and 477, respectively.
Note 4.Equity in Broker Trading Account
Cash and financial instruments held at the Company’s clearing brokers collateralize amounts due to the clearing brokers, if any, and may serve to satisfy regulatory or clearing broker margin requirements. The Company earns interest on its assets deposited with brokers. At June 30, 2013 and December 31, 2012, the following amounts of cash were held at clearing brokers to satisfy margin requirements.
|
|
|
|
|
|
|
|
|
June 30, 2013 |
|
December 31, 2012 |
||
|
|
|
|
|
|
|
Total Index Series |
|
$ |
15,099,922 |
|
$ |
17,224,591 |
Agricultural Sector Series |
|
|
679,932 |
|
|
780,902 |
Note 5.Subscriptions, Withdrawals, and Distributions
Subscriptions are effective at the opening of business on the first day of trading of the next calendar month. Class A Interests were issued through October 2011. Class B Interests were issued for contributions received on or after November 1, 2011and are identical to Class A Interests in all respects, except that Class A Interests of each Series were allocated items of expense related to events occurring on or prior to October 31, 2011.
Non-managing members may withdraw some or all of their interest in the Company as of the end of any calendar month upon five business days prior written notice. Withdrawals from any Series made prior to the end of the sixth full calendar month following a non-managing member’s initial investment in such Series are subject to a withdrawal charge, payable to the relevant Series, equal to 1 percent of the amount withdrawn, provided that such charge will not apply if the withdrawal results from a request to exchange Interests in one Series for Interests in another Series. The Managing Member may defer or suspend withdrawal rights under certain circumstances.
Distributions may be made at the discretion of the Managing Member.
17
Note 6.The Managing Member
Price Asset Management, Inc., an Illinois corporation, is the managing member, commodity pool operator and commodity trading advisor of the Company. On August 24, 2012 Price Asset Management, Inc. became registered as an investment adviser.
The Managing Member will maintain a capital account balance in each Series sufficient for such Series to be treated as a partnership for federal income tax purposes (which may be $0) and may make withdrawals from its capital accounts without notice to the non-managing members. The Managing Member is not subject to the Managing Member’s management fee or support services fee, but will otherwise bear its proportionate share of each Series’ expenses.
Note 7.Fees and Expenses
Each Series pays the Managing Member a monthly management fee of 0.054167 percent of the month-end Net Asset Value of each non-managing member's capital account in the Company (0.65 percent per annum). The Managing Member may waive or reduce its management fee in respect of any non-managing member without entitling any other non-managing member to a similar waiver or reduction. There were no waived management fees for the six months ended June 30, 2013 and 2012.
The management fees for the three and six months ended June 30, 2013 and 2012 were as follows and are reflected in the statements of operations.
|
|
|
|
|
|
|
|
|
Six months ended |
||||
|
|
June 30, 2013 |
|
June 30, 2012 |
||
|
|
|
|
|
|
|
Total Index Series |
|
$ |
866,774 |
|
$ |
964,496 |
Agricultural Sector Series |
|
|
35,759 |
|
|
42,212 |
The Company |
|
$ |
902,533 |
|
$ |
1,006,708 |
|
|
|
|
|
|
|
|
|
Three months ended |
||||
|
|
June 30, 2013 |
|
June 30, 2012 |
||
|
|
|
|
|
|
|
Total Index Series |
|
$ |
408,277 |
|
$ |
460,154 |
Agricultural Sector Series |
|
|
16,568 |
|
|
21,267 |
The Company |
|
$ |
424,845 |
|
$ |
481,421 |
Non-managing members in the Company introduced by their respective selling agents may be charged a monthly service fee of 0.0833 percent (1 percent per annum) payable to the selling agent. They may also be charged an upfront sales fee of up to one percent of the subscriptions amount that is deducted from the subscription proceeds and paid to the applicable selling agent, if any. For the three and six months ended June 30, 2013 and 2012 subscriptions are net of the following amounts in sales fees that were charged to applicable non-managing members.
|
|
|
|
|
|
|
|
|
Six months ended |
||||
|
|
June 30, 2013 |
|
June 30, 2012 |
||
|
|
|
|
|
|
|
Total Index Series |
|
$ |
4,000 |
|
$ |
3,000 |
Agricultural Sector Series |
|
|
1,150 |
|
|
4,600 |
The Company |
|
$ |
5,150 |
|
$ |
7,600 |
18
Note 7. Fees and Expenses (Continued)
|
|
|
|
|
|
|
|
|
Three months ended |
||||
|
|
June 30, 2013 |
|
June 30, 2012 |
||
|
|
|
|
|
|
|
Total Index Series |
|
$ |
750 |
|
$ |
1,125 |
Agricultural Sector Series |
|
|
750 |
|
|
600 |
The Company |
|
$ |
1,500 |
|
$ |
1,725 |
Non-managing members introduced through qualified advisors, including the marketing representative, Uhlmann Price Securities, LLC, will not be charged a service fee. Uhlmann Price Securities, LLC, an affiliate of the Managing Member, will be paid its introducing fee by the Managing Member without reimbursement from the Company. The Company incurred the following amount of servicing fees to the selling agents during the three and six months ended June 30, 2013 and 2012, respectively.
|
|
|
|
|
|
|
|
|
Six months ended |
||||
|
|
June 30, 2013 |
|
June 30, 2012 |
||
|
|
|
|
|
|
|
Total Index Series |
|
$ |
49,546 |
|
$ |
54,252 |
Agricultural Sector Series |
|
|
7,930 |
|
|
8,889 |
The Company |
|
$ |
57,476 |
|
$ |
63,141 |
|
|
|
|
|
|
|
|
|
Three months ended |
||||
|
|
June 30, 2013 |
|
June 30, 2012 |
||
|
|
|
|
|
|
|
Total Index Series |
|
$ |
22,591 |
|
$ |
27,356 |
Agricultural Sector Series |
|
|
3,551 |
|
|
4,363 |
The Company |
|
$ |
26,142 |
|
$ |
31,719 |
The Company pays all of its own legal, accounting, auditing, reporting, administrative and initial offering expenses.
Any expenses of the Company as a whole, and not specific to any Series of the Company, will be allocated ratably among the Series, in the ratio that the Net Asset Value of each Series bears to the aggregate Net Asset Value of all Series. The Managing Member believes this allocation method to be reasonable.
The Price Futures Group, Inc. (Price Futures), an affiliate of the Managing Member, acts as the introducing broker for the Company, whereby certain accounts of the Company are introduced to the Company’s clearing broker. A portion of the brokerage fee paid by the Company for clearing transactions is paid to Price Futures by the clearing broker.
The Company pays 0.0083 percent (0.10 percent per annum) of the month-end net asset value, Series by Series, as a support service fee to pay broker-dealers for distribution related services to the Company for hosting distribution platforms or providing custody solutions.
The Company incurred the following amount of support services fees during the three and six months ended June 30, 2013 and 2012, respectively.
Note 7. Fees and Expenses (Continued)
19
|
|
|
|
|
|
|
|
|
Six months ended |
||||
|
|
June 30, 2013 |
|
June 30, 2012 |
||
|
|
|
|
|
|
|
Total Index Series |
|
$ |
133,278 |
|
$ |
148,304 |
Agricultural Sector Series |
|
|
5,498 |
|
|
6,491 |
The Company |
|
$ |
138,776 |
|
$ |
154,795 |
|
|
|
|
|
|
|
|
|
Three months ended |
||||
|
|
June 30, 2013 |
|
June 30, 2012 |
||
|
|
|
|
|
|
|
Total Index Series |
|
$ |
62,778 |
|
$ |
70,755 |
Agricultural Sector Series |
|
|
2,547 |
|
|
3,270 |
The Company |
|
$ |
65,325 |
|
$ |
74,025 |
Note 8.Trading Activities and Related Risks
The Company is exposed to both market risk, the risk arising from changes in the market value of the financial instruments, and credit risk, the risk of failure by another party to perform according to the terms of a contract.
Market risk: The Company engages in the speculative trading of derivative financial instruments that involve varying degrees of off balance sheet market risk whereby changes in the market values of the underlying commodities may result in changes in the value of the derivative financial instruments in excess of the amounts reflected in the statements of financial condition. Theoretically, the Company is exposed to a market risk equal to the notional value of futures and forward contracts purchased.
Credit risk and concentration of credit risk: Credit risk arises primarily from the potential inability of counterparties, such as clearing brokers, banks or other financial institutions, to perform in accordance with the terms of a contract. The Company’s exposure to credit risk associated with counterparty nonperformance is limited to the current cost to replace all contracts in which the Company has a gain. Exchange traded financial instruments, such as financial futures, generally do not give rise to significant counterparty exposure due to daily cash settlement procedures for daily gains and losses and the margin requirements of the individual exchanges. The Company clears all of its trades through ADM Investor Services, Inc. and RBC Capital Markets, LLC. In the event these brokers do not fulfill their obligations, the Company may be exposed to risk.
The Company maintains deposits with financial institutions in amounts that are in excess of federally insured limits; however, the Company does not believe it is exposed to any significant credit risk.
The Managing Member has established procedures to actively monitor the creditworthiness of the counterparties with which it conducts business in order to minimize market and credit risks. The non-managing members bear the risk of loss only to the extent of the value of their respective investments and, in certain circumstances, distributions and withdrawals received.
20
Note 9.Financial Highlights
Financial highlights for non-managing members of the Company for the three and six months ended June 30, 2013 and 2012 are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Index Series |
|
Agricultural Sector Series |
||||||||
|
|
Six months ended June 30, |
|
Six months ended June 30, |
||||||||
|
|
2013 |
|
2012 |
|
2013 |
|
2012 |
||||
|
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
(7.84) |
% |
|
(5.70) |
% |
|
(8.95) |
% |
|
(0.91) |
% |
Ratios to average members' equity |
|
|
|
|
|
|
|
|
|
|
|
|
(net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses (1) (3) |
|
0.94 |
% |
|
0.94 |
% |
|
1.39 |
% |
|
1.30 |
% |
Net investment loss (2) (3) |
|
(0.93) |
% |
|
(0.93) |
% |
|
(1.38) |
% |
|
(1.30) |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Index Series |
|
Agricultural Sector Series |
||||||||
|
|
Three months ended June 30, |
|
Three months ended June 30, |
||||||||
|
|
2013 |
|
2012 |
|
2013 |
|
2012 |
||||
|
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
|
(Unaudited) |
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return |
|
(0.14) |
% |
|
(10.11) |
% |
|
(7.15) |
% |
|
(2.60) |
% |
Ratios to average members' equity |
|
|
|
|
|
|
|
|
|
|
|
|
(net assets) |
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses (1) (3) |
|
0.94 |
% |
|
0.91 |
% |
|
1.45 |
% |
|
1.29 |
% |
Net investment loss (2) (3) |
|
(0.93) |
% |
|
(0.91) |
% |
|
(1.44) |
% |
|
(1.28) |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) The ratio of operating expenses to average members’ equity (net asset) values does not include brokerage commissions.
(2) Net investment loss does not include net realized and unrealized gains and losses and the related brokerage commissions of the Series.
(3) Annualized.
Each ratio is calculated for the non-managing members taken as a whole. Total return is based on the change in value during the period of a theoretical investment made in each Series at the beginning of each calendar month during the year. The computation of an individual non-managing member’s ratios may vary from the ratios calculated above based on any fee waivers, the timing of capital transactions in participation of gains or losses resulting from MF Global.
The total returns and ratios exclude the effects of any 1 percent sales fees charged by the selling agents.
Note 10.Indemnifications
In the normal course of business, the Company enters into contracts and agreements that contain a variety of representations and warranties that provide indemnifications under certain circumstances. The Company’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Company that have not yet occurred. The Managing Member expects the risk of any future obligations under these indemnifications to be remote.
21
Note 11.Interim Financial Statements
The statements of financial condition, including the condensed schedule of investments, as of June 30, 2013, the statements of operations for the three and six months ended June 30, 2013 and 2012 and changes in members’ equity (net assets) for the three and six months ended June 30, 2013 and 2012 and the accompanying notes to the financial statements are unaudited. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of the Managing Member, such financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of the financial position as of June 30, 2013, results of operations for the three and six months ended June 30, 2013 and 2012 and changes in members’ equity (net assets) for the three and six months ended June 30, 2013 and 2012. The results of operations for the three and six months ended June 30, 2013 and 2012 are not necessarily indicative of the results to be expected for the full year or any other period. These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Company’s 2012 Form 10-K as filed with the SEC.
Note 12.Subsequent Events
The Company’s management evaluated subsequent events for potential recognition and/or disclosure through the date that these financial statements were issued.
Subsequent to June 30, 2013, subscriptions and withdrawals of interests were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Index Series |
|
Agricultural Sector Series |
|
Total RICI® Linked - PAM Advisors Fund, LLC |
||||||||||||
|
|
Subscriptions |
|
Withdrawals |
|
Subscriptions |
|
Withdrawals |
|
Subscriptions |
|
Withdrawals |
||||||
July |
|
$ |
2,127,000 |
|
$ |
(8,137,117) |
|
$ |
39,600 |
|
$ |
(550,186) |
|
$ |
2,166,600 |
|
$ |
(8,687,303) |
Aug |
|
|
1,580,000 |
|
|
- |
|
|
- |
|
|
- |
|
|
1,580,000 |
|
|
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
3,707,000 |
|
$ |
(8,137,117) |
|
$ |
39,600 |
|
$ |
(550,186) |
|
$ |
3,746,600 |
|
$ |
(8,687,303) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
INTRODUCTION
RICI® Linked – PAM Advisors Fund, LLC (the Company) consists of four series (each, a Series): the RICI® Linked – PAM Total Index Series (the Total Index Series), the RICI® Linked – PAM Agricultural Sector Series (the Agricultural Sector Series), the RICI® Linked – PAM Energy Sector Series (the Energy Sector Series), and the RICI® Linked – PAM Metals Sector Series (the Metals Sector Series). The Total Index Series, Agricultural Sector Series and Energy Sector Series commenced operations on May 8, 2007, February 7, 2008 and January 1, 2010, respectively. The Energy Sector Series ceased operations after paying out withdrawal proceeds with respect to the July 31, 2010 withdrawal date. The Metals Sector Series has not yet commenced operations.
For the avoidance of doubt, the Company is organized as a “series” limited liability company such that, pursuant to Section 18-215(b) of the Delaware Limited Liability Company Act (the Act), the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Series shall be enforceable only against the assets of such Series and not against the assets of the Company generally or any other Series. Accordingly, the assets of one Series of the Company include only those funds and other assets that are paid to, held by or distributed to the Company on account of and for the benefit of that Series, including, without limitation, funds delivered to the Company for investment in that Series.
22
LIQUIDITY
Approximately 90% of the Company’s assets, excluding the assets used to satisfy margin requirements, are invested in U.S. government securities, including securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other Commodity Futures Trading Commission (CFTC) -authorized investments and certain other money market instruments at one or more federally chartered U.S. banking institutions. The aforementioned positions are withdrawn, as necessary, to pay withdrawals and expenses. Price Asset Management, Inc. (the Managing Member) will commit the remaining assets of each Series to margin such Series’ futures, forward and swap positions such that the total market exposure of each Series is approximately equal to its net assets. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the futures trading, the Company’s assets are highly liquid and are expected to remain so. During its operations through June 30, 2013, the Company experienced no meaningful periods of illiquidity in any of the markets traded by the Managing Member on behalf of the Company.
CAPITAL RESOURCES
The Company raises additional capital only through the sale of interests (Interests) and capital is increased through trading profits (if any) and through interest income. The Company does not engage in borrowing.
The amount of capital raised for the Company should not have a significant impact on its operations, as the Company has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses. Within broad ranges of capitalization, the Company’s trading positions should increase or decrease in approximate proportion to the size of the Company.
Due to the nature of the Company’s business, approximately 90% of its assets, excluding the assets used to satisfy margin requirements, are invested in U.S. government securities, including securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other CFTC-authorized investments and certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits) at one or more federally chartered U.S. banking institutions, while the Company currently maintains its market exposure through open futures contract positions.
The Company trades futures contracts on U.S. and non-U.S. markets, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Company’s counterparties or brokers may require margin in excess of minimum exchange requirements. Risk arises from changes in the value of these instruments (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the notional value, or face amount, of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The counterparty for futures contracts traded in the U.S. is the clearinghouse associated with the relevant exchange. Clearinghouse arrangements are generally perceived to reduce credit risk because, in general, clearinghouses are backed by the corporate members of the clearinghouses, which are required to share any financial burden resulting from the non-performance of any one of the members of the clearinghouse.
All of the contracts currently traded by the Managing Member on behalf of the Company are exchange-traded, although the Managing Member is authorized to, and may in the future, trade over-the-counter forward and swap contracts. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions since, in over-the-counter transactions, the Company must rely solely on the credit of its respective trading counterparties, whereas exchange-traded contracts are generally, but not universally, backed by the collective credit of the members of the clearinghouse. In the future, the Company may enter into non-exchange traded contracts and be subject to the credit risk associated with counterparty non-performance. The Managing Member attempts to control credit risk associated with off-exchange transactions, if any, by dealing exclusively with large, well capitalized banks and dealers.
23
Critical Accounting Estimates
The Company’s securities and derivative financial instruments are recorded at fair value. The fair values of exchange-traded futures contracts are based upon exchange settlement prices. Fair value of non-exchange traded futures contracts is based on third-party quoted dealer values on the Interbank market. Shares of mutual funds, which include money market funds, are valued at the net asset value based on quoted market prices. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices for identical assets in an active market.
The Company accounts for subscriptions, allocations and withdrawals on a per member (Member) capital account basis. Income or loss is allocated pro rata to the capital accounts of all Members.
The preparation of financial statements in conformity with GAAP requires the Managing Member to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Company, the Managing Member believes that the estimates utilized in preparing the Company’s financial statements are appropriate and reasonable; however, actual results could differ from these estimates.
The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The Managing Member further believes that, based on the nature of the business and operations of the Company, no other reasonable assumptions relating to the application of the Company’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.
RESULTS OF OPERATIONS
The rules the Managing Member follows in replicating the Index or a Sub-Index, on behalf of the Company, on a Series by Series basis, do not predict price movements, nor do they rely on fundamental economic supply or demand analysis or on macroeconomic assessments of the relative strengths of different national economies or economic sectors. Instead, the rules are designed to follow passively, on an essentially unleveraged basis, changes in an index of raw materials traded in the world markets and, unlike with operating companies, operational or micro-economic trends have no relevance to the results. Generally, if prices of the relevant commodities rise, then the value of an investment should appreciate. Correspondingly, if prices of the relevant commodities decline, then the value of an investment should go down.
The performance summary set forth below is an outline description of how the Company, on a Series by Series basis, has performed in the past. The portfolios of the Series are marked-to-market every trading day and their trading accounts are credited or debited with their daily gains or losses. Past performance is not necessarily indicative of how they will perform in the future.
Three Months ended June 30, 2013
Total Index Series
During the second quarter of 2013, the Total Index Series achieved a net realized and unrealized loss of $19,932,997 from its trading operations, which is net of brokerage commissions of $146,973. The Total Index Series incurred total expenses of $603,750 including $408,277 in Management Fees (paid to the Managing Member), $22,591 in Servicing Fees (paid to Selling Agents), $110,104 in operating expenses, and $62,778 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index Series earned $3,629 in interest income. An analysis of trading losses (net of all trading fees and expenses) by market sector is as follows:
Sector |
|
Percentage Gain (Loss) |
Agricultural |
|
(2.41)% |
Energy |
|
(2.41)% |
Metals |
|
(3.19)% |
|
|
|
Total Portfolio |
|
(7.75)% |
24
The Total Index Series posted a net loss of (3.7)% in April. All three sectors, agricultural, energy and metals, posted losses of (0.15)%, (2.19)% and (1.38)%, respectively. Highest grossing commodities for the Total Index Series’ performance in April were hard red winter wheat, natural gas, cocoa, soft red winter wheat and orange juice.
The Total Index Series posted a net loss of (1.7)% in May. The metals sector posted a gain of .03% while the agricultural and energy sectors posted losses of (.77)% and (.97%), respectively. Highest grossing commodities for the Total Index Series’ performance in May were lead, soybean meal, soybeans, orange juice and palladium.
The Total Index Series posted a net loss of (2.3)% in June. The energy sector posted a gain of 1.02% while the agricultural and metals sectors posted losses of (1.49)% and (1.84)%, respectively. Highest grossing commodities for the Total Index Series’ performance in June were corn, oats, soybean meal, soft red winter wheat and natural gas.
Agricultural Sector Series
During the second quarter of 2013, the Agricultural Sector Series achieved a net realized and unrealized loss of $714,480, from its trading operations, which is net of brokerage commissions of $8,323. The Agricultural Sector Series incurred total expenses of $37,941, including $16,568 in Management Fees (paid to the Managing Member), $3,551 in Servicing Fees (paid to selling agents), $15,275 in operating expenses, and $2,547 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector Series earned $320 in interest income.
The Agricultural Sector Series posted a net loss of (0.65)% in April. Highest grossing commodities for the Agricultural Sector Series’ performance in April were heard red winter wheat, cocoa, soft red winter wheat, orange juice and soybean meal.
The Agricultural Sector Series posted a net loss of (2.30)% in May. Highest grossing commodities for the Agricultural Sector Series’ performance in May were soybean meal, soybeans, orange juice, corn and lean hogs.
The Agricultural Sector Series posted a net loss of (4.35%) in June. Highest grossing commodities for the Agricultural Sector Series’ performance in June were white sugar, lean hogs, cotton, live cattle and rice.
Three Months ended March 31, 2013
Total Index Series
During the first quarter of 2013, the Total Index Series achieved a net realized and unrealized gain of $314,805 from its trading operations, which is net of brokerage commissions of $120,863. The Total Index Series incurred total expenses of $667,294 including $458,497 in Management Fees (paid to the Managing Member), $26,955 in Servicing Fees (paid to selling agents), $111,342 in operating expenses, and $70,500 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index series earned $5,503 in interest income. An analysis of trading gains and losses by market sector is as follows:
Sector |
|
Percentage Gain (Loss) |
Agricultural |
|
(0.65)% |
Energy |
|
1.91% |
Metals |
|
(1.38)% |
|
|
|
Total Portfolio |
|
(0.12)% |
The Total Index Series posted a net gain of 3.83% in January. All three sectors, agricultural, energy and metals, posted gains of 0.96%, 2.28% and 0.59%, respectively. Highest grossing commodities for the Total Index Series’ performance in January were cotton, RBOB gasoline, platinum, nickel and soybean oil.
25
The Total Index Series posted a net loss of (4.35)% in February. All three sectors, agricultural, energy and metals, posted losses of (1.18)%, (1.89)% and (1.28)%, respectively. Highest grossing commodities for the Total Index Series’ performance in February were lumber, orange juice, robusta coffee, soybean meal and oats.
The Total Index Series posted a net gain of .39% in March. The energy sector posted a net gain of 1.53%, and the agricultural and metals sector posted a net loss of (.44) and (.70), respectively. Highest grossing commodities for the Total Index Series’ performance in March were natural gas, orange juice, crude oil, oats and palladium.
Agricultural Sector Series
During the first quarter of 2013, the Agricultural Sector Series achieved a net realized and unrealized loss of $189,479 from its trading operations, which is net of brokerage commissions of $6,491. The Agricultural Sector Series incurred total expenses of $39,686, including $19,191 in Management Fees (paid to the Managing Member), $4,379 in Servicing Fees (paid to selling agents), $13,165 in operating expenses, and $2,951 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector Series earned $262 in interest income.
The Agricultural Sector Series posted a net gain of 2.71% in January. Highest grossing commodities for the Agricultural Sector Series’ performance in January were cotton, soybean oil, corn, canola and soybeans.
The Agricultural Sector Series posted a net loss of (3.25)% in February. Highest grossing commodities for the Agricultural Sector Series’ performance in February were lumber, orange juice, robusta coffee soybean meal and oats.
The Agricultural Sector Series posted a net loss of (1.31)% in March. Highest grossing commodities for the Agricultural Sector Series’ performance in March were orange juice, oats, cotton, soybean oil and cocoa.
Three Months ended June 30, 2012
Total Index Series
During the second quarter of 2012, the Total Index Series achieved a net realized and unrealized loss of $30,137,196 from its trading operations, which is net of brokerage commissions of $136,264. The Total Index Series incurred total expenses of $670,777 including $460,154 in Management Fees (paid to the Managing Member), $27,356 in Servicing Fees (paid to Selling Agents), $112,512 in operating expenses, and $70,755 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index Series earned $4,866 in interest income. An analysis of trading losses (net of all trading fees and expenses) by market sector is as follows:
Sector |
|
Percentage Gain (Loss) |
Agricultural |
|
(0.48)% |
Energy |
|
(7.11)% |
Metals |
|
(2.07)% |
|
|
|
Total Portfolio |
|
(9.66)% |
The Total Index Series posted a net loss of (0.7)% in April. All three sectors, agricultural, energy and metals, posted losses of (0.55)%, (0.12)% and (0.06)%, respectively. Highest grossing commodities for the Total Index Series’ performance in April were soybean meal, azuki beans, soybeans, lumber and lead.
The Total Index Series posted a net loss of (11.5)% in May. All three sectors, agricultural, energy and metals, posted losses of (3.04)%, (6.49)% and (1.98)%, respectively. Highest grossing commodities for the Total Index Series’ performance in May were milk, lean hogs, live cattle, natural gas and milling wheat.
The Total Index Series posted a net gain of 2.8% in June. The agricultural sector posted a gain of 3.10% while the energy and metals sectors posted losses of (0.51)% and (0.03)%, respectively. Highest grossing commodities for the Total Index Series’ performance in June were corn, oats, soybean meal, soft red winter wheat and natural gas.
26
Agricultural Sector Series
During the second quarter of 2012, the Agricultural Sector Series achieved a net realized and unrealized loss of $327,138 from its trading operations, which is net of brokerage commissions of $7,901. The Agricultural Sector Series incurred total expenses of $42,550, including $21,267 in Management Fees (paid to the Managing Member), $4,363 in Servicing Fees (paid to selling agents), $13,650 in operating expenses, and $3,270 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector Series earned $412 in interest income.
The Agricultural Sector Series posted a net loss of (1.64)% in April. Highest grossing commodities for the Agricultural Sector Series’ performance in April were soybean meal, azuki beans, soybeans, lumber and rapeseed.
The Agricultural Sector Series posted a net loss of (8.74)% in May. Highest grossing commodities for the Agricultural Sector Series’ performance in May were milk, lean hogs, live cattle, milling wheat and hard red winter wheat.
The Agricultural Sector Series posted a net gain of 8.51% in June. Highest grossing commodities for the Agricultural Sector Series’ performance in June were corn, oats, soybean meal, soft red winter wheat and soybeans.
Three Months ended March 31, 2012
Total Index Series
During the first quarter of 2012, the Total Index Series achieved a net realized and unrealized gain of $14,961,159 from its trading operations, which is net of brokerage commissions of $150,473. The Total Index Series incurred total expenses of $729,372, including $504,342 in Management Fees (paid to the Managing Member), $26,896 in Servicing Fees (paid to selling agents), $120,585 in operating expenses, and $77,549 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Total Index Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Total Index Series earned $366 in interest income. An analysis of trading gains (net of all trading fees and expenses) by market sector is as follows:
Sector |
|
Percentage Gain (Loss) |
Agricultural |
|
(0.99)% |
Energy |
|
3.99% |
Metals |
|
2.20% |
|
|
|
Total Portfolio |
|
5.20% |
The Total Index Series posted a net gain of 3.4% in January. All three sectors, agricultural, energy and metals, posted gains of 0.89%, 0.35% and 2.20%, respectively. Highest grossing commodities for the Total Index Series’ performance in January were tin, orange juice, silver, rubber and zinc.
The Total Index Series posted a net gain of 4.4% in February. All three sectors, agricultural, energy and metals, posted gains of 0.66%, 3.68% and 0.08%, respectively. Highest grossing commodities for the Total Index Series’ performance in February were brent oil, soybean meal, canola, soybeans and crude oil.
The Total Index Series posted a net loss of (2.6)% in March. All three sectors, agricultural, energy and metals, posted losses of (2.54)%, (0.04)% and (0.08)%, respectively. Highest grossing commodities for the Total Index Series’ performance in March were soybean meal, oats, canola, rapeseed and soybeans.
Agricultural Sector Series
During the first quarter of 2012, the Agricultural Sector Series achieved a net realized and unrealized gain of $240,093 from its trading operations, which is net of brokerage commissions of $7,152. The Agricultural Sector Series incurred
27
total expenses of $42,177, including $20,945 in Management Fees (paid to the Managing Member), $4,526 in Servicing Fees (paid to selling agents), $13,485 in operating expenses, and $3,221 in Support Services Fees (paid to the Managing Member; the Managing Member anticipates that a substantial majority of the Support Services Fees will be used to pay broker-dealers for distribution related services to the Agricultural Sector Series such as hosting distribution platforms or providing custody solutions and thus will not be retained by the Managing Member). The Agricultural Sector Series incurred $227 in interest expense due to market fluctuations as treasury bills are marked to market.
The Agricultural Sector Series posted a net gain of 1.19% in January. Highest grossing commodities for the Agricultural Sector Series’ performance in January were orange juice, rubber, milling wheat, cocoa and rapeseed.
The Agricultural Sector Series posted a net gain of 1.38% in February. Highest grossing commodities for the Agricultural Sector Series’ performance in February were soybean meal, canola, soybeans, sugar and oats.
The Agricultural Sector Series posted a net loss of (0.83)% in March. Highest grossing commodities for the Agricultural Sector Series’ performance in March were soybean meal, oats, canola, rapeseed and rubber.
OFF-BALANCE SHEET RISK
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Company trades in futures, and may trade in forward and swap, contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Company at the same time, the Company could experience substantial losses. Because the Company is designed to replicate the Index, or a Sub-Index, the Managing Member adjusts the Company’s portfolios, on a Series by Series basis, only as necessary to accommodate expirations in particular commodity futures contracts and to adjust overall position size for changes resulting from subscriptions and withdrawals. The Managing Member does not exercise discretion over the positions a Series maintains. Consequently, the Managing Member does not apply risk management techniques in its trading decisions. The Company initiates positions only on the “long” side of the market and does not employ “stop-loss” techniques. The Company maintains approximately 90% of its assets, excluding the assets used to satisfy margin requirements, in U.S. government securities, including securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-United States exchanges), other CFTC-authorized investments and certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits) at one or more federally chartered U.S. banking institutions, for which the Managing Member believes the market-risk to be minimal.
In addition to market risk, in entering into futures, and potentially forward and swap, contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Company. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
OFF-BALANCE SHEET ARRANGEMENTS
The Company does not enter into off-balance sheet arrangements with other entities.
CONTRACTUAL OBLIGATIONS
The Company does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Company’s sole business is trading long (contracts to buy) futures, and potentially forward and swap, contracts. All such contracts are settled by offset, not delivery. The Financial Statements of the Company present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the open futures and other investments at June 30, 2013 (unaudited) and December 31, 2012.
28
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Introduction
Past Results Are Not Necessarily Indicative of Future Performance
The Company is a speculative index fund designed to replicate positions in a commodity index. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Company’s main line of business.
Market movements result in frequent changes in the fair market value of the Company’s open positions and, consequently, in its earnings and cash flow. The Company’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, the market value of financial instruments and contracts, the diversification effects among the Company’s open positions and the liquidity of the markets in which it trades.
The Company can rapidly acquire and/or liquidate long positions in a wide range of commodity markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Company’s past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Company could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Company’s speculative trading and the occurrence in the markets traded by the Company of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond that indicated or the Company’s experience to date (i.e., risk of ruin). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Company’s losses in any market sector will be limited to Value at Risk or by the Company’s attempts to manage its market risk.
Materiality, as used in this section “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Company’s market sensitive instruments.
Quantifying the Company’s Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Company’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
The Company’s risk exposure in the various market sectors traded by the Managing Member is quantified below in terms of Value at Risk. Due to the Company’s mark-to-market accounting, any loss in the fair value of the Company’s open positions is directly reflected in the Company’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).
Exchange maintenance margin requirements have been used by the Company as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed 95-99% of the maximum one-day losses in the fair value of any given contract incurred during the time period over which historical price fluctuations are researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
In quantifying the Company’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Company’s positions are rarely, if ever, 100% positively correlated have not been reflected.
29
Trading Value at Risk in Different Market Sectors
The following table indicates the average, highest and lowest amounts of trading Value at Risk associated with the Total Index Series’ open positions by market category for the quarter ended June 30, 2013 and fiscal year ended December 31, 2012. During the quarter ended June 30, 2013 and the fiscal year ended December 31, 2012, the Total Index Series’ average total capitalization was approximately $247,157,554 and $286,876,280, respectively.
|
|
|
|
|
|
|
|
|
TotaI Index Series |
||||||||
Three Months Ended March 31, 2013 |
||||||||
Market Sector |
Average Value at Risk |
% of Average Capitalization |
Highest Value at Risk |
Lowest Value at Risk |
||||
Commodities |
$ |
13.31 |
|
5.4 |
$ |
13.42 |
$ |
13.24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Fiscal Year Ended December 31, 2012 |
||||||||
Market Sector |
Average Value at Risk |
% of Average Capitalization |
Highest Value at Risk |
Lowest Value at Risk |
||||
Commodities |
$ |
16.48 | 5.7 |
% |
$ |
18.80 |
$ |
13.98 |
Average, highest and lowest Value at Risk amounts relate to the quarter end amounts during the relevant period. Average Capitalization is the average of the Total Index Series’ capitalization at the end of each month during the relevant period. Dollar amounts represent millions of dollars.
The following table indicates the average, highest and lowest amounts of trading Value at Risk associated with the Agricultural Sector Series’ open positions by market category for the quarter ended June 30, 2013 and fiscal year ended December 31, 2012. During the quarter ended June 30, 2013 and the fiscal year ended December 31, 2012, the Agricultural Sector Series’ average total capitalization was approximately $10,053,223 and $12,848,115, respectively.
|
|
|
|
|
|
|
|
|
Agricultural Sector Series |
||||||||
Three Months Ended March 28, 2013 |
||||||||
Market Sector |
Average Value at Risk |
% of Average Capitalization |
Highest Value at Risk |
Lowest Value at Risk |
||||
Commodities |
$ |
0.54 | 5.4 |
% |
$ |
0.54 |
$ |
0.54 |
|
|
|
|
|
|
|
|
|
|
||||||||
Fiscal Year Ended December 31, 2012 |
||||||||
Market Sector |
Average Value at Risk |
% of Average Capitalization |
Highest Value at Risk |
Lowest Value at Risk |
||||
Commodities |
$ |
0.67 |
|
5.2% |
$ |
0.72 |
$ |
0.59 |
Average, highest and lowest Value at Risk amounts relate to the quarter end amounts during the relevant period. Average Capitalization is the average of the Agricultural Sector Series’ capitalization at the end of each month during the relevant period. Dollar amounts represent millions of dollars.
Material Limitations on Value at Risk as an Assessment of Market Risk
30
The face value of the market sector instruments held by the Company is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally range between approximately 1% and 10% of contract face value). Certain market conditions could cause the Company to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Company — give no indication of this risk of rapid loss.
Non-Trading Risk
The Company may experience non-trading market risk on any foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are expected to be immaterial. The Company also may have non-trading market risk as a result of investing in U.S. Treasury instruments. The market risk represented by these investments is expected to be immaterial.
Qualitative Disclosures
There have been no material changes in the qualitative disclosures about market risk to the Company from those previously disclosed in the Company’s Annual Report on Form 10-K for its fiscal year ended December 31, 2012.
ITEM 4. CONTROLS AND PROCEDURES
The Managing Member, with the participation of its principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Company and each Series as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the Managing Member’s internal controls over financial reporting during the quarter ended June 30, 2013 that have materially affected, or are reasonably likely to materially affect, the Managing Member’s internal control over financial reporting with respect to the Company and each Series.
The Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer, Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer, Section 1350 Certification of Principal Executive Officer and Section 1350 Certification of Principal Financial Officer, Exhibit 31.1, Exhibit 31.2, Exhibit 32.1 and Exhibit 32.2 hereto, respectively, are applicable with respect to each Series individually, as well as to the Company as a whole.
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
None.
Item 1A. Risk Factors
There are no material changes from risk factors as previously disclosed in Form 10-K, filed March 30, 2013.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
During the second quarter of 2013, the Total Index Series issued Interests, to both new and existing Members, in the following dollar amounts: April: $5,245,636; May: $2,196,250; and June: $2,745,000.
During the second fiscal quarter of 2013, the Agricultural Sector Series issued Interests, to both new and existing Members, in the following dollar amounts: April: $53,455; May: $183,953; and June: $0.
Each of the foregoing Interests was privately offered and sold only to “accredited investors,” as defined in Rule 501(a) under the Securities Act of 1933, as amended (the 1933 Act), in reliance on the exemption from registration provided by Rule 506 under the 1933 Act, and are persons with whom the Managing Member, Uhlmann Price Securities, LLC, the Company’s marketing representative, or a selling agent have a pre-existing substantive relationship and with respect to whom it has been determined that the Interests are a suitable investment.
Pursuant to the Company’s Limited Liability Company Agreement, Members may withdraw capital from their capital accounts as of the end of each calendar month. The withdrawal of capital by Members has no impact on the value of the capital accounts of other Members.
The following table summarizes the withdrawals by Members from the Total Index Series during the three months ended June 30, 2013:
31
|
|
|
|
Total Index Series |
|||
Date of Closing |
|
Total Amount of Withdrawals |
|
April 30, 2013 |
|
$ |
3,099,178 |
May 30, 2013 |
|
$ |
3,842,484 |
June 30, 2013 |
|
$ |
4,486,557 |
The following table summarizes the withdrawals by Members from the Agricultural Sector Series during the three months ended June 30, 2013:
|
|
|
|
Agricultural Sector Series |
|||
Date of Closing |
|
Total Amount of Withdrawals |
|
April 30, 2013 |
|
$ |
162,797 |
May 31, 2013 |
|
$ |
307,352 |
June 30, 2013 |
|
$ |
- |
Item 3. Defaults upon Senior Securities
Not applicable.
Item 4. MINE SAFETY DISCLOSURES
Not applicable.
Item 5. Other Information
None.
Item 6. Exhibits
The following exhibits are included herewith:
31.1 |
Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer |
31.2 |
Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer |
32.1 |
Section 1350 Certification of Principal Executive Officer |
32.2 |
Section 1350 Certification of Principal Financial Officer |
101 |
The following financial information from our Quarterly Report on Form 10-Q for the second quarter of 2013, filed with the SEC on August 14, 2013, formatted in Extensible Business Reporting Language (XBRL): (i) the Unaudited Statements of Financial Condition as of June 30, 2013 and December 31, 2012, (ii) the Unaudited Consolidated Statements of Operations for the quarter and year to date ended June 30, 2013 and June 30, 2012; (iii) the Unaudited Condensed Schedule of Investments as of June 30, 2013 and December 31, 2012; (iv) the Unaudited Statements of Changes in Members’ Equity as of June 30, 2013 and March 31, 2012, and (v) Notes to Unaudited Consolidated Financial Statements. |
32
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
|
|
|
Date: August 14, 2013 |
|
RICI® Linked – PAM Advisors Fund, LLC |
|
|
(Registrant) |
|
|
|
|
|
By: Price Asset Management, Inc. |
|
|
Managing Member |
|
|
|
|
|
By: /s/ John D. Reese |
|
|
John D. Reese |
|
|
Principal Executive Officer |
|
|
|
|
|
By: /s/ Maura A. Clark |
|
|
Maura A. Clark |
|
|
Principal Financial Officer |
33
EXHIBIT INDEX
Exhibit Number |
|
Description of Document |
Page Number |
31.1 |
|
Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer |
E-2 |
31.2 |
|
Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer |
E-3 |
32.1 |
|
Section 1350 Certification of Principal Executive Officer |
E-4 |
32.2 |
|
Section 1350 Certification of Principal Financial Officer |
E-5 |
101 |
|
The following financial information from our Quarterly Report on Form 10-Q for the second quarter of 2013, filed with the SEC on August 14, 2013, formatted in Extensible Business Reporting Language (XBRL): (i) the Unaudited Statements of Financial Condition as of June 30, 2013 and December 31, 2012, (ii) the Unaudited Consolidated Statements of Operations for the quarter and year to date ended June 30, 2013 and June 30, 2012; (iii) the Unaudited Condensed Schedule of Investments as of June 30, 2013 and December 31, 2012; (iv) the Unaudited Statements of Changes in Members’ Equity as of June 30, 2013 and June 30, 2012, and (v) Notes to Unaudited Consolidated Financial Statements. |
|
34
RULE 13a-14(a)/15d-14(a)
CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER
I, John D. Reese, certify that:
1. I have reviewed this report on Form 10-Q for the period ending June 30, 2013, of RICI® Linked – PAM Advisors Fund, LLC;
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;
4. 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 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: May 14, 2013 |
|
By: /s/ John D. Reese |
|
|
John D. Reese |
|
|
Principal Executive Officer |
RULE 13a-14(a)/15d-14(a)
CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER
I, Maura A. Clark, certify that:
1. I have reviewed this report on Form 10-Q for the period ending June 30, 2013 of RICI® Linked – PAM Advisors Fund, LLC;
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;
4. 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 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: May 15, 2013 |
|
By: /s/ Maura A. Clark |
|
|
Maura A. Clark |
|
|
Principal Financial Officer |
SECTION 1350 CERTIFICATION
OF PRINCIPAL EXECUTIVE OFFICER
In connection with the report on Form 10-Q for the period ending June 30, 2013 (the Report), I, John D. Reese, Principal Executive Officer of Price Asset Management, Inc., the managing member of RICI® Linked – PAM Advisors Fund, LLC (the Company), 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 Company. |
|
|
|
Date: May 14, 2013 |
|
By: /s/ John D. Reese |
|
|
John D. Reese |
|
|
Principal Executive Officer |
SECTION 1350 CERTIFICATION
OF PRINCIPAL FINANCIAL OFFICER
In connection with the report on Form 10-Q for the period ending June 30, 2013 (the Report), I, Maura A. Clark, Principal Financial Officer of Price Asset Management, Inc., the managing member of RICI® Linked – PAM Advisors Fund, LLC (the Company), 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 Company. |
Date: May 14, 2013 |
|
By: /s/ Maura A. Clark |
|
|
Maura A. Clark |
|
|
Principal Financial Officer |
Interim Financial Statements
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Interim Financial Statements [Abstract] | |
Interim Financial Statements | Note 11.Interim Financial Statements The statements of financial condition, including the condensed schedule of investments, as of June 30, 2013, the statements of operations for the three and six months ended June 30, 2013 and 2012 and changes in members’ equity (net assets) for the three and six months ended June 30, 2013 and 2012 and the accompanying notes to the financial statements are unaudited. Certain information and footnote disclosures normally included in financial statements prepared in accordance with GAAP may be omitted pursuant to such rules and regulations. In the opinion of the Managing Member, such financial statements and accompanying disclosures reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of the financial position as of June 30, 2013, results of operations for the three and six months ended June 30, 2013 and 2012 and changes in members’ equity (net assets) for the three and six months ended June 30, 2013 and 2012. The results of operations for the three and six months ended June 30, 2013 and 2012 are not necessarily indicative of the results to be expected for the full year or any other period. These financial statements should be read in conjunction with the audited financial statements and the notes thereto included in the Company’s 2012 Form 10-K as filed with the SEC.
|
Condensed Schedule Of Investments (Parenthetical) (USD $)
|
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2013
|
Dec. 31, 2012
|
|
Percentage of individual futures contract position of members equity | 1.00% | 1.00% |
Percentage of members equity net assets maximum | 0.01% | |
$35,000,000 Treasury Bill Due 07/05/2013 [Member]
|
||
Treasury Bill Value | $ 35,000,000 | |
Investment Maturity Date | Jul. 05, 2013 | |
$41,000,000 Treasury Bill Due 07/18/2013 [Member]
|
||
Treasury Bill Value | 41,000,000 | |
Investment Maturity Date | Jul. 18, 2013 | |
$5,800,000 Treasury Bill Due 07/18/2013 [Member]
|
||
Treasury Bill Value | 5,800,000 | |
Investment Maturity Date | Jul. 18, 2013 | |
$20,000,000 Treasury Bill Due 08/15/2013 [Member]
|
||
Treasury Bill Value | 20,000,000 | |
Investment Maturity Date | Aug. 15, 2013 | |
$1,000,000 Treasury Bill Due 09/19/2013 [Member]
|
||
Treasury Bill Value | 1,000,000 | |
Investment Maturity Date | Sep. 19, 2013 | |
$12,000,000 Treasury Bill Due 10/03/2013 [Member]
|
||
Treasury Bill Value | 12,000,000 | |
Investment Maturity Date | Oct. 03, 2013 | |
$14,000,000 Treasury Bill Due 10/17/2013 [Member]
|
||
Treasury Bill Value | 14,000,000 | |
Investment Maturity Date | Oct. 17, 2013 | |
$20,000,000 Treasury Bill Due 10/31/2013 [Member]
|
||
Treasury Bill Value | 20,000,000 | |
Investment Maturity Date | Oct. 31, 2013 | |
$40,000,000 Treasury Bill Due 11/07/2013 [Member]
|
||
Treasury Bill Value | 40,000,000 | |
Investment Maturity Date | Nov. 07, 2013 | |
$30,000,000 Treasury Bill Due 12/12/2013 [Member]
|
||
Treasury Bill Value | 30,000,000 | |
Investment Maturity Date | Dec. 12, 2013 | |
$500,000 Treasury Bill Due 12/12/2013 [Member]
|
||
Treasury Bill Value | 500,000 | |
Investment Maturity Date | Dec. 12, 2013 | |
$6,200,000 Treasury Bill Due 01/17/2013 [Member]
|
||
Treasury Bill Value | 6,200,000 | |
Investment Maturity Date | Jan. 17, 2013 | |
$30,000,000 Treasury Bill Due 01/17/2013 [Member]
|
||
Treasury Bill Value | 30,000,000 | |
Investment Maturity Date | Jan. 17, 2013 | |
$40,000,000 Treasury Bill Due 01/10/2013 [Member]
|
||
Treasury Bill Value | 40,000,000 | |
Investment Maturity Date | Jan. 10, 2013 | |
$16,000,000 Treasury Bill Due 02/07/2013 [Member]
|
||
Treasury Bill Value | 16,000,000 | |
Investment Maturity Date | Feb. 07, 2013 | |
$4,000,000 Treasury Bill Due 02/28/213 [Member]
|
||
Treasury Bill Value | 4,000,000 | |
Investment Maturity Date | Feb. 28, 2013 | |
$1,000,000 Treasury Bill Due 02/28/2013 [Member]
|
||
Treasury Bill Value | 1,000,000 | |
Investment Maturity Date | Feb. 28, 2013 | |
$20,000,000 Treasury Bill Due 04/11/2013 [Member]
|
||
Treasury Bill Value | 20,000,000 | |
Investment Maturity Date | Apr. 11, 2013 | |
$20,000,000 Treasury Bill Due 04/18/2013 [Member]
|
||
Treasury Bill Value | 20,000,000 | |
Investment Maturity Date | Apr. 18, 2013 | |
$20,000,000 Treasury Bill Due 04/18/2013 [Member]
|
||
Treasury Bill Value | 20,000,000 | |
Investment Maturity Date | Apr. 18, 2013 | |
$40,000,000 Treasury Bill Due 05/09/2013 [Member]
|
||
Treasury Bill Value | 40,000,000 | |
Investment Maturity Date | May 09, 2013 | |
$1,000,000 Treasury Bill Due 05/16/2013 [Member]
|
||
Treasury Bill Value | 1,000,000 | |
Investment Maturity Date | May 16, 2013 | |
$30,000,000 Treasury Bill Due 06/20/2013 [Member]
|
||
Treasury Bill Value | 30,000,000 | |
Investment Maturity Date | Jun. 20, 2013 | |
$1,500,000 Treasury Bill Due 06/20/2013 [Member]
|
||
Treasury Bill Value | $ 1,500,000 | |
Investment Maturity Date | Jun. 20, 2013 | |
Federated Government Obligations Fund (5,000,057 shares) [Member]
|
||
Mutual funds, government agency portfolio institutional, shares | (5,000,057) | |
Federated Government Obligations Fund (100,000 shares) [Member]
|
||
Mutual funds, government agency portfolio institutional, shares | (100,000) | |
AIM Government & Agency Portfolio Institutional (5,000,497 shares) [Member]
|
||
Mutual funds, government agency portfolio institutional, shares | (5,000,497) | |
AIM Government & Agency Portfolio Institutional (100,000 shares) [Member]
|
||
Mutual funds, government agency portfolio institutional, shares | (100,000) |
Equity In Broker Trading Account
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
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Equity In Broker Trading Account [Abstract] | |||||||||||||||||||||||||||||||||||||||||||
Equity In Broker Trading Account | Note 4.Equity in Broker Trading Account Cash and financial instruments held at the Company’s clearing brokers collateralize amounts due to the clearing brokers, if any, and may serve to satisfy regulatory or clearing broker margin requirements. The Company earns interest on its assets deposited with brokers. At June 30, 2013 and December 31, 2012, the following amounts of cash were held at clearing brokers to satisfy margin requirements.
|
Financial Highlights (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Financial Highlights [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights For Non-Managing Members |
(1) The ratio of operating expenses to average members’ equity (net asset) values does not include brokerage commissions. (2) Net investment loss does not include net realized and unrealized gains and losses and the related brokerage commissions of the Series. (3) Annualized.
|
Subsequent Events
|
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Subsequent Events [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subsequent Events | Note 12.Subsequent Events The Company’s management evaluated subsequent events for potential recognition and/or disclosure through the date that these financial statements were issued.
Subsequent to June 30, 2013, subscriptions and withdrawals of interests were as follows:
|
Fees And Expenses (Servicing Fees To Selling Agents) (Details) (USD $)
|
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Fees and Expenses [Line Items] | ||||
Servicing fee payable to selling agent | $ 26,142 | $ 31,719 | $ 57,476 | $ 63,141 |
Total Index Series [Member]
|
||||
Fees and Expenses [Line Items] | ||||
Servicing fee payable to selling agent | 22,591 | 27,356 | 49,546 | 54,252 |
Agricultural Sector Series [Member]
|
||||
Fees and Expenses [Line Items] | ||||
Servicing fee payable to selling agent | $ 3,551 | $ 4,363 | $ 7,930 | $ 8,889 |
Fair Value Of Financial Instruments (Narrative) (Details) (USD $)
|
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2013
|
Dec. 31, 2012
|
|
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair value assets and liability transfers between level 1, 2 and 3 | $ 0 | $ 0 |
Fair Value, Inputs, Level 2 [Member]
|
||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Assets, Fair value | 0 | 0 |
Liabilities, Fair Value | 0 | 0 |
Fair Value, Inputs, Level 3 [Member]
|
||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Assets, Fair value | 0 | 0 |
Liabilities, Fair Value | $ 0 | $ 0 |
Nature Of Operations And Significant Accounting Policies (Details) (USD $)
|
6 Months Ended |
---|---|
Jun. 30, 2013
segment
|
|
Segment Reporting Information [Line Items] | |
Provision for income taxes | $ 0 |
Number of series | 4 |
Number of series that have commenced trading | 3 |
Total Index Series [Member]
|
|
Segment Reporting Information [Line Items] | |
Date of commencing trading business | May 08, 2007 |
Commodity product sectors markets | 37 |
Number of commodity product sectors | 3 |
Agricultural Sector Series [Member]
|
|
Segment Reporting Information [Line Items] | |
Date of commencing trading business | Feb. 01, 2008 |
Commodity product sectors markets | 21 |
Number of commodity product sectors | 1 |
Energy Sector Series [Member]
|
|
Segment Reporting Information [Line Items] | |
Date of commencing trading business | Jan. 01, 2010 |
Commodity product sectors markets | 6 |
Number of commodity product sectors | 1 |
Metals Sector Series [Member]
|
|
Segment Reporting Information [Line Items] | |
Commodity product sectors markets | 10 |
Number of commodity product sectors | 1 |
The Managing Member (Details) (USD $)
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
The Managing Member [Abstract] | |
Partnership for federal income tax purposes | $ 0 |
Financial Highlights (Narrative) (Details)
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Financial Highlights [Abstract] | |
Sales fees charged by selling agents (percentage) | 1.00% |
Subsequent Events (Tables)
|
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
|
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Subsequent Events [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Subscriptions And Withdrawals Of Interests |
|
Statement Of Changes In Members' Equity (Net Assets) (USD $)
|
Managing [Member]
Total Index Series [Member]
|
Managing [Member]
Agricultural Sector Series [Member]
|
Managing [Member]
|
Non Managing [Member]
Total Index Series [Member]
|
Non Managing [Member]
Agricultural Sector Series [Member]
|
Non Managing [Member]
|
Total Index Series [Member]
|
Agricultural Sector Series [Member]
|
Total
|
---|---|---|---|---|---|---|---|---|---|
Members' equity (net assets), beginning balance at Dec. 31, 2011 | $ 37,002 | $ 35,511 | $ 72,513 | $ 292,989,365 | $ 11,552,735 | $ 304,542,100 | $ 293,026,367 | $ 11,588,246 | $ 304,614,613 |
Subscriptions, net | 18,842,340 | 2,425,718 | 21,268,058 | 18,842,340 | 2,425,718 | 21,268,058 | |||
Withdrawals | (47,859,063) | (1,062,199) | (48,921,262) | (47,859,063) | (1,062,199) | (48,921,262) | |||
Net loss | (1,970) | (167) | (2,137) | (16,568,984) | (171,420) | (16,740,404) | (16,570,954) | (171,587) | (16,742,541) |
Members' equity (net assets), ending balance at Jun. 30, 2012 | 35,032 | 35,344 | 70,376 | 247,403,658 | 12,744,834 | 260,148,492 | 247,438,690 | 12,780,178 | 260,218,868 |
Members' equity (net assets), beginning balance at Mar. 31, 2012 | |||||||||
Net loss | (30,803,107) | (369,276) | (31,172,383) | ||||||
Members' equity (net assets), ending balance at Jun. 30, 2012 | 247,438,690 | 12,780,178 | 260,218,868 | ||||||
Members' equity (net assets), beginning balance at Dec. 31, 2012 | 38,321 | 36,801 | 75,122 | 271,322,775 | 11,778,227 | 283,101,002 | 271,361,096 | 11,815,028 | 283,176,124 |
Subscriptions, net | 23,432,499 | 332,587 | 23,765,086 | 23,432,499 | 332,587 | 23,765,086 | |||
Withdrawals | (33,794,610) | (1,515,879) | (35,310,489) | (33,794,610) | (1,515,879) | (35,310,489) | |||
Net loss | (2,865) | (3,142) | (6,007) | (20,877,239) | (977,862) | (21,855,101) | (20,880,104) | (981,004) | (21,861,108) |
Members' equity (net assets), ending balance at Jun. 30, 2013 | 35,456 | 33,659 | 69,115 | 240,083,425 | 9,617,073 | 249,700,498 | 240,118,881 | 9,650,732 | 249,769,613 |
Members' equity (net assets), beginning balance at Mar. 31, 2013 | |||||||||
Net loss | (20,533,118) | (752,101) | (21,285,219) | ||||||
Members' equity (net assets), ending balance at Jun. 30, 2013 | $ 240,118,881 | $ 9,650,732 | $ 249,769,613 |
Fair Value Of Financial Instruments
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
|
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Fair Value Of Financial Instruments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Of Financial Instruments |
Note 2.Fair Value of Financial Instruments Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Company utilizes valuation techniques to maximize the use of observable inputs and minimize the use of unobservable inputs. Assets and liabilities recorded at fair value are categorized within the fair value hierarchy based upon the level of judgment associated with the inputs used to measure their value. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Inputs are broadly defined as assumptions market participants would use in pricing an asset or liability. The three levels of the fair value hierarchy are described below:
Level 1. Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level 2. Inputs other than quoted prices within Level 1 that are observable for the asset or liability, either directly or indirectly; and fair value is determined through the use of models or other valuation methodologies.
Level 3. Inputs are unobservable for the asset or liability and include situations where there is little, if any, market activity for the asset or liability. The inputs into the determination of fair value are based upon the best information in the circumstances and may require significant management judgment or estimation.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following section describes the valuation techniques used by the Company to measure different financial instruments at fair value and includes the level within the fair value hierarchy in which the financial instrument is categorized.
The fair values of exchange traded futures contracts are based upon exchange settlement prices. Shares of mutual funds, which include money market funds, are valued at the net asset value based on quoted market prices. Government-sponsored enterprise securities are stated at cost plus accrued interest, which approximates fair value based on quoted market prices for identical assets in an active market. These financial instruments are classified as Level 1 of the fair value hierarchy.
The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis within the fair value hierarchy as of:
Note 2.Fair Value of Financial Instruments (Continued) At June 30, 2013 and December 31, 2012 the Company had no Level 2 or Level 3 assets or liabilities. The Company assesses the levels or assets and liabilities measured at fair value at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstance that caused the transfer. There was no transfer among Levels 1, 2 and 3 during the period ended June 30, 2013 and year ended December 31, 2012. In addition, substantially all of the Company’s other assets and liabilities are considered financial instruments and are reflected at fair value, or at carrying amounts that approximate fair value because of the short maturity of the instruments.
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Subscriptions, Withdrawals, And Distributions
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6 Months Ended |
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Jun. 30, 2013
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Subscriptions, Withdrawals, And Distributions [Abstract] | |
Subscriptions, Withdrawals, And Distributions | Note 5.Subscriptions, Withdrawals, and Distributions Subscriptions are effective at the opening of business on the first day of trading of the next calendar month. Class A Interests were issued through October 2011. Class B Interests were issued for contributions received on or after November 1, 2011and are identical to Class A Interests in all respects, except that Class A Interests of each Series were allocated items of expense related to events occurring on or prior to October 31, 2011. Non-managing members may withdraw some or all of their interest in the Company as of the end of any calendar month upon five business days prior written notice. Withdrawals from any Series made prior to the end of the sixth full calendar month following a non-managing member’s initial investment in such Series are subject to a withdrawal charge, payable to the relevant Series, equal to 1 percent of the amount withdrawn, provided that such charge will not apply if the withdrawal results from a request to exchange Interests in one Series for Interests in another Series. The Managing Member may defer or suspend withdrawal rights under certain circumstances. Distributions may be made at the discretion of the Managing Member.
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Derivative Instruments
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Jun. 30, 2013
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Derivative Instruments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments | Note 3.Derivative Instruments The Company’s derivative contracts are comprised of futures contracts. These derivative contracts are recorded on the statements of financial condition as assets measured at fair value and the related realized and unrealized gain (loss) associated with these derivatives is recorded in the statements of operations. The Company has considered the counterparty credit risk related to all its futures contracts and does not deem any counterparty credit risk material at this time. The Company does not consider any derivative instruments to be hedging instruments, as this term is generally understood under FASB guidance.
Total Index Series
As of June 30, 2013 and December 31, 2012 the Total Index Series’ derivative contracts had the following impact on the statement of financial condition:
Note 3.Derivative Instruments (Continued) For the three and six months ended June 30, 2013 and 2012 the Total Index Series’ derivative contracts had the following impact on the statement of operations:
For the six months ended June 30, 2013 and 2012, the monthly average number of futures contracts bought and sold was approximately 7,718 and 8,033, respectively. Note 3. Derivative Instruments (Continued)
Agricultural Sector Series As of June 30, 2013 and December 31, 2012, the Agricultural Sector Series’ derivative contracts had the following impact on the statement of financial condition:
For the three and six months ended June 30, 2013 and 2012, the Agricultural Sector Series’ derivative contracts had the following impact on the statement of operations:
Note 3. Derivative Instruments (Continued)
For the six months ended June 30, 2013 and 2012, the monthly average number of futures contracts bought and sold was approximately 376 and 477, respectively.
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Financial Highlights (Financial Highlights For Non-Managing Members) (Details)
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3 Months Ended | 6 Months Ended | ||||||||||||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Total Index Series [Member]
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Financial Highlights [Line Items] | ||||||||||||||
Total Return | (0.14%) | (10.11%) | (7.84%) | (5.70%) | ||||||||||
Total expenses | 0.94% | [1],[2] | 0.91% | [1],[2] | 0.94% | [1],[2] | 0.94% | [1],[2] | ||||||
Net investment loss | (0.93%) | [2],[3] | (0.91%) | [2],[3] | (0.93%) | [2],[3] | (0.93%) | [2],[3] | ||||||
Agricultural Sector Series [Member]
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Financial Highlights [Line Items] | ||||||||||||||
Total Return | (7.15%) | (2.60%) | (8.95%) | (0.91%) | ||||||||||
Total expenses | 1.45% | [1],[2] | 1.29% | [1],[2] | 1.39% | [1],[2] | 1.30% | [1],[2] | ||||||
Net investment loss | (1.44%) | [2],[3] | (1.28%) | [2],[3] | (1.38%) | [2],[3] | (1.30%) | [2],[3] | ||||||
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Equity In Broker Trading Account (Details) (USD $)
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Jun. 30, 2013
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Dec. 31, 2012
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Total Index Series [Member]
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Derivative [Line Items] | ||
Amounts of cash and futures contracts | $ 15,099,922 | $ 17,224,591 |
Agricultural Sector Series [Member]
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Derivative [Line Items] | ||
Amounts of cash and futures contracts | $ 679,932 | $ 780,902 |
Fees And Expenses (Service Fees Net Of Sales Fees To Selling Agents) (Details) (USD $)
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3 Months Ended | 6 Months Ended | ||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Fees and Expenses [Line Items] | ||||
Service fees net of sales fees to selling agents | $ 1,500 | $ 1,725 | $ 5,150 | $ 7,600 |
Total Index Series [Member]
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Fees and Expenses [Line Items] | ||||
Service fees net of sales fees to selling agents | 750 | 1,125 | 4,000 | 3,000 |
Agricultural Sector Series [Member]
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Fees and Expenses [Line Items] | ||||
Service fees net of sales fees to selling agents | $ 750 | $ 600 | $ 1,150 | $ 4,600 |