Those profits were not without volatility, however. In fact, following a
highly profitable month in April, Amaranth incurred significant losses in its
natural gas portfolio in May. In response to that experience, we decided
to reduce energy exposures opportunistically, rather than on a “seller only”
basis. In order to enhance our flexibility to do so, we also raised the
Funds’ available cash and risk capital levels by reducing non-energy
holdings.