Attached files
file | filename |
---|---|
EX-32.1 - MAN-AHL 130, LLC | efc10-153_ex321.htm |
EX-31.1 - MAN-AHL 130, LLC | efc10-153_ex311.htm |
EX-31.2 - MAN-AHL 130, LLC | efc10-153_ex312.htm |
EX-32.2 - MAN-AHL 130, LLC | efc10-153_ex322.htm |
UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
WASHINGTON,
D.C. 20549
FORM
10-Q
[X]
|
QUARTERLY
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
|
For the
quarterly period ended December 31,
2009
OR
[ ]
|
TRANSITION
REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
|
For the
transition period from ________ to ___________
Commission
File number:
000-53217
Man-AHL 130, LLC |
(Exact name of registrant as specified in charter) |
Delaware
|
84-1676365
|
|
(State
or other jurisdiction of incorporation or organization)
|
(IRS
Employer Identification No.)
|
c/o
Man Investments (USA) Corp.
|
||
123
North Wacker Drive
|
||
28th
Floor
|
||
Chicago, Illinois
|
60606
|
|
(Address
of principal executive offices)
|
(Zip
Code)
|
(312)
881-6800
(Registrant’s
telephone number, including area code)
Indicate
by check mark whether the registrant (1) has filed all reports required to be
filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the
preceding 12 months (or for such shorter period that the registrant was required
to file such reports), and (2) has been subject to such filing requirements for
the past 90 days.
Yes
[X] No [ ]
Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate Web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this
chapter) during the preceding 12 months (or for such shorter period that the
registrant was required to submit and post such files).
Yes
[ ] No [ ]
Indicate
by check mark whether the registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer or a smaller reporting
company. See the definitions of “large accelerated filer,”
“accelerated filer” and “smaller reporting company” in Rule 12b-2 of the
Exchange Act. (Check one):
Large
Accelerated Filer [ ]
|
Accelerated
Filer [ ]
|
Non-Accelerated
Filer [ ]
|
Smaller
reporting company [X]
|
Indicate
by check mark whether the registrant is a shell company (as defined in Rule
12b-2 of the Exchange Act).
Yes
[ ] No [X]
PART I – FINANCIAL
INFORMATION
ITEM
1. Financial Statements
Man-AHL
130, LLC
STATEMENTS
OF FINANCIAL CONDITION (a)
STATEMENTS
OF OPERATIONS (b)
STATEMENTS
OF CHANGES IN MEMBERS’ EQUITY (c)
STATEMENTS
OF CASH FLOWS (c)
NOTES TO
FINANCIAL STATEMENTS (UNAUDITED)
(a)
|
At
December 31, 2009 (unaudited) and March 31,
2009
|
(b)
|
For
the three months ended December 31, 2009 and 2008 (unaudited) and for the
nine months ended December 31, 2009 and 2008
(unaudited)
|
(c)
|
For
the nine months ended December 31, 2009 and 2008
(unaudited)
|
2
MAN-AHL
130, LLC
|
||||||||
STATEMENTS
OF FINANCIAL CONDITION
|
||||||||
December
31, 2009
|
||||||||
(Unaudited)
|
March
31, 2009
|
|||||||
ASSETS:
|
||||||||
Equity
in forwards and commodity futures trading accounts:
|
||||||||
Net
unrealized trading gains on open derivatives
contracts
|
$ | 610,414 | $ | 414,026 | ||||
Due
from broker
|
2,862,688 | 2,645,663 | ||||||
Investment
in Man-Glenwood Lexington, LLC,
|
||||||||
at
fair value (cost $2,663,736 and $6,490,273, respectively)
|
2,449,450 | 5,691,325 | ||||||
Investment
in Man-Glenwood Lexington TEI, LLC,
|
||||||||
at
fair value (cost $4,344,666 and $4,837,500, respectively)
|
4,184,975 | 4,455,049 | ||||||
Cash
and cash equivalents
|
13,840,716 | 19,860,608 | ||||||
Redemption
receivable from Man-Glenwood Lexington, LLC
|
800,270 | 101,560 | ||||||
Redemption
receivable from Man-Glenwood Lexington TEI, LLC
|
349,277 | — | ||||||
Expense
reimbursement receivable
|
— | 240,424 | ||||||
Interest
receivable
|
541 | 171 | ||||||
TOTAL
|
$ | 25,098,331 | $ | 33,408,826 | ||||
LIABILITIES
& MEMBERS' EQUITY:
|
||||||||
Equity
in forwards and commodity futures trading accounts:
|
||||||||
Net
unrealized trading losses on open
|
||||||||
derivatives
contracts
|
$ | 341,913 | $ | 405,974 | ||||
Redemptions
payable
|
3,606,527 | 156,281 | ||||||
Accrued
professional fees payable
|
161,230 | 89,875 | ||||||
Subscriptions
received in advance
|
— | 744,666 | ||||||
Management
fees payable
|
87,173 | 115,512 | ||||||
Accrued
administrative fees payable
|
75,000 | 62,500 | ||||||
Client
servicing fees payable
|
25,755 | 22,960 | ||||||
Other
liabilities
|
5,877 | 2,803 | ||||||
Total
liabilities
|
4,303,475 | 1,600,571 | ||||||
MEMBERS'
EQUITY:
|
||||||||
Class
A Series 1 Members
|
||||||||
(8,586.893
and 6,099.598 units outstanding, respectively)
|
1,017,251 | 802,089 | ||||||
Class
A Series 2 Members
|
||||||||
(54,249.239
and 126,703.991 units outstanding, respectively)
|
6,629,772 | 17,027,572 | ||||||
Class
B Series 1 Members
|
||||||||
(50,682.588
and 48,348.641 units oustanding, respectively)
|
6,014,885 | 6,379,233 | ||||||
Class
B Series 2 Members
|
||||||||
(58,260.909
and 56,356.575 units outstanding, respectively)
|
7,132,948 | 7,599,361 | ||||||
Total
Members' equity
|
20,794,856 | 31,808,255 | ||||||
TOTAL
|
$ | 25,098,331 | $ | 33,408,826 | ||||
NET
ASSET VALUE PER UNIT OUTSTANDING - CLASS A SERIES 1
MEMBERS
|
$ | 118.47 | $ | 131.50 | ||||
NET
ASSET VALUE PER UNIT OUTSTANDING - CLASS A SERIES 2
MEMBERS
|
$ | 122.21 | $ | 134.39 | ||||
NET
ASSET VALUE PER UNIT OUTSTANDING - CLASS B SERIES 1
MEMBERS
|
$ | 118.68 | $ | 131.94 | ||||
NET
ASSET VALUE PER UNIT OUTSTANDING - CLASS B SERIES 2
MEMBERS
|
$ | 122.43 | $ | 134.84 | ||||
See
notes to financial statements.
|
3
MAN-AHL
130, LLC
|
||||||||||||||||
STATEMENTS
OF OPERATIONS (UNAUDITED)
|
||||||||||||||||
For
the three
|
For
the three
|
For
the nine
|
For
the nine
|
|||||||||||||
months
ended
|
months
ended
|
months
ended
|
months
ended
|
|||||||||||||
December
31, 2009
|
December
31, 2008
|
December
31, 2009
|
December
31, 2008
|
|||||||||||||
INVESTMENT
INCOME:
|
||||||||||||||||
Interest
income
|
$ | 18,216 | $ | 74,868 | $ | 58,393 | $ | 252,458 | ||||||||
EXPENSES:
|
||||||||||||||||
Management
fees
|
174,434 | 252,692 | 596,071 | 623,472 | ||||||||||||
Incentive
fees
|
— | 884,066 | — | 1,156,176 | ||||||||||||
Client
servicing fees
|
25,727 | 21,051 | 78,374 | 40,877 | ||||||||||||
Brokerage
commissions
|
26,763 | 15,249 | 73,451 | 81,916 | ||||||||||||
Professional
fees
|
78,685 | 87,250 | 313,185 | 261,750 | ||||||||||||
Administrative
fees
|
37,500 | 37,500 | 112,500 | 112,500 | ||||||||||||
Other
|
22,344 | 3,821 | 85,417 | 9,676 | ||||||||||||
TOTAL
EXPENSES
|
365,453 | 1,301,629 | 1,258,998 | 2,286,367 | ||||||||||||
Less
reimbursed expenses
|
— | (83,613 | ) | — | (270,181 | ) | ||||||||||
Net
expenses
|
365,453 | 1,218,016 | 1,258,998 | 2,016,186 | ||||||||||||
NET
INVESTMENT LOSS
|
(347,237 | ) | (1,143,148 | ) | (1,200,605 | ) | (1,763,728 | ) | ||||||||
NET
REALIZED AND UNREALIZED GAINS
(LOSSES)
ON INVESTMENTS AND FOREIGN
CURRENCY:
|
||||||||||||||||
Net
realized trading gains (losses) on closed
derivatives
contracts and foreign currency
transactions
|
(88,277 | ) | 6,531,805 | (2,355,441 | ) | 5,207,805 | ||||||||||
Net
change in unrealized trading gains (losses) on open
derivatives
contracts and translation of assets
and
liabilities denominated in foreign currencies
|
(1,021,151 | ) | 1,144,925 | 260,449 | 1,098,506 | |||||||||||
Net
realized losses on investment in
Man-Glenwood
Lexington, LLC
|
(69,960 | ) | (70,510 | ) | (356,489 | ) | (104,272 | ) | ||||||||
Net
realized losses on investment in
Man-Glenwood
Lexington TEI, LLC
|
(13,303 | ) | — | (28,596 | ) | — | ||||||||||
Net
change in unrealized appreciation (depreciation) on
investment
in Man-Glenwood Lexington, LLC
|
80,861 | (168,098 | ) | 584,662 | (813,606 | ) | ||||||||||
Net
change in unrealized appreciation (depreciation) on
investment
in Man-Glenwood Lexington TEI, LLC
|
28,680 | (129,465 | ) | 222,760 | (402,914 | ) | ||||||||||
NET
REALIZED AND UNREALIZED GAINS (LOSSES)
ON
INVESTMENTS AND FOREIGN CURRENCY
|
(1,083,150 | ) | 7,308,657 | (1,672,654 | ) | 4,985,519 | ||||||||||
Net
income (loss)
|
$ | (1,430,387 | ) | $ | 6,165,509 | $ | (2,873,260 | ) | $ | 3,221,791 | ||||||
Net
income (loss) per unit outstanding - Class A Series 1
|
$ | (7.35 | ) | $ | 23.26 | $ | (11.04 | ) | $ | 13.41 | ||||||
Net
income (loss) per unit outstanding - Class A Series 2
|
$ | (7.04 | ) | $ | 24.05 | $ | (12.85 | ) | $ | 11.58 | ||||||
Net
income (loss) per unit outstanding - Class B Series 1
|
$ | (7.25 | ) | $ | 23.06 | $ | (12.86 | ) | $ | 22.33 | ||||||
Net
income (loss) per unit outstanding - Class B Series 2
|
$ | (7.05 | ) | $ | 23.63 | $ | (12.56 | ) | $ | 19.85 | ||||||
See
notes to financial statements.
|
4
MAN-AHL
130, LLC
|
|||||||||||||||||||||||||||||||||||||||||
STATEMENTS
OF CHANGES IN MEMBERS' EQUITY (UNAUDITED)
|
|||||||||||||||||||||||||||||||||||||||||
FOR
THE NINE MONTHS ENDED DECEMBER 31, 2009
|
|||||||||||||||||||||||||||||||||||||||||
CLASS
A SERIES 1
|
CLASS
A SERIES 2
|
CLASS
B SERIES 1
|
CLASS
B SERIES 2
|
TOTAL
|
|||||||||||||||||||||||||||||||||||||
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
||||||||||||||||||||||||||||||||
Members'
equity at April 1, 2009
|
$ | 802,089 | 6,099.598 | $ | 17,027,572 | 126,703.991 | $ | 6,379,233 | 48,348.641 | $ | 7,599,361 | 56,356.575 | $ | 31,808,255 | 237,508.805 | ||||||||||||||||||||||||||
Subscriptions
|
783,666 | 6,138.090 | 65,000 | 486.642 | 1,561,184 | 12,285.514 | 1,652,910 | 12,773.422 | 4,062,760 | 31,683.668 | |||||||||||||||||||||||||||||||
Redemptions
|
(453,358 | ) | (3,650.795 | ) | (9,184,063 | ) | (72,941.394 | ) | (1,196,186 | ) | (9,951.561 | ) | (1,369,292 | ) | (10,869.088 | ) | (12,202,899 | ) | (97,412.838 | ) | |||||||||||||||||||||
Net
loss
|
(115,146 | ) | — | (1,278,737 | ) | — | (729,346 | ) | — | (750,031 | ) | — | (2,873,260 | ) | — | ||||||||||||||||||||||||||
Members'
equity at December 31, 2009
|
$ | 1,017,251 | 8,586.893 | $ | 6,629,772 | 54,249.239 | $ | 6,014,885 | 50,682.594 | $ | 7,132,948 | 58,260.909 | $ | 20,794,856 | 171,779.635 | ||||||||||||||||||||||||||
NET
ASSET VALUE PER UNIT OUTSTANDING AT
DECEMBER 31, 2009
|
$ | 118.47 | $ | 122.21 | $ | 118.68 | $ | 122.43 | |||||||||||||||||||||||||||||||||
FOR
THE NINE MONTHS ENDED DECEMBER 31, 2008
|
|||||||||||||||||||||||||||||||||||||||||
CLASS
A SERIES 1
|
CLASS
A SERIES 2
|
CLASS
B SERIES 1*
|
CLASS
B SERIES 2*
|
TOTAL
|
|||||||||||||||||||||||||||||||||||||
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
||||||||||||||||||||||||||||||||
Members'
equity at April 1, 2008
|
$ | 348,997 | 2,647.132 | $ | 20,059,635 | 150,751.032 | $ | — | — | $ | — | — | $ | 20,408,632 | 153,398.164 | ||||||||||||||||||||||||||
Subscriptions
|
485,400 | 3,740.331 | 1,205,416 | 9,375.410 | 5,577,230 | 43,739.769 | 7,148,343 | 54,591.372 | 14,416,389 | 111,446.882 | |||||||||||||||||||||||||||||||
Redemptions
|
(32,617 | ) | (230.610 | ) | (4,800,000 | ) | (33,309.970 | ) | — | — | (152,151 | ) | (1,226.308 | ) | (4,984,768 | ) | (34,766.888 | ) | |||||||||||||||||||||||
Net
income
|
69,062 | — | 1,809,321 | — | 627,304 | — | 716,104 | — | 3,221,791 | — | |||||||||||||||||||||||||||||||
Members'
equity at December 31, 2008
|
$ | 870,842 | 6,156.853 | $ | 18,274,372 | 126,816.472 | $ | 6,204,534 | 43,739.769 | $ | 7,712,296 | 53,365.064 | $ | 33,062,044 | 230,078.158 | ||||||||||||||||||||||||||
NET
ASSET VALUE PER UNIT OUTSTANDING
AT
DECEMBER 31, 2008
|
$ | 141.44 | $ | 144.10 | $ | 141.85 | $ | 144.52 | |||||||||||||||||||||||||||||||||
*
Class B Series 1 and Class B Series 2 commenced trading on April 1,
2008.
|
|||||||||||||||||||||||||||||||||||||||||
See
notes to financial statements.
|
5
MAN-AHL
130, LLC
|
||||||||
STATEMENTS
OF CASH FLOWS (UNAUDITED)
|
||||||||
For
the nine
|
For
the nine
|
|||||||
months
ended
|
months
ended
|
|||||||
December
31, 2009
|
December
31, 2008
|
|||||||
CASH
FLOWS FROM OPERATING ACTIVITIES:
|
||||||||
Net
gain (loss)
|
$ | (2,873,260 | ) | $ | 3,221,791 | |||
Adjustments
to reconcile net gain (loss) to
|
||||||||
net
cash used in operating activities:
|
||||||||
Net
change in unrealized trading losses on open derivative
contracts
|
||||||||
and
translation of assets and liabilities denominated in
|
||||||||
foreign
currencies
|
(260,449 | ) | (1,098,506 | ) | ||||
Purchase
of investment in Man-Glenwood Lexington, LLC
|
(82,025 | ) | (2,222,000 | ) | ||||
Sale
of investment in Man-Glenwood Lexington, LLC
|
2,853,363 | 451,000 | ||||||
Purchase
of investment in Man-Glenwood Lexington TEI, LLC
|
(168,789 | ) | (4,728,500 | ) | ||||
Sale
of investment in Man-Glenwood Lexington TEI, LLC
|
283,750 | — | ||||||
Net
realized losses on investment in Man-Glenwood Lexington,
LLC
|
356,489 | 104,272 | ||||||
Net
realized loss on investment in Man-Glenwood
|
||||||||
Lexington
TEI, LLC
|
28,596 | — | ||||||
Net
change in unrealized (appreciation) depreciation
|
||||||||
on
investment in Man-Glenwood Lexington, LLC
|
(584,662 | ) | 813,606 | |||||
Net
change in unrealized (appreciation) depreciation
|
||||||||
on
investment in Man-Glenwood Lexington TEI, LLC
|
(222,760 | ) | 402,914 | |||||
Changes
in:
|
||||||||
Due
from broker
|
(217,025 | ) | (5,368,499 | ) | ||||
Expense
reimbursement receivable
|
240,424 | 30,477 | ||||||
Interest
receivable
|
(370 | ) | 2,927 | |||||
Management
fees payable
|
(28,339 | ) | (5,416 | ) | ||||
Incentive
fees payable
|
— | (253,761 | ) | |||||
Brokerage
commissions payable
|
— | (98,588 | ) | |||||
Accrued
professional fees payable
|
71,355 | 36,952 | ||||||
Accrued
administrative fees payable
|
12,500 | (36,371 | ) | |||||
Client
servicing fees payable
|
2,795 | 19,983 | ||||||
Other
liabilities
|
3,074 | 805 | ||||||
Net
cash used in operating activities
|
(585,333 | ) | (8,726,914 | ) | ||||
FINANCING
ACTIVITIES:
|
||||||||
Capital
subscriptions
|
3,318,094 | 14,615,973 | ||||||
Capital
redemptions
|
(8,752,653 | ) | (124,999 | ) | ||||
Net
cash provided by (used in) financing activities
|
(5,434,559 | ) | 14,490,974 | |||||
NET
INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS
|
(6,019,892 | ) | 5,764,060 | |||||
CASH
AND CASH EQUIVALENTS - Beginning of period
|
19,860,608 | 13,883,114 | ||||||
CASH
AND CASH EQUIVALENTS - End of period
|
$ | 13,840,716 | $ | 19,647,174 | ||||
See
notes to financial statements.
|
6
MAN-AHL
130, LLC
(A
Delaware Limited Liability Company)
NOTES
TO FINANCIAL STATEMENTS (unaudited)
The
accompanying unaudited financial statements, in the opinion of management,
include all adjustments (consisting only of normal recurring adjustments)
necessary for a fair presentation of Man-AHL 130, LLC’s (the “Company”)
financial condition at December 31, 2009 and the results of its operations for
the three months and nine months ended December 31, 2009 and
2008. These financial statements present the results of interim
periods and do not include all the disclosures normally provided in annual
financial statements. It is suggested that these financial statements
be read in conjunction with the audited financial statements and notes included
in the Company’s annual report on Form 10-K filed with the Securities and
Exchange Commission for the year ended March 31, 2009. The March 31,
2009 information has been derived from the audited financial statements as of
March 31, 2009.
1.
|
ORGANIZATION
|
The
Company offers Class A and Class B units. Class A and Class B units have
substantially identical trading portfolios except that Class A units are offered
to taxable investors and invest in Man-Glenwood Lexington, LLC (“MGL”), a
registered investment company, and Class B units are offered to tax-exempt
investors and invest in Man-Glenwood Lexington TEI, LLC (“TEI”), a registered
investment company.
The
Company invests approximately thirty percent of its Class A share capital in MGL
and thirty percent of its Class B share capital in TEI. The Company
invests the majority of its remaining capital into a managed futures program
(the “AHL Diversified Program”).
Man-AHL
(USA) Limited, a limited liability company incorporated in the United Kingdom,
manages the AHL Diversified Program. On April 21, 2008, the
Company engaged Man Investments Limited, a company organized under the Laws of
the United Kingdom, to manage the foreign currency forward component of the AHL
Diversified Program, at no additional cost to the Company. The
personnel of Man Investments Limited responsible for implementing the foreign
currency forwards trading component of the AHL Diversified Program on behalf of
the Company are the same as those of Man-AHL (USA) Limited who implement the AHL
Diversified Program.
Man
Investments (USA) LLC (“MI USA LLC”) (formerly known as Glenwood Capital
Investments, LLC) acts as the Investment Adviser to MGL and TEI. MI USA LLC is
an Illinois limited liability company and is registered with the CFTC as a
commodity pool operator and with the SEC as an investment adviser. MI USA LLC is
an affiliate of Man Investments (USA) Corp. (the “Managing Member”) and Man-AHL
(USA) Limited, and is a subsidiary of Man Group plc.
MGL and
TEI achieve their investment objective through an investment in Man-Glenwood
Lexington Associates Portfolio, LLC (the “Portfolio Company” or “MGLAP”), which
allocates its capital among a series of underlying funds. MI USA LLC
acts as an investment adviser to the Portfolio Company in addition to the
services it provides to MGL and TEI.
7
2.
|
SIGNIFICANT
ACCOUNTING POLICIES
|
The
accompanying financial statements are prepared in accordance with accounting
principles generally accepted in the United States of America. The following are
significant accounting policies adopted by the Company.
In June
2009, the Financial Accounting Standards Board (“FASB”) issued Accounting
Standards Codification (“ASC”) 105, Generally Accepted Accounting
Principles (“ASC 105”) (formerly Statement of Financial Accounting
Standard (“SFAS”) No. 168, The
FASB Accounting Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles-a replacement of FASB Statement No.
162,) which
establishes the FASB Accounting Standards Codification (the “Codification”or
“ASC”) as the source of authoritative U.S. generally accepted accounting
principles recognized by the FASB to be applied by nongovernmental entities.
This statement is effective for financial statements issued for interim and
annual periods ending after September 15, 2009. On the effective date of this
statement, the Codification superseded all then-existing non-SEC accounting and
reporting standards. All other non-grandfathered non-SEC accounting literature
not included in the Codification became non-authoritative. The adoption of ASC
105 required the Company to adjust references to authoritative accounting
literature in the financial statements, but did not affect the Company’s
financial position or results of operations. The Company has
implemented the Codification as of September 30, 2009.
Use of
Estimates — The
preparation of financial statements requires the Company to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the period.
Actual results could differ from those estimates.
Due from broker
– Due from
broker consists of balances due from MF Global, Inc. (“MFG”), Credit Suisse,
JPMorgan Chase and Royal Bank of Scotland. In general, the brokers
pay the Company interest monthly, based on agreed upon rates, on the Company’s
average daily balance.
MFG is
registered with the CFTC as a futures commission merchant and is a member of the
NFA.
Amounts
due from broker include cash held at brokers and cash posted as collateral or
variation margin. Included in due from broker on the statements of
financial condition is $1,058,156 of cash restricted as collateral
held.
Investment in
Man-Glenwood Lexington, LLC, and Man-Glenwood Lexington TEI, LLC
— The Company
values its investments in MGL and TEI at their net asset value, which
approximates fair value, as provided by MGL and TEI,
respectively. MGL and TEI invest all or substantially all of their
investable assets through an investment in MGLAP. MGL and TEI value
their investments in MGLAP at their pro rata interest in the net assets of that
entity. Investments held by MGLAP are limited partnerships and other
pooled vehicles (collectively, the “investment funds”) and are valued at fair
value. The fair value of certain of the investments in the underlying
investment funds, which may include private placements and other securities for
which values are not readily available, are determined in good faith by the
investment advisers of the respective underlying investment funds and are
evaluated by MI USA LLC and adjusted, if appropriate, to reflect fair
value. The fair values may differ significantly from the values that
would have been used had a ready market existed for these investments, and these
differences could be material. Net asset valuations are provided
monthly or quarterly by these investment funds. Distributions
received by MGLAP, which are identified by the underlying investment funds as a
return of capital, whether in the form of cash or securities, are applied as a
reduction of the investment’s carrying value.
8
The
Company pays MGL and TEI approximately 2.25% per annum of its investment balance
for management, investor servicing and administrative fees. These fees are
deducted directly from the Company’s investment balance and, therefore, included
in net realized gain (loss) or net change in unrealized appreciation in the
statements of operations. Prior to January 1, 2009, such fees and expenses were
approximately 3% per annum of the aggregate value of Man-AHL 130’s investment in
MGL and TEI.
Expenses —
Class A Series 1 and Class B Series 1 units are subject to a 1.25% per annum
client servicing fee payable to Man Investments, Inc. (“MII”), calculated
monthly and paid quarterly in arrears, on the month-end net asset value of Class
A Series 1 and Class B Series 1 units, respectively, subject to a maximum
aggregate commission receipt to MII of 10% of the subscription price of all
units. Class A Series 2 and Class B Series 2 are not charged a client
servicing fee.
The
Company is responsible for paying its own operating expenses, including
professional fees, administrative fees and custody fees. Prior to
April 1, 2009, operating expenses in excess of 0.50% per annum of net asset
value were reimbursed by the Managing Member. Effective April 1, 2009, these
expenses are no longer reimbursed.
The
Company pays the Managing Member a management fee at the rate of 0.75% per annum
on the month-end net asset value of all outstanding units determined as of the
end of each month (before the redemption of any units) and payable quarterly in
arrears. The Company pays Man-AHL (USA) Limited a management fee of 2% per annum
on the notional value of Company’s allocation to the AHL Diversified Program
(the “AHL Account”), which approximates the Company’s net asset value,
calculated and paid monthly. In addition, Man-AHL (USA) Limited is entitled to a
monthly incentive fee of 20% of any “new net profits” attributable to the net
asset value of the AHL Account, subject to a “high water mark”.
Derivative
Contracts — The Company enters into
derivative contracts (“derivatives”) for trading purposes. Derivatives traded by
the Company include futures contracts and forward contracts. The Company records
derivatives at fair value. Futures contracts, which are exchange-traded, are
valued at the settlement price as of the valuation day, or if no sale occurred
on such day, at the settlement price on the most recent date on which a sale
occurred. Forward contracts, which are not exchange-traded, are valued at fair
value using current market quotations provided by brokers.
Realized
and unrealized changes in fair values are included in realized and unrealized
gains and losses on investments and foreign currency transactions in the
statements of operations. All trading activities are accounted for on a
trade-date basis.
9
3.
|
FAIR VALUE
MEASUREMENTS
|
The
Company segregates its investments into three levels based upon the inputs used
to derive the fair value. “Level 1” investments use inputs from unadjusted
quoted prices from active markets. “Level 2” investments reflect inputs other
than quoted prices, but use observable market data. “Level 3” investments are
valued using unobservable inputs. These unobservable inputs for “Level 3”
investments reflect the Company’s assumption about the assumptions market
participants would use in pricing the investments.
In
September 2009, the FASB issued Accounting Standard Update No. 2009-12, Investments in Certain Entities that
Calculate Net Asset value per share (or its equivalent), an amendment of
Fair Value Measurements and
Disclosure (Topic 820), or ASU 2009-12. This amendment provides
additional guidance on using the net asset value per share, provided by an
investee, when estimating the fair value of an alternate investment that does
not have a readily determinable fair value and enhances the disclosures
concerning these investments. Examples of alternate investments, within the
scope of this amendment, include investments in hedge funds, private equity
funds, real estate funds, and venture capital partnerships. This amendment is
effective for interim and annual periods ending after December 15, 2009. As of
December 31, 2009, the fair value of the Company’s investments in MEI and TEI
were measured using the net asset value of each fund as reported by MI USA
LLC. Additionally, based on the guidance included in ASU 2009-12, the
Company has determined that its investments in MEI and TEI should be classified
as “Level 2” investments.
Fair
Value Measurements
|
||||||||||||||||
|
|
|
|
|||||||||||||
Description
|
Value
as of
December 31, 2009
|
Quoted
Prices in Active Markets for Identical Assets
|
Significant
Other Observable Inputs (Level 2)
|
Significant
Other Unobservable Inputs (Level 3)
|
||||||||||||
Net
unrealized trading gains on open futures contracts
|
$ | 595,559 | $ | 595,559 | $ | — | $ | — | ||||||||
Net
unrealized trading gains (losses) on open forward
contracts
|
(327,058 | ) | — | (327,058 | ) | — | ||||||||||
Investment
in Man-Glenwood Lexington, LLC
|
2,449,450 | — | 2,449,450 | — | ||||||||||||
Investment
in Man-Glenwood Lexington TEI, LLC
|
4,184,975 | — | 4,184,975 | — | ||||||||||||
Cash
equivalents*
|
13,831,754 | 13,831,754 | — | — | ||||||||||||
Total
|
$ | 20,734,680 | $ | 14,427,313 | $ | 6,307,367 | $ | — | ||||||||
*
Represents money market fund included in cash and cash equivalents on statement
of financial condition.
10
The following
is a reconciliation of the investments in which significant unobservable inputs
(Level 3) were used in determining value (see Note 2):
|
|
|
|
||||||
Man-Glenwood Lexington, LLC |
For
the nine months ended December 31, 2009
|
Man-Glenwood Lexington TEI , LLC |
For
the nine months ended December 31, 2009
|
||||||
Beginning
Balance as of 10/1/09
|
$ | 5,691,325 |
Beginning
Balance as of 10/1/09
|
4,455,049 | |||||
Realized
loss
|
— |
Realized
loss
|
— | ||||||
Change
in unrealized appreciation
|
— |
Change
in unrealized appreciation
|
— | ||||||
Net
purchase/sales
|
— |
Net
purchase/sales
|
— | ||||||
Net
transfers in and/or out of Level 3
|
(5,691,325 | ) |
Net
transfers in and/or out of Level 3
|
(4,455,049 | ) | ||||
Ending
Balance as of 12/31/09
|
$ | — |
Ending
Balance as of 12/31/09
|
$ | — |
4.
|
DERIVATIVE
TRANSACTIONS
|
The
Company has adopted the provisions of FASB ASC 815, Derivatives and Hedging (“ASC
815”) (formerly SFAS No. 161, Disclosures about Derivative
Instruments and Hedging Activities, an amendment of FASB Statement No. 133
(“SFAS No. 133”)). ASC 815 intends to provide users of
financial statements with an enhanced understanding of: (i) how and why an
entity uses derivate instruments; (ii) how derivative instruments and related
hedged items are accounted for under SFAS No. 133 and its related
interpretations; and (iii) how derivative instruments and related hedged items
affect an entity’s financial position, financial performance, and cash
flows. Adoption of ASC 815 affected disclosures only and had no
impact on the Company’s financial condition, results of operations or cash
flows.
The
Company participates in the AHL Diversified Program directed on behalf of the
Company by Man-AHL (USA) Limited. The AHL Diversified Program is a futures and
forward price trend-following trading system, entirely quantitative in nature,
and implements trading positions on the basis of statistical analyses of past
price histories. The investment objective of the AHL Diversified Program is to
deliver substantial capital growth for commensurate levels of volatility over
the medium term, independent of the movement of the stock and bond markets,
through the speculative trading, directly and indirectly, of physical
commodities, futures contracts, spot and forward contracts, options on the
foregoing, exchanges of futures for physical transactions and other investments
on domestic and international exchanges and markets (including the interbank and
OTC markets). The AHL Diversified Program trades globally in several market
sectors, including, without limitation, currencies, bonds, energies, stocks
indices, interest rates, metals and agriculture.
All the
strategies and systems of the AHL Diversified Program are designed to target
defined volatility levels rather than returns, and the investment process is
underpinned by computer-supported analytical instruments and disciplined
real-time risk and management information systems. A proprietary risk
measurement method similar to the industry standard “value-at-risk” helps ensure
that the rule-based decisions that drive the investment process remain within
predefined risk parameters. Margin-to-equity ratios are monitored
daily, and the level of exposure in each market is quantifiable at any time and
is adjusted in accordance with market volatility. Market correlation
is closely monitored to prevent over-concentration of risk and ensure optimal
portfolio weightings. Market liquidity is examined with the objective
of ensuring that the Company will be able to initiate and close out trades as
indicated by AHL Diversified Program’s systems at market prices, while brokerage
selection and trade execution are continually monitored with the objective of
ensuring quality market access.
11
During
the three months ended December 31, 2009, the Company traded 11,516 exchange
traded future contracts and settled 5,896 OTC forward
contracts. During the nine months ended December 31, 2009, the
Company traded 33,577 exchange traded future contracts and settled 15,745 OTC
forward contracts.
For
exchange-traded contracts, the clearing organization functions as the
counterparty of specific transactions and, therefore, bears the risk of delivery
to and from counterparties to specific positions, which mitigates the credit
risk of these instruments. At December 31, 2009 and March 31, 2009,
estimated credit risk with regard to forward contracts was $14,855 and $0,
respectively.
The
following table presents the fair value of the Company’s derivative instruments
and statements of financial condition location.
Asset Derivatives |
Liability
Derivatives
|
|||||||||
Derivatives
not designated as hedging instruments
|
|
|
||||||||
December
31, 2009
|
December
31, 2009
|
|||||||||
Statement
of Financial Condition
|
Fair
Value**
|
Statement
of Financial Condition
|
Fair
Value**
|
|||||||
Open
forward contracts
|
Net
unrealized trading gains on open forward contracts
|
$ | 667,543 |
Net
unrealized trading losses on open forward contracts
|
$ | (994,601 | ) | |||
Open
futures contracts
|
Net
unrealized trading gains on open futures contracts
|
686,523 |
Net
unrealized trading losses on open futures contracts
|
(90,964 | ) | |||||
Total
Derivatives
|
$ | 1,354,066 | $ | (1,085,565 | ) |
** Open
forward and future contracts are presented on the gross basis for the purposes
of the tables above. Net unrealized trading gains and losses are netted by
counterparty and presented in the statement of financial condition in accordance
with generally accepted accounting principles related to the right of
offset.
12
The
following table presents the impact of derivative instruments on the statement
of operations. The Company did not designate any derivatives as hedging
instruments for the three months ended December 31, 2009 or nine months ended
December 31, 2009.
|
For
the Three Months Ended December 31, 2009
|
||||
Derivatives
not designated as hedging instruments
|
Location
of gain (loss) recognized in Income on Derivatives
|
Gain
(Loss) on Derivatives
|
|||
Forward
Contracts
|
Net
realized trading gains on closed contracts
|
$ | 138,266 | ||
Net
change in unrealized trading losses on open contracts
|
(568,743 | ) | |||
Futures
Contracts
|
Net
realized trading losses on closed contracts
|
(226,543 | ) | ||
Net
change in unrealized trading losses on open contracts
|
(452,408 | ) | |||
Total
|
$ | (1,109,428 | ) | ||
|
For
the Nine Months Ended December 31, 2009
|
||||
Derivatives
not designated as hedging instruments
|
Location
of gain (loss) recognized in Income on Derivatives
|
Gain
(Loss) on Derivatives
|
|||
Forward
Contracts
|
Net
realized trading losses on closed contracts
|
$ | (373,089 | ) | |
Net
change in unrealized trading gains on open contracts
|
78,912 | ||||
Futures
Contracts
|
Net
realized trading losses on closed contracts
|
(1,982,352 | ) | ||
Net
change in unrealized trading gains on open contracts
|
181,537 | ||||
Total
|
$ | (2,094,992 | ) |
5. SUBSEQUENT
EVENTS
Effective
for interim and annual periods ending after June 15, 2009, the Company adopted
the provisions of ASC 855, Subsequent Events (“ASC 855”)
(formerly, SFAS No. 165, Subsequent Events). The
Managing Member has evaluated the impact of all subsequent events on the Company
through February 16, 2010, the date the financial statements were issued and has
determined there were subsequent events as follows:
In
February 2010, the Managing Member announced its intention to cease
the operations of the Company effective March 31, 2010.
ITEM
2.
|
Management's
Discussion and Analysis of Financial Condition and Results of
Operations
|
Introduction
Reference
is made to Item 1, “Financial Statements.” The information contained
therein is essential to, and should be read in conjunction with, the following
analysis.
Operational
Overview
Man-AHL
130, LLC (“Man-AHL 130”) is a speculative managed futures fund which trades
pursuant to the AHL Diversified Program, directed on behalf of Man-AHL 130 by
Man-AHL (USA) Limited and Man Investments Ltd. The AHL Diversified
Program is a futures and forward price trend-following
13
trading
system, entirely quantitative in nature, and implements trading positions on the
basis of statistical analyses of past price histories. The AHL
Diversified Program is proprietary and confidential, so that substantially the
only information that can be furnished regarding Man-AHL 130’s results of
operations is contained in the performance record of its
trading. Past performance is not necessarily indicative of its future
results. Man Investments (USA) Corp., the managing member of Man-AHL
130 (the “Managing Member”) does believe, however, that there are certain market
conditions, for example, markets with pronounced price trends, in which Man-AHL
130 has a greater likelihood of being profitable than in other market
environments.
Capital
Resources and Liquidity
Due to
the low margins required to support futures and forward trading, only
approximately 10% to 20% of the capital of a managed futures fund such as
Man-AHL 130 is needed to margin its positions. Man-AHL 130 holds most
of its capital in cash and cash equivalents while investing approximately 30% of
such capital in Man-Glenwood Lexington, LLC or Man-Glenwood Lexington TEI, LLC
(collectively, the “Man-Glenwood Funds”), registered investment companies
managed by MI USA LLC both for profit potential and diversification
purposes. Man-AHL 130’s investment in the Man-Glenwood Funds cannot
be used to margin its futures trading and would be liquidated to the extent that
the Managing Member was able to do so and deemed it advisable to do so to
support Man-AHL 130’s futures trading. The Managing Member is under
no obligation to maintain Man-AHL 130’s investment in the Man-Glenwood Funds,
and may reduce or eliminate such investment at any time through the Man-Glenwood
Funds’ quarterly tender process.
Man-AHL
130, not being an operating company, does not incur capital
expenditures. It functions solely as a trading vehicle, and after its
initial allocation to the AHL Diversified Program and the Man-Glenwood Funds,
its remaining capital resources are used only as assets available to provide
variation margin and pay expenses and trading losses incurred on Man-AHL 130’s
AHL Diversified Program account, as well as invest in the Man-Glenwood Funds to
maintain appropriate exposure.
The AHL
Diversified Program generally maintains highly liquid positions, and the assets
held by Man-AHL 130 to support the AHL Diversified Program’s trading are cash or
highly-liquid Treasury bills, deposit accounts or other cash
equivalents.
Because
the Man-Glenwood Funds are closed-end registered investment companies, members
of the Man-Glenwood Funds do not have the right to require the Man-Glenwood
Funds to repurchase any or all of their units. To provide a limited
degree of liquidity to investors, the Man-Glenwood Funds offer quarterly
liquidity through discretionary tender offers for their units pursuant to
written tenders. Repurchases will be made at such times, in such
amounts, and on such terms as may be determined by the Man-Glenwood Funds’
boards, in their sole discretion. Under certain circumstances, such
tender offers may not occur as scheduled or may not be sufficient to satisfy the
full amount requested to be repurchased by Man-AHL 130. However, the
Man-Glenwood Funds’ component of Man-AHL 130’s portfolio represents an
allocation of only 30% of Man-AHL 130’s capital, and the Managing Member
believes that any delays in receiving repurchase payments from the Man-Glenwood
Funds are unlikely to adversely affect Man-AHL 130’s operations.
The
Managing Member does not anticipate the need for additional sources of
liquidity, given that generally approximately 70% of Man-AHL 130’s
capital is held in cash and highly liquid cash equivalents, and, if necessary,
Man-AHL 130 is expected to be able to liquidate part of its investment in the
Man-Glenwood Funds through the Man-Glenwood Funds’ quarterly tender
process. Other than potential market-imposed limitations on
liquidity, due to, for example, daily price fluctuation limits inherent in
futures trading, the majority of Man-AHL 130’s assets are highly liquid and are
expected to remain so.
14
Man-AHL
130 will raise additional capital only through the sale of its Units and does
not intend to raise any capital through borrowings. Due to the nature
of the Man-AHL 130’s business, it will make no capital expenditures and will
have no capital assets which are not operating capital or assets.
There
have been no material changes with respect to Man-AHL 130’s accounting
principles, off-balance sheet arrangements or contractual obligations reported
in Man-AHL 130’s Annual Report on Form 10-K for the fiscal year ended March 31,
2009.
Results
of Operations
Man-AHL
130 was organized on April 14, 2005 under the Delaware Limited Liability Company
Act, and
its Registration Statement under the Securities Act of 1933, as amended, became
effective on February 1, 2007. Man-AHL 130 commenced trading
operations April 2, 2007 in respect of its Class A Units. During its
operations for the three months and nine months ending December 31, 2009,
Man-AHL 130 experienced no meaningful periods of illiquidity in any of the
markets traded by the AHL Diversified Program.
Due to
the nature of Man-AHL 130’s business activities being trading in the futures and
forward markets and investing in the Man-Glenwood Funds, the results of
operations for the interim period presented should not be considered indicative
of the results that may be expected for the entire year.
Period Ended December 31,
2009:
31-December-09
|
||||
Ending
Equity (Class A Units)
|
$ | 7,647,023 | ||
Ending
Equity (Class B Units)
|
13,147,833 | |||
Ending
Equity (Total)
|
$ | 20,794,856 |
Three
months ended December 31, 2009:
Net
assets attributable to Class A Units decreased $3,089,288 for the three months
ended December 31, 2009. This decrease was attributable to
subscriptions in the amount of $25,000 redemptions in the amount of $2,524,511
and a net loss from operations of $589,777.
Net
assets attributable to Class B Units decreased $1,685,632 for the three months
ended December 31, 2009. This decrease was attributable to
subscriptions in the amount of $96,107, redemptions in the amount of $941,129
and a net loss from operations of $840,610.
Management
Fees of $174,434, Client Servicing Fees of $25,727 (Series 1 Units only) and
brokerage commissions of $26,763 were paid or accrued, and interest of $18,216
was earned or accrued on Man-AHL 130’s cash and cash equivalent investments, for
the three months ended December 31, 2009.
Man-AHL
130 paid administrative expenses for legal, audit, accounting and administration
services, limited to 1/12 of 0.50% per month of Man-AHL 130’s month-end NAV
through March 2009. Effective April 1, 2009, operating expenses in
excess of 0.50% per annum of net asset value are no longer reimbursed by the
Managing Member. Professional and administrative fees and other
expenses, paid or accrued, for the three months ended December 31, 2009 were
$138,529.
15
Nine
months ended December 31, 2009:
Net
assets attributable to Class A Units decreased $10,182,638 for the nine months
ended December 31, 2009. This decrease was attributable to
subscriptions in the amount of $848,666 redemptions in the amount of $9,637,421
and a net loss from operations of $1,393,883.
Net
assets attributable to Class B Units decreased $830,761 for the nine months
ended December 31, 2009. This increase was attributable to
subscriptions in the amount of $3,214,094, redemptions in the amount of
$2,565,478 and a net loss from operations of $1,479,377.
Management
Fees of $596,071, Client Servicing Fees of $78,374 (Series 1 Units only) and
brokerage commissions of $73,451 were paid or accrued, and interest of $58,393
was earned or accrued on Man-AHL 130’s cash and cash equivalent investments, for
the nine months ended December 31, 2009.
Man-AHL
130 paid administrative expenses for legal, audit, accounting and administration
services, limited to 1/12 of 0.50% per month of Man-AHL 130’s month-end NAV
through March 2009. Effective April 1, 2009, operating expenses in
excess of 0.50% per annum of net asset value are no longer reimbursed by the
Managing Member. Professional and administrative fees and other
expenses, paid or accrued, for the nine months ended December 31, 2009 were
$511,102.
Three
months ended December 31, 2009:
During
the three month period ended December 31, 2009, short positions in grains
suffered early in the period as prices rallied on poor weather forecasts for
various exporting regions. Bond market trading posted a loss over the
fourth quarter as long positions, with the exception of Australian bonds, were
affected by directionless moves. Bond markets were particularly
impacted by the uncertainty surrounding the future path of interest
rates. With respect to currencies, there were two main drivers of
returns over the period; the U.S. dollar and the Japanese yen. The
energy sector posted a loss over the quarter. The majority of losses were
attributed to crude oil and other oil related products as positions whipsawed as
prices tended to be highly volatile over the period. Trading in the
interest rate sector finished the quarter with a flat return as profits from
Eurodollar trading completely offset losses attributed to Euribor
contracts. Market interest rate expectations were divided over the
period, with speculation seesawing as to the timing of a return to more elevated
interest rate levels. Trading in metals markets posted the largest
gain for the program over the period. The majority of positions were long over
the quarter and hence benefitted from the general tick up in commodity
prices. As far as trading in stock indices, long positions benefitted
from a continuation of the bullish investor sentiment which has seen some
markets rally over fifty percent from their March lows.
During
the period ended December 31, 2009, the Man-Glenwood Funds’ equity hedged style
recovered to register a gain for the period after a slow start to the quarter.
Performance was spread across regions, with U.S. and emerging market managers
leading the way. The event driven style closed out the year in fine
form. As has been the case for much of 2009, distressed managers generated most
of the gains. There were modest gains this quarter for global macro
managers, as losses in December detracted from what was shaping up to be a
strong end to the year. Global traders and commodities managers both contributed
to performance. For our managed futures funds, it was a difficult
quarter. Flattish performance in November was sandwiched between losses in
October and December, leaving the style in negative territory for the
year. The relative value style had another strong showing to finish
the year with further gains. The greatest contribution came from the convertible
bond arbitrage strategy which enjoyed a very profitable period.
Three
months ended September 30, 2009:
During
the three month period ended September 30, 2009, the agricultural component of
the AHL Diversified Program posted a profit despite the majority of trades
incurring a loss. Short positions in wheat were the key driver as
prices came under pressure from news that US harvests would meet and
16
possibly
exceed the year’s target. It was an uncertain period for bond
markets. On the one hand, signs of an economic recovery took
investors out of safe haven stocks in search of higher returns. On
the other hand, speculation that interest rates around the globe would stay at
historical lows for the foreseeable future attracted buyers. As a
result the bond sector experienced a loss. Trading in currency
markets was volatile over the quarter, posting a gain in July and a loss in
August before enjoying a strong September. The main theme of the
quarter was the weakening of the US dollar (which fell around 5% on a trade
weighted basis). Trading in energy markets ended up to be the largest
drag on overall performance. On a monthly basis, performance was
relatively flat over July and August, with the bulk of losses coming in
September. Interest rate trading accrued a gain over the quarter led
by long positions in Eurodollar and Short Sterling contracts. The
metals sector experienced a mixed quarter with strong performance in early
September making up for earlier losses. However, choppy markets
towards the end of the period presented difficulties with the AHL Diversified
Program failing to lock profits in. Stock trading was the best
performing sector within the AHL Diversified Program this
quarter. Generally, equities enjoyed one of their strongest quarters
on record as economic data drove investors to price in a recovery and a return
to economic growth. Positions this quarter were almost entirely held
long.
During
the period ended September 30, 2009, the Man-Glenwood Funds’ commodity &
macro managers posted positive results. Rising prices in commodities
and a depreciating US dollar benefited a number of managers in the
space. The distressed & credit style delivered strong results
backed by a strong performance in credit markets during the quarter, as
investors began to embrace a more optimistic corporate
outlook. Companies continued to reduce their leverage through debt
exchanges, while tender offers and refinance maturities were settled through new
issuance. The equity hedge style ended the quarter in positive
territory but underperformed benchmark equity indices. The event
driven style continued to do well this quarter. The surge in equity
values throughout the quarter benefited the net-long event driven managers, some
of whom recorded double digit returns within their more concentrated
portfolios. The relative value style continued to outperform this
quarter, with favorable movements in credit markets, less crowded trading
conditions and an improved financing environment aiding manager
performance. The convertible arbitrage strategy remains the main
performance driver for the style as rising liquidity levels and lower volatility
provided the base for manager performance. The variable equity style
was significantly positive as managers increased gross and net exposures,
enabling them to profit from surging equity markets.
Three
months ended June 30, 2009:
During
the three month period ended June 30, 2009, the agriculturals component of the
AHL Diversified Program produced significant losses, primarily driven by cotton,
wheat, coffee and cocoa positions. Losses were partially recovered in
late June as short positions benefited from news that the US had planted much
larger areas then expected. Sugar produced the greatest return as
long positions gained from a sustained rally. The bond sector
experienced a loss over the quarter, dragged particularly by April’s negative
performance. The AHL Diversified Program’s long positions in US and
European government bonds proved particularly damaging to performance after
prices generally fell as risk appetite rose. Renewed concerns over a
dramatic increase in US government bond issuance over the coming months weighed
heavily on US treasuries. In Europe, bond prices slumped after the
European Central Bank cut rates by a smaller-than-expected
amount. Elsewhere, long positions in Japanese government bonds were
impacted by instable price movements in May. Profits generated from
exposure to Australian bonds over May and June managed to trim
losses. Currency market trading incurred a loss for the quarter as
large degree of choppy movements negatively impacted performance and offset
gains elsewhere. The energy sector produced the largest contribution
to overall returns this quarter. Interest rate trading was the
principal loss-maker for the quarter. Primarily long positions in
Eurodollar, Euribor and Short Sterling were responsible for the losses as the
previously profitable trend reversed in the second half of May and in early
June. However, losses were limited by gains secured in May especially
from long positions in Eurodollar, Euribor and Short Sterling. Metals
suffered losses over the quarter with no positions turning a profit for the
period. Base metals produced the worst return with short positions in
Nickel, Aluminum and Copper losing heavily as these commodities climbed on
positive manufacturing
17
surveys
in the US, Europe and China and a weal US dollar. Trading in stock
indices finished the quarter in negative territory despite accumulating gains in
April. Highly volatile markets since mid May meant the AHL
Diversified Program could not benefit from any sustained trends and duly
surrendered all earlier profits. The biggest losses were from
exposure to the S&P 500. Despite the index having its best
quarter since 1998, choppy trading meant the AHL Diversified Program was unable
to lock-in these gains.
During
the period ended June 30, 2009, the Man-Glenwood Funds’ commodity and macro
managers ended the
quarter in positive territory as profits generated in May were able to offset
the losses suffered in April and June. Managers that returned gains in May
generally did so by capitalizing on the US yield curve steepening, the rally
energy prices and depreciation of the US dollar against most major currencies.
The
distressed & credit style was the strongest contributor to the portfolio’s
performance in the second quarter backed by strong credit
markets. Credit indices across the investment grade, high-yield,
leveraged loan sectors posted one of their strongest quarters on record, with
signs that the market believes the globally coordinated monetary and fiscal
stimulus has caused the financial system to avert a more prolonged
crisis. The equity hedge style struggled during the first month of
the quarter as short sellers sustained heavy losses as did other managers with
large short exposures that tended to focus on what had been the weakest sectors
year-to-date. Event driven manages delivered solid performance over
the quarter helped by a strong April and May as the broad-based rally across
asset classes generally benefited long-biased managers. The relative
value style continued to make significant headway in the second quarter as the
market rally coincided with nascent pattern of normalization across risk
assets. Credit markets embraced the positive sentiment enveloping
equities and spreads are tighter across all major indices. Variable
equity managers produced positive returns each month on the quarter as they were
able to benefit from the market rally in global equities.
Period Ended December 31,
2008
31-December-08
|
||||
Ending
Equity (Class A Units)
|
$ | 19,145,214 | ||
Ending
Equity (Class B Units)
|
13,916,830 | |||
Ending
Equity (Total)
|
$ | 33,062,044 |
Three
months ended December 31, 2008:
Net
assets attributable to Class A Units decreased $419,403 for the three months
ended December 31, 2008. This decrease was attributable to
subscriptions in the amount of $418,500, redemptions in the amount of $4,832,617
and a net gain from operations of $3,994,714.
Net
assets attributable to Class B Units increased $4,848,644 for the three months
ended December 31, 2008. This increase was attributable to
subscriptions in the amount of $2,705,000, redemptions in the amount of $27,151
and a net gain from operations of $2,170,795.
Management
Fees of $252,692, Incentive Fees of $884,066, Client Servicing Fees of $21,051
and brokerage commissions of $15,249 were paid or accrued, and interest of
$74,868 was earned or accrued on Man-AHL 130’s cash and cash equivalent
investments, for the three months ended December 31, 2008.
Man-AHL
130 pays administrative expenses for legal, audit, accounting and administration
services, limited to 1/12 of 0.50% per month of Man-AHL 130’s month-end NAV
through March 2009. Administrative and other expenses, paid or
accrued, for the three months ended December 31, 2008 were
18
$128,571,
which were offset in part by reimbursement from the Managing Member in the
amount of $83,613.
Nine
months ended December 31, 2008:
Net
assets attributable to Class A Units decreased $1,263,418 for the nine months
ended December 31, 2008. This decrease was attributable to
subscriptions in the amount of $1,690,816, redemptions in the amount of
$4,832,617 and a net gain from operations of $1,878,383.
Net
assets attributable to Class B Units increased $13,916,830 for the nine months
ended December 31, 2008. This increase was attributable to
subscriptions in the amount of $12,725,573, redemptions in the amount of
$152,151 and a net gain from operations of $1,343,408.
Management
Fees of $623,472, Incentive Fees of $1,156,176 Client Servicing Fees of $40,877
and brokerage commissions of $81,916 were paid or accrued, and interest of
$252,458 was earned or accrued on Man-AHL 130’s cash and cash equivalent
investments, for the nine months ended December 31, 2008.
Man-AHL
130 pays administrative expenses for legal, audit, accounting and administration
services, limited to 1/12 of 0.50% per month of Man-AHL 130’s month-end NAV
through March 2009. Administrative and other expenses, paid or
accrued, for the nine months ended December 31, 2008 were $383,926, which were
offset in part by reimbursement from the Managing Member in the amount of
$270,181.
Three months ended December 31,
2008:
During
the three month period ended December 31, 2008, trading by the AHL Diversified
Program in all sectors contributed to performance, led by strong gains from
currency and bond markets. Lingering concerns over the sustainability
of the global banking system, worldwide recessionary fears, talk of deflation
and severe risk aversion were all issues that made this period a challenging
investing environment. However, amid this testing environment many
financial markets exhibited strong trending behavior. Trading in base
metals enjoyed a profitable quarter. Short positions were held for
the majority of markets traded and trading in precious metals finished the
quarter relatively flat. Trading in energy markets posted significant
gains. Positions held within the agricultural sector posted a profit
over the quarter as all but one contract contributed positively to overall
performance. Government bond markets generally rallied throughout the
quarter as the economic outlook worsened. Adding further buying
pressure was a general theme of risk aversion amongst investors over the
quarter, with many favoring the safety of government
securities. Trading in stock indices also posted a gain over the
period. Short positioning in almost all markets traded contributed
positively to overall performance while interest rate trading enjoyed a
profitable quarter, contributing strong gains despite a relatively small
allocation. Strong trends emerged in interest rate markets as it
became apparent that central banks around the globe would respond to the growing
economic crisis and increasing talk of deflationary pressures by aggressively
slashing interest rates. Trading in currency markets posted a strong
return, ending the quarter as the largest contributor to profits. One
of the key trades this quarter was short British pound positions against the US
dollar and Euro. The dollar was viewed by investors as a safe haven
currency and as such attracted a huge amount of buying interest.
During
the period ended December 31, 2008, the Man-Glenwood Funds’ commodity and macro
managers posted mixed results with the bulk of losses stemming from a difficult
October which saw extreme price movements across all asset
classes. The equity hedge style posted a positive return for the
quarter. Volatility spiked to a record high 80% on October 27 before
closing around 60%. Event driven managers have had a difficult time
this year, as this style tends to move in sympathy with the equity
markets. Activist managers were largely down in the
quarter. The relative value style posted negative performance
overall. Gloomy economic data set the tone for continued falling
government bond yields as central banks maintained their policy of aggressively
cutting rates. Variable equity managers posted negative returns for
the quarter. Losses from long-biased thematic managers offset any
gains. The majority of the distressed
19
and
credit managers posted negative returns for the quarter. The best
performing manager posted consistently positive performance through the
quarter. This was largely attributable to net short
positioning.
Three months ended September 30,
2008:
During
the three month period ended September 30, 2008, trading by the AHL Diversified
Program in the agricultural sector produced a small loss. However,
short positions in cotton and wheat profited over the quarter. Gains,
however, were more than offset by long positions in corn and soybeans after both
suffered severe price declines after reaching record highs. The grain
market also came under increasing pressure as the US dollar rebounded over the
period. Bond trading posted a loss over the third
quarter. Euro Bond and UK Gilt positions posted the majority of their
losses in July as short positions struggled. European Bond prices
ticked upwards as economic data continued to indicate that the European economy
as a whole was under pressure. Positions in Japanese bonds posted a
solid gain in August, but in September this gain was reversed and additional
losses occurred. On the positive side, long Australian bonds achieved
strong profits in August. The currency component incurred a loss over
the reporting period. Long positions in the euro against the US
dollar detracted from performance as the US dollar increased against the euro
after relatively strong US economic data releases gave support to the US
currency, while the euro depreciated. Long positions in the
Australian dollar against the US dollar were also among the main detractors as
the Australian currency tumbled against the US currency. Short
positions in the Japanese yen against the US dollar also proved detrimental to
overall performance. Long positions in the euro against the Swiss
franc and the British pound posted further losses as the European single
currency weakened significantly. Further positive contributions came
from short positions in the Swiss franc against the US dollar as the US currency
strengthened over the course of the reporting period. Trading within
the energy sector posted a sharp decline in the 3rd
quarter of 2008 as all markets posted losses. Natural gas prices fell
by almost 50% over the period. Reports from the US Energy Department
highlighted an increase in inventories as the economic picture continued to
deteriorate, reducing demand. Interest rate positions posted a loss
over the quarter. Trading in Euribor contracts was the main source of
negative returns as prices remained volatile and without a clear trend for the
majority of the quarter. On the positive side, long positions in
Australian T-Bills posted solid gains in August and September. Metal
trading posted a loss over the period. Although initially profiting,
gains reversed into losses after prices tumbled over the majority of
July. Long copper positions generated further losses in August as
recessionary fears deepened. On the positive side, short nickel
trades performed well. Short positions in numerous stock indices
provided strong profits over the period after global equities fell sharply as
the credit crisis continued to deepen and spill over into the wider
economy. Returns were mainly accrued from Asia-Pacific indices such
as the Nikkei 225, TOPIX and Hang Seng after they experienced some of the
greatest falls over the quarter. Short positions in the S&P 500
index also harvested profits over the period.
During
the period ended September 30, 2008, the Man-Glenwood Funds’ commodity &
macro managers posted losses. The sell-off in commodities that began
in July continued throughout the quarter. Market volatility reached
historic highs at quarter-end as technical pressures and unprecedented
government interventions seemed to only aggravate already poor market
conditions. Strong reversals (in terms of speed and magnitude) in
equities, currencies, fixed income and commodities throughout September had a
significant negative effect on most managers’ performance. The
majority of positive returns were generated from relative value trades early in
the quarter with their defensive posture helping to preserve capital as the
markets deteriorated. However, the government ban on short selling
prevented the short common equity from hedging losses from the long trust
preferreds. Equity hedge managers also had a difficult quarter,
posting negative returns across the board with the exception of our dedicated
short sellers. Event driven and activist managers have had a
difficult year so far and the third quarter was no
exception. Overall, the relative value allocation
underperformed. Convertible arbitrage managers suffered the most due
to continued credit concerns and very limited liquidity. On a
positive note, one multi-strategy manager benefited from the relative
performance of specific stock positions in their relative value, special
situations and merger arbitrage trades and posted strong positive performance
for the quarter. Performance for variable equity managers was largely
negative for the quarter (most losses came in September).
20
Three
months ended June 30, 2008:
During
the three month period ended June 30, 2008, the agriculturals component of the
AHL Diversified Program returned a profit as long positions in corn led
performance. On the downside, short positions in wheat incurred
losses after the commodity rallied in June. Long positions in cocoa made gains,
predominantly in June. Bond trading posted a loss as gains in European bonds
were offset by losses in Japanese government bonds and US
Treasuries. Short positions in Euro-Bund, Euro-Schatz and Euro-BOBL
profited. However, losses in April affected returns after long
Japanese bonds experienced a large-scale sell-off as annual inflation hit a
10-year high. Later in the period, short positions in Japanese bonds
suffered as yields fell. Trading in US Treasuries was also negative as a choppy
environment led to losses in both long and short positions. Currency trading
finished the quarter flat as gains from long Brazilian real and Australian dollar
trades against the US dollar were offset by losses realized from short Japanese
yen and British pound positions against the US dollar as well as unfavorable
results from Swiss franc trading against the US dollar. Trading
within the energy sector secured the largest gains over the 2nd quarter of 2008
as all markets posted gains. Long natural gas positions also added
strong profits over the quarter as prices rose 31%, peaking at US $13.353. Long
positions in other crude oil distillates such as RBOB gasoline, heating oil and
gas oil also posted strong profits over the quarter. Interest rates
trading performed well, driven by short positions in Euribor and Short Sterling
contracts, although towards the end of the quarter short positions in Eurodollar
contracts produced losses. Metals trading posted a flat return. Base
metals contributed profits with long positions in copper and aluminum paying off
well, while short positions in zinc supported well. However, precious
metals offset gains after long gold trades suffered from a drop in prices to
around US $850 at the beginning of May. Towards the end of the
period, gold started to recover. Stock trading incurred a loss, with trades in
the Nikkei 225 and Topix 100 indices proving to be the main detractors to
performance. Short equity positions, particularly in the Japanese indices
mentioned above, suffered in April and May. However, in June, global
equities plummeted. As a result long positions in a number of headline bourses,
such as the Nasdaq 100, detracted from performance.
During
the period ended June 30, 2008, the Man-Glenwood Funds’ commodity & macro
managers posted a strongly positive return. The top performing
distressed and credit manager has consistently generated positive performance in
a variety of strategies and geographies over the quarter. Equity
hedge managers generally posted a profit for the quarter, with the exception of
one manager that underperformed in June. A dedicated short seller,
finished the quarter in positive territory rebounding from earlier
losses. A Japan-focused, market neutral manager has consistently
generated solid performance throughout the quarter; both of their sub-trading
styles (e.g., fundamental and flow-oriented) contributed. Event driven manager
performance was mixed generating a slightly positive overall return at the style
level. The general tone of the market was negative and US event
managers have been slow to increase gross and net exposures in this
environment. An activist manager suffered losses in consumer-oriented
positions but maintains high conviction in these holdings. Several
managers suffered in June offsetting gains from the beginning of the quarter.
One thematic, “friendly” activist manager made major gains in beginning of the
quarter on their alternative energy and engineering & construction holdings
(these positions gave up some gains in June but the manager is still up around
25% on the quarter). Positive relative value performance for the
quarter was driven largely from one convertible arbitrage
manager. Variable equity managers posted mixed, but overall positive,
performance.
ITEM
3. Quantitative
and Qualitative Disclosures About Market Risk
Not
required.
ITEM
4T. Controls
and Procedures
The
Managing Member, with the participation of the Managing Member's principal
executive officer and principal financial officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and
procedures with respect to Man-AHL 130 as of the end of the fiscal quarter ended
December
21
31,
2009. Based on such evaluation, they have concluded that these
disclosure controls and procedures are effective.
Changes in Internal Control
over Financial Reporting
There
were no significant changes in Man-AHL 130’s internal control over financial
reporting during the quarter ended December 31, 2009 that have materially
affected, or are reasonably likely to materially affect, our internal control
over financial reporting.
PART II - OTHER
INFORMATION
Item
1. Legal Proceedings.
None.
Item
1A. Risk Factors
Not
required.
Item
2. Unregistered Sales of Equity Securities and Use of
Proceeds.
(a) There
were no sales of unregistered securities during the period covered by this
Report.
(b) Information
required by Regulation S-K 701(f):
(1) The use of proceeds information is
being disclosed for Registration Statement No. 333-126172 declared effective on
July 31, 2009.
(2) The offering of Man-AHL 130’s Units
of Limited Liability Company Interest commenced on or about March 31, 2007 and
Units are offered as of the beginning of each calendar month on a continuous
basis.
(3) Not applicable.
(4) (i) The offering of the Units has
not terminated.
(ii) Man Investments Inc. acts as the
lead selling agent for Man-AHL 130.
(iii) Man-AHL 130 has registered Class
A Units of Limited Liability Company Interest and Class B Units of Limited
Liability Company Interest.
(iv) Man-AHL 130 has registered 500,000
Class A Units and 500,000 Class B Units to be sold initially at $100 per Unit
and, thereafter, at the month-end net asset value per outstanding Unit as of
each month-end. The aggregate initial offering price of each Class of
Units registered is $50,000,000. As of December 31, 2009, Man-AHL 130
completed the sale of 173,493.56 Class A Units and the aggregate offering price
of the amount of Class A Units sold was $17,989,482.25 and 131,787.29 Class B
Units and the aggregate offering price of the amount of Class B Units sold was
$17,131,641.77.
(v) As of
December 31, 2009, no expenses were incurred for the account of Man-AHL
130.
(vi) Net offering proceeds to Man-AHL
130 as of December 31, 2009 were $35,121,124.02.
(vii) As of December 31, 2009, the
amount of net offering proceeds to Man-AHL 130 for commodity futures and forward
trading and investment in the Man-Glenwood Funds totaled
$35,121,124.02.
22
(viii) Not applicable.
(c) Pursuant
to Man-AHL 130’s Limited Liability Company Agreement, Unitholders may redeem
their Units at the end of each calendar quarter at the then current quarter-end
Net Asset Value per Unit. If quarter-end redemptions are requested
for more than 15% of Man-AHL 130’s total then-outstanding Units, each redemption
request will be reduced pro rata so that only 15% of Man-AHL 130’s total
then-outstanding Units are redeemed. In order to pay redemption
proceeds, it may be necessary for Man-AHL 130 to tender for repurchase a portion
of its investment in the Man-Glenwood Funds. Each Man-Glenwood Fund
generally withholds 5% of the proceeds of a total repurchase from such
Man-Glenwood Fund until the completion of the Man-Glenwood Fund’s annual
audit. The amount withheld from a total repurchase by Man-AHL 130
from the Man-Glenwood Funds will be approximately 1.5% of a Unitholder’s total
investment. Rather than withhold redemption proceeds from Unitholders
redeeming Units, however, the Managing Member intends to pay the full redemption
amount due to redeeming Unitholders and the amount subsequently paid to Man-AHL
130 by the Man-Glenwood Funds from the amount withheld will be a general asset
of Man-AHL 130. Other than any affect of the foregoing, the
redemption of Units has no impact on the value of Units that remain outstanding,
and Units are not reissued once redeemed. The following table
summarizes the amount of Units redeemed, exclusive of non-cash transfers, during
the three months ended December 31, 2009:
Class A Units
|
Class B Units
|
|||
Date of Redemption:
|
Amount Redeemed:
|
Amount Redeemed:
|
||
October
31, 2009
|
$0
|
$0
|
||
November
30, 2009
|
$0
|
$0
|
||
December
31, 2009
|
$2,524,514
|
$941,129
|
||
TOTAL
|
$2,524,514
|
$941,129
|
.
Item
3. Defaults upon Senior Securities.
Not
applicable.
Item
4. Submissions of Matters to a Vote of Security
Holders.
None.
Item
5. Other Information.
None.
Item
6. Exhibits.
The
following exhibits are included herewith:
Designation Description
31.1 Rule
13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.2 Rule
13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32.1 Section
1350 Certification of Principal Executive Officer
32.2 Section
1350 Certification of Principal Financial Officer
23
The
following exhibit is incorporated by reference from the exhibit of the same
number and description filed with Man-AHL 130’s Registration Statement (File No.
333-126172) filed on June 28, 2005 on Form S-1 under the Securities Act of
1933.
3.01(i)
|
Certificate
of Formation of Registrant.
|
The
following exhibit is incorporated by reference from the exhibits of the same
number and description filed with Amendment No. 3 to Man-AHL 130’s Registration
Statement (File No. 333-126172) filed on April 17, 2006 on Form S-1 under the
Securities Act of 1933.
10.02
|
Form
of Customer Agreement between the Registrant and Man Financial
Inc.
|
The
following exhibit is incorporated by reference from the exhibits of the same
number and description filed with Amendment No. 5 to Man-AHL 130’s Registration
Statement (File No. 333-126172) filed November 29, 2006 on Form S-1 under the
Securities Act of 1933.
10.01
|
Form
of Administration Agreement between Man-AHL 130 and the
Administrator.
|
The
following exhibits are incorporated by reference from the exhibits of the same
number and description filed with Amendment No. 6 to Man-AHL 130’s Registration
Statement (File No. 333-126172) filed January 18, 2007 on Form S-1 under the
Securities Act of 1933.
1.01
|
Form
of General Distributor’s Agreement between the Registrant and Man
Investments Inc.
|
10.02(a)
|
Addendum
to the Form of Customer Agreement between the Registrant and Man Financial
Inc.
|
10.03
|
Form
of Trading Advisory Agreement between Registrant and Man-AHL (USA) Ltd.
(amended).
|
10.04
|
Form
of Escrow Agreement among the Registrant, the Managing Member and the
Escrow Agent.
|
The
following exhibit is incorporated by reference from the exhibit of the same
number and description filed with Post-Effective Amendment No. 1 to Man-AHL
130’s Registration Statement (File No. 333-126172) filed October 16, 2007 on
Form S-1 under the Securities Act of 1933.
10.03(a)
|
Amendment
to the Form of Trading Advisory
Agreement.
|
The
following exhibit is incorporated by reference from the exhibit of the same
number and description filed with Post-Effective Amendment No. 2 to Man-AHL
130’s Registration Statement (File No. 333-126172) filed July 18, 2008 on Form
S-1 under the Securities Act of 1933.
10.06
|
Form
of Trading Advisory Agreement between the Registrant and Man Investments
Limited.
|
The
following exhibits are incorporated by reference from the exhibit of the same
number and description filed with Post-Effective Amendment No. 3 to Man-AHL
130’s Registration Statement (File No. 333-126172) filed July 6, 2009 on Form
S-1 under the Securities Act of 1933.
3.02
|
Limited
Liability Company Agreement of the
Registrant.
|
10.05
|
Form
of Application and Power of
Attorney.
|
24
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 on February 16, 2010.
Man-AHL
130, LLC
(Registrant)
|
|||
By:
Man Investments (USA) Corp.
Managing
Member
|
|||
By: | /s/ Andrew Stewart | ||
President, Director, Chief Executive Officer and Chief | |||
Operating Officer | |||
(Principal Executive Officer) | |||
By: | /s/ Alicia Borst Derrah | ||
Director, Vice President, Chief Financial Officer and Secretary | |||
(Principal Financial and Accounting Officer) |
25
EXHIBIT
INDEX
Exhibit
Number Description of
Document
31.1 Rule
13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.2 Rule
13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32.1 Section
1350 Certification of Principal Executive Officer
32.2 Section
1350 Certification of Principal Financial Officer
E-1