Attached files
file | filename |
---|---|
10-K/A - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_fm10ka.htm |
EX-13.03 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex1303.htm |
EX-32.02 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex3202.htm |
EX-13.02 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex1302.htm |
EX-32.01 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex3201.htm |
EX-31.02 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex3102.htm |
EX-31.01 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex3101.htm |
EXHIBIT 13.01
ML SYSTEMATIC
MOMENTUM FUTURESACCESS LLC
(A
Delaware Limited Liability Company)
|
||
Financial Statements for the year ended December 31, 2008 and
for the period April 2, 2007 (commencement of operations) to
December 31, 2007 and Report of Independent Registered Public
Accounting Firm
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ML SYSTEMATIC
MOMENTUM FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
TABLE OF
CONTENTS
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Page
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REPORT OF
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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1
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FINANCIAL
STATEMENTS:
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Statements of
Financial Condition as of December 31, 2008 and 2007
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2
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Statements of
Operations for the year ended December 31, 2008 and for the period
April 2, 2007 (commencement of operations) to December 31,
2007
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3
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Statements of
Changes in Members' Capital for the year ended December 31, 2008 and
for the period April 2, 2007 (commencement of operations) to
December 31, 2007
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4
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Financial
Data Highlights for the year ended December 31, 2008 and for
the period April 2, 2007 (commencement of operations) to
December 31, 2007
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5
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Notes to
Financial Statements
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7
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Deloitte
& Touche LLP
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|
Two World
Financial Center
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New York, NY
10281-1414
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USA
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Tel: +1 212
436 2000
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www.deloitte.com
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REPORT OF
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Members
of
ML Systematic
Momentum FuturesAccess LLC:
We have audited the
accompanying statements of financial condition of ML Systematic Momentum
FuturesAccess LLC (the "Fund"), as of December 31, 2008 and 2007, and the
related statements of operations, changes in members' capital, and the financial
data highlights for the year ended December 31, 2008 and for the period
April 2, 2007 (commencement of operations) to December 31, 2007. These
financial statements and financial data highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial data highlights based on our
audits.
We conducted our
audits in accordance with the standards of the Public Company Accounting
Oversight Board (United States). Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial data highlights are free of material misstatement. The
Fund is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the
financial statements and financial data highlights referred to above present
fairly, in all material respects, the financial position of ML Systematic
Momentum FuturesAccess LLC as of December 31, 2008 and 2007, the results of its
operations, changes in members' capital and the financial data highlights for
the year ended December 31, 2008 and for the period April 2, 2007
(commencement of operations) to December 31, 2007, in conformity with
accounting principles generally accepted in the United States of
America.
March 30,
2009
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A member firm
of
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Deloitte Touche Tohmatsu
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ML SYSTEMATIC
MOMENTUM FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS OF
FINANCIAL CONDITION
DECEMBER
31, 2008 and 2007
2008
|
2007
|
|||||||
ASSETS:
|
||||||||
Cash
|
$ | 36,548 | $ | 94,318 | ||||
Investment
in Portfolio Funds (Cost $614,639,346 and 106,513,819)
|
701,122,301 | 121,063,894 | ||||||
Deferred
initial offering costs
|
- | 33,750 | ||||||
Receivable
from Portfolio Fund
|
22,935 | 34,775 | ||||||
TOTAL
ASSETS
|
$ | 701,181,784 | $ | 121,226,737 | ||||
LIABILITIES AND MEMBERS’
CAPITAL:
|
||||||||
LIABILITIES:
|
||||||||
Sponsor
fee payable
|
$ | 1,018,265 | $ | 177,810 | ||||
Redemptions
payable
|
21,004,290 | 505,214 | ||||||
Ongoing
offering costs payable
|
22,623 | - | ||||||
Other
|
438,518 | 319,636 | ||||||
Total
liabilities
|
22,483,696 | 1,002,660 | ||||||
MEMBERS’
CAPITAL:
|
||||||||
Members'
Interest (532,683,079 Units and 111,518,320 Units outstanding, unlimited
Units authorized)
|
678,698,088 | 120,224,077 | ||||||
Total
members’ capital
|
678,698,088 | 120,224,077 | ||||||
TOTAL
LIABILITIES AND MEMBERS' CAPITAL
|
$ | 701,181,784 | $ | 121,226,737 | ||||
NET
ASSET VALUE PER UNIT (SEE NOTE 6)
|
See notes to
financial statements.
2
ML SYSTEMATIC
MOMENTUM FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS OF
OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2008 AND FOR THE PERIOD APRIL 2, 2007
(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2007
2008
|
2007
|
|||||||
TRADING
PROFIT (LOSS):
|
||||||||
Realized
|
$ | 9,202,478 | $ | (560,037 | ) | |||
Change
in unrealized
|
71,910,257 | 14,550,075 | ||||||
Brokerage
commissions
|
- | - | ||||||
Total
trading profit (loss)
|
81,112,735 | 13,990,038 | ||||||
INVESTMENT
INCOME:
|
||||||||
Interest
|
97,972 | 3,827 | ||||||
EXPENSES:
|
||||||||
Sponsor
fee
|
6,953,728 | 485,354 | ||||||
Other
|
632,387 | 504,521 | ||||||
Total
expenses
|
7,586,115 | 989,875 | ||||||
NET
INVESTMENT INCOME (LOSS)
|
(7,488,143 | ) | (986,048 | ) | ||||
NET
INCOME (LOSS)
|
$ | 73,624,592 | $ | 13,003,990 | ||||
NET
INCOME (LOSS) PER UNIT:
|
||||||||
Weighted
average number of Units outstanding
|
||||||||
Class
A**
|
23,953,472 | 3,034,273 | ||||||
Class
C*
|
198,139,920 | 28,115,079 | ||||||
Class
D
|
25,725,432 | 57,470,233 | ||||||
Class
I*
|
40,873,271 | 4,656,993 | ||||||
Class
D1***
|
19,636,088 | 4,998,359 | ||||||
Class
DA****
|
56,445,187 | - | ||||||
Net
income (loss) per weighted average Unit
|
||||||||
Class
A**
|
$ | 0.2175 | $ | 0.1351 | ||||
Class
C*
|
$ | 0.2298 | $ | 0.1087 | ||||
Class
D
|
$ | 0.2860 | $ | 0.1564 | ||||
Class
I*
|
$ | 0.2269 | $ | 0.0801 | ||||
Class
D1***
|
$ | 0.2374 | $ | 0.0350 | ||||
Class
DA****
|
$ | 0.0282 | $ | - |
*Units issued
June 1, 2007.
** Units issued on
July 1, 2007.
*** Units issued on
July 1, 2007 and Class D1 was previously known as
Class D-SD.
**** Units issued
on December 1, 2008.
See notes to
financial statements.
3
ML SYSTEMATIC
MOMENTUM FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS OF
CHANGES IN MEMBERS' CAPITAL FOR THE YEAR ENDED DECEMBER 31, 2008 AND FOR THE
PERIOD APRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31,
2007
Initial Offering | Subscriptions | Redemptions | Members' Capital December 31, 2007 | Subscriptions | Redemptions | Members' Capital December 31, 2008 | ||||||||||||||||||||||
Class
A**
|
- | 5,249,271 | (170,625 | ) | 5,078,646 | 44,090,513 | (5,757,217 | ) | 43,411,942 | |||||||||||||||||||
Class
C*
|
- | 71,012,676 | (1,123,975 | ) | 69,888,701 | 298,412,978 | (50,944,452 | ) | 317,357,227 | |||||||||||||||||||
Class
D
|
80,000,000 | 16,803,705 | 80,000,000 | 16,803,705 | 23,519,954 | (5,445,345 | ) | 34,878,314 | ||||||||||||||||||||
Class
I*
|
- | 14,757,114 | - | 14,757,114 | 46,161,324 | (7,718,330 | ) | 53,200,108 | ||||||||||||||||||||
Class
D1***
|
- | 5,000,000 | (9,846 | ) | 4,990,154 | 28,477,949 | (2,428,057 | ) | 31,040,046 | |||||||||||||||||||
Class
DA****
|
- | - | - | 56,445,187 | (3,649,745 | ) | 52,795,442 | |||||||||||||||||||||
Total
Members' Units
|
80,000,000 | 112,822,766 | (81,304,446 | ) | 111,518,320 | 497,107,905 | (75,943,146 | ) | 532,683,079 |
Initial Offering | Subscriptions | Redemptions |
Net
Income
(Loss)
|
Members' Capital December 31, 2007 | Subscriptions | Redemptions | Net Income (Loss) | Members' Capital December 31, 2008 | ||||||||||||||||||||||||||||
Class
A**
|
$ | - | $ | 4,977,396 | $ | (169,767 | ) | $ | 409,790 | $ | 5,217,419 | $ | 50,773,605 | $ | (6,670,127 | ) | $ | 5,208,770 | $ | 54,529,667 | ||||||||||||||||
Class
C*
|
- | 72,659,028 | (1,184,529 | ) | 3,057,074 | 74,531,573 | 350,073,604 | (60,487,671 | ) | 45,528,837 | 409,646,343 | |||||||||||||||||||||||||
Class
D
|
80,000,000 | 18,735,477 | (88,281,472 | ) | 8,988,855 | 19,442,860 | 30,338,088 | (6,986,221 | ) | 7,357,954 | 50,152,681 | |||||||||||||||||||||||||
Class
I*
|
- | 15,493,954 | - | 373,255 | 15,867,209 | 54,394,371 | (9,328,239 | ) | 9,275,144 | 70,208,485 | ||||||||||||||||||||||||||
Class
D1***
|
- | 5,000,000 | (10,000 | ) | 175,016 | 5,165,016 | 33,092,685 | (3,043,195 | ) | 4,661,767 | 39,876,273 | |||||||||||||||||||||||||
Class
DA****
|
- | - | - | - | - | 56,445,187 | (3,752,668 | ) | 1,592,120 | 54,284,639 | ||||||||||||||||||||||||||
Total
Members' Interest
|
$ | 80,000,000 | $ | 116,865,855 | $ | (89,645,768 | ) | $ | 13,003,990 | $ | 120,224,077 | $ | 575,117,540 | $ | (90,268,121 | ) | $ | 73,624,592 | $ | 678,698,088 |
*Units issued
June 1, 2007.
** Units issued on
July 1, 2007.
*** Units issued on
July 1, 2007 and Class D1 was previously known as
Class D-SD.
**** Units issued
on December 1, 2008.
See notes to
financial statements.
4
ML SYSTEMATIC
MOMENTUM FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
FINANCIAL DATA
HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2008
Per Unit Operating
Performance:
|
Class
A
|
Class
C
|
Class
D
|
Class
I
|
Class
D1
|
Class
DA*
|
|||||||||||||||||||
Net
asset value, beginning of period
|
$ | 1.0273 | $ | 1.0664 | $ | 1.1571 | $ | 1.0752 | $ | 1.0350 | $ | 1.0000 | |||||||||||||
Realized
and unrealized change in trading profit
|
0.2494 | 0.2577 | 0.2846 | 0.2614 | 0.2532 | 0.0280 | |||||||||||||||||||
Interest
income
|
0.0003 | 0.0004 | 0.0004 | 0.0004 | 0.0003 | 0.0000 | |||||||||||||||||||
Expenses
|
(0.0209 | ) | (0.0337 | ) | (0.0042 | ) | (0.0173 | ) | (0.0038 | ) | 0.0002 | ||||||||||||||
- | |||||||||||||||||||||||||
Net
asset value, end of period
|
$ | 1.2561 | $ | 1.2908 | $ | 1.4379 | $ | 1.3197 | $ | 1.2847 | $ | 1.0282 | |||||||||||||
Total Return:
|
|||||||||||||||||||||||||
Total
return
|
22.20 | % | 20.98 | % | 24.05 | % | 22.68 | % | 24.05 | % | 2.82 | % | (a) | ||||||||||||
Ratios to Average Members'
Capital:
|
|||||||||||||||||||||||||
Expenses
|
1.85 | % | 2.87 | % | 0.34 | % | 1.46 | % | 0.34 | % | -0.19 | % | (a) | ||||||||||||
Net
investment income (loss)
|
-1.82 | % | -2.84 | % | -0.31 | % | -1.43 | % | -0.31 | % | 0.19 | % | (a) |
*Units issued
December 1, 2008.
(a) The
ratios have been annualized and do not reflect the proportionate share of income
and expenses of the Portfolio funds.
See notes to
financial statements.
5
ML SYSTEMATIC
MOMENTUM FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
FINANCIAL DATA
HIGHLIGHTS FOR THE PERIOD APRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER
31, 2007
The following per
Unit data and ratios have been derived from information provided in the
financial statements.
Per Unit Operating
Performance:
|
Class
A**
|
Class
C*
|
Class
D
|
Class
I*
|
Class
D1 ***
|
|||||||||||||||
Net
asset value, beginning of period
|
$ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
Realized
and change in unrealized trading profit
|
0.0400 | 0.0885 | 0.1613 | 0.0898 | 0.0389 | |||||||||||||||
Interest
income (c)
(d)
|
- | - | - | 0.0001 | - | |||||||||||||||
Expenses
(d)
|
(0.0127 | ) | (0.0221 | ) | (0.0042 | ) | (0.0147 | ) | (0.0039 | ) | ||||||||||
Net
asset value, end of period
|
$ | 1.0273 | $ | 1.0664 | $ | 1.1571 | $ | 1.0752 | $ | 1.0350 | ||||||||||
Total Return: (b)
|
||||||||||||||||||||
Total
return
|
2.73 | % | 6.64 | % | 15.71 | % | 7.52 | % | 3.50 | % | ||||||||||
Ratios to Average Members' Capital: (a)
|
||||||||||||||||||||
Expenses
|
2.91 | % | 4.16 | % | 0.58 | % | 2.72 | % | 0.79 | % | ||||||||||
Net
investment income (loss)
|
-2.90 | % | -4.15 | % | -0.58 | % | -2.71 | % | -0.78 | % |
* Units issued on
June 1, 2007
** Units issued on
July 1, 2007
*** Units issued on
July 1, 2007 and class D1 was previously known as
Class D-SD.
(a) The ratios
have been annualized and do not reflect the proportionate share of income and
expenses of the Portfolio Funds.
(b) Not
annualized.
(c) Impact of
interest income is less than $0.0001 for Class A, C, D and D1.
(d) Per Unit
data is calculated using weighted average Units during the period.
See notes to
financial statements.
6
ML SYSTEMATIC
MOMENTUM FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
NOTES TO FINANCIAL
STATEMENTS
1.
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Organization
ML Systematic
Momentum FuturesAccess LLC (the "Fund"), a Merrill Lynch FuturesAccess Program
(the "Program") fund, was organized under the Delaware Limited Liability Company
Act on March 8, 2007 and commenced operations on April 2, 2007.
The Fund operates as a "fund of funds", allocating and reallocating its capital,
under the direction of Merrill Lynch Alternative Investments LLC ("MLAI"), the
Sponsor of the Fund, among eight underlying FuturesAccess Funds (each a
"Portfolio Fund", and collectively the "Portfolio Funds") (See Note 2).
MLAI is an indirect wholly-owned subsidiary of Merrill Lynch &
Co., Inc. ("Merrill Lynch"). Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("MLPF&S"), a wholly-owned subsidiary of Merrill Lynch, is the
commodity broker of the Portfolio Funds.
The Program is a
group of commodity pools sponsored by MLAI (each a "Program Fund" or
collectively, "Program Funds") each of which places substantially all of its
assets in a managed futures and forward trading account managed by a single or
multiple commodity trading advisor. Each Program Fund is generally similar to
the Fund in terms of fees, Classes of Units and redemption rights. Each of the
Program Funds implements a different trading strategy.
The Fund offers
four Classes of Units to retail investors: Class A, Class C,
Class D and Class I. Each Class of Units was offered at $1.00 per
Unit and subsequently is offered at Net Asset Value per Unit for other reporting
purposes (see Note 6). The four Classes of Units are subject to different
Sponsor fees. Classes D1 and DA are used exclusively for investments made by
Systematic Momentum FuturesAccess LTD and Systematic Momentum FuturesAccess II
LLC, respectively, and are not charged Sponsor fees.
Effective
January 1, 2009, Merrill Lynch & Co., Inc. became a
wholly-owned subsidiary of Bank of America Corporation pursuant to a merger
agreement.
Interests in the
Fund are not insured or otherwise protected by the Federal Deposit Insurance
Corporation or any other government authority. Interests are not deposits
or other obligations of, and are not guaranteed by, Bank of America Corporation
or any of its affiliates or by any bank. Interests are subject to
investment risks, including the possible loss of the full amount
invested.
Estimates
The preparation of
financial statements in conformity with accounting principles generally accepted
in the United States of America ("U.S. GAAP") requires management 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.
7
Revenue
Recognition
The Portfolio
Funds' commodity futures, options on futures and forward contract transactions
are recorded on the trade date and open contracts are reflected in Net
unrealized profit (loss) on open contracts in the Statements of Financial
Condition of the Portfolio Funds as the difference between the original contract
value and the market value (for those commodity interests for which market
quotations are readily available) or at fair value. The change in
unrealized profit (loss) on open contracts from one period to the next is
reflected in Change in unrealized under Trading profit (loss) in the Statements
of Operations of the Portfolio Funds.
The resulting
change between cost and market value (net of subscription and redemption
activity in Portfolio Funds) is reflected in the Statements of Operations as
"Change in unrealized". In addition, when the Fund redeems or partially
redeems its interest in the Portfolio Funds, it records realized (net profit or
loss) for such interests in the Statements of Operations of the
Fund.
Foreign Currency
Transactions
The Fund's
functional currency is the U.S. dollar; however, it and the Portfolio Funds may
transact business in U.S. dollars and in currencies other than the U.S.
dollar. Assets and liabilities denominated in currencies other than the
U.S. dollar are translated into U.S. dollars at the rates in effect at the date
of the Statements of Financial Condition of the Fund and each of the Portfolio
Funds. Income and expense items denominated in currencies other than the
U.S. dollar are translated into U.S. dollars at the rates in effect during the
period. Gains and losses resulting from the translation to U.S. dollars
are reported in Realized in the Statements of Operations of the Fund and each of
the Portfolio Funds.
Cash
The Fund maintains
cash at an unaffiliated bank for operations purposes.
Operating Expenses,
Offering Costs and Selling Commissions
The Fund pays for
all routine operating costs (including ongoing offering costs, administration,
custody, transfer, exchange and redemptions process, legal, regulatory filing,
tax, audit, escrow, accounting and printing fees and expenses) incurred by the
Fund. The Fund also pays any extraordinary expenses.
For financial
reporting purposes in conformity with U.S. GAAP, the Fund amortized the total
initial offering costs of $120,000 over a twelve-month period. For all
other purposes, including determining the Net Asset Value per Unit for
subscription and redemption purposes, the Fund amortizes offering costs over a
60 month period (see Note 6).
Class A Units
are subject to a sales commission paid to Merrill Lynch ranging from 1.00% to
2.50%. Class D, and Class I Units are subject to sales
commissions up to 0.50%. The rate assessed to a given subscription is
based upon the subscription amount. Sales commissions are directly deducted from
subscription amounts. Class C Units are not subject to any sales
commissions.
8
Income
Taxes
No provision for
income taxes has been made in the accompanying financial statements as each
Member is individually responsible for reporting income or loss based on such
Member's share of the Fund's income and expenses as reported for income tax
purposes.
Distributions
The Members are
entitled to receive, equally per Unit, any distributions which may be made by
the Fund. No such distributions have been declared for the year ended
December 31, 2008 and the period ended December 31, 2007.
Subscriptions
Units are offered
as of the close of business at the end of each month. Shares are purchased
as of the first business day of any month at Net Asset Value for all other
purposes (see Note 6), but the subscription request must be submitted at least
three calendar days before the end of the preceding month. Subscriptions
submitted less than three days before the end of a month will be applied to
Units subscriptions as of the beginning of the second month after receipt,
unless revoked by MLAI.
Redemptions and
Exchanges
A Member may redeem
or exchange some or all of such Member's Units at Net Asset Value for all other
purposes (see Note 6) as of the close of business, on the last business day of
any month, upon ten calendar days' notice ("notice period").
An investor in the
Fund can exchange these Units for Units of the same Class in other Program
Funds as of the beginning of each calendar month upon at least ten days" prior
notice. The minimum exchange amount is $10,000.
Redemption and
exchange requests are accepted within the notice period. The Fund does not
accept any redemption requests after the notice period. All redemption
requests received after the notice period will be processed for the following
month.
9
Dissolution of the
Fund
The Fund may
terminate if certain circumstances occur as set forth in the offering
memorandum, which include but are not limited to the
following:
(a)
Bankruptcy, dissolution, withdrawal or other termination of the trading
advisors of this Fund.
(b) Any
event which would make unlawful the continued existence of this Fund.
(c)
Determination by MLAI to liquidate or withdraw from the Fund.
Indemnifications
In the normal
course of business, the Fund enters into contracts and agreements that contain a
variety of representations and warranties and which provide general
indemnifications. The Fund"s maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
that have not yet occurred. The Fund expects the risk of any future
obligation under these indemnifications to be remote.
2.
INVESTMENTS IN PORTFOLIO FUNDS
The Portfolio Funds
in which the Fund was invested as of December 31, 2008 and 2007 or during
the period/year were: ML Chesapeake FuturesAccess LLC ("Chesapeake"), ML
Transtrend DTP Enhanced FuturesAccess LLC ("Transtrend"), ML Altis FuturesAccess
LLC ("Altis"), ML Winton FuturesAccess LLC ("Winton"), ML Aspect FuturesAccess
LLC ("Aspect"), ML John Locke FuturesAccess LLC ("John Locke"), ML GSA
FuturesAccess LLC ("GSA"), ML BlueTrend FuturesAccess LLC ("Blue Trend") and ML
Alphasimplex FuturesAccess LLC ("Alphasimplex"). MLAI, the Sponsor of the
fund, may in its discretion, change the Portfolio Funds at any time. MLAI, also
at its discretion may vary the percentage of the Fund's total portfolio
allocated to the different Portfolio Funds. There is no pre-established range
for the minimum and maximum allocations that may be made to any given Portfolio
Fund.
At
December 31, 2008, Investments in Portfolio Funds at fair value are as
follows:
Percentage
of Members' Capital
|
Fair
Value
|
Profit
(Loss)
|
Management
Fees
(1)
|
Performance
Fees
(1)
|
Redemptions
Permitted
|
||||||||||||||||
Chesapeake
|
10.43 | % | 70,779,579 | 3,583,563 | (946,192 | ) | (1,156,091 | ) |
monthly
|
||||||||||||
Transtrend
|
16.47 | % | 111,765,499 | 16,444,848 | (1,231,913 | ) | (6,770,217 | ) |
monthly
|
||||||||||||
Altis
|
13.77 | % | 93,483,991 | 29,676,850 | (1,141,904 | ) | (7,244,896 | ) |
monthly
|
||||||||||||
Winton
|
16.36 | % | 111,014,511 | 10,361,844 | (1,190,256 | ) | (2,396,979 | ) |
monthly
|
||||||||||||
Aspect
|
10.45 | % | 70,896,651 | 10,548,013 | (961,833 | ) | (2,478,788 | ) |
monthly
|
||||||||||||
John
Locke
|
15.40 | % | 104,525,135 | 10,325,464 | (1,062,203 | ) | (2,433,472 | ) |
monthly
|
||||||||||||
BlueTrend
|
7.22 | % | 48,989,192 | 7,948,538 | (290,672 | ) | (2,619,030 | ) |
monthly
|
||||||||||||
GSA
|
13.21 | % | 89,667,743 | (7,776,385 | ) | (940,975 | ) | (0 | ) |
monthly
|
|||||||||||
103.31 | % | $ | 701,122,301 | $ | 81,112,735 | $ | (7,765,948 | ) | $ | (25,099,473 | ) |
Total Investments
in Portfolio Funds at Fair Value (Cost $614,639,346)
(1) See
note 5
10
2007:
Percentage
of Investment
|
Fair
Value
|
Profit
(Loss)
|
Management
Fees
|
Performance
Fees
|
Redemptions
Permitted
|
||||||||||||||||
Alphasimplex
|
0.00 | % | $ | - | $ | (943,066 | ) | $ | (60,176 | ) | $ | - |
monthly
|
||||||||
Chesapeake
|
15.55 | % | 18,829,228 | 907,353 | (210,487 | ) | - |
monthly
|
|||||||||||||
Transtrend
|
14.81 | % | 17,927,148 | 3,553,620 | (216,171 | ) | (797,192 | ) |
monthly
|
||||||||||||
Altis
|
15.18 | % | 18,378,819 | 2,911,775 | (214,966 | ) | (610,793 | ) |
monthly
|
||||||||||||
Winton
|
14.73 | % | 17,829,738 | 2,796,394 | (214,222 | ) | (350,520 | ) |
monthly
|
||||||||||||
Aspect
|
15.06 | % | 18,235,954 | 1,770,147 | (212,213 | ) | (173,744 | ) |
monthly
|
||||||||||||
John
Locke
|
12.32 | % | 14,914,443 | 1,760,298 | (154,163 | ) | (356,510 | ) |
monthly
|
||||||||||||
GSA
|
12.35 | % | 14,948,564 | 1,233,517 | (138,501 | ) | (236,986 | ) |
monthly
|
||||||||||||
100.00 | % | $ | 121,063,894 | $ | 13,990,038 | $ | (1,420,899 | ) | $ | (2,525,745 | ) |
Total Investments
in Portfolio Funds at Fair Value (Cost $106,513,819)
3.
|
FAIR
VALUE OF INVESTMENTS
|
In
September 2006, the Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards No. 157, Fair Value Measurement
("FAS 157"). FAS 157 defines fair value, establishes a framework for measuring
fair value and expands disclosures about fair value measurements.
The Fund adopted
FAS 157 as of January 1, 2008. The adoption of FAS 157 did not have a
material impact on the Fund's financial statements.
Fair value of an
investment is the amount that would be received to sell the investment in an
orderly transaction between market participants at the measurement date (i.e.
the exit price).
FAS 157 established
a hierarchical disclosure framework which prioritizes and ranks the level of
market price observability used in measuring investments at fair value. Market
price observability is impacted by a number of factors, including the type of
investment and the characteristics specific to the investment. Investments with
readily available active quoted prices or for which fair value can be measured
from actively quoted prices generally will have a higher degree of market price
observability and a lesser degree of judgment used in measuring fair
value.
Investments
measured and reported at fair value are classified and disclosed in one of the
following categories:
Level I -
Quoted prices are available in active markets for identical investments as of
the reporting date. The type of investments included in Level I are publicly
traded investments.
Level II -
Pricing inputs are other than quoted prices in active markets, which are either
directly or indirectly observable as of the reporting date, and fair value is
determined through the use of generally accepted and understood models or other
valuation methodologies. Investments which are generally included in this
category are investments valued using market data.
Level III -
Pricing inputs are unobservable including the Fund's own assumptions in
determining the fair value of investments.
11
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. MLAI'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 table
summarizes the valuation of the Fund's investment by the above FAS 157 fair
value hierarchy levels as of December 31, 2008.
|
|
Total
|
|
Level I
|
|
Level II
|
|
Level III
|
|
||
Investment in
Portfolio Funds
|
|
$
|
701,122,301
|
|
N/A
|
|
$
|
701,122,301
|
|
N/A
|
|
4.
RELATED PARTY TRANSACTIONS
The Portfolio
Funds' U.S. dollar assets are maintained at MLPF&S. On assets held in U.S.
dollars, Merrill Lynch credits the Portfolio Funds with interest at the most
favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates but
not less than 75% of such prevailing rate. The Portfolio Funds are
credited with interest on any of their assets and net gains actually held by
MLPF&S non-U.S. dollar currencies at a prevailing local rate received by
Merrill Lynch. Merrill Lynch may derive certain economic benefit, in
excess of the interest which Merrill Lynch pays to the Portfolio Funds, from
possession of such assets.
Merrill Lynch
charges the Portfolio Funds at prevailing local interest rates for financing
realized and unrealized losses on each Portfolio Fund's non-U.S.
dollar-denominated positions. Such amounts are netted against interest
income due to the insignificance of such amounts.
The Fund charges
Sponsor fees on the month-end net assets after all other charges at annual rates
equal to 1.50% for Class A, 2.50% for Class C, 1.10% on
Class I. Class D, D1 and DA re not charged a Sponsor
Fee. Sponsor fees are paid to MLAI.
No brokerage
commission is charged to investors at the Fund level, although brokerage
commissions are charged to investors at the Portfolio Funds' level, and
investors will be indirectly subject to their pro rata share of such fees
based on the investment of the Fund in such underlying Portfolio Funds.
Brokerage commissions will be paid on the completion or liquidation of a
trade and are referred to as "round-turn" commissions, which cover both the
initial purchase (or sale) and the subsequent offsetting sale (or purchase) of a
commodity futures contract. A portion of the brokerage fees is paid to
Portfolio Funds' executing brokers, which may not include MLPF&S, as the
commission or their execution services. The "round-turn" commissions paid will
not exceed $15 per round-turn, except in the case of certain foreign contracts
on which the rates may be as high as $100 per round-turn due to the large size
of the contracts traded. In general, it is estimated that aggregate
brokerage commission charges will not exceed 3% and should equal approximately
0.50% per annum of each of the Portfolio Fund's average month-end assets.
12
5.
ADVISORY AGREEMENTS
Each Portfolio Fund
implements a systematic-based managed future strategy under the direction of its
trading advisor which is listed below:
Next
Renewal Date
|
||||
Portfolio
Fund
|
Advisor
|
of
Advisory Agreement
|
||
Altis
|
Altis
Partners (Jersey) Limited
|
December
31, 2016
|
||
Aspect
|
Aspect
Capital Management
|
December
31, 2011
|
||
Chesapeake
|
Chesapeake
Capital Corporation
|
December
31, 2016
|
||
Transtrend
|
Transtrend
B.V.
|
December
31, 2009
|
||
Winton
|
Winton
Capital Management Limited
|
December
31, 2014
|
||
John
Locke
|
John
Locke Investments SA
|
December
31, 2016
|
||
GSA
|
GSA
Capital Partner, LLP
|
June
30, 2012
|
||
BlueTrend
|
BlueCrest
Capital Management, L.P.
|
December
31, 2010
|
The advisory
agreements shall be automatically renewed for successive three-year periods with
the exception of Transtrend which has an automatic renewal of one-year period,
on the same terms, unless terminated by either the Portfolio Fund or the
respective advisor upon 90 days' notice to the other party. The trading
advisors determine the commodity futures, options on futures and forward
contract trades to be made on behalf of their respective Portfolio Fund
accounts, subject to certain trading policies and to certain rights reserved by
MLAI.
The Portfolio Funds
charge an annual management fees of 2.00% of their average month-end assets
after reduction for the brokerage commissions accrued with respect to such
assets. For Altis, Chesapeake, BlueTrend and Transtrend, MLAI receives 50% of
the 2.00% management fees. For Aspect, Winton, John Locke and GSA, MLAI receives
25% of the 2.00% management fees. The remainder being paid to the
respective trading advisor.
Performance charged
by the Portfolio Funds are calculated at 20% for all Portfolio Funds except
BlueTrend and Transtrend which is calculated at 25% of any New Trading Profit,
as defined, and earned by the respective advisors. Performance fees are
also paid out in respect of Units redeemed as of the end of interim month, to
the extent of the applicable percentage of any New Trading Profit attributable
to such Units. For the following Funds, Aspect, Winton, GSA and John Locke, MLAI
received 25% of the 20% performance fees.
13
6. NET
ASSET VALUE PER UNIT
For financial
reporting purposes, in conformity with U.S. GAAP, the Fund amortizes over a
twelve-month period the initial offering costs for purposes of determining Net
Asset Value. Such costs initially were paid by MLAI. For all other
purposes, including computing Net Asset Value for purposes of member
subscription and redemption activity, such costs are amortized over 60
months.
Consequently, the
Net Asset Value and Net Asset Value per Unit of the different Classes for
financial reporting purposes and for all other purposes as of December 31,
2008 and 2007 are as follows:
December 31,
2008:
Net Asset Value |
Net
Asset Value per Unit
|
|||||||||||||||||||
All
Other Purposes
|
Financial
Reporting
|
Number
of Units
|
All Other Purposes |
Financial
Reporting
|
||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||
Class
A
|
$ | 54,531,772 | $ | 54,529,667 | 43,411,942 | $ | 1.2561 | $ | 1.2561 | |||||||||||
Class
C
|
409,679,565 | 409,646,343 | 317,357,227 | 1.2909 | 1.2908 | |||||||||||||||
Class
D
|
50,209,935 | 50,152,681 | 34,878,314 | 1.4396 | 1.4379 | |||||||||||||||
Class
I
|
70,217,871 | 70,208,485 | 53,200,108 | 1.3199 | 1.3197 | |||||||||||||||
Class
D1
|
39,878,678 | 39,876,273 | 31,040,046 | 1.2848 | 1.2847 | |||||||||||||||
Class
DA
|
54,284,639 | 54,284,639 | 52,795,442 | 1.0282 | 1.0282 | |||||||||||||||
$ | 678,802,460 | $ | 678,698,088 | 532,683,079 |
December 31,
2007:
Net Asset Value |
Net
Asset Value per Unit
|
|||||||||||||||||||
All
Other Purposes
|
Financial
Reporting
|
Number
of Units
|
All
Other Purposes
|
Financial
Reporting
|
||||||||||||||||
(unaudited) | (unaudited) | |||||||||||||||||||
Class
A
|
$ | 5,219,799 | $ | 5,217,419 | 5,078,646 | $ | 1.0278 | $ | 1.0273 | |||||||||||
Class
C
|
74,560,703 | 74,531,573 | 69,888,701 | 1.0668 | 1.0664 | |||||||||||||||
Class
D
|
19,497,806 | 19,442,860 | 16,803,705 | 1.1603 | 1.1571 | |||||||||||||||
Class
I
|
15,872,806 | 15,867,209 | 14,757,114 | 1.0756 | 1.0752 | |||||||||||||||
Class
D1
|
5,167,584 | 5,165,016 | 4,990,154 | 1.0356 | 1.0350 | |||||||||||||||
$ | 120,318,698 | $ | 120,224,077 | 111,518,320 |
7.
WEIGHTED AVERAGE UNITS
The weighted
average number of Units outstanding for each Class is computed for purposes
of calculating net income per weighted average Unit. The weighted average
number of Units outstanding for the year ended December 31, 2008 and the
period ended December 31, 2007 equals the Units outstanding for each
Class as of such date, adjusted proportionately for Units sold or redeemed
based on the respective length of time each was outstanding during the
period.
14
8.
RECENT ACCOUNTING PRONOUNCEMENTS
In March 2008,
the FASB released Statement of Financial Accounting Standards No. 161,
Disclosures about Derivative Instruments and Hedging Activities ' an amendment
to FASB Statement No. 133 ("FAS 161"). FAS 161 requires qualitative
disclosures about objectives and strategies for using derivatives, quantitative
disclosures about fair value amounts of and gains and losses on derivative
instruments, and disclosures about credit-risk related contingent features in
derivative agreements. The application of FAS 161 is required for fiscal years
beginning after November 15, 2008 and interim periods within those fiscal
years. Currently, the Fund is evaluating the implications of FAS 161 on its
financial statements.
In May 2008,
the FASB issued Statement of Financial Accounting Standards No. 162, "The Hierarchy of Generally Accepted
Accounting Principles" ("FAS 162"). FAS 162 identifies the sources of
accounting principles and the framework for selecting the accounting principles
used in preparing financial statements of nongovernmental entities that are
presented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy is
provided in the American Institute of Certified Public Accountants U.S. Auditing
Standards ("AU") Section 411, "The Meaning of Present Fairly in
Conformity With Generally Accepted Accounting Principles" ("AU
Section 411"). FAS 162 is effective 60 days following the SEC's approval of
the Public Company Accounting Oversight Board's amendments to AU
Section 411. The Fund does not expect the adoption of FAS 162 to have an
impact on its financial statements.
9.
MARKET AND CREDIT RISK
The nature of this
Fund has certain risks, which cannot all be presented on the financial
statements. The following summarizes some of those risks.
Market
Risk
Derivative
instruments involve varying degrees of market risk. Changes in the level
or volatility of interest rates, foreign currency exchange rates or the market
values of the financial instruments or commodities underlying such derivative
instruments frequently result in changes in the Portfolio Funds' net unrealized
gains on open contracts on such derivative instruments as reflected in the
Statements of Financial Condition of the Portfolio Funds. The Fund's
exposure to market risk is influenced by a number of factors, including the
relationships among the derivative instruments held by the Portfolio Funds as
well as the volatility and liquidity of the markets in which the derivative
instruments are traded. Investments in foreign markets may also entail
legal and political risks.
MLAI has procedures
in place intended to control market risk exposure, although there can be no
assurance that they will, in fact, succeed in doing so. These procedures
focus primarily on monitoring the trading of the Portfolio Funds, calculating
the Net Asset Value of the Fund and the Portfolio Funds as of the close of
business on each day and reviewing outstanding positions for
over-concentrations. While MLAI does not intervene in the markets to hedge
or diversify the Portfolio Funds' market exposure, MLAI may urge the respective
trading advisors to reallocate positions in an attempt to avoid
over-concentrations. However, such interventions are expected to be
unusual. It is expected that MLAI's basic risk control procedures will
consist of the ongoing process of advisor monitoring, with the market risk
controls being applied by respective trading advisors.
15
Credit
Risk
The risks
associated with exchange-traded contracts are typically perceived to be less
than those associated with over-the-counter (non-exchange-traded) transactions,
because exchanges typically provide clearinghouse arrangements in which the
collective credit (in some cases limited in amount, in some cases not) of the
members of the exchange is pledged to support the financial integrity of the
exchange. In over-the-counter transactions, on the other hand, traders
must rely solely on the credit of their respective individual
counterparties. Margins, which may be subject to loss in the event of a
default, are generally required in exchange trading, and counterparties may also
require margin in the over-the-counter markets.
The credit risk
associated with these instruments from counterparty nonperformance is the net
unrealized gains on open contracts, if any, included in the Statements of
Financial Condition of the Portfolio Funds. The Portfolio Funds attempt to
mitigate this risk by dealing exclusively with Merrill Lynch entities as
clearing brokers.
The Portfolio Funds, in their normal course of business, enter into
various contracts, with MLPF&S acting as their commodity broker.
Pursuant to the brokerage arrangement with MLPF&S (which includes a netting
arrangement), to the extent that such trading results in receivables from and
payables to MLPF&S, these receivables and payables are offset and reported
as a net receivable or payable and included in Equity in commodity futures
trading accounts in the Statements of Financial Condition of the Portfolio
Funds.
16
|
* *
* *
* *
* *
* *
*
|
|
|
To the best of the knowledge and belief of the
|
|
|
undersigned, the information contained in this
|
|
|
report is accurate and complete.
|
|
|
/s/ Barbra E. Kocsis
|
|
|
Barbra E. Kocsis
|
|
|
Chief Financial Officer
|
|
|
Merrill Lynch Alternative Investments LLC
|
|
|
Sponsor of
|
|
|
ML Systematic Momentum FuturesAccess LLC
|
|
17