Attached files
file | filename |
---|---|
EX-31.01 - EX-31.01 - ML Transtrend DTP Enhanced FuturesAccess LLC | a15-17928_1ex31d01.htm |
EX-32.01 - EX-32.01 - ML Transtrend DTP Enhanced FuturesAccess LLC | a15-17928_1ex32d01.htm |
EX-31.02 - EX-31.02 - ML Transtrend DTP Enhanced FuturesAccess LLC | a15-17928_1ex31d02.htm |
EX-32.02 - EX-32.02 - ML Transtrend DTP Enhanced FuturesAccess LLC | a15-17928_1ex32d02.htm |
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2015
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 0-52701
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(Exact name of registrant as specified in its charter)
Delaware |
|
30-0408288 |
(State or other jurisdiction of |
|
(I.R.S. Employer Identification No.) |
incorporation or organization) |
|
|
c/o Merrill Lynch Alternative Investments LLC
250 Vesey Street, 11th Floor
New York, New York 10080
(Address of principal executive offices)
(Zip Code)
609-274-5838
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No 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 |
|
Smaller reporting company o |
(Do not check if a smaller reporting company) |
|
|
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No x
As of September 30, 2015, 30,436,191 units of limited liability company interest were outstanding.
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
QUARTERLY REPORT FOR SEPTEMBER 30, 2015 ON FORM 10-Q
Table of Contents
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PAGE |
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PART IFINANCIAL INFORMATION | ||
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Item 1. |
Financial Statements |
1 |
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Item 2. |
Managements Discussion and Analysis of Financial Condition and Results of Operations |
18 |
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Item 3. |
Quantitative and Qualitative Disclosures About Market Risk |
28 |
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Item 4. |
Controls and Procedures |
33 |
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PART IIOTHER INFORMATION | ||
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Item 1. |
Legal Proceedings |
33 |
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Item 1A. |
Risk Factors |
33 |
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Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds |
34 |
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Item 3. |
Defaults Upon Senior Securities |
35 |
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Item 4. |
Mine Safety Disclosures |
36 |
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Item 5. |
Other Information |
36 |
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Item 6. |
Exhibits |
36 |
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
(unaudited)
|
|
September 30, |
|
December 31, |
| ||
|
|
2015 |
|
2014 |
| ||
ASSETS: |
|
|
|
|
| ||
Equity in commodity trading accounts: |
|
|
|
|
| ||
Cash (including restricted cash of $5,762,424 for 2015 and $10,272,575 for 2014) |
|
$ |
37,759,786 |
|
$ |
69,094,556 |
|
Unrealized profit on open futures contracts |
|
3,202,826 |
|
8,204,592 |
| ||
Cash and cash equivalents |
|
546,945 |
|
541,412 |
| ||
Other assets |
|
25 |
|
2,484 |
| ||
|
|
|
|
|
| ||
TOTAL ASSETS |
|
$ |
41,509,582 |
|
$ |
77,843,044 |
|
|
|
|
|
|
| ||
LIABILITIES AND MEMBERS CAPITAL: |
|
|
|
|
| ||
LIABILITIES: |
|
|
|
|
| ||
Sponsor and Advisory fees payable |
|
$ |
72,798 |
|
$ |
1,366,552 |
|
Redemptions payable |
|
1,131,327 |
|
1,621,921 |
| ||
Unrealized loss on open futures contracts |
|
965,287 |
|
1,668,977 |
| ||
Other liabilities |
|
582,304 |
|
200,531 |
| ||
|
|
|
|
|
| ||
Total liabilities |
|
2,751,716 |
|
4,857,981 |
| ||
|
|
|
|
|
| ||
MEMBERS CAPITAL: |
|
|
|
|
| ||
Members Capital (30,436,191 Units and 48,238,660 Units outstanding; unlimited Units authorized) |
|
38,757,866 |
|
72,985,063 |
| ||
Total members capital |
|
38,757,866 |
|
72,985,063 |
| ||
|
|
|
|
|
| ||
TOTAL LIABILITIES AND MEMBERS CAPITAL |
|
$ |
41,509,582 |
|
$ |
77,843,044 |
|
|
|
|
|
|
| ||
NET ASSET VALUE PER UNIT: |
|
|
|
|
| ||
|
|
|
|
|
| ||
Class A |
|
$ |
1.2422 |
|
$ |
1.3175 |
|
Class C |
|
$ |
1.1077 |
|
$ |
1.1839 |
|
Class D |
|
$ |
1.0767 |
|
$ |
1.1293 |
|
Class I |
|
$ |
1.2559 |
|
$ |
1.3360 |
|
Class DS* |
|
$ |
|
|
$ |
1.7301 |
|
Class DT |
|
$ |
1.8082 |
|
$ |
1.8881 |
|
Class M |
|
$ |
1.0703 |
|
$ |
1.1218 |
|
*Units fully redeemed as of April 30, 2015.
See notes to financial statements.
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF OPERATIONS
(unaudited)
|
|
For the three |
|
For the three |
|
For the nine |
|
For the nine |
| ||||
|
|
September 30, 2015 |
|
September 30, 2014 |
|
September 30, 2015 |
|
September 30, 2014 |
| ||||
TRADING PROFIT (LOSS): |
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Realized, net |
|
$ |
105,692 |
|
$ |
3,987,243 |
|
$ |
4,881,190 |
|
$ |
9,412,440 |
|
Change in unrealized, net |
|
2,700,215 |
|
3,008,641 |
|
(4,298,076 |
) |
982,028 |
| ||||
Brokerage commissions |
|
(72,763 |
) |
(143,243 |
) |
(313,907 |
) |
(442,733 |
) | ||||
|
|
|
|
|
|
|
|
|
| ||||
Total trading profit (loss), net |
|
2,733,144 |
|
6,852,641 |
|
269,207 |
|
9,951,735 |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
INVESTMENT INCOME (EXPENSE): |
|
|
|
|
|
|
|
|
| ||||
Interest, net |
|
(479 |
) |
(1,566 |
) |
(1,986 |
) |
(2,664 |
) | ||||
|
|
|
|
|
|
|
|
|
| ||||
EXPENSES: |
|
|
|
|
|
|
|
|
| ||||
Management fee to Trading Advisor |
|
95,320 |
|
175,173 |
|
413,567 |
|
561,780 |
| ||||
Management fee to MLAI |
|
33,376 |
|
72,805 |
|
163,262 |
|
262,804 |
| ||||
Sponsor fee |
|
87,552 |
|
89,550 |
|
276,771 |
|
278,297 |
| ||||
Performance fee |
|
|
|
80,409 |
|
138,824 |
|
80,409 |
| ||||
Other |
|
121,793 |
|
99,901 |
|
713,523 |
|
369,323 |
| ||||
Total expenses |
|
338,041 |
|
517,838 |
|
1,705,947 |
|
1,552,613 |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
NET INVESTMENT INCOME (LOSS) |
|
(338,520 |
) |
(519,404 |
) |
(1,707,933 |
) |
(1,555,277 |
) | ||||
|
|
|
|
|
|
|
|
|
| ||||
NET INCOME (LOSS) |
|
$ |
2,394,624 |
|
$ |
6,333,237 |
|
$ |
(1,438,726 |
) |
$ |
8,396,458 |
|
|
|
|
|
|
|
|
|
|
| ||||
NET INCOME (LOSS) PER UNIT: |
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Weighted average number of Units outstanding |
|
|
|
|
|
|
|
|
| ||||
Class A |
|
4,530,199 |
|
4,789,622 |
|
4,564,453 |
|
5,162,320 |
| ||||
Class C |
|
9,207,164 |
|
9,805,393 |
|
9,263,036 |
|
10,711,531 |
| ||||
Class D |
|
2,882,155 |
|
2,008,269 |
|
2,723,453 |
|
1,990,392 |
| ||||
Class I |
|
660,931 |
|
1,007,698 |
|
819,631 |
|
1,078,504 |
| ||||
Class DS* |
|
|
|
22,513,039 |
|
19,995,760 |
|
26,698,781 |
| ||||
Class DT |
|
6,320,460 |
|
7,057,550 |
|
6,185,042 |
|
7,918,814 |
| ||||
Class M |
|
6,388,916 |
|
4,341,353 |
|
5,995,594 |
|
4,098,159 |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Net income (loss) per weighted average Unit |
|
|
|
|
|
|
|
|
| ||||
Class A |
|
$ |
0.0724 |
|
$ |
0.1047 |
|
$ |
(0.0729 |
) |
$ |
0.1217 |
|
Class C |
|
$ |
0.0615 |
|
$ |
0.0907 |
|
$ |
(0.0750 |
) |
$ |
0.1045 |
|
Class D |
|
$ |
0.0663 |
|
$ |
0.0937 |
|
$ |
(0.0749 |
) |
$ |
0.1323 |
|
Class I |
|
$ |
0.1222 |
|
$ |
0.1062 |
|
$ |
(0.0617 |
) |
$ |
0.1294 |
|
Class DS* |
|
$ |
|
|
$ |
0.1398 |
|
$ |
0.0251 |
|
$ |
0.1553 |
|
Class DT |
|
$ |
0.1347 |
|
$ |
0.1548 |
|
$ |
(0.0476 |
) |
$ |
0.1932 |
|
Class M |
|
$ |
0.0590 |
|
$ |
0.0940 |
|
$ |
(0.0606 |
) |
$ |
0.1388 |
|
*Units fully redeemed as of April 30, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period January 1, 2015 to April 30, 2015.)
See notes to financial statements.
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBERS CAPITAL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014
(unaudited) (in Units)
|
|
Members Capital |
|
Subscriptions |
|
Redemptions |
|
Members Capital |
|
Members Capital |
|
Subscriptions |
|
Redemptions |
|
Members Capital |
|
Class A |
|
5,826,089 |
|
|
|
(1,102,206 |
) |
4,723,883 |
|
4,750,979 |
|
90,075 |
|
(259,973 |
) |
4,581,081 |
|
Class C |
|
11,546,887 |
|
868,789 |
|
(2,961,490 |
) |
9,454,186 |
|
9,321,459 |
|
272,914 |
|
(389,054 |
) |
9,205,319 |
|
Class D |
|
1,847,373 |
|
160,897 |
|
|
|
2,008,270 |
|
1,865,865 |
|
1,016,290 |
|
|
|
2,882,155 |
|
Class I |
|
1,188,118 |
|
25,881 |
|
(219,859 |
) |
994,140 |
|
926,308 |
|
3,602 |
|
(383,249 |
) |
546,661 |
|
Class DS* |
|
33,027,431 |
|
153,276 |
|
(12,239,720 |
) |
20,940,987 |
|
20,308,932 |
|
361,807 |
|
(20,670,739 |
) |
|
|
Class DT |
|
9,016,617 |
|
|
|
(2,622,576 |
) |
6,394,041 |
|
6,259,149 |
|
1,649,450 |
|
(1,227,028 |
) |
6,681,571 |
|
Class M |
|
3,599,899 |
|
1,183,747 |
|
(427,095 |
) |
4,356,551 |
|
4,805,968 |
|
1,777,902 |
|
(44,466 |
) |
6,539,404 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Members Units |
|
66,052,414 |
|
2,392,590 |
|
(19,572,946 |
) |
48,872,058 |
|
48,238,660 |
|
5,172,040 |
|
(22,974,509 |
) |
30,436,191 |
|
*Units fully redeemed as of April 30, 2015.
See notes to financial statements.
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBERS CAPITAL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014
(unaudited)
|
|
Members Capital |
|
Subscriptions |
|
Redemptions |
|
Net Income |
|
Members Capital |
|
Members Capital |
|
Subscriptions |
|
Redemptions |
|
Net Income |
|
Members Capital |
| ||||||||||
Class A |
|
$ |
6,492,354 |
|
$ |
|
|
$ |
(1,207,344 |
) |
$ |
628,046 |
|
$ |
5,913,056 |
|
$ |
6,259,557 |
|
$ |
114,388 |
|
$ |
(350,294 |
) |
$ |
(332,960 |
) |
$ |
5,690,691 |
|
Class C |
|
11,678,312 |
|
850,000 |
|
(2,987,168 |
) |
1,119,047 |
|
10,660,191 |
|
11,035,343 |
|
324,000 |
|
(468,084 |
) |
(694,938 |
) |
10,196,321 |
| ||||||||||
Class D |
|
1,738,212 |
|
145,000 |
|
|
|
263,360 |
|
2,146,572 |
|
2,107,079 |
|
1,200,100 |
|
|
|
(204,001 |
) |
3,103,178 |
| ||||||||||
Class I |
|
1,337,151 |
|
28,000 |
|
(244,216 |
) |
139,605 |
|
1,260,540 |
|
1,237,502 |
|
5,000 |
|
(505,358 |
) |
(50,610 |
) |
686,534 |
| ||||||||||
Class DS* |
|
47,609,112 |
|
211,996 |
|
(17,676,929 |
) |
4,147,200 |
|
34,291,379 |
|
35,135,941 |
|
624,218 |
|
(36,261,543 |
) |
501,384 |
|
|
| ||||||||||
Class DT |
|
14,111,528 |
|
|
|
(4,226,894 |
) |
1,530,207 |
|
11,414,841 |
|
11,818,184 |
|
2,846,590 |
|
(2,288,712 |
) |
(294,182 |
) |
12,081,880 |
| ||||||||||
Class M |
|
3,364,821 |
|
1,099,903 |
|
(407,887 |
) |
568,993 |
|
4,625,830 |
|
5,391,457 |
|
2,016,620 |
|
(45,396 |
) |
(363,419 |
) |
6,999,262 |
| ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Total Members Capital |
|
$ |
86,331,490 |
|
$ |
2,334,899 |
|
$ |
(26,750,438 |
) |
$ |
8,396,458 |
|
$ |
70,312,409 |
|
$ |
72,985,063 |
|
$ |
7,130,916 |
|
$ |
(39,919,387 |
) |
$ |
(1,438,726 |
) |
$ |
38,757,866 |
|
*Units fully redeemed as of April 30, 2015.
See notes to financial statements.
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2015 (unaudited)
The following per Unit data and ratios have been derived from information provided in the financial statements.
|
|
Class A |
|
Class C |
|
Class D |
|
Class I |
|
Class DT |
|
Class M |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net asset value, beginning of period |
|
$ |
1.1700 |
|
$ |
1.0461 |
|
$ |
1.0104 |
|
$ |
1.1888 |
|
$ |
1.6931 |
|
$ |
1.0037 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net realized and net change in unrealized trading profit (loss) |
|
0.0879 |
|
0.0784 |
|
0.0759 |
|
0.0818 |
|
0.1289 |
|
0.0761 |
| ||||||
Brokerage commissions |
|
(0.0024 |
) |
(0.0021 |
) |
(0.0021 |
) |
(0.0024 |
) |
(0.0035 |
) |
(0.0021 |
) | ||||||
Interest income, net (c) |
|
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) | ||||||
Expenses |
|
(0.0133 |
) |
(0.0147 |
) |
(0.0075 |
) |
(0.0123 |
) |
(0.0103 |
) |
(0.0074 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net asset value, end of period |
|
$ |
1.2422 |
|
$ |
1.1077 |
|
$ |
1.0767 |
|
$ |
1.2559 |
|
$ |
1.8082 |
|
$ |
1.0703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total Return: (a) (d) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Total return before Performance fees |
|
6.17 |
% |
5.89 |
% |
6.56 |
% |
5.64 |
% |
6.79 |
% |
6.63 |
% | ||||||
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% | ||||||
Total return after Performance fees |
|
6.17 |
% |
5.89 |
% |
6.56 |
% |
5.64 |
% |
6.79 |
% |
6.63 |
% | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Ratios to Average Members Capital: (d) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Expenses (excluding Performance fees) (b) |
|
1.08 |
% |
1.33 |
% |
0.70 |
% |
0.98 |
% |
0.57 |
% |
0.70 |
% | ||||||
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% | ||||||
Expenses (including Performance fees) |
|
1.08 |
% |
1.33 |
% |
0.70 |
% |
0.98 |
% |
0.57 |
% |
0.70 |
% | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Net investment income (loss) (excluding Performance fees) |
|
-1.08 |
% |
-1.33 |
% |
-0.70 |
% |
-0.98 |
% |
-0.57 |
% |
-0.70 |
% | ||||||
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% | ||||||
Net investment income (loss) (including Performance fees) |
|
-1.08 |
% |
-1.33 |
% |
-0.70 |
% |
-0.98 |
% |
-0.57 |
% |
-0.70 |
% |
(a) The total return is calculated for each class taken as a whole based on the change in net asset value. An individual members return may vary from these returns based on timing of capital transactions.
(b) The expense ratios do not include brokerage commissions.
(c) Interest income, net is less than $0.0001 per Unit.
(d) The ratios and total return are not annualized.
See notes to financial statements.
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 (unaudited)
The following per Unit data and ratios have been derived from information provided in the financial statements.
|
|
Class A |
|
Class C |
|
Class D |
|
Class I |
|
Class DS* |
|
Class DT |
|
Class M |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net asset value, beginning of period |
|
$ |
1.3175 |
|
$ |
1.1839 |
|
$ |
1.1293 |
|
$ |
1.3360 |
|
$ |
1.7301 |
|
$ |
1.8881 |
|
$ |
1.1218 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net realized and net change in unrealized trading profit (loss) |
|
(0.0171 |
) |
(0.0152 |
) |
(0.0149 |
) |
(0.0175 |
) |
0.0418 |
|
(0.0250 |
) |
(0.0148 |
) | |||||||
Brokerage commissions |
|
(0.0077 |
) |
(0.0069 |
) |
(0.0066 |
) |
(0.0078 |
) |
(0.0042 |
) |
(0.0111 |
) |
(0.0066 |
) | |||||||
Interest income, net |
|
(0.0001 |
) |
(0.0001 |
) |
(0.0001 |
) |
(0.0001 |
) |
(0.0000 |
) |
(0.0001 |
) |
(0.0001 |
) | |||||||
Expenses |
|
(0.0504 |
) |
(0.0540 |
) |
(0.0310 |
) |
(0.0547 |
) |
(0.0184 |
) |
(0.0437 |
) |
(0.0300 |
) | |||||||
Net asset value, before full redemption |
|
1.2422 |
|
1.1077 |
|
1.0767 |
|
1.2559 |
|
1.7493 |
|
1.8082 |
|
1.0703 |
| |||||||
Less redemption |
|
|
|
|
|
|
|
|
|
1.7493 |
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net asset value, end of period |
|
$ |
1.2422 |
|
$ |
1.1077 |
|
$ |
1.0767 |
|
$ |
1.2559 |
|
$ |
|
|
$ |
1.8082 |
|
$ |
1.0703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total Return: (a) (c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total return before Performance fees |
|
-5.70 |
% |
-6.42 |
% |
-4.65 |
% |
-5.99 |
% |
1.44 |
% |
-4.19 |
% |
-4.58 |
% | |||||||
Performance fees |
|
-0.01 |
% |
-0.02 |
% |
-0.01 |
% |
-0.01 |
% |
-0.33 |
% |
-0.04 |
% |
-0.01 |
% | |||||||
Total return after Performance fees |
|
-5.71 |
% |
-6.44 |
% |
-4.66 |
% |
-6.00 |
% |
1.11 |
% |
-4.23 |
% |
-4.59 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Ratios to Average Members Capital: (c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Expenses (excluding Performance fees) (b) |
|
3.98 |
% |
4.73 |
% |
2.85 |
% |
3.68 |
% |
1.62 |
% |
2.48 |
% |
2.85 |
% | |||||||
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.32 |
% |
0.03 |
% |
0.00 |
% | |||||||
Expenses (including Performance fees) |
|
3.98 |
% |
4.73 |
% |
2.85 |
% |
3.68 |
% |
1.94 |
% |
2.51 |
% |
2.85 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net investment income (loss) (excluding Performance fees) |
|
-3.98 |
% |
-4.73 |
% |
-2.85 |
% |
-3.68 |
% |
-1.62 |
% |
-2.48 |
% |
-2.85 |
% | |||||||
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
-0.32 |
% |
-0.03 |
% |
0.00 |
% | |||||||
Net investment income (loss) (including Performance fees) |
|
-3.98 |
% |
-4.73 |
% |
-2.85 |
% |
-3.68 |
% |
-1.94 |
% |
-2.51 |
% |
-2.85 |
% |
(a) The total return is calculated for each class taken as a whole based on the change in net asset value. An individual members return may vary from these returns based on timing of capital transactions.
(b) The expense ratios do not include brokerage commissions.
(c) The ratios and total return are not annualized.
*Units fully redeemed as of April 30, 2015.
See notes to financial statements.
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2014 (unaudited)
The following per Unit data and ratios have been derived from information provided in the financial statements.
|
|
Class A |
|
Class C |
|
Class D |
|
Class I |
|
Class DS |
|
Class DT |
|
Class M |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net asset value, beginning of period |
|
$ |
1.1463 |
|
$ |
1.0352 |
|
$ |
0.9751 |
|
$ |
1.1600 |
|
$ |
1.4939 |
|
$ |
1.6267 |
|
$ |
0.9687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net realized and net change in unrealized trading profit (loss) |
|
0.1198 |
|
0.1080 |
|
0.1022 |
|
0.1213 |
|
0.1565 |
|
0.1706 |
|
0.1015 |
| |||||||
Brokerage commissions |
|
(0.0024 |
) |
(0.0022 |
) |
(0.0021 |
) |
(0.0024 |
) |
(0.0032 |
) |
(0.0034 |
) |
(0.0020 |
) | |||||||
Interest income, net (c) |
|
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) | |||||||
Expenses |
|
(0.0120 |
) |
(0.0134 |
) |
(0.0063 |
) |
(0.0109 |
) |
(0.0097 |
) |
(0.0087 |
) |
(0.0064 |
) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net asset value, end of period |
|
$ |
1.2517 |
|
$ |
1.1276 |
|
$ |
1.0689 |
|
$ |
1.2680 |
|
$ |
1.6375 |
|
$ |
1.7852 |
|
$ |
1.0618 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total Return: (a) (d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total return before Performance fees |
|
9.32 |
% |
9.05 |
% |
9.73 |
% |
9.43 |
% |
9.73 |
% |
9.87 |
% |
9.73 |
% | |||||||
Performance fees |
|
-0.12 |
% |
-0.12 |
% |
-0.12 |
% |
-0.12 |
% |
-0.12 |
% |
-0.12 |
% |
-0.12 |
% | |||||||
Total return after Performance fees |
|
9.20 |
% |
8.93 |
% |
9.61 |
% |
9.31 |
% |
9.61 |
% |
9.75 |
% |
9.61 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Ratios to Average Members Capital: (d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Expenses (excluding Performance fees) (b) |
|
0.90 |
% |
1.15 |
% |
0.52 |
% |
0.80 |
% |
0.52 |
% |
0.40 |
% |
0.52 |
% | |||||||
Performance fees |
|
0.11 |
% |
0.11 |
% |
0.11 |
% |
0.11 |
% |
0.11 |
% |
0.12 |
% |
0.11 |
% | |||||||
Expenses (including Performance fees) |
|
1.01 |
% |
1.26 |
% |
0.63 |
% |
0.91 |
% |
0.63 |
% |
0.52 |
% |
0.63 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net investment income (loss) (excluding Performance fees) |
|
-0.91 |
% |
-1.16 |
% |
-0.53 |
% |
-0.80 |
% |
-0.53 |
% |
-0.40 |
% |
-0.53 |
% | |||||||
Performance fees |
|
-0.11 |
% |
-0.11 |
% |
-0.11 |
% |
-0.11 |
% |
-0.11 |
% |
-0.12 |
% |
-0.11 |
% | |||||||
Net investment income (loss) (including Performance fees) |
|
-1.02 |
% |
-1.27 |
% |
-0.64 |
% |
-0.91 |
% |
-0.64 |
% |
-0.52 |
% |
-0.64 |
% |
(a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members return may vary from these returns based on timing of capital transactions.
(b) The expense ratios do not include brokerage commissions.
(c) Interest income, net is less than $0.0001 per Unit.
(d) The ratios and total return are not annualized.
See notes to financial statements.
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 (unaudited)
The following per Unit data and ratios have been derived from information provided in the financial statements.
|
|
Class A |
|
Class C |
|
Class D |
|
Class I |
|
Class DS |
|
Class DT |
|
Class M |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net asset value, beginning of period |
|
$ |
1.1143 |
|
$ |
1.0114 |
|
$ |
0.9409 |
|
$ |
1.1254 |
|
$ |
1.4415 |
|
$ |
1.5651 |
|
$ |
0.9347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net realized and net change in unrealized trading profit (loss) |
|
0.1767 |
|
0.1594 |
|
0.1506 |
|
0.1789 |
|
0.2308 |
|
0.2515 |
|
0.1496 |
| |||||||
Brokerage commissions |
|
(0.0067 |
) |
(0.0061 |
) |
(0.0057 |
) |
(0.0068 |
) |
(0.0087 |
) |
(0.0095 |
) |
(0.0056 |
) | |||||||
Interest income, net |
|
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0001 |
) |
(0.0001 |
) |
(0.0000 |
) | |||||||
Expenses |
|
(0.0326 |
) |
(0.0371 |
) |
(0.0169 |
) |
(0.0295 |
) |
(0.0260 |
) |
(0.0218 |
) |
(0.0169 |
) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net asset value, end of period |
|
$ |
1.2517 |
|
$ |
1.1276 |
|
$ |
1.0689 |
|
$ |
1.2680 |
|
$ |
1.6375 |
|
$ |
1.7852 |
|
$ |
1.0618 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total Return: (a) (c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Total return before Performance fees |
|
12.45 |
% |
11.61 |
% |
13.72 |
% |
12.79 |
% |
13.72 |
% |
14.20 |
% |
13.72 |
% | |||||||
Performance fees |
|
-0.12 |
% |
-0.12 |
% |
-0.12 |
% |
-0.12 |
% |
-0.12 |
% |
-0.12 |
% |
-0.12 |
% | |||||||
Total return after Performance fees |
|
12.33 |
% |
11.49 |
% |
13.60 |
% |
12.67 |
% |
13.60 |
% |
14.08 |
% |
13.60 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Ratios to Average Members Capital: (c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Expenses (excluding Performance fees) (b) |
|
2.80 |
% |
3.55 |
% |
1.67 |
% |
2.50 |
% |
1.67 |
% |
1.25 |
% |
1.67 |
% | |||||||
Performance fees |
|
0.11 |
% |
0.11 |
% |
0.11 |
% |
0.11 |
% |
0.11 |
% |
0.12 |
% |
0.11 |
% | |||||||
Expenses (including Performance fees) |
|
2.91 |
% |
3.66 |
% |
1.78 |
% |
2.61 |
% |
1.78 |
% |
1.37 |
% |
1.78 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
Net investment income (loss) (excluding Performance fees) |
|
-2.80 |
% |
-3.56 |
% |
-1.67 |
% |
-2.50 |
% |
-1.67 |
% |
-1.25 |
% |
-1.67 |
% | |||||||
Performance fees |
|
-0.11 |
% |
-0.11 |
% |
-0.11 |
% |
-0.11 |
% |
-0.11 |
% |
-0.12 |
% |
-0.11 |
% | |||||||
Net investment income (loss) (including Performance fees) |
|
-2.91 |
% |
-3.67 |
% |
-1.78 |
% |
-2.61 |
% |
-1.78 |
% |
-1.37 |
% |
-1.78 |
% |
(a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members return may vary from these returns based on timing of capital transactions.
(b) The expense ratios do not include brokerage commissions.
(c) The ratios and total return are not annualized.
See notes to financial statements.
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC
(A Delaware Limited Liability Company)
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. ORGANIZATION
ML Transtrend DTP Enhanced FuturesAccess LLC (the Fund), a FuturesAccessSM Program (FuturesAccess) fund, which is an investment company as defined by Accounting Standards Codification (ASC) guidance, was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced trading activities on April 2, 2007. The Fund engages in the speculative trading of futures contracts on a wide range of commodities. Transtrend B.V. (Trading Advisor) is the trading advisor of the Fund. The Trading Advisor trades the Transtrend Program - Enhanced Risk Profile (USD) (the Trading Program) for the Fund.
Merrill Lynch Alternative Investments LLC (MLAI, the Sponsor or the Managing Member) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as BofA Corp.. Merrill Lynch, Pierce, Fenner & Smith Incorporated (MLPF&S) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (MLI) is the primary foreign exchange (F/X) forward prime broker for the Fund. The Sponsor may select other of its affiliates, or third parties, as F/X or other over-the-counter (OTC) prime brokers. MLPF&S and MLI are BofA Corp. affiliates.
FuturesAccess is a group of managed futures funds sponsored by MLAI (FuturesAccess Funds). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BofA Corp. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor and a single fund of funds no longer offered to investors for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.
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, BofA Corp. or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.
The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of September 30, 2015 the Fund holds cash equivalents. Cash was held at a nationally recognized financial institution.
In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of September 30, 2015 and December 31, 2014 and the results of its operations for the three and nine month periods ended September 30, 2015 and 2014. However, the operating results for the interim periods may not be indicative of the results for the full year.
Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of
America (U.S. GAAP) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Funds report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2014.
Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.
2. CONDENSED SCHEDULES OF INVESTMENTS
The Funds investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of September 30, 2015 and December 31, 2014, are as follows:
September 30, 2015
|
|
Long Positions |
|
Short Positions |
|
Net Unrealized |
|
|
|
|
| |||||||||||
Commodity Industry |
|
Number of |
|
Unrealized |
|
Percent of |
|
Number of |
|
Unrealized |
|
Percent of |
|
Profit (Loss) |
|
Percent of |
|
|
| |||
Sector |
|
Contracts |
|
Profit (Loss) |
|
Members Capital |
|
Contracts |
|
Profit (Loss) |
|
Members Capital |
|
on Open Positions |
|
Members Capital |
|
Maturity Dates |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Agriculture |
|
53 |
|
$ |
(39,650 |
) |
-0.10 |
% |
(638 |
) |
$ |
147,018 |
|
0.38 |
% |
$ |
107,368 |
|
0.28 |
% |
October 2015 - March 2017 |
|
Currencies |
|
195 |
|
(84,707 |
) |
-0.22 |
% |
(194 |
) |
9,442 |
|
0.02 |
% |
(75,265 |
) |
-0.20 |
% |
October 2015 - December 2015 |
| |||
Energy |
|
30 |
|
5,192 |
|
0.01 |
% |
(416 |
) |
954,840 |
|
2.46 |
% |
960,032 |
|
2.47 |
% |
October 2015 - December 2016 |
| |||
Interest rates |
|
1,683 |
|
940,827 |
|
2.43 |
% |
(522 |
) |
(24,503 |
) |
-0.06 |
% |
916,324 |
|
2.37 |
% |
December 2015 - September 2019 |
| |||
Metals |
|
95 |
|
(90,931 |
) |
-0.23 |
% |
(202 |
) |
412,981 |
|
1.07 |
% |
322,050 |
|
0.84 |
% |
October 2015 - June 2016 |
| |||
Stock indices |
|
33 |
|
(27,971 |
) |
-0.07 |
% |
(142 |
) |
35,001 |
|
0.09 |
% |
7,030 |
|
0.02 |
% |
October 2015 - January 2016 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total |
|
|
|
$ |
702,760 |
|
1.82 |
% |
|
|
$ |
1,534,779 |
|
3.96 |
% |
$ |
2,237,539 |
|
5.78 |
% |
|
|
December 31, 2014
|
|
Long Positions |
|
Short Positions |
|
Net Unrealized |
|
|
|
|
| |||||||||||
Commodity Industry |
|
Number of |
|
Unrealized |
|
Percent of |
|
Number of |
|
Unrealized |
|
Percent of |
|
Profit (Loss) |
|
Percent of |
|
|
| |||
Sector |
|
Contracts |
|
Profit (Loss) |
|
Members Capital |
|
Contracts |
|
Profit (Loss) |
|
Members Capital |
|
on Open Positions |
|
Members Capital |
|
Maturity Dates |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Agriculture |
|
240 |
|
$ |
(109,289 |
) |
-0.15 |
% |
(781 |
) |
$ |
914,930 |
|
1.25 |
% |
$ |
805,641 |
|
1.10 |
% |
January 2015 - March 2016 |
|
Currencies |
|
263 |
|
(67,357 |
) |
-0.09 |
% |
(394 |
) |
81,614 |
|
0.11 |
% |
14,257 |
|
0.02 |
% |
January 2015 - March 2015 |
| |||
Energy |
|
23 |
|
5,797 |
|
0.01 |
% |
(332 |
) |
2,501,921 |
|
3.43 |
% |
2,507,718 |
|
3.44 |
% |
January 2015 - December 2016 |
| |||
Interest rates |
|
2,795 |
|
2,761,045 |
|
3.78 |
% |
(780 |
) |
(59,807 |
) |
-0.08 |
% |
2,701,238 |
|
3.70 |
% |
March 2015 - December 2018 |
| |||
Metals |
|
218 |
|
(776,487 |
) |
-1.06 |
% |
(256 |
) |
641,852 |
|
0.88 |
% |
(134,635 |
) |
-0.18 |
% |
January 2015 - October 2015 |
| |||
Stock indices |
|
634 |
|
763,820 |
|
1.05 |
% |
(142 |
) |
(122,424 |
) |
-0.17 |
% |
641,396 |
|
0.88 |
% |
January 2015 - June 2015 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total |
|
|
|
$ |
2,577,529 |
|
3.54 |
% |
|
|
$ |
3,958,086 |
|
5.42 |
% |
$ |
6,535,615 |
|
8.96 |
% |
|
|
No individual contracts unrealized profit or loss comprised greater than 5% of Members Capital as of September 30, 2015 and December 31, 2014. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions of the open contracts, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.
3. FAIR VALUE OF INVESTMENTS
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). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations.
The fair value measurement guidance established by U.S. GAAP is 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. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.
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 and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investments level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAIs 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 is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.
Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values.
The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market.
Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts.
Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level during the three or nine month periods ended September 30, 2015 or the year ended December 31, 2014.
The Funds unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of September 30, 2015 and December 31, 2014, are as follows:
Net unrealized profit (loss) |
|
|
|
|
|
|
|
|
| ||||
on open contracts |
|
Total |
|
Level I |
|
Level II |
|
Level III |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Assets |
|
|
|
|
|
|
|
|
| ||||
Futures |
|
$ |
3,202,826 |
|
$ |
2,656,822 |
|
$ |
546,004 |
|
$ |
|
|
Forwards |
|
|
|
|
|
|
|
|
| ||||
|
|
$ |
3,202,826 |
|
$ |
2,656,822 |
|
$ |
546,004 |
|
$ |
|
|
|
|
|
|
|
|
|
|
|
| ||||
Liabilities |
|
|
|
|
|
|
|
|
| ||||
Futures |
|
$ |
965,287 |
|
$ |
801,622 |
|
$ |
163,665 |
|
$ |
|
|
Forwards |
|
|
|
|
|
|
|
|
| ||||
|
|
$ |
965,287 |
|
$ |
801,622 |
|
$ |
163,665 |
|
$ |
|
|
|
|
|
|
|
|
|
|
|
| ||||
September 30, 2015 |
|
$ |
2,237,539 |
|
$ |
1,855,200 |
|
$ |
382,339 |
|
$ |
|
|
Net unrealized profit (loss) |
|
|
|
|
|
|
|
|
| ||||
on open contracts |
|
Total |
|
Level I |
|
Level II |
|
Level III |
| ||||
|
|
|
|
|
|
|
|
|
| ||||
Assets |
|
|
|
|
|
|
|
|
| ||||
Futures |
|
$ |
8,204,592 |
|
$ |
7,556,022 |
|
$ |
648,570 |
|
$ |
|
|
Forwards |
|
|
|
|
|
|
|
|
| ||||
|
|
$ |
8,204,592 |
|
$ |
7,556,022 |
|
$ |
648,570 |
|
$ |
|
|
|
|
|
|
|
|
|
|
|
| ||||
Liabilities |
|
|
|
|
|
|
|
|
| ||||
Futures |
|
$ |
1,668,977 |
|
$ |
926,364 |
|
$ |
742,613 |
|
$ |
|
|
Forwards |
|
|
|
|
|
|
|
|
| ||||
|
|
$ |
1,668,977 |
|
$ |
926,364 |
|
$ |
742,613 |
|
$ |
|
|
|
|
|
|
|
|
|
|
|
| ||||
December 31, 2014 |
|
$ |
6,535,615 |
|
$ |
6,629,658 |
|
$ |
(94,043 |
) |
$ |
|
|
The Funds volume of trading forwards and futures as of the nine month period ended September 30, 2015 and year ended December 31, 2014 are representative of the activity throughout these periods.
The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of and the net profits and losses on derivative instruments are disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.
The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At September 30, 2015 and December 31, 2014, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with their counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts less the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Funds net exposure.
The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for each of the three and nine month periods ended September 30, 2015 and 2014:
|
|
For the three months ended |
|
For the nine months ended |
| ||
|
|
September 30, 2015 |
|
September 30, 2015 |
| ||
Commodity Industry Sector |
|
profit (loss) from trading, net |
|
profit (loss) from trading, net |
| ||
|
|
|
|
|
| ||
Agriculture |
|
$ |
250,918 |
|
$ |
(1,071,428 |
) |
Currencies |
|
(486,785 |
) |
(1,868,593 |
) | ||
Energy |
|
2,976,021 |
|
1,520,620 |
| ||
Interest rates |
|
798,356 |
|
(91,388 |
) | ||
Metals |
|
1,377,455 |
|
413,170 |
| ||
Stock indices |
|
(2,110,058 |
) |
1,680,733 |
| ||
|
|
|
|
|
| ||
Total, net |
|
$ |
2,805,907 |
|
$ |
583,114 |
|
|
|
For the three months ended |
|
For the nine months ended |
| ||
|
|
September 30, 2014 |
|
September 30, 2014 |
| ||
Commodity Industry Sector |
|
profit (loss) from trading, net |
|
profit (loss) from trading, net |
| ||
|
|
|
|
|
| ||
Agriculture |
|
$ |
3,533,169 |
|
$ |
5,260,906 |
|
Currencies |
|
126,255 |
|
(1,015,049 |
) | ||
Energy |
|
424,468 |
|
111,126 |
| ||
Interest rates |
|
2,317,022 |
|
7,206,992 |
| ||
Metals |
|
1,642,908 |
|
(339,264 |
) | ||
Stock indices |
|
(1,047,938 |
) |
(830,243 |
) | ||
|
|
|
|
|
| ||
Total, net |
|
$ |
6,995,884 |
|
$ |
10,394,468 |
|
The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BofA Corp. entities. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Funds capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to customer funds deposited with regulated dealers and brokers.
4. MARKET AND CREDIT RISKS
The nature of this Fund has certain risks, which cannot all be presented in 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 Funds unrealized
profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition. The Funds exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund 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 it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Trading Advisor, calculating the Net Asset Value of the Fund 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 Funds market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAIs basic risk control procedures will consist of the process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor.
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 (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. 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 traded contracts, and in the over-the-counter markets counterparties may also require margin.
The credit risk associated with these instruments from counterparty nonperformance is the unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition. MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Fund. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund.
The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker. Due to the relationship with MLPF&S, in the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S. Due to the relationship with MLI, in the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.
Indemnifications
In the normal course of business, the Fund has entered, or may in the future enter, into agreements that obligate the Fund to indemnify certain parties, including BofA Corp. affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Funds experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.
5. RELATED PARTY TRANSACTIONS
MLAI owns 88 Class D Units which represent less than 1% of the Funds Net Asset Value as of September 30, 2015.
MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the Transfer Agent), a wholly-owned subsidiary of BofA Corp. and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. During the quarter ended September 30, 2015, the rate ranged from 0.018% to 0.02%. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Fund, on a monthly basis based on each funds net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended September 30, 2015, and 2014 amounted to $4,348 and $3,447, respectively. The Transfer Agent fee allocated to the Fund for the nine month periods ended September 30, 2015 and 2014 amounted to $18,869 and $11,389, respectively, of which $5,166 and $2,467 was payable to the Transfer Agent as of September 30, 2015 and December 31, 2014, respectively.
Brokerage commissions, Interest, Management fees to MLAI and Sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with a related party.
6. RECENT ACCOUNTING PRONOUNCEMENTS
In May 2015, the Financial Accounting Standards Board (FASB) issued ASU 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. It also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. ASU 2015-07 will be effective for the Fund beginning in the first quarter of 2016, with early adoption permitted, and will be applied retrospectively. MLAI is currently evaluating the standard and does not believe it will have a material impact on the Funds financial statements.
7. SUBSEQUENT EVENTS
Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.
Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
MONTH-END NET ASSET VALUE PER UNIT
The Fund calculates the Net Asset Value per Unit of each Class of Units as of the last calendar day of each month, the fifteenth calendar day of each month and as of any other dates MLAI may determine in its discretion (each, a Calculation Date). The Funds Net Asset Value as of any Calculation Date generally equals the value of the Funds account under the management of the Trading Advisor as of that date, plus any other assets held by the Fund, minus accrued Sponsor, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.
MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund. Therefore, the charts below are referencing Net Asset Value at each Calculation Date.
MONTH-END NET ASSET VALUE PER UNIT CLASS A
|
|
Jan. |
|
Jan. |
|
Feb. |
|
Feb. |
|
Mar. |
|
Mar. |
|
Apr. |
|
Apr. |
|
May |
|
May |
|
Jun. |
|
Jun. |
|
Jul. |
|
Jul. |
|
Aug. |
|
Aug. |
|
Sep. |
|
Sep. |
|
2014 |
|
$ |
1.0685 |
|
$ |
1.0659 |
|
$ |
1.0489 |
|
$ |
1.0787 |
|
$ |
1.0540 |
|
$ |
1.0818 |
|
$ |
1.0862 |
|
$ |
1.1002 |
|
$ |
1.1069 |
|
$ |
1.1329 |
|
$ |
1.1560 |
|
$ |
1.1463 |
|
$ |
1.1457 |
|
$ |
1.1314 |
|
$ |
1.1518 |
|
$ |
1.1879 |
|
$ |
1.1955 |
|
$ |
1.2517 |
|
2015 |
|
$ |
1.3294 |
|
$ |
1.3685 |
|
$ |
1.3099 |
|
$ |
1.3479 |
|
$ |
1.3777 |
|
$ |
1.3748 |
|
$ |
1.4105 |
|
$ |
1.3255 |
|
$ |
1.2792 |
|
$ |
1.2774 |
|
$ |
1.2270 |
|
$ |
1.1700 |
|
$ |
1.2333 |
|
$ |
1.2847 |
|
$ |
1.2678 |
|
$ |
1.1755 |
|
$ |
1.2020 |
|
$ |
1.2422 |
|
MONTH-END NET ASSET VALUE PER UNIT CLASS C
|
|
Jan. |
|
Jan. |
|
Feb. |
|
Feb. |
|
Mar. |
|
Mar. |
|
Apr. |
|
Apr. |
|
May |
|
May |
|
Jun. |
|
Jun. |
|
Jul. |
|
Jul. |
|
Aug. |
|
Aug. |
|
Sep. |
|
Sep. |
|
2014 |
|
$ |
0.9694 |
|
$ |
0.9666 |
|
$ |
0.9508 |
|
$ |
0.9774 |
|
$ |
0.9546 |
|
$ |
0.9794 |
|
$ |
0.9830 |
|
$ |
0.9952 |
|
$ |
1.0008 |
|
$ |
1.0239 |
|
$ |
1.0444 |
|
$ |
1.0352 |
|
$ |
1.0342 |
|
$ |
1.0209 |
|
$ |
1.0389 |
|
$ |
1.0709 |
|
$ |
1.0774 |
|
$ |
1.1276 |
|
2015 |
|
$ |
1.1941 |
|
$ |
1.2286 |
|
$ |
1.1755 |
|
$ |
1.2091 |
|
$ |
1.2353 |
|
$ |
1.2323 |
|
$ |
1.2637 |
|
$ |
1.1871 |
|
$ |
1.1451 |
|
$ |
1.1431 |
|
$ |
1.0975 |
|
$ |
1.0461 |
|
$ |
1.1022 |
|
$ |
1.1476 |
|
$ |
1.1321 |
|
$ |
1.0492 |
|
$ |
1.0724 |
|
$ |
1.1077 |
|
MONTH-END NET ASSET VALUE PER UNIT CLASS D
|
|
Jan. |
|
Jan. |
|
Feb. |
|
Feb. |
|
Mar. |
|
Mar. |
|
Apr. |
|
Apr. |
|
May |
|
May |
|
Jun. |
|
Jun. |
|
Jul. |
|
Jul. |
|
Aug. |
|
Aug. |
|
Sep. |
|
Sep. |
|
2014 |
|
$ |
0.9028 |
|
$ |
0.9012 |
|
$ |
0.8873 |
|
$ |
0.9131 |
|
$ |
0.8928 |
|
$ |
0.9169 |
|
$ |
0.9212 |
|
$ |
0.9337 |
|
$ |
0.9398 |
|
$ |
0.9625 |
|
$ |
0.9828 |
|
$ |
0.9751 |
|
$ |
0.9753 |
|
$ |
0.9637 |
|
$ |
0.9817 |
|
$ |
1.0130 |
|
$ |
1.0202 |
|
$ |
1.0689 |
|
2015 |
|
$ |
1.1402 |
|
$ |
1.1744 |
|
$ |
1.1248 |
|
$ |
1.1582 |
|
$ |
1.1845 |
|
$ |
1.1828 |
|
$ |
1.2143 |
|
$ |
1.1418 |
|
$ |
1.1026 |
|
$ |
1.1018 |
|
$ |
1.0590 |
|
$ |
1.0104 |
|
$ |
1.0657 |
|
$ |
1.1108 |
|
$ |
1.0969 |
|
$ |
1.0177 |
|
$ |
1.0413 |
|
$ |
1.0767 |
|
MONTH-END NET ASSET VALUE PER UNIT CLASS I
|
|
Jan. |
|
Jan. |
|
Feb. |
|
Feb. |
|
Mar. |
|
Mar. |
|
Apr. |
|
Apr. |
|
May |
|
May |
|
Jun. |
|
Jun. |
|
Jul. |
|
Jul. |
|
Aug. |
|
Aug. |
|
Sep. |
|
Sep. |
|
2014 |
|
$ |
1.0793 |
|
$ |
1.0769 |
|
$ |
1.0599 |
|
$ |
1.0902 |
|
$ |
1.0654 |
|
$ |
1.0937 |
|
$ |
1.0983 |
|
$ |
1.1127 |
|
$ |
1.1195 |
|
$ |
1.1460 |
|
$ |
1.1696 |
|
$ |
1.1600 |
|
$ |
1.1596 |
|
$ |
1.1454 |
|
$ |
1.1662 |
|
$ |
1.2029 |
|
$ |
1.2108 |
|
$ |
1.2680 |
|
2015 |
|
$ |
1.3483 |
|
$ |
1.3880 |
|
$ |
1.3289 |
|
$ |
1.3677 |
|
$ |
1.3981 |
|
$ |
1.3954 |
|
$ |
1.4319 |
|
$ |
1.3459 |
|
$ |
1.2990 |
|
$ |
1.2974 |
|
$ |
1.2465 |
|
$ |
1.1888 |
|
$ |
1.2533 |
|
$ |
1.2983 |
|
$ |
1.2814 |
|
$ |
1.1878 |
|
$ |
1.2150 |
|
$ |
1.2559 |
|
MONTH-END NET ASSET VALUE PER UNIT CLASS DS
|
|
Jan. |
|
Jan. |
|
Feb. |
|
Feb. |
|
Mar. |
|
Mar. |
|
Apr. |
|
Apr. |
|
May |
|
May |
|
Jun. |
|
Jun. |
|
Jul. |
|
Jul. |
|
Aug. |
|
Aug. |
|
Sep. |
|
Sep. |
|
2014 |
|
$ |
1.3831 |
|
$ |
1.3806 |
|
$ |
1.3594 |
|
$ |
1.3989 |
|
$ |
1.3677 |
|
$ |
1.4047 |
|
$ |
1.4113 |
|
$ |
1.4304 |
|
$ |
1.4399 |
|
$ |
1.4746 |
|
$ |
1.5057 |
|
$ |
1.4939 |
|
$ |
1.4941 |
|
$ |
1.4765 |
|
$ |
1.5040 |
|
$ |
1.5520 |
|
$ |
1.5630 |
|
$ |
1.6375 |
|
2015 |
|
$ |
1.7468 |
|
$ |
1.7992 |
|
$ |
1.7232 |
|
$ |
1.7744 |
|
$ |
1.8147 |
|
$ |
1.8121 |
|
$ |
1.8603 |
|
NA |
|
NA |
|
NA |
|
NA |
|
NA |
|
NA |
|
NA |
|
NA |
|
NA |
|
NA |
|
NA |
|
MONTH-END NET ASSET VALUE PER UNIT CLASS DT
|
|
Jan. |
|
Jan. |
|
Feb. |
|
Feb. |
|
Mar. |
|
Mar. |
|
Apr. |
|
Apr. |
|
May |
|
May |
|
Jun. |
|
Jun. |
|
Jul. |
|
Jul. |
|
Aug. |
|
Aug. |
|
Sep. |
|
Sep. |
|
2014 |
|
$ |
1.5022 |
|
$ |
1.5002 |
|
$ |
1.4775 |
|
$ |
1.5207 |
|
$ |
1.4871 |
|
$ |
1.5276 |
|
$ |
1.5351 |
|
$ |
1.5562 |
|
$ |
1.5669 |
|
$ |
1.6051 |
|
$ |
1.6392 |
|
$ |
1.6267 |
|
$ |
1.6273 |
|
$ |
1.6084 |
|
$ |
1.6387 |
|
$ |
1.6914 |
|
$ |
1.7037 |
|
$ |
1.7852 |
|
2015 |
|
$ |
1.9067 |
|
$ |
1.9642 |
|
$ |
1.8817 |
|
$ |
1.9379 |
|
$ |
1.9822 |
|
$ |
1.9797 |
|
$ |
2.0327 |
|
$ |
1.9117 |
|
$ |
1.8465 |
|
$ |
1.8454 |
|
$ |
1.7741 |
|
$ |
1.6931 |
|
$ |
1.7862 |
|
$ |
1.8613 |
|
$ |
1.8385 |
|
$ |
1.7061 |
|
$ |
1.7498 |
|
$ |
1.8082 |
|
MONTH-END NET ASSET VALUE PER UNIT CLASS M
|
|
Jan. |
|
Jan. |
|
Feb. |
|
Feb. |
|
Mar. |
|
Mar. |
|
Apr. |
|
Apr. |
|
May |
|
May |
|
Jun. |
|
Jun. |
|
Jul. |
|
Jul. |
|
Aug. |
|
Aug. |
|
Sep. |
|
Sep. |
|
2014 |
|
$ |
0.8968 |
|
$ |
0.8952 |
|
$ |
0.8815 |
|
$ |
0.9071 |
|
$ |
0.8869 |
|
$ |
0.9108 |
|
$ |
0.9151 |
|
$ |
0.9275 |
|
$ |
0.9336 |
|
$ |
0.9562 |
|
$ |
0.9763 |
|
$ |
0.9687 |
|
$ |
0.9688 |
|
$ |
0.9574 |
|
$ |
0.9752 |
|
$ |
1.0064 |
|
$ |
1.0135 |
|
$ |
1.0618 |
|
2015 |
|
$ |
1.1327 |
|
$ |
1.1666 |
|
$ |
1.1174 |
|
$ |
1.1506 |
|
$ |
1.1767 |
|
$ |
1.1750 |
|
$ |
1.2063 |
|
$ |
1.1343 |
|
$ |
1.0953 |
|
$ |
1.0945 |
|
$ |
1.0520 |
|
$ |
1.0037 |
|
$ |
1.0587 |
|
$ |
1.1035 |
|
$ |
1.0905 |
|
$ |
1.0118 |
|
$ |
1.0352 |
|
$ |
1.0703 |
|
Liquidity and Capital Resources
The Fund borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Funds U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.
Substantially all of the Funds assets are held in cash with the brokers. Changes in interest rates could cause periods of strong up or down price trends, during which the Funds profit or loss potential might increase.
Inflation in commodity prices could also generate price movements, which the strategies might successfully follow. The Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.
There is no established public trading market for the Units. Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a Redemption Date), upon submitting a redemption request by the Subscription/Redemption Notice Date, which is eight business days prior to the 1st and 16th of every month. MLAI may eliminate investors mid-month redemption right at any time. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date.
As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the Fund has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, MLAI, as the manager of the Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.
For the nine month period ended September 30, 2015, Fund capital decreased 46.90% from $72,985,063 to $38,757,866. This decrease was attributable to the net loss from operations of $1,438,726 coupled with the redemption of 22,974,509 redeemable Units resulting in an outflow of $39,919,387. The cash outflow was offset with cash inflow of $7,130,916 due to subscriptions of 5,172,040 Units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.
Critical Accounting Policies
Statement of Cash Flows
The Fund is not required to provide a Statement of Cash Flows.
Investments
All investments (including derivatives) are held for trading purposes. Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included as a component of equity in commodity trading accounts on the Statements of Financial Condition. Realized profits or losses and any change in net unrealized profits or losses from the preceding period are reported in the Statements of Operations.
Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on the Funds treatment of fair value see Financial Statements Note 3, Fair Value of Investments.
Futures Contracts
The Fund trades exchange listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Funds Statements of Financial Condition. Contracts are priced daily by the Fund and the profit or loss is based on the daily mark to market and is recorded as unrealized profit (loss). When the contract is closed, the Fund records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker or directly with the exchange on which the contracts are traded, credit exposure is limited. Realized profit (loss), net and change in unrealized profit (loss), net on futures contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations. The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bids and asks from open outcry sessions.
Forward Foreign Currency Contracts
Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Funds net equity therein, representing unrealized profit or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized profit (loss), net and change in unrealized profit (loss) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.
Interest Rates and Income
BofA Corp.s Interest Earning Program, which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by the Sponsor with its affiliates. The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The current short term interest rates have remained extremely low when compared with historical rates and thus have contributed negligible amounts to overall Fund performance.
Income Taxes
Each member is individually responsible for reporting income or loss based on such members share of the Funds income and expenses as reported for income tax purposes.
The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds financial statements to determine whether the tax positions are more-likely-than-not to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Fund, including reducing the Net Asset Value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Funds tax positions and has concluded that a provision for income tax of $345,000, generated by trading in Spain, is required in the Funds financial statements. Such amount is included in Other Liabilities on the Statements of Financial Condition. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States 2012.
Reform Act
The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of eligible contract participant and the Fund expects to meet the amended definition as it applies to trading in retail forex transactions so long as its total assets exceed $10 million. If the Fund does not meet the definition of eligible contract participant for purposes of trading in retail forex transactions, it could lead to the Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. Retail forex markets available to parties that do not meet the definition of eligible contract participant could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions.
Results of Operations
January 1, 2015 to September 30, 2015
January 1, 2015 to March 31, 2015
The Fund experienced a net trading profit of $5,068,844 before brokerage commissions and related fees in the first quarter of 2015. The Funds profits were primarily attributable to the stock indices, interest rates, energy, currency and agriculture sectors. The metals sector posted losses.
The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Profits were posted to the Fund in the middle of the quarter due to the Funds long positions in European equity markets. Profits were posted to the Fund at the end of the quarter. Throughout March the Funds largest extreme risk concentration was long equity markets. The majority
of these equity longs were located in QE-economies: the Eurozone and Japan. These equities did well. The European equities also formed the backbone of one of the Funds largest trend concentrations: long ECB QE. Long positions in the Xinhua China A50 ultimately became the most profitable equity long.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Funds long positions in ECB-QE positions (short Euro and long European bond and equity markets), but also from long positions in bond markets elsewhere. The Fund shifted its long bonds positions from Europe to North America. Losses were posted to the Fund in the middle of the quarter due to the Funds long positions in U.S. bond markets. Profits were posted to the Fund at the end of the quarter due to the Funds long Eurozone bond positions as well as longs in continental European interest rate instruments. Also, the interest rate instruments in both U.S. and U.K. economies started to rise again. The Fund was able to profit from this movement by re-building long positions in these markets.
The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter from the Funds short positions in this sector. Throughout January, one of the largest trend risk concentrations of the Fund was short commodities, with short energy being its largest contributor. Despite a rally in oil markets at the end of January, the Fund scored well in this position, profiting from oil and oil products as well as from gas, electricity and coal. Losses were posted to the Fund in the middle of the quarter due to the Funds short positions in energy markets. Profits were posted to the Fund at the end of the quarter. The concerns over the Chinese growth were dominating, reflected by declining commodity markets. The Fund profited from these declines, mostly with its short positions in crude oil.
The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to the short positions in Japanese yen. In January the Swiss National Bank announced the abandonment of the cap on the Euro/Swiss franc exchange rate. As a result, the Fund lost on Swiss franc shorts versus the British pound and on long positions in Swiss equity markets. Profits were posted to the Fund in the middle of the quarter. The Trading Program ended February with a large net long position in the British pound versus a wide range of currencies. The profits on these positions compensated for the losses suffered earlier. It also helped the Fund score positively in the currency cluster, despite the losses on the longs in emerging market currencies. Also longs in the New Zealand dollar and shorts in the Swiss franc contributed to the profits. Profits were posted to the Fund at the end of the quarter due to the Funds short positions in the Euro and Brazilian real. The Russian ruble delivered the highest currency return on the long side.
The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to the Funds position in long cattle and short sugar. Down-turning cattle prices caused losses on long positions in the first half of January, only partially compensated for by profits on short positions in the last part of January. Losses were posted to the Fund in the middle of the quarter. Many commodity markets showed upward reactions in the first half of February, such as softs, grains and oilseeds. In some cases these reactions lasted long enough for the Fund to liquidate a large part of its shorts (soybeans) or even reverse to longs (cotton), leaving losses on these liquidated shorts, the largest ones in the soybean markets. Profits were posted to the Fund at the end of the quarter due to the Funds short positions in agricultural commodities like sugar, coffee and soybeans. The largest profits from the declining markets in Brazil came from sugar and coffee.
The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to the Funds short positions in silver. Losses were posted to the Fund in the middle of the
quarter due to the Funds liquidated short positions in copper. Losses were posted to the Fund at the end of the quarter due to the Funds short positions in silver.
April 1, 2015 to June 30, 2015
The Fund experienced a net trading loss of $7,291,637 before brokerage commissions and related fees in the second quarter of 2015. The Funds profits were primarily attributable to the stock indices sector. The metals, agriculture, currency, energy and interest rate sectors posted losses.
The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April, the largest profits came from long positions in Asian equity markets. Profits were posted to the Fund in the middle of the quarter from the Funds long equity positions in the Japanese-trend (long equity and short yen). Losses were posted to the Fund at the end of the quarter. Greece not coming to an agreement with the ECB and the IMF in the last weekend of June resulted in an almost global risk-off move, hurting the Fund primarily in its long equity Japanese QE-positions and its longs in North American equity markets.
The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. Losses were posted to the Fund in the middle of the quarter. Short precious metals were one of the Funds largest commodity short positions. Meanwhile, the Fund had built up long positions in base metals such as copper. When the silver market rallied, the base metals did not join. And when silver started to retreat somewhat after its rise, the base metals started to decline. Due to the resulting losses on shorts in silver and gold, and on longs in copper and zinc, the metal markets were the worst performing cluster in May. Profits were posted to the Fund at the end of the quarter due to the Funds short positions in metal markets.
The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In April, the Fund lost on its shorts in especially sugar. Profits were posted to the Fund in the middle of the quarter. Divergence seemed to be the theme in Mays commodity markets. In the agricultural markets, the Fund profited from this. The Fund did well in downtrends in sugar and coffee, but also in an uptrend in cocoa. In cattle the Fund profited from being long. Losses were posted to the Fund at the end of the quarter due to the Funds short positions in grains and oilseeds.
The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In April short Euro was a losing currency position. Losses were posted to the Fund in the middle of the quarter. In the short Euro component the Fund closed out part of its losing positions, but short Euro remained the Funds largest currency position, which ended May with a loss. The largest losses on the long side came from the New Zealand dollar. Other losing longs were the currencies of Australia, Brazil, South Africa, Poland and Canada versus the Euro. Furthermore, in the second half of May, these currencies started to decline versus the U.S. dollar as well. Losses were posted to the Fund at the end of the quarter due to the Funds short positions in the Euro and Japanese yen.
The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In April, energy shorts brought the largest losses. Shorts in U.S. natural gas contributed to the energy losses due to a strong price rise in reaction to the release of inventory numbers. Losses were posted to the Fund in the middle of the quarter. In the energy markets, the Fund had diverging positions: a large concentration of shorts in gas and electricity markets, while slowly building up longs in crude oil & distillates. Also, the rising U.S. gas price was not accompanied by rising oil prices. The Fund responded on the further rise by closing out most of its losing shorts. Losses posted to the Fund at the end
of the quarter came from the Funds short positions on gas resulting in losses in the U.S. as well as in Europe.
The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the Funds long positions in U.S. interest rate markets. Losses were posted to the Fund in the middle of the quarter as the largest losses came from long positions in bond markets. Losses were posted to the Fund at the end of the quarter due to the Funds long position in Eurozone equity markets.
July 1, 2015 to September 30, 2015
The Fund experienced a net trading profit of $2,805,907 before brokerage commissions and related fees in the third quarter of 2015. The Funds profits were primarily attributable to the energy, metals, interest rate and agriculture sectors. The currency and stock indices sectors posted losses.
The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the third quarter due to the Funds short positions in oil markets. A significant part of these profits came from trading synthetics, including hybrids. Losses were posted to the Fund in the middle of the quarter. The Fund lost the profits made on oil shorts earlier in August. Profits were posted to the Fund at the end of the quarter due to the Funds short positions in various energy markets. Due to a steady decline throughout September of the European gas, coal and power markets, shorts in these markets added to the profits on short positions in other energy products.
The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the third quarter due to the Funds short positions in metals. Losses were posted to the Fund in the middle of the quarter. The largest losses came from short positions in gold. In August, declines in global stock markets were accompanied by rising (once again safe haven) gold prices, resulting in losses on the Funds short positions. Losses were posted to the Fund at the end of the quarter due to the Funds short positions in gold and silver.
The interest rate sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the third quarter due to the Funds short positions in bonds. Losses were posted to the Fund in the middle of the quarter as the largest losses came from long positions in European bond markets. Profits were posted to the Fund at the end of the quarter due to the Funds long positions in global interest rate instruments. In the U.S., the decision of the Federal Open Market Committee to not raise the interest rate contributed to further rising U.S. bond markets, also affecting bond markets outside of the U.S., adding to profits on the long positions in these markets.
The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the third quarter due to the Funds short positions in corn, coffee, sugar and cattle. Profits were posted to the Fund in the middle of the quarter due to the Funds short position in grains and sugar. Losses were posted to the Fund at the end of the quarter due to the Funds short positions in grains and sugar. Also, U.S. crop reports in September triggered rising prices of wheat and corn, resulting in losses on the shorts in these markets.
The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the third quarter. In July, with concerns about decline in the Chinese stock markets, a global risk-off move unfolded, and the U.S. dollar resulted in profits on the Funds long positions in this currency. Losses were posted to the Fund in the middle of the quarter. The largest losses came from long positions in
Asian currencies. The Chinese ailing growth trend entered into a new chapter in August when the Peoples Bank of China effectively devaluated the renminbi. The immediate impact of this step was negative for the Funds currency positions. The Trading Program had just built up sizeable Chinese renminbi longs versus the U.S. dollar and a large part of the Euro shorts were versus longs in Asian currencies, for instance the Indian rupee and the Indonesian rupiah; as these currencies declined with the fall of the Chinese renminbi, the Fund lost on these Euro shorts too. The main part of the Funds losses in the currency markets in August was in connection with the Chinese renminbi devaluation. Profits were posted to the Fund at the end of the quarter due to the Funds short positions in the Brazilian real.
The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the third quarter due to the Funds long and short positions in the U.S. equity markets. The Fund had long positions in U.S. equities concentrated around sectors that demonstrated to be less sensitive to China and/or commodities. These positions were profitable. Losses were posted to the Fund in the middle of the quarter. The largest losses came from long positions in U.S., European and Japanese equity markets. In September the stock markets generally came down, resulting in losses for the Fund. Losses were posted to the Fund at the end of the quarter.
January 1, 2014 to September 30, 2014
January 1, 2014 to March 31, 2014
The Fund experienced a net trading loss of $1,667,263 before brokerage commissions and related fees in the first quarter of 2014. The Funds profits were primarily attributable to the interest rates and agriculture sectors posting profits. The metals, energy, stock indices and currency sectors posted losses.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Funds long positions in this sector. Profits were posted to the Fund in the middle through the end of the quarter due to the Funds long bonds positions.
The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the rising prices of milk and oats. Profits were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter due to the Funds long positions in some agricultural markets (especially soy markets). In March a drought in Brazil caused uptrends in soybeans and coffee.
The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to the Funds short positions in gold. Losses were posted to the Fund in the middle of the quarter due to the Funds short positions in silver. Profits were posted to the Fund at the end of the quarter due to the Funds short positions in copper and silver.
The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter from the Funds long positions in oil markets only to be reversed in the middle of the quarter. Profits were posted to the Fund in the middle of the quarter from the Funds long positions in gas and oil. Losses posted to the Fund at the end of the quarter came from long positions in the oil markets.
The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. In January the losses came from long positions in Japanese, American and European equities. Profits were posted to the Fund in the middle of the quarter from the Funds long positions in stocks only to be reversed at the end of the quarter with losses posted to the Fund.
The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The Fund, as intended, participated significantly in the weak Japanese yen and the rising Eastern European currencies, but remained too cautious on the risk-off side with regard to short positions in the currencies of the emerging economies and some other commodity-rich countries. Especially in the South African rand and the Canadian dollar, the Fund did not take advantage of the apparent potential for gains to the fullest extent. This was reflected by losses in the currency sector. Losses were posted to the Fund in the middle of the quarter only to be reversed at the end of the quarter. The largest profits in March came from the Funds long positions in emerging market currencies (especially the Indian rupee and the Brazilian real).
April 1, 2014 to June 30, 2014
The Fund experienced a net trading profit of $5,065,847 before brokerage commissions and related fees in the second quarter of 2014. The Funds profits were primarily attributable to the interest rates, stock indices, energy, currencies and agriculture sectors posting profits. The metals sector posted losses.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Funds exposure in the European interest rate markets. Profits were posted to the Fund in the middle of the quarter due to the Funds high trendpot number, which indicated a favorable trend in the interest rate market. Profits were posted to the Fund at the end of the quarter due to the European bond markets rising.
The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the Funds exposure in long equities. In April despite the unrest in Ukraine, the Fund expanded its already large risk concentration of risk-on positions. At the beginning of April, the largest components of this concentration were long stocks, long emerging markets and long commodities. During early April the Fund added long Japanese QE (long Japanese stocks and short Japanese yen). The Fund suffered losses in mid-April as most equity long positions turned losing. In the U.S. this reaction was mainly led by weakness in the technology sector. The Fund lost most on European longs in stock markets that were impacted by concerns over Ukraine. Profits were posted to the Fund in the middle of the quarter from the Funds long positions in the Indian stock index. The stock markets in other emerging countries were generally strong as well, resulting most significantly in profits in Taiwan. In the developed markets the Fund profited from rising stock markets across most sectors, and in particular from the associated decline of the corresponding volatility index futures. Profits posted to the Fund at the end of the quarter came from strong equity markets in Japan and Taiwan as well as the stock markets, resulting in accumulating profits on the long side in the U.S.
The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April the Fund held its largest long positions in the energy markets. Losses were posted to the Fund in the middle of the quarter from the Funds long positions in gas and oil. In May the profits on the long oil positions could not fully compensate for the losses on the long gas positions. Profits posted to the Fund at the end of the quarter came from the Funds long positions in the oil markets. In June oil prices rallied to continue trading at higher levels.
The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In April the largest losses in the currency markets were from short Japanese yen. Profits were posted to the Fund in the middle of the quarter. In May the Fund profited from the strength of the currencies of India, Mexico, Turkey, Australia, South Korea, Poland, Russia and Norway. The long
positions in these currencies turned out to be most profitable when traded against the Euro. Losses were posted to the Fund at the end of the quarter due to the Funds long positions in the Turkish lira. In Hungary newly proposed laws for banks that impacted the currency, resulting in losses for the Fund.
The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to a large extent from soybeans, and also from cotton and cattle. Losses were posted to the Fund in the middle of the quarter due to corn, wheat, cotton and coffee markets turning downwards. Losses were posted to the Fund at the end of the quarter due to the severe drought in Brazil. In June, the Fund gave back some of the earlier gains in the existing positions in the soy markets. In sugar, the Fund turned to short positions in the first week of June; this turned out to be too fast, as these markets, shortly turned higher.
The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to nickel responding bullish on the developments around Ukraine as well as on an export ban in Indonesia, while other metal markets like copper reacted to different market factors. The Fund kept its large short silver positions throughout April, which position proved to offer a nice smoothing counterbalance to the large risk-on concentration, and posted some profits. Profits were posted to the Fund in the middle of the quarter due to the Funds short positions in silver. Losses were posted to the Fund at the end of the quarter due to the Funds short positions in gold and silver. Gold and silver rose too strongly, resulting in losses on the sizeable short positions in these metals.
July 1, 2014 to September 30, 2014
The Fund experienced a net trading profit of $6,995,884 before brokerage commissions and related fees in the third quarter of 2014. The Funds profits were primarily attributable to the agriculture, interest rates, metals, energy and currency sectors posting profits. The stock indices sector posted losses.
The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the Trading Programs short positions in grain markets. Excellent crop-development weather in July produced strong harvests in many crops, superseding their expected demand. As a result the Fund profited well from the resulting downtrends in corn, cotton and sugar. Profits were posted to the Fund in the middle of the quarter as short sugar was the most profitable position. The Trading Program continued to add to its short commodities concentration, adding sizeable shorts grains and sugar which ultimately added to the positive performance, the largest gains coming from oilseeds and sugar. Profits were posted to the Fund at the end of the quarter. The largest gains came from shorts in sugar, grains, oilseeds and rubber.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the Trading Programs long positions in European bonds. Profits were posted to the Fund in the middle of the quarter. The largest profits came from long positions in British interest rate instruments and continental European bond markets, which rose higher. Losses were posted to the Fund at the end of the quarter due to the Trading Programs long positions in U.S., U.K. and Australia bond markets.
The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Profits were posted to the Fund in the middle of the quarter as sizable add-on in silver contributed to the positive performance. Profits were posted to the Fund at the end of the quarter. The largest gains came from shorts in gold and silver.
The energy sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter from the Trading Programs long positions in oil and oil products such as gasoline. Losses were posted to the Fund in the middle of the quarter. The Trading Program lost on its retained longs in crude oil. Short commodity positions in natural gas added to the losses. Profits were posted to the Fund at the end of the quarter. The largest gains came from shorts in crude and gasoil.
The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter in connection with European banks getting hit by new rules imposed by Hungarian and Romanian regulators. This resulted in losses in the Romanian currency. Losses also came from long positions in Latin American currencies. Profits were posted to the Fund in the middle of the quarter due to the Trading Programs long positions in emerging market currencies. The Trading Program profited from its longs in the currencies of South Africa, Australia, Brazil and Mexico, and also managed to score positively in the currencies of South Korea, Malaysia, India and Turkey. The biggest winner on the short side of these currency trades was the euro. The (expected) policy of the European Central Bank for more aggressive quantitative easing seems to have contributed to the weakness of the euro. Losses were posted to the Fund at the end of the quarter due to the Trading Programs long position in the Australian, the Brazilian and the South African currencies.
The stock indices posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The biggest losses came from the Trading Programs long positions in European equities, Latin American stocks and the U.S. stock market, including short volatility positions. Losses were posted to the Fund in the middle and end of the quarter. The Trading Program suffered its largest losses in August and September on long positions in equity markets and related risk-on positions.
(The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.)
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Introduction
The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Funds assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Funds main line of business.
Market movements result in frequent changes in the fair market value of the Funds open positions and, consequently, in its earnings and cash flow. The Funds market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Funds open positions and the liquidity of the markets in which it trades.
The Fund, under the direction of the Trading Advisor, rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Funds past performance is not necessarily indicative of its future results.
Value at Risk (VaR) is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Funds speculative
trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR or the Funds 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 quantifications included in this section should not be considered to constitute any assurance or representation that the Funds losses in any market sector will be limited to VaR or by the Funds attempts to manage its market risk.
Quantifying The Funds Trading Value At Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Funds 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 (Securities Act) and Section 21E of the Securities Exchange Act of 1934 (Securities Exchange Act)). 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 Funds risk exposure in the various market sectors traded by the Trading Advisor is quantified below in terms of VaR. Due to the Funds fair value accounting, any loss in the fair value of the Funds open positions is directly reflected in the Funds earnings (realized or unrealized) and cash flow (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 Fund as the measure of its VaR. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) 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 the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Fund), the margin requirements for the equivalent futures positions have been used as VaR. In those rare cases in which a futures-equivalent margin is not available, dealers margins have been used.
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 been aggregated to determine each trading categorys aggregate VaR. The diversification effects resulting from the fact that the Funds positions are rarely, if ever, 100% positively correlated have not been reflected.
The Funds Trading Value at Risk in Different Market Sectors
The following table indicates the average, highest and lowest trading VaR associated with the Funds
open positions by market category for the fiscal period. For the nine month periods ended September 30, 2015 and 2014 the Funds average capitalization was $53,518,497 and $74,035,293, respectively.
September 30, 2015
|
|
Average Value |
|
% of Average |
|
Highest Value |
|
Lowest Value |
| |||
Market Sector |
|
at Risk |
|
Capitalization |
|
at Risk |
|
at Risk |
| |||
|
|
|
|
|
|
|
|
|
| |||
Agricultural Commodities |
|
$ |
2,896,309 |
|
5.41 |
% |
$ |
5,359,321 |
|
$ |
962,601 |
|
Currencies |
|
370,949 |
|
0.69 |
% |
467,713 |
|
328,594 |
| |||
Energy |
|
1,103,451 |
|
2.06 |
% |
2,692,054 |
|
397,868 |
| |||
Interest Rates |
|
2,197,580 |
|
4.11 |
% |
4,286,079 |
|
1,104,541 |
| |||
Metals |
|
238,572 |
|
0.45 |
% |
568,582 |
|
70,442 |
| |||
Stock Indices |
|
1,172,417 |
|
2.19 |
% |
1,950,685 |
|
490,608 |
| |||
|
|
|
|
|
|
|
|
|
| |||
Total |
|
$ |
7,979,278 |
|
14.91 |
% |
$ |
15,324,434 |
|
$ |
3,354,654 |
|
September 30, 2014
|
|
Average Value |
|
% of Average |
|
Highest Value |
|
Lowest Value |
| |||
Market Sector |
|
at Risk |
|
Capitalization |
|
at Risk |
|
at Risk |
| |||
|
|
|
|
|
|
|
|
|
| |||
Agricultural Commodities |
|
$ |
723,863 |
|
0.56 |
% |
$ |
1,925,898 |
|
$ |
252,136 |
|
Currencies |
|
553,440 |
|
0.42 |
% |
1,585,395 |
|
27,755 |
| |||
Energy |
|
419,045 |
|
0.32 |
% |
626,912 |
|
235,840 |
| |||
Interest Rates |
|
8,108,166 |
|
6.23 |
% |
15,029,039 |
|
2,710,788 |
| |||
Metals |
|
4,328,044 |
|
3.32 |
% |
9,326,488 |
|
1,619,922 |
| |||
Stock Indices |
|
701,234 |
|
0.54 |
% |
1,126,132 |
|
239,128 |
| |||
|
|
|
|
|
|
|
|
|
| |||
Total |
|
$ |
14,833,792 |
|
11.39 |
% |
$ |
29,619,864 |
|
$ |
5,085,569 |
|
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Funds open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions unusual, but historically recurring from time to time could cause the Fund to incur severe losses over a short period of time. The foregoing VaR table as well as the past performance of the Fund gives no indication of this risk of ruin.
Non-Trading Risk
Foreign Currency Balances; Cash on Deposit with MLPF&S and MLI
The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.
The Fund also has non-trading market risk on approximately 90% of its assets which are held in cash at MLPF&S. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Funds market risk exposures except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Funds primary market risk exposures as well as the strategies used and to be used by MLAI and the Trading Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Funds risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Funds current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.
The following were the primary trading risk exposures of the Fund as of December 31, 2014, by market sector. There have been no material changes at September 30, 2015.
Interest Rates
Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Funds profitability. The Funds primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund may also take positions in the government debt of smaller nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.
Currencies
The Fund trades in a number of currencies. However, the Funds major exposures have typically been in the Japanese yen/U.S. dollar, New Zealand dollar/Japanese yen and Swiss franc/Japanese yen positions. The Fund does not anticipate that the risk profile of the Funds currency sector will change significantly in the future. The currency trading VaR figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining VaR in a functional currency other than U.S. dollars.
Stock Indices
The Funds primary equity exposure is to S&P 500, Nikkei and German DAX equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.
Metals
The Funds metals market exposure is to fluctuations in the price of precious and non-precious metals.
Agricultural Commodities
The Funds primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, corn, and livestock accounted for the substantial bulk of the Funds agricultural commodities exposure.
Energy
The Funds primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the primary non-trading risk exposures of the Fund as of December 31, 2014. There have been no material changes at September 30, 2015.
Foreign Currency Balances
The Funds primary foreign currency balances are in British pounds, Japanese yen and Euros.
U.S. Dollar Cash Balance
The Fund holds the vast majority of its U.S. dollars in cash at MLPF&S and MLI. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
Trading Risk
MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not itself intervene in the markets to hedge or diversify the Funds market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically. MLAIs basic control procedures consist of the process of monitoring the Trading Advisor with the market risk controls being applied by the Trading Advisor itself.
Risk Management
Risk management plays a role in the Trading Program. The Trading Program is designed to pursue capital growth within the limits of a defined risk tolerance. Specific risk provisions are computed for each market exposure. The risk provisions are designed to have a pre-defined reliability. Risk assessments are determined on the basis of a regular or continuous evaluation of daily price behavior, possibly leading to regular adjustments during the lifetime of exposures.
Non-Trading Risk
The Fund controls the non-trading exchange rate risk by regularly converting foreign currency balances back into U.S. dollars at least once per week, and more frequently if a particular foreign currency balance becomes unusually high.
The Fund has cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its cash held on deposit at MLPF&S.
Item 4. Controls and Procedures
Disclosure Controls and Procedures
MLAIs Chief Executive Officer and Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of the end of the quarter which ended September 30, 2015, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.
Changes in Internal Control over Financial Reporting
No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended September 30, 2015 that has materially affected, or is reasonably likely to materially affect, the Funds internal control over financial reporting.
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 the Funds report on Form 10-K for the year ended December 31, 2014, filed with the Securities and Exchange Commission on March 20, 2015.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
(a) Units are privately offered and sold to accredited investors (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units is MLPF&S.
The Funds sales of unregistered securities are as follows for each Class of Units:
CLASS A
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
1/01/2015 |
|
$ |
|
|
|
|
$ |
1.3175 |
|
1/16/2015 |
|
|
|
|
|
1.3294 |
| ||
2/1/2015 |
|
|
|
|
|
1.3685 |
| ||
2/16/2015 |
|
|
|
|
|
1.3099 |
| ||
3/01/2015 |
|
|
|
|
|
1.3479 |
| ||
3/16/2015 |
|
|
|
|
|
1.3777 |
| ||
4/01/2015 |
|
24,688 |
|
17,957 |
|
1.3748 |
| ||
4/16/2015 |
|
15,600 |
|
11,060 |
|
1.4105 |
| ||
5/01/2015 |
|
|
|
|
|
1.3255 |
| ||
5/16/2015 |
|
|
|
|
|
1.2792 |
| ||
6/01/2015 |
|
|
|
|
|
1.2774 |
| ||
6/16/2015 |
|
|
|
|
|
1.2270 |
| ||
7/01/2015 |
|
|
|
|
|
1.1700 |
| ||
7/16/2015 |
|
|
|
|
|
1.2333 |
| ||
8/01/2015 |
|
|
|
|
|
1.2847 |
| ||
8/16/2015 |
|
|
|
|
|
1.2678 |
| ||
9/01/2015 |
|
|
|
|
|
1.1755 |
| ||
9/16/2015 |
|
74,100 |
|
61,058 |
|
1.2020 |
| ||
10/01/2015 |
|
|
|
|
|
1.2422 |
| ||
CLASS C
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
1/01/2015 |
|
$ |
65,000 |
|
54,903 |
|
$ |
1.1839 |
|
1/16/2015 |
|
|
|
|
|
1.1941 |
| ||
2/1/2015 |
|
|
|
|
|
1.2286 |
| ||
2/16/2015 |
|
10,000 |
|
8,507 |
|
1.1755 |
| ||
3/01/2015 |
|
|
|
|
|
1.2091 |
| ||
3/16/2015 |
|
25,000 |
|
20,238 |
|
1.2353 |
| ||
4/01/2015 |
|
117,000 |
|
94,944 |
|
1.2323 |
| ||
4/16/2015 |
|
|
|
|
|
1.2637 |
| ||
5/01/2015 |
|
8,000 |
|
6,739 |
|
1.1871 |
| ||
5/16/2015 |
|
33,000 |
|
28,818 |
|
1.1451 |
| ||
6/01/2015 |
|
5,000 |
|
4,374 |
|
1.1431 |
| ||
6/16/2015 |
|
31,000 |
|
28,247 |
|
1.0975 |
| ||
7/01/2015 |
|
|
|
|
|
1.0461 |
| ||
7/16/2015 |
|
|
|
|
|
1.1022 |
| ||
8/01/2015 |
|
10,000 |
|
8,636 |
|
1.1476 |
| ||
8/16/2015 |
|
20,000 |
|
17,508 |
|
1.1321 |
| ||
9/01/2015 |
|
|
|
|
|
1.0492 |
| ||
9/16/2015 |
|
|
|
|
|
1.0724 |
| ||
10/01/2015 |
|
10,000 |
|
8,945 |
|
1.1077 |
| ||
CLASS D
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
1/01/2015 |
|
$ |
|
|
|
|
$ |
1.1293 |
|
1/16/2015 |
|
|
|
|
|
1.1402 |
| ||
2/1/2015 |
|
1,000,000 |
|
851,499 |
|
1.1744 |
| ||
2/16/2015 |
|
|
|
|
|
1.1248 |
| ||
3/01/2015 |
|
|
|
|
|
1.1582 |
| ||
3/16/2015 |
|
|
|
|
|
1.1845 |
| ||
4/01/2015 |
|
|
|
|
|
1.1828 |
| ||
4/16/2015 |
|
200,000 |
|
164,704 |
|
1.2143 |
| ||
5/01/2015 |
|
100 |
|
87 |
|
1.1418 |
| ||
5/16/2015 |
|
|
|
|
|
1.1026 |
| ||
6/01/2015 |
|
|
|
|
|
1.1018 |
| ||
6/16/2015 |
|
|
|
|
|
1.0590 |
| ||
7/01/2015 |
|
|
|
|
|
1.0104 |
| ||
7/16/2015 |
|
|
|
|
|
1.0657 |
| ||
8/01/2015 |
|
|
|
|
|
1.1108 |
| ||
8/16/2015 |
|
|
|
|
|
1.0969 |
| ||
9/01/2015 |
|
|
|
|
|
1.0177 |
| ||
9/16/2015 |
|
|
|
|
|
1.0413 |
| ||
10/01/2015 |
|
|
|
|
|
1.0767 |
| ||
CLASS I
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
1/01/2015 |
|
$ |
|
|
|
|
$ |
1.3360 |
|
1/16/2015 |
|
|
|
|
|
1.3483 |
| ||
2/1/2015 |
|
5,000 |
|
3,602 |
|
1.3880 |
| ||
2/16/2015 |
|
|
|
|
|
1.3289 |
| ||
3/01/2015 |
|
|
|
|
|
1.3677 |
| ||
3/16/2015 |
|
|
|
|
|
1.3981 |
| ||
4/01/2015 |
|
|
|
|
|
1.3954 |
| ||
4/16/2015 |
|
|
|
|
|
1.4319 |
| ||
5/01/2015 |
|
|
|
|
|
1.3459 |
| ||
5/16/2015 |
|
|
|
|
|
1.2990 |
| ||
6/01/2015 |
|
|
|
|
|
1.2974 |
| ||
6/16/2015 |
|
|
|
|
|
1.2465 |
| ||
7/01/2015 |
|
|
|
|
|
1.1888 |
| ||
7/16/2015 |
|
|
|
|
|
1.2533 |
| ||
8/01/2015 |
|
|
|
|
|
1.2983 |
| ||
8/16/2015 |
|
|
|
|
|
1.2814 |
| ||
9/01/2015 |
|
|
|
|
|
1.1878 |
| ||
9/16/2015 |
|
|
|
|
|
1.2150 |
| ||
10/01/2015 |
|
|
|
|
|
1.2559 |
| ||
CLASS DS
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
1/01/2015 |
|
$ |
|
|
|
|
$ |
1.7301 |
|
1/16/2015 |
|
55,676 |
|
31,873 |
|
1.7468 |
| ||
2/1/2015 |
|
|
|
|
|
1.7992 |
| ||
2/16/2015 |
|
568,542 |
|
329,934 |
|
1.7232 |
| ||
3/01/2015 |
|
|
|
|
|
1.7744 |
| ||
3/16/2015 |
|
|
|
|
|
1.8147 |
| ||
4/01/2015 |
|
|
|
|
|
1.8121 |
| ||
4/16/2015 |
|
|
|
|
|
1.8603 |
| ||
5/01/2015 |
|
|
|
|
|
|
| ||
5/16/2015 |
|
|
|
|
|
|
| ||
6/01/2015 |
|
|
|
|
|
|
| ||
6/16/2015 |
|
|
|
|
|
|
| ||
7/01/2015 |
|
|
|
|
|
|
| ||
7/16/2015 |
|
|
|
|
|
|
| ||
8/01/2015 |
|
|
|
|
|
|
| ||
8/16/2015 |
|
|
|
|
|
|
| ||
9/01/2015 |
|
|
|
|
|
|
| ||
9/16/2015 |
|
|
|
|
|
|
| ||
10/01/2015 |
|
|
|
|
|
|
| ||
CLASS DT
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
1/01/2015 |
|
$ |
|
|
|
|
$ |
1.8881 |
|
1/16/2015 |
|
|
|
|
|
1.9067 |
| ||
2/1/2015 |
|
|
|
|
|
1.9642 |
| ||
2/16/2015 |
|
|
|
|
|
1.8817 |
| ||
3/01/2015 |
|
|
|
|
|
1.9379 |
| ||
3/16/2015 |
|
|
|
|
|
1.9822 |
| ||
4/01/2015 |
|
|
|
|
|
1.9797 |
| ||
4/16/2015 |
|
|
|
|
|
2.0327 |
| ||
5/01/2015 |
|
|
|
|
|
1.9117 |
| ||
5/16/2015 |
|
|
|
|
|
1.8465 |
| ||
6/01/2015 |
|
58,863 |
|
31,897 |
|
1.8454 |
| ||
6/16/2015 |
|
|
|
|
|
1.7741 |
| ||
7/01/2015 |
|
15,684 |
|
9,173 |
|
1.6931 |
| ||
7/16/2015 |
|
|
|
|
|
1.7862 |
| ||
8/01/2015 |
|
|
|
|
|
1.8613 |
| ||
8/16/2015 |
|
|
|
|
|
1.8385 |
| ||
9/01/2015 |
|
2,772,043 |
|
1,608,380 |
|
1.7061 |
| ||
9/16/2015 |
|
|
|
|
|
1.7498 |
| ||
10/01/2015 |
|
|
|
|
|
1.8082 |
| ||
CLASS M
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
1/01/2015 |
|
$ |
800,000 |
|
713,140 |
|
$ |
1.1218 |
|
1/16/2015 |
|
|
|
|
|
1.1327 |
| ||
2/1/2015 |
|
50,000 |
|
42,860 |
|
1.1666 |
| ||
2/16/2015 |
|
15,000 |
|
13,424 |
|
1.1174 |
| ||
3/01/2015 |
|
|
|
|
|
1.1506 |
| ||
3/16/2015 |
|
|
|
|
|
1.1767 |
| ||
4/01/2015 |
|
550,000 |
|
468,085 |
|
1.1750 |
| ||
4/16/2015 |
|
|
|
|
|
1.2063 |
| ||
5/01/2015 |
|
|
|
|
|
1.1343 |
| ||
5/16/2015 |
|
|
|
|
|
1.0953 |
| ||
6/01/2015 |
|
|
|
|
|
1.0945 |
| ||
6/16/2015 |
|
|
|
|
|
1.0520 |
| ||
7/01/2015 |
|
|
|
|
|
1.0037 |
| ||
7/16/2015 |
|
|
|
|
|
1.0587 |
| ||
8/01/2015 |
|
601,620 |
|
540,393 |
|
1.1035 |
| ||
8/16/2015 |
|
|
|
|
|
1.0905 |
| ||
9/01/2015 |
|
|
|
|
|
1.0118 |
| ||
9/16/2015 |
|
|
|
|
|
1.0352 |
| ||
10/01/2015 |
|
|
|
|
|
1.0703 |
| ||
(1) Beginning of the period Net Asset Value
Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investors gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investors gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units, Class DT Units and Class M Units are not subject to upfront sales commissions.
(b) Not applicable.
(c) Not applicable.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Mine Safety Disclosures
Not applicable.
Item 5. Other Information
None.
Item 6. Exhibits
The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:
31.01 and
31.02 Rule 13a-14(a)/15d-14(a) Certifications
Exhibit 31.01
and 31.02 Are filed herewith.
32.01 and
32.02 Section 1350 Certifications
Exhibit 32.01
and 32.02 Are filed herewith.
Exhibit 101 Are filed herewith.
The following materials from the Funds quarterly Report on Form 10-Q for the three and nine month periods ended September 30, 2015 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.
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.
|
ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC | ||
|
| ||
|
| ||
|
|
By: |
MERRILL LYNCH ALTERNATIVE |
|
|
|
INVESTMENTS LLC |
|
|
|
(Manager) |
|
|
|
|
|
|
|
|
Date: November 13, 2015 |
|
By: |
/s/ NANCY FAHMY |
|
|
|
Nancy Fahmy |
|
|
|
Chief Executive Officer and President |
|
|
|
(Principal Executive Officer) |
|
|
|
|
|
|
|
|
Date November 13, 2015 |
|
By: |
/s/ BARBRA E. KOCSIS |
|
|
|
Barbra E. Kocsis |
|
|
|
Chief Financial Officer |
|
|
|
(Principal Financial Officer) |