Attached files
file | filename |
---|---|
10-K/A - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_fm10ka.htm |
EX-13.03 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex1303.htm |
EX-32.02 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex3202.htm |
EX-32.01 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex3201.htm |
EX-31.02 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex3102.htm |
EX-13.01 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex1301.htm |
EX-31.01 - MAN FRM MANAGED FUTURES STRATEGIES LLC | efc10-180_ex3101.htm |
EXHIBIT 13.02
ML ALTIS
FUTURESACCESS LLC
(A
Delaware Limited Liability Company)
|
||
Financial
Statements for the year ended December 31, 2008 and
for
the period April 2, 2007 (commencement of operations) to
December
31, 2007 and Independent Auditor’s Report
|
ML ALTIS
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
TABLE OF
CONTENTS
Page | |
INDEPENDENT
AUDITORS’ REPORT
|
1
|
FINANCIAL
STATEMENTS:
|
|
Statements
of Financial Condition as of December 31, 2008 and 2007
|
2
|
Statements
of Operations for the year ended December 31, 2008 and
|
|
for
the period April 2, 2007 (commencement of operations) to December 31,
2007
|
3
|
Statements
of Changes in Member’s Capital for the year ended December 31, 2008
and
|
|
for
the period April 2, 2007 (commencement of operations) to December 31,
2007
|
4
|
Financial
Data Highlights for the year ended December 31, 2008 and
|
|
for
period April 2, 2007 (commencement of operations) to December 31,
2007
|
5
|
Notes
to Financial Statements
|
7 |
ML ALTIS
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS
OF FINANCIAL CONDITION
DECEMBER
31, 2008 AND 2007
2008
|
2007
|
|||||||
ASSETS:
|
||||||||
Equity
in commodity futures trading accounts:
|
||||||||
Cash
(including restricted cash of $12,672,967 for 2008 and $4,525,486 for
2007)
|
$ | 87,195,883 | $ | 16,859,760 | ||||
Net
unrealized profit (loss) on open contracts
|
13,434,337 | 2,107,998 | ||||||
Cash
|
28,201 | 37,861 | ||||||
Deferred
initial offering costs
|
- | 2,417 | ||||||
Accrued
interest
|
10,145 | 50,525 | ||||||
TOTAL
ASSETS
|
$ | 100,668,566 | $ | 19,058,561 | ||||
LIABILITIES AND MEMBER'S
CAPITAL:
|
||||||||
LIABILITIES:
|
||||||||
Brokerage
commissions payable
|
$ | 45,317 | $ | 10,349 | ||||
Management
fee payable
|
199,274 | 35,713 | ||||||
Redemptions
payable
|
22,933 | - | ||||||
Perfomance
fee payable
|
6,801,659 | 605,453 | ||||||
Initial
offering costs payable
|
10,000 | 10,000 | ||||||
Other
|
112,535 | 18,227 | ||||||
Total
liabilities
|
7,191,718 | 679,742 | ||||||
MEMBER'S
CAPITAL:
|
||||||||
Member's
Interest (46,511,477 Units and 14,888,836 Units outstanding, unlimited
units authorized)
|
93,476,848 | 18,378,819 | ||||||
Total
member's capital
|
93,476,848 | 18,378,819 | ||||||
TOTAL
LIABILITIES AND MEMBER'S CAPITAL
|
$ | 100,668,566 | $ | 19,058,561 | ||||
NET
ASSET VALUE PER UNIT
|
$ | 2.0098 | $ | 1.2344 | ||||
See
notes to financial statements.
|
||||||||
2
ML ALTIS FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS
OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2008 AND
FOR THE
PERIOD APRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31,
2007
2008
|
2007
|
|||||||
TRADING
PROFIT (LOSS):
|
||||||||
Realized
|
$ | 26,605,234 | $ | 1,273,993 | ||||
Change
in unrealized
|
11,326,339 | 2,107,998 | ||||||
Brokerage
commissions
|
(328,239 | ) | (68,144 | ) | ||||
Total
trading profit (loss)
|
37,603,334 | 3,313,847 | ||||||
INVESTMENT
INCOME:
|
||||||||
Interest
|
697,265 | 474,686 | ||||||
EXPENSES:
|
||||||||
Management
fee
|
1,141,904 | 214,966 | ||||||
Performance
fee
|
7,244,896 | 610,793 | ||||||
Other
|
238,008 | 50,999 | ||||||
Total
expenses
|
8,624,808 | 876,758 | ||||||
NET
INVESTMENT INCOME (LOSS)
|
(7,927,543 | ) | 402,072 | |||||
NET
INCOME (LOSS)
|
$ | 29,675,791 | $ | 2,911,775 | ||||
NET
INCOME (LOSS) PER UNIT:
|
||||||||
Weighted
average number of Units outstanding
|
||||||||
Class
DS(1)*
|
33,650,409 | 12,367,586 | ||||||
Net
income (loss) per weighted average Unit
|
||||||||
Class
DS(1)*
|
$ | 0.8819 | $ | 0.2354 | ||||
*Class
was previously known as Class D-SM.
|
||||||||
See
notes to financial statements.
|
||||||||
3
ML ALTIS
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
STATEMENTS
OF CHANGES IN MEMBER’S CAPITAL FOR THE YEAR ENDED DECEMBER 31, 2008
AND
FOR THE
PERIOD APRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31,
2007
Initial
Offering
|
Member's
Capital December 31, 2007
|
Member's
Capital December 31, 2008
|
||||||||||||||||||||||||||
Subscriptions
|
Redemptions
|
Subscriptions
|
Redemptions
|
|||||||||||||||||||||||||
Class
DS*
|
12,000,000 | 3,208,646 | (319,810 | ) | 14,888,836 | 36,307,705 | (4,685,064 | ) | 46,511,477 | |||||||||||||||||||
Total
Member's Units
|
12,000,000 | 3,208,646 | (319,810 | ) | 14,888,836 | 36,307,705 | (4,685,064 | ) | 46,511,477 | |||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||
Initial
Offering
|
Subscriptions
|
Redemptions
|
Net
Income
|
Member's
Capital December 31, 2007
|
Subscriptions
|
Redemptions
|
Net
Income
|
Member's
Capital December 31, 2008
|
||||||||||||||||||||||||||||
Class
DS*
|
12,000,000 | $ | 3,812,206 | $ | (345,162 | ) | $ | 2,911,775 | $ | 18,378,819 | $ | 53,485,868 | $ | (8,063,630 | ) | |||||||||||||||||||||
Total
Member's Capital
|
$ | 12,000,000 | $ | 3,812,206 | $ | (345,162 | ) | $ | 2,911,775 | $ | 18,378,819 | $ | 53,485,868 | $ | (8,063,630 | ) | $ | 29,675,791 | $ | 93,476,848 |
*Class
was previously known as Class D-SM
See notes
to financial statements.
4
ML ALTIS
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
FINANCIAL
DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2008
The
following per Unit data and ratios have been derived from information provided
in the financial statements.
Per Unit Operating
Performance:
|
Class
DS*
|
|||
Net
asset value, beginning of period
|
$ | 1.2344 | ||
Realized
& change in unrealized trading profit
|
0.9909 | |||
Brokerage
commissions
|
(0.0100 | ) | ||
Interest
income
|
0.0235 | |||
Expenses
|
(0.2290 | ) | ||
Net
asset value, end of period
|
$ | 2.0098 | ||
Total Return:
|
||||
Total
return before Performance fees
|
79.59 | % | ||
Performance
fees
|
-13.44 | % | ||
Total
return after Performance fees
|
62.76 | % | ||
Ratios to Average Members'
Capital:
|
||||
Expenses
(excluding Performance fees)
|
2.51 | % | ||
Performance
fees
|
12.00 | % | ||
Expenses
(including Performance fees)
|
14.51 | % | ||
Net
investment income (loss)
|
-12.88 | % | ||
See
notes to financial statements.
|
||||
5
ML ALTIS
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
FINANCIAL
DATA HIGHLIGHTS FOR THE PERIOD APRIL 2, 2007 (COMMENCEMENT OF OPERATIONS) TO
DECEMBER 31, 2007
The
following per Unit data and ratios have been derived from information provided
in the financial statements.
Per Unit
Operating Performance:
|
Class
DS*
|
|||
Net
asset value, beginning of period
|
$ | 1.0000 | ||
Realized
& change in unrealized trading profit
|
0.2724 | |||
Brokerage
commissions
|
(0.0055 | ) | ||
Interest
income
|
0.0384 | |||
Expenses
|
(0.0709 | ) | ||
Net
asset value, end of period
|
$ | 1.2344 | ||
Total
Return:
|
||||
Total
return before Performance fees
|
28.37 | % | ||
Performance
fees
|
-4.68 | % | ||
Total
return after Performance fees
|
23.43 | % | ||
Ratios to
Average Members' Capital:
|
||||
Expenses
(excluding Performance fees)
|
2.54 | % | ||
Performance
fees
|
5.83 | % | ||
Expenses
(including Performance fees)
|
8.37 | % | ||
Net
investment income (loss)
|
3.83 | % | ||
*Class
was previously known as Class SM-D.
|
||||
See
notes to financial statements.
|
||||
6
ML ALTIS
FUTURESACCESS LLC
(A Delaware Limited Liability
Company)
NOTES TO
FINANCIAL STATEMENTS
1.
|
SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES
|
|
Organization
|
|
ML
Altis FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess
Program (the “Program”) fund, was organized under the Delaware Limited
Liability Company Act on March 8, 2007 and commenced trading activities on
April 2, 2007. The Fund engages in the speculative trading of futures,
options on futures and forward contracts on a wide range of commodities.
Altis Partners (Jersey) Limited (“Altis”) is the trading advisor of the
Fund. Merrill Lynch Alternative Investments LLC (“MLAI”) is the
Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of
Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce,
Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary
of Merrill Lynch, is the Fund’s commodity broker.
The Program is a group of commodity pools sponsored by MLAI (each
pool is a “Program Fund” or collectively, “Program Funds”) each of which
places substantially all of it assets in a managed futures or forward
trading account managed by a single or multiple commodity trading
advisors. Each Program Fund is generally similar in terms of fees, Classes
of Units and redemption rights. Each of the Program Funds
implements a different trading strategy
|
|
Effective January 1, 2009, Merrill Lynch & Co., Inc. became
a wholly-owned subsidiary of Bank of America Corporation pursuant to a
merger agreement.
Interests in the Fund are not insured or otherwise protected by the
Federal Deposit Insurance Corporation or any other government
authority. Interests are not deposits or other obligations of,
and are not guaranteed by, Bank of America Corporation or any of its
affiliates or by any bank. Interests are subject to investment
risks, including the possible loss of the full amount
invested.
|
|
Estimates
|
|
The
preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America (“U.S.
GAAP”) requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements
and the reported amounts of revenues and expenses during the reporting
period. Actual results could differ from those
estimates.
|
7
|
Revenue
Recognition
|
|
Commodity
futures, options on futures and forward contract transactions are recorded
on the trade date and open contracts are reflected in Net unrealized
profit (loss) on open contracts in the Statements of Financial Condition
as the difference between the original contract value and the market value
(for those commodity interests for which market quotations are readily
available) or at fair value. The change in unrealized profit
(loss) on open contracts from one period to the next is reflected in
Change in unrealized under Trading profit (loss) in the Statements of
Operations.
|
|
Foreign Currency
Transactions
|
|
The
Fund’s functional currency is the U.S. dollar; however, it transacts
business in U.S. dollars and in currencies other than the U.S.
dollar. Assets and liabilities denominated in currencies other
than the U.S. dollar are translated into U.S. dollars at the rates in
effect at the date of the Statements of Financial
Condition. Income and expense items denominated in currencies
other than the U.S. dollar are translated into U.S. dollars at the rates
in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in Realized in the Statements
of Operations.
|
|
Cash at
Broker
|
|
A
portion of the assets maintained at MLPF&S is restricted cash required
to meet maintenance margin requirements. Included
in cash deposits with the broker at December 31, 2008 and 2007 were
restricted cash for margin requirements of $12,672,967 and $4,525,486
respectively.
|
|
Operating Expenses,
Offering Costs and Selling
Commissions
|
|
The
Fund pays for all routine operating costs (including ongoing offering
costs, administration, custody, transfer, exchange and redemption
processing, legal, regulatory filing, tax, audit, escrow, accounting and
printing fees and expenses) incurred by the Fund. The Fund also
pays any extraordinary expenses.
|
|
For
financial reporting purposes in conformity with U.S. GAAP, the Fund
amortized the total initial offering costs of $10,000 over a twelve-month
period. For all other purposes, including determining the Net
Asset Value per Unit for subscription and redemption purposes, the Fund
amortizes offering costs over a 60 month
period.
|
|
Income
Taxes
|
|
No
provision for income taxes has been made in the accompanying financial
statements as the Member is individually responsible for reporting income
or loss based on such Member’s share of the Fund’s income and expenses as
reported for income tax purposes.
|
|
Distributions
|
|
The
Member is entitled to receive, equally per Unit, any distributions which
may be made by the Fund. No such distributions have been
declared for the year ended December 31, 2008 and for the period April 2,
2007 (commencement of operations) to December 31,
2007.
|
8
|
Subscriptions
|
|
Units
are offered as of the close of business at the end of each
month. Units are purchased as of the first business day of any
month at Net Asset Value for all other purposes, but the subscription
request must be submitted at least three calendar days before the end of
the preceding month. Subscriptions submitted less than three
days before the end of a month will be applied to Units subscriptions as
of the beginning of the second month after receipt, unless revoked by
MLAI.
|
|
Redemptions and
Exchanges
|
|
A
Member may redeem or exchange some or all of such Member’s Units at Net
Asset Value for all other purposes (see Note 6) as of the close of
business, on the last business day of any month, upon ten calendar days’
notice (“notice period”).
|
|
An
investor in the Fund can exchange these Units for Units of the same Class
in other Program Funds as of the beginning of each calendar month upon at
least ten days prior notice. The minimum exchange amount is
$10,000.
Redemption
requests are accepted within the notice period. The Fund does
not accept any redemption requests after the notice period. All
redemption requests received after the notice period will be processed for
the following month.
|
|
Dissolution of the
Fund
|
|
The Fund may terminate if certain circumstances occur
as set forth in the offering memorandum, which include but are not limited
to the following:
(a) Bankruptcy,
dissolution, withdrawal or other termination of the trading advisor of
this Fund.
(b) Any
event which would make unlawful the continued existence of this
Fund
(c) Determination
by MLAI to liquidate or withdraw from the
Fund.
|
|
Indemnifications
|
|
In the normal course of business, the Fund enters into
contracts and agreements that contain a variety of representations and
warranties and which provide general indemnifications. The
Fund’s maximum exposure under these arrangements is unknown, as this would
involve future claims that may be made against the Fund that have not yet
occurred. The Fund expects the risk of any future obligation
under these indemnifications to be remote.
|
9
2.
|
CONDENSED
SCHEDULE OF INVESTMENTS
|
|
The
Fund’s investments, defined as Net unrealized profit (loss) on open
contracts in the Statement of Financial Condition as of December 31, 2008
and 2007 are as follows:
|
2008
|
||||||||||||||||||||||||||||||||
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)
|
Member's Capital
|
Contracts
|
Profit (Loss)
|
Member's Capital
|
on Open Positions
|
Member's Capital
|
Maturity Dates
|
|||||||||||||||||||||||
Agriculture
|
133 | $ | 348,576 | 0.37 | % | (1,041 | ) | $ | 1,983,290 | 2.12 | % | $ | 2,331,866 | 2.49 | % |
January
09 - November 09
|
||||||||||||||||
Currencies
|
203 | 357,514 | 0.38 | % | (1,366 | ) | 548,704 | 0.59 | % | 906,218 | 0.97 | % |
March
09
|
|||||||||||||||||||
Energy
|
- | - | 0.00 | % | (406 | ) | 1,015,302 | 1.09 | % | 1,015,302 | 1.09 | % |
January
09 - October 09
|
|||||||||||||||||||
Interest
rates
|
2,265 | 6,560,867 | 7.02 | % | - | - | 0.00 | % | 6,560,867 | 7.02 | % |
March
09 - June 10
|
||||||||||||||||||||
Metals
|
120 | (798,776 | ) | -0.85 | % | (451 | ) | 3,184,806 | 3.40 | % | 2,386,030 | 2.55 | % |
January
09 - October 09
|
||||||||||||||||||
Stock
indices
|
126 | 181,858 | 0.19 | % | (95 | ) | 52,196 | 0.06 | % | 234,054 | 0.25 | % |
January
09 - November 09
|
|||||||||||||||||||
Total
|
$ | 6,650,039 | 7.11 | % | $ | 6,784,298 | 7.26 | % | $ | 13,434,337 | 14.37 | % |
2007
|
||||||||||||||||||||||||||||||||
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)
|
Member's Capital
|
Contracts
|
Profit (Loss)
|
Member's Capital
|
on Open Positions
|
Member's Capital
|
Maturity Dates
|
|||||||||||||||||||||||
Agriculture
|
527 | $ | 1,223,885 | 6.66 | % | (218 | ) | $ | (47,351 | ) | -0.25 | % | $ | 1,176,534 | 6.40 | % |
January
08 - November 08
|
|||||||||||||||
Currencies
|
75 | (21,280 | ) | -0.12 | % | (70 | ) | (62,215 | ) | -0.34 | % | (83,495 | ) | -0.45 | % |
March
08
|
||||||||||||||||
Energy
|
119 | 348,016 | 1.89 | % | (93 | ) | (99,209 | ) | -0.54 | % | 248,807 | 1.35 | % |
January
08 - October 08
|
||||||||||||||||||
Interest
rates
|
381 | 322,171 | 1.75 | % | (436 | ) | 88,717 | 0.48 | % | 410,888 | 2.24 | % |
March
08 - June 09
|
|||||||||||||||||||
Metals
|
130 | 42,610 | 0.23 | % | (130 | ) | 316,628 | 1.72 | % | 359,238 | 1.95 | % |
January
08 - October 08
|
|||||||||||||||||||
Stock
indices
|
64 | (44,683 | -0.24 | % | (66 | ) | 40,709 | 0.22 | % | (3,974 | ) | -0.02 | % |
January
08 - November 08
|
||||||||||||||||||
Total
|
$ | 1,870,719 | 10.18 | % | $ | 237,279 | 1.29 | % | $ | 2,107,998 | 11.47 | % |
|
No
individual contract’s unrealized profit or loss comprised greater than 5%
of the Member’s Capital as of December 31, 2008 and
2007.
|
10
3.
|
FAIR VALUE OF
INVESTMENTS
|
In
September 2006, the Financial Accounting Standards Board (“FASB”) issued
Statement of Financial Accounting Standards No. 157, Fair Value Measurement
(“FAS 157”). FAS 157 defines fair value, establishes a framework for measuring
fair value and expands disclosures about fair value measurements. The Fund
adopted FAS 157 as of January 1, 2008. The adoption of FAS 157 did not have a
material impact on the Fund’s financial statements.
Fair
value of an investment is the amount that would be received to sell the
investment in an orderly transaction between market participants at the
measurement date (i.e. the exit price).
FAS 157
established a hierarchical disclosure framework which prioritizes and ranks the
level of market price observability used in measuring investments at fair value.
Market price observability is impacted by a number of factors, including the
type of investment and the characteristics specific to the investment.
Investments with readily available active quoted prices or for which fair value
can be measured from actively quoted prices generally will have a higher degree
of market price observability and a lesser degree of judgment used in measuring
fair value.
Investments
measured and reported at fair value are classified and disclosed in one of the
following categories:
Level I –
Quoted prices are available in active markets for identical investments as of
the reporting date. The type of investments included in Level I are publicly
traded investments. As required by FAS 157, 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. Investments that are included in this category generally are privately
held debt and equity securities.
In
certain cases, the inputs used to measure fair value may fall into different
levels of the fair value hierarchy. In such cases, an investment’s level within
the fair value hierarchy is based on the lowest level of input that is
significant to the fair value measurement. MLAI’s assessment of the significance
of a particular input to the fair value measurement in its entirety requires
judgment, and considers factors specific to the investment.
The
following table summarizes the valuation of the Fund’s investments by the above
FAS 157 fair value hierarchy levels as of December 31, 2008.
Total
|
Level
I
|
Level
II
|
Level
III
|
|||||
Net
unrealized
profit
(loss) on
open
contracts
|
$13,434,337
|
$13,434,337
|
N/A
|
N/A
|
11
4.
|
RELATED
PARTY
TRANSACTIONS
|
|
The
Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in
U.S. dollars, Merrill Lynch credits the Fund with interest at the most
favorable rate payable by MLPF&S to accounts of Merrill Lynch
affiliates but not less than 75% of such prevailing rate. The
Fund is credited with interest on any of its assets and net gains actually
held by MLPF&S non-U.S. dollar currencies at a prevailing local rate
received by Merrill Lynch. Merrill Lynch may derive certain
economic benefit, in excess of the interest which Merrill Lynch pays to
the Fund, from possession of such
assets.
|
Merrill
Lynch charges the Fund at prevailing local interest rates for financing
realized and unrealized losses on the Fund’s non-U.S. dollar-denominated
positions. Such amounts are netted against interest income due to the
insignificance of such amounts.
|
|
The
Fund’s Class A Units pay Sponsor fees to MLAI at a flat monthly rate equal
to 0.125% (a 1.50% annual rate) of the Class’ month-end net assets, Class
C Units pay Sponsor fees to MLAI at a flat monthly rate equal to 0.2083%
(a 2.50% annual rate) of the Class’ month-end net assets, Class I Units
pay Sponsor fees to MLAI at a flat monthly rate equal to 0.0917% (a 1.10%
annual rate) of the Class’ month-end net assets. Class D and
Class DS units do not pay Sponsor fees. Only Class DS Units have been
issued as of December 31, 2008 and 2007 therefore no Sponsor fees have
been paid by the Fund.
|
|
The
Fund pays brokerage commissions on actual cost per
round-turn. The average round-turn commission rate charged to
the Fund for the year ended December 31, 2008 and 2007 was approximately
$17.31 and $10.57 (not including, in calculating round-turn, forward
contracts on a futures-equivalent
basis).
|
|
The
Fund pays Altis annual management fees of 2.00% of the Fund’s average
month-end net assets allocated to them after reduction for the brokerage
commissions accrued with respect to such assets. MLAI receives
50% of the 2.00% management fee for sponsoring and providing ongoing
administration and operational support of the
Fund.
|
5.
|
ADVISORY
AGREEMENT
|
|
The
Fund and Altis have entered into an Advisory Agreement. This agreement
shall continue in effect until December 31, 2016. Thereafter,
this agreement shall be automatically renewed for successive three-year
periods, on the same terms, unless terminated at any time by either Altis
or the Fund upon 90 days’ written notice to the other
party. Altis determines the commodity futures, options on
futures and forward contract trades to be made on behalf of their
respective Fund accounts, subject to certain trading policies and to
certain rights reserved by
MLAI.
|
|
Performance
fees paid by the Fund are calculated as 20% of any New Trading Profit, as
defined, and are recognized by Altis as of either the end of each calendar
year or upon the net reallocation of assets away from
Altis. Performance fees are also paid out in respect of Units
redeemed as of the end of interim months, to the extent of the applicable
percentage of any New Trading Profit attributable to such
Units.
|
12
6/
|
NET
ASSET VALUE PER UNIT
|
|
For
financial reporting purposes, in conformity with U.S. GAAP, the Fund
amortizes over a twelve-month period the initial offering costs for
purposes of determining Net Asset Value. Such costs initially were paid by
MLAI. For all other purposes, including computing Net Asset
Value for purposes of member subscription and redemption activity, such
costs are amortized over 60 months. Consequently, the Net Asset Value and
Net Asset Value per Unit of the different Classes for financial reporting
purposes and for all other purposes as of December 31, 2008 and 2007 are
as follows:
|
December
31,2008
Net
Asset Value
|
Net
Asset Value per Unit
|
|||||||||||||||||||||
All
Other Purposes (unaudited)
|
Financial
Reporting
|
Number
of Units
|
All
Other Purposes (unaudited)
|
Financial
Reporting
|
||||||||||||||||||
Class
DS
|
$ | 93,483,991 | $ | 93,476,848 | 46,511,477 | 2.0099 | .0098 | |||||||||||||||
December
31,2007
Net
Asset Value
|
Net
Asset Value per Unit
|
|||||||||||||||||||||
All
Other Purposes (unaudited)
|
Financial
Reporting
|
Number
of Units
|
All
Other Purposes (unaudited)
|
Financial
Reporting
|
||||||||||||||||||
Class
DS
|
$ | 18,384,903 | $ | 18,378,819 | 14,888,836 | 1.2348 | 1.2344 | |||||||||||||||
7.
|
WEIGHTED
AVERAGE UNITS
|
|
The
weighted average number of Units outstanding for each Class is computed
for purposes of calculating net income per weighted average
Unit. The weighted average number of Units outstanding for each
Class for the period ended December 31, 2008 and 2007 equals the Units
outstanding as of such date, adjusted proportionately for Units sold or
redeemed based on the respective length of time each was outstanding
during the period.
|
8.
|
RECENT
ACCOUNTING
PRONOUNCEMENTS
|
|
In
March 2008, the FASB released Statement of Financial Accounting Standards
No. 161, Disclosures about Derivative Instruments and Hedging Activities –
an amendment to FASB Statement No. 133 (“FAS 161”). FAS 161 requires
qualitative disclosures about objectives and strategies for using
derivatives, quantitative disclosures about fair value amounts of and
gains and losses on derivative instruments, and disclosures about
credit-risk related contingent features in derivative agreements. The
application of FAS 161 is required for fiscal years beginning after
November 15, 2008 and interim periods within those fiscal years.
Currently, the Fund is evaluating the implications of FAS 161 on its
financial statements.
|
|
In
May 2008, the FASB issued Statement of Financial Accounting Standards No.
162, “The Hierarchy of
Generally Accepted Accounting Principles” (“FAS 162”). FAS 162
identifies the sources of accounting principles and the
|
13
|
framework
for selecting the accounting principles used in preparing financial
statements of nongovernmental entities that are presented in conformity
with U.S. GAAP. Currently, U.S. GAAP hierarchy is provided in the American
Institute of Certified Public Accountants U.S. Auditing Standards (“AU”)
Section 411, “The
Meaning of Present Fairly in Conformity With Generally Accepted Accounting
Principles”. The Fund does not expect the adoption of FAS 162 to
have an impact on its financial
statements.
|
9.
|
MARKET
AND CREDIT RISK
|
|
The
nature of this Fund has certain risks, which cannot all be presented on
the financial statements. The following summarizes some of
those risks.
|
|
Market
Risk
|
|
Derivative
instruments involve varying degrees of market risk. Changes in
the level or volatility of interest rates, foreign currency exchange rates
or the market values of the financial instruments or commodities
underlying such derivative instruments frequently result in changes in the
Fund’s net unrealized profit (loss) on open contracts on such derivative
instruments as reflected in the Statements of Financial
Condition. The Fund’s 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 they will, in fact, succeed in doing
so. These procedures focus primarily on monitoring the trading
of Altis, 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 Fund’s market exposure, MLAI may urge
Altis to reallocate positions in an attempt to avoid
over-concentrations. However, such interventions are expected
to be unusual. It is expected that MLAI’s basic risk control
procedures will consist of the ongoing process of advisor monitoring, with
the market risk controls being applied
byAltis.
|
|
|
14
|
Credit
Risk
|
|
The
risks associated with exchange-traded contracts are typically perceived to
be less than those associated with over-the-counter (non-exchange-traded)
transactions, because exchanges typically provide clearinghouse
arrangements in which the collective credit (in some cases limited in
amount, in some cases not) of the members of the exchange is pledged to
support the financial integrity of the exchange. In
over-the-counter transactions, on the other hand, traders must rely solely
on the credit of their respective individual
counterparties. Margins, which may be subject to loss in the
event of a default, are generally required in exchange trading, and
counterparties may also require margin in the over-the-counter
markets.
|
|
The
credit risk associated with these instruments from counterparty
nonperformance is the net unrealized profit on open contracts, if any,
included in the Statements of Financial Condition. The Fund attempts to
mitigate this risk by dealing exclusively with Merrill Lynch entities as
clearing brokers.
|
|
The
Fund, in its normal course of business, enters into various contracts,
with MLPF&S acting as its commodity broker. Pursuant to the
brokerage arrangement with MLPF&S (which includes a netting
arrangement), to the extent that such trading results in receivables from
and payables to MLPF&S, these receivables and payables are offset and
reported as a net receivable or payable and included in Equity in
commodity futures trading accounts in the Statements of Financial
Condition.
|
15
* * * * * * * * * * *
To the
best of the knowledge and belief of the
undersigned,
the information contained in this
report is
accurate and complete.
Barbra E.
Kocsis
Chief
Financial Officer
Merrill
Lynch Alternative Investments LLC
Sponsor
of
ML Altis
FuturesAccess LLC
16