ML BlueTrend FuturesAccess LLC - FORM 10-Q

Attached files

file	filename
EX-32.01 - EX-32.01 - ML BlueTrend FuturesAccess LLC	a10-15314_2ex32d01.htm
EX-32.02 - EX-32.02 - ML BlueTrend FuturesAccess LLC	a10-15314_2ex32d02.htm
EX-31.02 - EX-31.02 - ML BlueTrend FuturesAccess LLC	a10-15314_2ex31d02.htm
EX-31.01 - EX-31.01 - ML BlueTrend FuturesAccess LLC	a10-15314_2ex31d01.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2010

o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-53794

ML BLUETREND FUTURESACCESS LLC

(Exact Name of Registrant as specified in its charter)

Delaware		26-2581977
(State or other jurisdiction of		(IRS Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 10th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

212-449-3517

(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 o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes o No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o		Accelerated filer o

Non-accelerated filer x		Small reporting company o
(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined by Rule 12b-2 of the Exchange Act). Yes o No x

As of June 30, 2010, 202,778,120 units of limited liability company interest were outstanding.

ML BLUETREND FUTURESACCESS LLC

QUARTERLY REPORT FOR JUNE 30, 2010 ON FORM 10-Q

Table of Contents

		PAGE
	PART I

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	17

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	23

Item 4.	Controls and Procedures	27

	PART II

Item 1.	Legal Proceedings	28

Item 1A.	Risk Factors	28

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	29

Item 3.	Defaults Upon Senior Securities	30

Item 4.	(Removed and Reserved)	30

Item 5.	Other Information	30

Item 6.	Exhibits	30

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	June 30,		December 31 ,
	2010		2009
ASSETS:
Equity in commodity futures trading accounts:
Cash (including restricted cash of $22,404,861 for 2010 and $11,700,317 for 2009)	$	239,238,008	$	90,971,917
Net unrealized profit on open futures contracts	6,716,976		728,405
Net unrealized profit on open forwards contracts	1,305,335		127,770
Cash and cash equivalents	191,253		76,198
Other assets	6,838		6,080

TOTAL ASSETS	$	247,458,410	$	91,910,370

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Brokerage commissions payable	$	9,993	$	27,169
Sponsor and Advisory fees payable	3,030,870		1,017,438
Redemptions payable	922,333		33,400
Net unrealized loss on open futures contracts	3,140,097		1,307,418
Net unrealized loss on open forwards contracts	2,436,271		434,457
Other liabilities	70,600		92,289

Total liabilities	9,610,164		2,912,171

MEMBERS’ CAPITAL:
Members’ Interest (202,778,120 Units and 72,246,182 Units outstanding; unlimited Units authorized)	237,848,246		88,998,199
Total members’ capital	237,848,246		88,998,199

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	247,458,410	$	91,910,370

NET ASSET VALUE PER UNIT:

Class A	$	1.0787	$	1.0724
Class C	$	1.0707	$	1.0698
Class D	$	1.0895	$	1.0750
Class I	$	1.0874	$	1.0789
Class DS	$	1.2835	$	1.2665
Class DT	$	1.0543	$	—

See notes to financial statements.

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three months ended			For the three months ended			For the six months ended			For the six months ended
	June 30, 2010			June 30, 2009			June 30, 2010			June 30, 2009
TRADING PROFIT (LOSS):

Realized, net	$	(1,808,394	)	$	(3,195,057	)	$	9,623,872		$	(2,472,514	)
Change in unrealized, net	(9,877,452		)	1,532,229			3,331,643			211,229
Brokerage commissions	(170,321		)	(47,664		)	(367,172		)	(79,461		)

Total trading profit (loss)	(11,856,167		)	(1,710,492		)	12,588,343			(2,340,746		)

INVESTMENT INCOME:
Interest	(1,003		)	970			(1,435		)	7,507

EXPENSES:
Management fee	1,090,219			268,337			1,932,725			526,017
Sponsor fee	206,232			—			341,742			—
Performance fee	(3,266,425		)	—			2,610,546			—
Other	119,313			49,031			213,433			90,928
Total expenses	(1,850,661		)	317,368			5,098,446			616,945

NET INVESTMENT LOSS	1,849,658			(316,398		)	(5,099,881		)	(609,438		)

NET INCOME (LOSS)	$	(10,006,509	)	$	(2,026,890	)	$	7,488,462		$	(2,950,184	)

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A*	4,353,327			—			3,428,577			—
Class C*	23,568,403			—			19,521,899			—
Class D*	12,285,319			—			11,679,292			—
Class I*	8,548,940			—			7,744,983			—
Class DS**	98,720,127			9,759,506			90,697,586			44,375,324
Class DT***	56,388,846			—			57,459,390			—

Net income (loss) per weighted average Unit
Class A*	$	(0.0490	)	$	—		$	(0.0095	)	$	—
Class C*	$	(0.0512	)	$	—		$	(0.0032	)	$	—
Class D*	$	(0.0452	)	$	—		$	0.0171		$	—
Class I*	$	(0.0483	)	$	—		$	0.0149		$	—
Class DS**	$	(0.0531	)	$	(0.2965	)	$	0.0440		$	(0.0665	)
Class DT***	$	(0.0421	)				$	0.0570		$	—

*Units issued on August 1, 2009.

**Units issued on September 1, 2008.

***Units issued on February 1, 2010.

See notes to financial statements.

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2010 and 2009

(unaudited) (in Units)

	Members’ Capital December 31, 2008	Subscriptions	Redemptions		Members’ Capital June 30, 2009	Members’ Capital December 31, 2009	Subscriptions	Redemptions		Members’ Capital June 30, 2010
Class A*	—	—	—		—	1,510,078	2,843,249	—		4,353,327
Class C*	—	—	—		—	9,725,362	14,066,831	(474,368	)	23,317,825
Class D*	—	—	—		—	10,234,679	2,050,640	—		12,285,319
Class I*	—	—	—		—	4,622,411	3,948,545	(22,016	)	8,548,940
Class DS**	40,064,174	7,348,919	(812,573	)	46,600,520	48,153,652	53,563,465	(2,003,187	)	99,713,930
Class DT***	—	—	—		—	—	59,852,165	(5,293,386	)	54,558,779

Total Members’ Units	40,064,174	7,348,919	(812,573	)	46,600,520	74,246,182	136,324,895	(7,792,957	)	202,778,120

*Units issued on August 1, 2009.

**Units issued on September 1, 2008.

***Units issued on February 1, 2010.

See notes to financial statements.

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2010 and 2009

(unaudited)

	Members’ Capital December 31, 2008		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital June 30, 2009		Members’ Capital December 31, 2009		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital June 30, 2010
Class A*	$	—	$	—	$	—		$	—		$	—	$	1,619,480	$	3,109,070	$	—		$	(32,581	)	$	4,695,969
Class C*	—		—		—			—			—		10,404,329		15,150,516		(525,529		)	(62,801		)	24,966,515
Class D*	—		—		—			—			—		11,002,450		2,182,138		—			199,921			13,384,509
Class I*	—		—		—			—			—		4,987,007		4,217,095		(23,647		)	115,631			9,296,086
Class DS**	48,986,858		8,708,225		(2,947,850		)	(958,128		)	53,789,105		60,984,933		65,571,617		(2,568,206		)	3,992,967			127,981,311
Class DT***	—		—		—			—			—		—		59,852,165		(5,603,634		)	3,275,325			57,523,856

Total Members’ Capital	$	48,986,858	$	8,708,225	$	(2,947,850	)	$	(958,128	)	$	53,789,105	$	88,998,199	$	150,082,601	$	(8,721,016	)	$	7,488,462		$	237,848,246

*Units issued on August 1, 2009.

**Units issued on September 1, 2008.

***Units issued on February 1, 2010.

See notes to financial statements.

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2010 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A*			Class C*			Class D*			Class I*			Class DS			Class DT**
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.1277		$	1.1222		$	1.1347		$	1.1357		$	1.3368		$	1.0960

Net realized and net change in unrealized trading profit(loss)	(0.0529		)	(0.0525		)	(0.0533		)	(0.0533		)	(0.0628		)	(0.0516		)
Brokerage commissions	(0.0008		)	(0.0008		)	(0.0008		)	(0.0008		)	(0.0009		)	(0.0008		)
Interest income	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)
Expenses	0.0047			0.0018			0.0089			0.0058			0.0104			0.0107

Net asset value, end of period	$	1.0787		$	1.0707		$	1.0895		$	1.0874		$	1.2835		$	1.0543

Total Return: (a) (b)

Total return before Performance fees	-5.76		%	-6.00		%	-5.41		%	-5.67		%	-5.41		%	-5.16		%
Performance fees	1.24		%	1.24		%	1.24		%	1.24		%	1.24		%	1.18		%
Total return after Performance fees	-4.52		%	-4.76		%	-4.17		%	-4.43		%	-4.17		%	-3.98		%

Ratios to Average Member’s Capital: (a)

Expenses (excluding Performance fees)	0.93		%	1.18		%	0.55		%	0.83		%	0.55		%	0.30		%
Performance fees	-1.36		%	-1.36		%	-1.36		%	-1.36		%	-1.36		%	-1.29		%
Expenses (including Performance fees)	-0.43		%	-0.18		%	-0.81		%	-0.53		%	-0.81		%	-0.99		%

Net investment income (loss)	0.43		%	0.18		%	0.80		%	0.53		%	0.80		%	0.99		%

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized.

(b) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole. An individual members’ return may vary from these returns based on timing of capital transactions.

*Units issued on August 1, 2009.

**Units issued on February 1, 2010.

See notes to financial statements.

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2010 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class A*			Class C*			Class D*			Class I*			Class DS			Class DT**
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.0724		$	1.0698		$	1.0750		$	1.0789		$	1.2665		$	1.0000

Net realized and net change in unrealized trading profit(loss)	0.0408			0.0407			0.0408			0.0410			0.0481			0.0742
Brokerage commissions	(0.0018		)	(0.0018		)	(0.0018		)	(0.0018		)	(0.0021		)	(0.0016		)
Interest income	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)
Expenses	(0.0327		)	(0.0380		)	(0.0245		)	(0.0307		)	(0.0290		)	(0.0183		)

Net asset value, end of period	$	1.0787		$	1.0707		$	1.0895		$	1.0874		$	1.2835		$	1.0543

Total Return: (a) (b)

Total return before Performance fees	1.53		%	1.03		%	2.30		%	1.74		%	2.30		%	6.54		%
Performance fees	-1.35		%	-1.35		%	-1.35		%	-1.35		%	-1.35		%	-1.46		%
Total return after Performance fees	0.18		%	-0.32		%	0.95		%	0.39		%	0.95		%	5.08		%

Ratios to Average Member’s Capital: (a)

Expenses (excluding Performance fees)	1.88		%	2.38		%	1.13		%	1.68		%	1.13		%	0.50		%
Performance fees	1.15		%	1.15		%	1.15		%	1.15		%	1.15		%	1.26		%
Expenses (including Performance fees)	3.03		%	3.53		%	2.28		%	2.83		%	2.28		%	1.76		%

Net investment income (loss)	-3.03		%	-3.53		%	-2.28		%	-2.83		%	-2.28		%	-1.76		%

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized.

*Units issued on August 1, 2009.

**Units issued on February 1, 2010.

See notes to financial statements.

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2009 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class DS
Per Unit Operating Performance:

Net asset value, beginning of year	$	1.2009

Net realized and net change in unrealized trading profit	(0.0388		)
Brokerage commissions	(0.0010		)
Interest income	0.0000
Expenses	(0.0068		)

Net asset value, end of year	$	1.1543

Total Return: (a) (b)

Total return before Performance fees	-3.89		%
Performance fees	0.00		%
Total return after Performance fees	-3.89		%

Ratios to Average Member’s Capital: (a)

Expenses (excluding Performance fees)	0.58		%
Performance fees	0.00		%
Expenses (including Performance fees)	0.58		%

Net investment income (loss)	0.58		%

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized.

(b) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole.

An individual members’ return may vary from these returns based on timing of capital transactions.

See notes to financial statements.

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2009 (unaudited)

The following per Unit data and ratios have been derived from information provided in the financial statements.

	Class DS
Per Unit Operating Performance:

Net asset value, beginning of year	$	1.2227

Net realized and net change in unrealized trading profit	(0.0531		)
Brokerage commissions	(0.0018		)
Interest income	0.0002
Expenses	(0.0137		)

Net asset value, end of year	$	1.1543

Total Return: (a) (b)

Total return before Performance fees	-5.60		%
Performance fees	0.00		%
Total return after Performance fees	-5.60		%

Ratios to Average Member’s Capital: (a)

Expenses (excluding Performance fees)	1.16		%
Performance fees	0.00		%
Expenses (including Performance fees)	1.16		%

Net investment income (loss)	1.15		%

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized.

(b) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole.

An individual members’ return may vary from these returns based on timing of capital transactions.

See notes to financial statements.

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

ML BlueTrend FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized under the Delaware Limited Liability Company Act on April 30, 2008 and commenced trading activities on September 1, 2008. The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 2 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit) as of the beginning of each calendar month. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. BlueCrest Capital Management L.P. (“BlueCrest” or “trading advisor”) is the trading advisor of the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) 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.

On September 15, 2008, Merrill Lynch entered into an Agreement and Plan of Merger (as amended by Amendment No. 1 dated as of October 21, 2008, the “Merger Agreement”) with Bank of America Corporation (“Bank of America”). Pursuant to the Merger Agreement, on January 1, 2009, a wholly-owned subsidiary of Bank of America merged with and into Merrill Lynch, with Merrill Lynch continuing as the surviving corporation and a subsidiary of Bank of America.

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 its 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.

The Fund offers five Classes of Units: Class A, Class C, Class D, Class DS and Class I. Each Class of Units was offered at $1.00 per Unit during the initial offering period and subsequently is offered at Net Asset Value per Unit. The five Classes of Units are subject to different sponsor fees.

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.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of June 30, 2010 and the results of its operations for the three and six months ended June 30, 2010 and 2009. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2009. Certain prior year items have been reclassified to conform to the current year presentation.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

2. CONDENSED SCHEDULE OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of June 30, 2010 and December 31, 2009 are as follows:

June 30, 2010

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture	66	$	(30,405	)	-0.01	%	(472	)	$	89,289		0.04	%	$	58,884		0.03	%	September 2010 - December 2010
Currencies	1,609,172,031	1,305,335			0.55	%	(573,951,304	)	(2,436,271		)	-1.02	%	(1,130,936		)	-0.47	%	March 2011
Energy	786	(2,097,952		)	-0.88	%	—		—			0.00	%	(2,097,952		)	-0.88	%	July 2010 - October 2010
Interest rates	11,935	9,120,175			3.83	%	—		—			0.00	%	9,120,175			3.83	%	September 2010 - June 2012
Metals	243	(1,395,242		)	-0.59	%	(231	)	954,822			0.40	%	(440,420		)	-0.19	%	July 2010 - September 2010
Stock indices	1,377	(3,336,573		)	-1.40	%	(125	)	272,765			0.11	%	(3,063,808		)	-1.29	%	July 2010 - September 2010

Total		$	3,565,338		1.50	%			$	(1,119,395	)	-0.47	%	$	2,445,943		1.03	%

December 31, 2009

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture	37	$	18,635		0.02	%	(44	)	$	(17,718	)	-0.02	%	$	917		0.00	%	March 10
Currencies	47,800,234	(66,336		)	-0.07	%	(42,482,119	)	(240,350		)	-0.27	%	(306,686		)	-0.34	%	March 10
Energy	379	481,139			0.54	%	—		—			0.00	%	481,139			0.54	%	January 10 - April 10
Interest rates	3,437	(2,232,094		)	-2.51	%	—		—			0.00	%	(2,232,094		)	-2.51	%	March 10 - December 10
Metals	89	73,051			0.08	%	(24	)	(163,255		)	-0.18	%	(90,204		)	-0.10	%	January 10 - March 10
Stock indices	1,249	1,261,228			1.42	%	—					0.00	%	1,261,228			1.42	%	January 10 - March 10

Total		$	(464,377	)	-0.52	%			$	(421,323	)	-0.47	%	$	(885,700	)	-0.99	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Members’ Capital as of June 30, 2010 and December 31, 2009.

3. FAIR VALUE OF INVESTMENTS

The Financial Accounting Standards Board (“FASB”) issued the Accounting Standards Codification (“ASC”) which provides authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included in Equity in commodity futures trading account. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Operations.

The fair value measurement guidance established a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an 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.

Following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where it trades such investments. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into its process for determining fair values.

The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

The Fund has determined that Level I securities would include all of its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using quoted prices of securities with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II securities. The Fund determined that Level II securities would include its forward contracts.

The Fund’s net unrealized profit (loss) on open forward and futures contracts by the above fair value hierarchy levels as of June 30, 2010 and December 31, 2009 are as follows:

Net unrealized profit (loss)
on open contracts	Total			Level I		Level II			Level III

Futures
Long	$	2,260,003		3,910,755		(1,650,752		)	—
Short	$	1,316,876		399,592		917,284			—
	$	3,576,879		$	4,310,347	$	(733,468	)	$	—

Forwards
Long	$	1,305,335		—		1,305,335			—
Short	$	(2,436,271	)	—		(2,436,271		)	—
	$	(1,130,936	)	$	—	$	(1,130,936	)	$	—

June 30, 2010	$	2,445,943		$	4,310,347	$	(1,864,404	)	$	—

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III

Futures
Long	$	(398,041	)	(669,113		)	271,072			—
Short	$	(180,972	)	(17,717		)	(163,255		)	—
	$	(579,013	)	$	(686,830	)	$	107,817		$	—

Forwards
Long	$	(66,336	)	—			(66,336		)	—
Short	$	(240,351	)	—			(240,351		)	—
	$	(306,687	)	$	—		$	(306,687	)	$	—

December 31, 2009	$	(885,700	)	$	(686,830	)	$	(198,870	)	$	—

The Fund’s volume of trading forwards and futures as of the period and year ended June 30, 2010 and December 31, 2009, respectively, are representative of the activity throughout these periods.

There were no significant transfers to or from Level I or II during the quarter and period ended June 30, 2010.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the guidance for accounting for derivative and hedging activities. The fair value amounts of and the gains and losses on derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations respectively. There are no credit related contingent features embedded in these derivative contracts.

The following table indicates the trading gains and losses, by commodity industry sector, on derivative instruments for each of the three month and six month periods ended June 30, 2010 and 2009:

	For the three months ended			For the six months ended
	June 30, 2010			June 30, 2010
Commodity Industry Sector	Gain (loss) from trading			Gain (loss) from trading

Agriculture	$	(733,371	)	$	(660,691	)
Currencies	(1,649,543		)	567,525
Energy	(14,927,637		)	(11,648,381		)
Interest rates	23,797,914			34,919,814
Metals	(416,072		)	(656,830		)
Stock indices	(17,757,137		)	(9,565,922		)

Total	$	(11,685,846	)	$	12,955,515

	For the three months ended			For the six months ended
	June 30, 2009			June 30, 2009
Commodity Industry Sector	Gain (loss) from trading			Gain (loss) from trading

Agriculture	$	222,689		$	130,361
Currencies	(751,201		)	(1,680,019		)
Energy	1,084,011			515,507
Interest rates	(2,067,806		)	(1,396,613		)
Metals	(305,208		)	(478,800		)
Stock indices	154,687			648,279

Total	$	(1,662,828	)	$	(2,261,285	)

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse or MLPF&S. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4. MARKET AND CREDIT RISKS

The nature of this Fund has certain risks, which cannot 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 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 BlueCrest, 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 BlueCrest 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 consist of the ongoing process of advisor monitoring, with the market risk controls being applied by BlueCrest.

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.

Indemnifications

In the normal course of business, the Fund has entered, or may in the future enter into agreements that obligate the Fund to indemnify third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expected the risk of loss to be remote and, therefore, no provision has been recorded.

5. RECENT ACCOUNTING PRONOUNCEMENTS

In January 2010, the FASB issued an update to the fair value measurements disclosure. Pursuant to this update, additional disclosures in the financial statements relating to transfers in and out of Levels 1 and 2 fair value measurements and separate disclosure of purchases, sales, issuances, and settlements in Level 3 roll forward, will be required. In addition, this update provides clarifications on i) the level of aggregation of classes of assets and liabilities disclosed in the fair value measurement disclosures and ii) disclosures relating to the inputs and valuation techniques for Level 2 and Level 3 fair value measurements. The new disclosures and clarifications of existing disclosures are effective for annual reporting periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the Level 3 roll forward which are effective for fiscal years beginning after December 15, 2010. This update further enhances the fair value disclosures and the Sponsor has determined that the adoption of this update on January 1, 2010 did not have a material impact to the Fund’s financial statements.

6. SUBSEQUENT EVENTS

Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

MONTH-END NET ASSET VALUE PER UNIT

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors throughout the period is a useful performance measure for the investors of the Fund. Therefore, the charts below referencing Net Asset Value and performance measurements are based on the Net Asset Value for financial reporting.

The Fund calculates the Net Asset Value per unit of each class of units as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Fund’s “Net Asset Value” as of any calculation date will generally equal the value of the Fund’s account under the management of its trading advisor as of such date, plus any other assets held by the Fund, minus accrued brokerage commissions, sponsor’s, management and performance fees, organizational expense amortization and any operating costs and other liabilities of the Fund.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan.		Feb.		Mar.		Apr.		May		June
2009	n/a		n/a		n/a		n/a		n/a		n/a
2010	$	1.0328	$	1.0669	$	1.1277	$	1.1575	$	1.0771	$	1.0787

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		June
2009	n/a		n/a		n/a		n/a		n/a		n/a
2010	$	1.0294	$	1.0625	$	1.1222	$	1.1508	$	1.0700	$	1.0707

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		June
2009	n/a		n/a		n/a		n/a		n/a		n/a
2010	$	1.0366	$	1.0722	$	1.1347	$	1.1661	$	1.0864	$	1.0895

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		June
2009	n/a		n/a		n/a		n/a		n/a		n/a
2010	$	1.0394	$	1.0741	$	1.1357	$	1.1660	$	1.0854	$	1.0874

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

	Jan.		Feb.		Mar.		Apr.		May		June
2009	$	1.2096	$	1.2138	$	1.2009	$	1.1446	$	1.1820	$	1.1543
2010	$	1.2212	$	1.2631	$	1.3368	$	1.3738	$	1.2799	$	1.2835

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

	Jan.	Feb.		Mar.		Apr.		May		June
2009	n/a	n/a		n/a		n/a		n/a		n/a
2010	n/a	$	1.0350	$	1.0960	$	1.1271	$	1.0508	$	1.0543

Liquidity and Capital Resources

The Fund does not engage in the sale of goods or services. The Fund’s assets are its (i) equity in its trading account, consisting of cash and cash equivalents and (ii) interest receivable. Because of the low margin deposits normally required in commodity futures trading relatively small price movements may result in substantial losses to the Fund. While substantial losses could lead to a material decrease in liquidity, no such material losses occurred during the second quarter of 2010 and there was no impact on the Fund’s liquidity.

The Fund’s capital consists of the capital contributions of the members as increased or decreased by gains or losses on trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the six months ended June 30, 2010, Fund capital increased 167.25% from $88,998,199 to $237,848,246. This increase was attributable to the net gain from operations of $7,488,462, coupled with the redemption of 7,792,957 Redeemable Units resulting in an outflow of $8,721,016. The cash outflow was offset with cash inflow of $150,082,601 due to subscription of 136,324,895 units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

Statement of Cash Flows

The Fund is not required to provide a Statement of Cash Flows.

Investments

All investments (including derivatives) are held for trading purposes. Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Operations and Statements of Changes in Members’ Capital.

Cash Equivalents

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. Cash equivalents were recorded at amortized cost which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.

Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on our fair value, see Note 3, Fair Value of Investments.

Futures Contracts

The Fund trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Fund each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Operations and Statements of Changes in Members’ Capital.

Forward Foreign Currency Contracts

Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Fund’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations and Statements of Changes in Members’ Capital.

Interest Rates and Income

The Fund currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

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.

The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2008.

Results of Operations

January 1, 2010 to March 31, 2010

The Fund experienced a net trading profit before brokerage commissions and related fees of $24,641,361 in the first quarter of 2010. Profits were primarily attributable to the interest rates, stock indices, energy, currencies and agriculture sectors posting gains. The metals sector posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Fixed income benefitted from the risk off theme and fears that the pace of the global recovery may not be as fast as previously thought. Short interest rates were the first to react with the three major strips all printing contract highs. As the month and equity weakness progressed, the rally further out the curve gathered momentum culminating in U.S. Ten Year Treasury Note trading at a one and a half month high on the final day of January. Profits continued to be posted to the Fund in the middle of the quarter. Of the Fixed Income block, the highlight contributors were the program’s long positions in the short rate contracts (Euribor, Eurodollar and Short Sterling). The underperformance in the bonds sector was predominantly due to exposure to the U.S. Ten Year Treasury Note and long positions in U.S. bonds where stronger than expected resulting in losses being posted to the Fund at the end of the quarter.

The stock indices posted profits to the Fund. Losses were initially posted to the Fund due to continued rumors of the Chinese tightening lending and comments from the Obama administration about risks and banking practices. The S&P500 Index fell to trade at a two and a half month low while Eurostoxx and the Nikkei also fell in January. Losses were posted to the Fund in the middle of the quarter as equities continued to post losses. Equity strength was sustained through the month of March as the S&P500 broke key upper resistance levels amid more upbeat language from the Federal Open Market Committee, stating on March 16th that the labor market is “stabilizing”. The quarter ended with profits being posted to the Fund.

The energy sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Energies started the month of January strongly with pent up demand spilling over from the holiday period. However, the rally in energies that began in the second half of December started to look increasingly out of step with fundamentals, West Texas Intermediate crude oil ended January down from the previous month. Profits were posted to the Fund in the middle through the end of the quarter. Risk levels in the program remain above average with the margin to equity ratio increasing concordant with an expanding opportunity set. With a significant component of the portfolio’s VaR in energies, the volatile path of oil as it approached year-to-date highs has been responsible for this risk.

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Trend went into the month long high beta currencies. Despite the Fund largely reducing its long positions in the New Zealand dollar versus the U.S. dollar, the pair still ended the month of January posting losses to the Fund. The Fund held short conviction in the euro and the British pound as the region suffered with the Greek sovereign debt situation aggravating an already bleak economic outlook resulting in profits being posted to the Fund. The focus of broad macroeconomic concern remains the consequences of a cross the curve and the consequences of a strong U.S. dollar on commodities positioning and the market reversal triggered by monetary policy “exit strategy”. The quarter ended with profits being posted to the Fund.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the fall in corn after a very bearish United States Department of Agriculture report and extended a short bias across all agricultural products as South American production continued to put pressure on U.S. crops. Losses were posted to the Fund in the middle of the quarter due to volatility in global markets. The commodity markets experienced a variety of different trends with cattle prices increasing while the grain markets weakened. Through this mixture of trends and their diversifying character, the agriculture sector posted profits to the Fund at the end of the quarter.

April 1, 2010 to June 30, 2010

The Fund experienced a net trading loss of $11,685,846 before brokerage commissions and related fees in the second quarter of 2010. The Fund’s profits were primarily attributable to the interest rate sector posting profits. The agriculture, stock indices, metals, currency and energy sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as the burgeoning European debt crisis increased demand for fixed income in all parts of the curve. Profits were also posted to the Fund as a bid for ex-region debt also accrued profit from the Japanese Government bond positions. The trading program’s short positions also posted profits to the Fund due to a flattening of the Euribor curve. Profits continued to be posted to the Fund in the middle of the quarter due to the trading program’s stable bid in the bonds sector. Sovereign debt issues in Europe focused market sentiment into a wave of risk aversion which saw the Chicago Board Options Exchange Volatility Index spike to a 13 month high on May 5th. Profits continued to be posted to the Fund due to the trading program’s fixed income allocation yielding positive returns in the bonds sectors and short positions in interest rates. Profits were posted to the Fund at the end of the quarter as sovereign debt fears in Europe added to persistent volatility as governments began to consolidate fiscal policies, with the G20 talks doing little to coordinate strategy.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning and end of the quarter due to volatility in global markets. Profits were posted to the Fund in the middle of the quarter as grains continued its slide from the previous month.

The stock indices posted losses to the Fund. Losses were posted to the Fund throughout the quarter. Losses were posted to the Fund at the beginning of the quarter with the losses hedged in part by the trading programs bid in the short end of the fixed income curve. Losses continued to be posted to the Fund in the middle of the quarter as returns had been adversely affected by a period of high volatility as global macroeconomic uncertainty dominated the financial markets. In addition, the “flash-crash” event of May 6th added further to market volatility as the S&P500 dropped significantly in one session. The Dow Jones Industrial Average and the Dow Jones Eurostoxx dropped over the month of May due to considerable volatility causing losses in the equities sector. Losses were posted to the Fund at the end of the quarter as macroeconomic data through June was generally weak due to a bearish non farm payroll figure on June 4th setting the tone for the month of June. Equities were equally range bound, with the Dow Jones Eurostoxx trading up and ending the month down which adversely affected the trading program’s predominantly long exposure to equity indices.

The metals sector posted overall losses to the Fund throughout the quarter due to volatility in global markets.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter amidst considerable macroeconomic instability. Losses were posted to the Fund in the middle of the quarter as the euro was heavily sold against the U.S. dollar as market participants reduced exposure to the PIGS crisis (Portugal, Ireland, Greece and Spain). Losses continued to be posted to the Fund at the end of the quarter due to the effect of a sharp market reversal caused by abrupt shifts in monetary policy and the effect of a stronger U.S. dollar on the trading program’s long positioning in dollar denominated risky assets.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter as bullish non-farm-payroll data sent oil to an18 month high and the West Texas Intermediate crude oil at more than $87 per barrel. Losses were posted to the Fund in the middle of the quarter due to the West Texas Intermediate crude oil dropping to $22 per barrel through to May 25th and all other energies were similarly affected, causing a drop in the energies sector. Losses were posted to the Fund at the end of the quarter as risk levels steadily increased through the month of June most notably in the Energies sector. West Texas Intermediate crude oil traded within a $10 range as the BP oil spill and Hurricane Alex sparked rallies to retest the $80 per barrel level but ultimately ended the month where it began, around $76 per barrel and other energies followed a similar path, culminating in a loss in this sector.

January 1, 2009 to March 31, 2009

The Fund experienced a net trading loss before brokerage commissions and related fees from January 1, 2009 to March 31, 2009 of $598,456. Profits were primarily attributable to the Fund’s interest rates and stock indices and losses were attributable to agriculture, metals, energy and currencies sectors.

The Fund posted an overall loss in January 2009. The Fund’s fixed income related positions were the major detractor from performance as bond yields rose against the Fund’s long positions. The Fund’s currency positions posted overall gains due to the Fund’s long U.S. dollar positions versus the British pound and the Australian dollar. The commodities and equities sectors contributed marginally to the Fund’s return for the month.

The Fund posted an overall loss in February 2009. During this month, equity-index related positions were the best performing sector for the Fund. While the Fund’s total equity exposure was a small net short position, the recent fall in equity markets was large enough to produce some small gains for the Fund. All other sectors posted losses for the Fund. The Fund had been concentrating its exposure in the last three months in fixed income as the Fund’s overall long exposure produced mixed results with overall losses to the Fund. The Fund’s currency sector positions also posted losses, primarily due to the Fund’s long positions in the Euro and short positions in the Australian dollar.

In March 2009, the Fund posted an overall loss. The Fund had long fixed-income related positions going into March and the choppiness in the markets did not change its positioning significantly. With yields ending the month lower across the board, the Fund was able to generate strong profits in fixed income, which were not enough to offset losses from the Fund’s positions in currencies and short position in commodities. The Fund’s biggest losses came from its currency positions. The Fund was correctly positioned with respect to long positions in the Euro and short positions in the British pound, however the Fund was incorrectly positioned with respect to short positions in the Australian dollar, which experienced the largest price movement over the period. The Fund’s commodity short positions posted losses as most commodities ended the month higher.

April 1, 2009 to June 30, 2009

The Fund posted an overall loss from April 1, 2009 through June 30, 2009.

The Fund posted an overall loss in April 2009. The Fund’s losses in equity indices, currencies and commodities were muted due to the reduction of its positions in these sectors. Fixed income was the worst performing sector, followed by currencies. Having begun the month on a slightly bearish tone, the commodity markets were volatile as the change in economic sentiment took effect. Despite higher than expected U.S. oil inventory numbers, energies were generally buoyed by the improved outlook, the volatility in the markets led to a reduction in the Fund’s exposure, resulting in losses for the Fund. The Fund posted losses in the metals and agricultural markets due to their volatility.

The Fund posted a profit in May 2009. The Fund posted profits in all sectors with the exception of currencies. Investors became increasingly convinced that the worst of the crisis was behind them and the Fund was well positioned as equities moved higher, energies rose and short rates rallied. The U.S. dollar was sold off as investors sold their ‘safe’ U.S. assets and chased yield. The Fund posted profits from long positions in the New Zealand dollar versus the U.S. dollar and short positions in the U.S. dollar versus the South African rand. However, these positions could not offset the losses from the Fund’s short positions in the British pound and Swedish krona. The improvement in sentiment and the weak United States dollar pushed energies higher as oil traded up to $66 per barrel, a level not seen since the beginning of November 2008. The Fund posted profits in the metals sector due to its long positions in gold and silver. The Fund also posted profits in the agricultural sector due to a rally in soymeal and soybeans.

The Fund posted an overall loss in June 2009. Short term rates suffered a sharp reversal during the first week of June and the U.S. dollar had a similar reversal, gaining against most currencies. Then, mid-month, the up trends in equities and commodities reversed, as sentiment became risk averse again, resulting in losses for the Fund. Declines in non-farm payrolls caused relentless liquidation of long positions in the rates markets, erasing virtually all of the market’s 2009 gains in one session. Bonds also suffered a sell off due to inflation fears. The Fund posted profits in energies as oil traded above $73 a barrel to hit a seven month high, due to the improved growth prospects and a drawdown in Department of Energy inventory numbers. The Fund posted profits in agricultural despite a 20% fall in corn. The Fund posted losses in metals due to it not being positioned to benefit from the falls in precious metals, particularly the 13% slump in silver.

The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.

The Fund, under the direction of BlueCrest, rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statement” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Fund’s risk exposure in the various market sectors traded by BlueCrest is quantified below in terms of Value at Risk. Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Maintenance margin requirements have been used by the Fund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Fund), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The Fund’s Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period. For the six months ended June 30, 2010 and 2009 the Fund’s average Month-end Net Asset Value was $196,288,346 and $51,873,248 respectively.

June 30, 2010

	Average Value	% of Average		Highest Value	Lowest Value
Market Sector	at Risk	Capitalization		at Risk	at Risk

Agricultural Commodities	808,600	0.41	%	1,471,254	373,259
Currencies	673,017	0.34	%	1,461,915	147,501
Energy	8,324,230	4.24	%	12,600,870	4,370,752
Interest Rates	6,503,740	3.31	%	10,459,661	3,628,050
Metals	948,371	0.48	%	1,400,337	432,204
Stock Indices	5,268,396	2.68	%	8,371,615	2,199,496
Total	22,526,354	11.46	%	35,765,652	11,151,262

June 30, 2009

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk

Agricultural Commodities	$	11,618	0.02	%	$	69,707	$	2,789
Energy	16,048		0.03	%	96,287		4,902
Interest Rates	3,500,233		6.75	%	21,001,399		3,028,582
Metals	10,457		0.02	%	62,739		4,048
Stock Indices	38,659		0.07	%	231,956		9,804
Currencies	17,918		0.03	%	107,507		2,177

TOTAL	$	3,594,933	6.92	%	$	21,569,595	$	3,052,302

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Fund — gives no indication of this “risk of ruin.”

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.

The Fund also has non-trading market risk on the approximately 90%-95% of its assets which are held in cash at MLPF&S or BlackRock. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and Bluetrend for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, and an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of June 30, 2010, by market sector.

Interest Rates

Interest rate risk is the principal market exposure of the Fund. Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund also takes positions in the government debt of smaller nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.

Currencies

The Fund trades in a number of currencies. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.

Stock Indices

The Fund’s primary equity exposure is to S&P 500, Nikkei and German DAX equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

The Fund’s metals market exposure is to fluctuations in the price of precious and non-precious metals.

Agricultural Commodities

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, livestock, cotton, corn and coffee accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of June 30, 2010.

Energy

The Fund’s primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Fund as of June 30, 2010.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Japanese yen, Swedish krona and Euros.

U.S. Dollar Cash Balance

The Fund holds U.S. dollars only in cash at MLPF&S or BlackRock. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

Item 4. Controls and Procedures

MLAI, the Sponsor of ML Bluetrend FuturesAccess LLC, with the participation of the Sponsor’s Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Fund as of the end of the period covered by this quarterly report based on this evaluation, has concluded that these disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Act of 1934) are effective. No change in internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934) occurred during the quarter ended June 30, 2010 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Annual Report on Form 10-K for the year ended December 31, 2009, filed with the Securities and Exchange Commission on March 31, 2010.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

(a) Issuance to accredited investors pursuant to Regulation D and Section 4(6) under the Securities Act. The selling agent of the following Class of Units was MLPF&S.

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-10	$	611,375	570,100	$	1.0724
Feb-10	446,318		432,144	1.0328
Mar-10	433,867		406,661	1.0669
Apr-10	1,617,510		1,434,344	1.1277
May-10	—		—	1.1575
Jun-10	—		—	1.0771
Jul-10	—		—	1.0787

CLASS C

	Subscription
	Amount		Units	NAV(1)
Jan-10	$	2,800,138	2,617,441	$	1.0698
Feb-10	2,434,944		2,365,401	1.0294
Mar-10	4,958,659		4,666,973	1.0625
Apr-10	4,956,775		4,417,016	1.1222
May-10	—		—	1.1508
Jun-10	—		—	1.0700
Jul-10	—		—	1.0707

CLASS D

	Subscription
	Amount		Units	NAV(1)
Jan-10	$	—	—	$	1.0750
Feb-10	482,139		465,116	1.0366
Mar-10	1,699,999		1,585,524	1.0722
Apr-10	—		—	1.1347
May-10	—		—	1.1661
Jun-10	—		—	1.0864
Jul-10	—		—	1.0895

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-10	$	1,026,564	951,491	$	1.0789
Feb-10	1,575,618		1,515,892	1.0394
Mar-10	1,172,493		1,091,605	1.0741
Apr-10	442,420		389,557	1.1357
May-10	—		—	1.1660
Jun-10	—		—	1.0854
Jul-10	—		—	1.0874

CLASS DS

	Subscription
	Amount		Units	NAV (1)
Jan-10	$	1,383,609	1,092,467	$	1.2665
Feb-10	62,143,584		50,887,311	1.2212
Mar-10	—		—	1.2631
Apr-10	—		—	1.3368
May-10	255,479		185,965	1.3738
Jun-10	1,788,945		1,397,722	1.2799
Jul-10	922,332		718,607	1.2835

CLASS DT

	Subscription
	Amount		Units	NAV (1)
Jan-10	$	—	—	$	—
Feb-10	59,852,165		59,852,165	1.0000
Mar-10	—		—	1.0350
Apr-10	—		—	1.0960
May-10	—		—	1.1271
Jun-10	—		—	1.0508
Jul-10	—		—	1.0543

(1) Beginning of the month Net Asset Value

Class A Units are subject to sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.50%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amount. Class C, Class DS and Class DT Units are not subject to any sales commissions.

(b) None.

Item 3. Defaults Upon Senior Securities

None.

Item 4. (Removed and Reserved)

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:

31.01 and 31.02	Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01 and 31.02:	Are filed herewith.

32.01 and 32.02	Section 1350 Certifications

Exhibit 32.01 and 32.02	Are filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	ML BLUETREND FUTURESACCESS LLC


	By:	MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC
		(Manager)


Date: August 13, 2010	By:	/s/ JUSTIN C. FERRI
		Justin C. Ferri
		Chief Executive Officer, President and Manager
		(Principal Executive Officer)

Date: August 13, 2010
	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial and Accounting Officer)

Attached files

ML BlueTrend FuturesAccess LLC Reports

Also read