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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, 2011

 

OR

 

o

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

 

For the transition period from                  to                 

 

Commission File Number 0-52701

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(Exact Name of Registrant as

specified in its charter)

 

Delaware

 

30-0408288

(State or other jurisdiction of

 

(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 x   No o

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (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 registrant is a shell company (as defined by Rule 12b-2 of the Exchange Act).  Yes o   No x

 

As of June 30, 2011, 171,330,161 units of limited liability company interest were outstanding.

 

 

 



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

 

QUARTERLY REPORT FOR JUNE 30, 2011 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

18

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

27

 

 

 

Item 4.

Controls and Procedures

31

 

 

 

PART II

 

 

 

Item 1.

Legal Proceedings

31

 

 

 

Item 1A.

Risk Factors

31

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

32

 

 

 

Item 3.

Defaults Upon Senior Securities

33

 

 

 

Item 4.

(Removed and Reserved)

33

 

 

 

Item 5.

Other Information

33

 

 

 

Item 6.

Exhibits

33

 



 

PART I - FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

June 30,

 

December 31,

 

 

 

2011

 

2010

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $21,160,130 for 2011 and $30,894,537 for 2010)

 

$

255,175,162

 

$

248,920,843

 

Net unrealized profit on open futures contracts

 

147,610

 

9,574,957

 

Cash and cash equivalents

 

388,512

 

353,576

 

Accrued interest receivable

 

66,937

 

68,936

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

255,778,221

 

$

258,918,312

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Sponsor and Advisory fees payable

 

$

448,278

 

$

2,012,779

 

Redemptions payable

 

681,788

 

356,780

 

Net unrealized loss on open futures contracts

 

2,257,160

 

308,321

 

Other liabilities

 

259,791

 

280,632

 

 

 

 

 

 

 

Total liabilities

 

3,647,017

 

2,958,512

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Interest (171,330,161 Units and 159,458,717 Units outstanding; unlimited Units authorized)

 

252,131,204

 

255,959,800

 

Total members’ capital

 

252,131,204

 

255,959,800

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

255,778,221

 

$

258,918,312

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

1.2231

 

$

1.3296

 

Class C

 

$

1.1382

 

$

1.2436

 

Class D

 

$

0.9947

 

$

1.0733

 

Class I

 

$

1.2229

 

$

1.3268

 

Class DS

 

$

1.5239

 

$

1.6443

 

Class DT

 

$

1.6143

 

$

1.7338

 

 

See notes to financial statements.

 

1



 

ML TRANSTREND DTP ENHANCED 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, 2011

 

June 30, 2010

 

June 30, 2011

 

June 30, 2010

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

(5,515,802

)

$

9,009,729

 

$

(5,063,973

)

$

9,234,126

 

Change in unrealized, net

 

(10,065,926

)

(16,109,439

)

(11,376,186

)

1,935,071

 

Brokerage commissions

 

(302,604

)

(332,182

)

(603,669

)

(745,312

)

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss)

 

(15,884,332

)

(7,431,892

)

(17,043,828

)

10,423,885

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (LOSS)

 

 

 

 

 

 

 

 

 

Interest

 

(7,623

)

(1,422

)

(7,988

)

(1,964

)

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Management fee

 

1,202,717

 

1,089,143

 

2,397,885

 

2,164,020

 

Sponsor fee

 

176,816

 

110,876

 

328,263

 

218,764

 

Other

 

162,691

 

116,429

 

327,921

 

250,843

 

Total expenses

 

1,542,224

 

1,316,448

 

3,054,069

 

2,633,627

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT LOSS

 

(1,549,847

)

(1,317,870

)

(3,062,057

)

(2,635,591

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

(17,434,179

)

$

(8,749,762

)

$

(20,105,885

)

$

7,788,294

 

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

7,556,095

 

2,568,659

 

5,982,628

 

2,449,040

 

Class C

 

18,365,469

 

13,920,043

 

17,276,240

 

14,197,259

 

Class D

 

2,000,000

 

2,000,000

 

2,000,000

 

2,000,000

 

Class I

 

1,100,618

 

525,587

 

1,085,986

 

496,732

 

Class DS

 

115,650,165

 

113,851,251

 

114,474,255

 

115,888,285

 

Class DT

 

24,673,289

 

39,134,043

 

25,195,821

 

41,194,694

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

(0.0986

)

$

(0.0493

)

$

(0.1475

)

$

0.0149

 

Class C

 

$

(0.0887

)

$

(0.0491

)

$

(0.1137

)

$

0.0107

 

Class D

 

$

(0.0683

)

$

(0.0348

)

$

(0.0786

)

$

0.0244

 

Class I

 

$

(0.0887

)

$

(0.0455

)

$

(0.1066

)

$

0.0070

 

Class DS

 

$

(0.1055

)

$

(0.0519

)

$

(0.1228

)

$

0.0454

 

Class DT

 

$

(0.1064

)

$

(0.0496

)

$

(0.1164

)

$

0.0555

 

 

See notes to financial statements.

 

2



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2011 and 2010

(unaudited) (in Units)

 

 

 

Members’ Capital
December 31, 2009

 

Subscriptions

 

Redemptions

 

Members’ Capital
June 30, 2010

 

Members’ Capital
December 31, 2010

 

Subscriptions

 

Redemptions

 

Members’ Capital June
30, 2011

 

Class A

 

2,271,823

 

753,755

 

(283,186

)

2,742,392

 

3,458,026

 

5,055,857

 

(275,567

)

8,238,316

 

Class C

 

14,482,763

 

2,459,183

 

(2,919,973

)

14,021,973

 

15,140,200

 

4,583,286

 

(824,370

)

18,899,116

 

Class D

 

2,000,000

 

 

 

2,000,000

 

2,000,000

 

 

 

2,000,000

 

Class I

 

502,000

 

153,050

 

(103,423

)

551,627

 

911,417

 

239,038

 

(46,172

)

1,104,283

 

Class DS

 

109,221,404

 

14,500,728

 

(7,658,580

)

116,063,552

 

111,667,815

 

5,719,873

 

(660,664

)

116,727,024

 

Class DT

 

43,327,942

 

351,090

 

(5,374,114

)

38,304,918

 

26,281,259

 

 

(1,919,837

)

24,361,422

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

171,805,932

 

18,217,806

 

(16,339,276

)

173,684,462

 

159,458,717

 

15,598,054

 

(3,726,610

)

171,330,161

 

 

See notes to financial statements.

 

3



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2011 and 2010

(unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Members’ Capital
December 31, 2009

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital
June 30, 2010

 

Members’ Capital
December 31, 2010

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital June
30, 2011

 

Class A

 

$

2,598,931

 

$

880,547

 

$

(318,432

)

$

36,387

 

$

3,197,433

 

$

4,597,909

 

$

6,710,033

 

$

(349,560

)

$

(882,299

)

$

10,076,083

 

Class C

 

15,651,574

 

2,731,982

 

(3,168,087

)

151,676

 

15,367,145

 

18,827,816

 

5,631,080

 

(983,642

)

(1,964,478

)

21,510,776

 

Class D

 

1,819,381

 

 

 

48,875

 

1,868,256

 

2,146,621

 

 

 

(157,159

)

1,989,462

 

Class I

 

570,784

 

180,541

 

(114,253

)

3,455

 

640,527

 

1,209,298

 

316,002

 

(59,023

)

(115,805

)

1,350,472

 

Class DS

 

152,211,382

 

20,047,176

 

(11,428,432

)

5,261,888

 

166,092,014

 

183,611,518

 

9,403,011

 

(1,082,366

)

(14,053,709

)

177,878,454

 

Class DT

 

63,048,634

 

516,790

 

(8,327,582

)

2,286,013

 

57,523,855

 

45,566,638

 

 

(3,308,246

)

(2,932,435

)

39,325,957

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

235,900,686

 

$

24,357,036

 

$

(23,356,786

)

$

7,788,294

 

$

244,689,230

 

$

255,959,800

 

$

22,060,126

 

$

(5,782,837

)

$

(20,105,885

)

$

252,131,204

 

 

See notes to financial statements.

 

4



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2011 (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

 

$

1.3119

 

$

1.2239

 

$

1.0630

 

$

1.3105

 

$

1.6285

 

$

1.7211

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Realized and net change in unrealized trading profit (loss)

 

(0.0752

)

(0.0701

)

(0.0611

)

(0.0752

)

(0.0936

)

(0.0991

)

Brokerage commissions

 

(0.0015

)

(0.0014

)

(0.0012

)

(0.0015

)

(0.0018

)

(0.0020

)

Interest income

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0121

)

(0.0142

)

(0.0060

)

(0.0109

)

(0.0092

)

(0.0057

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.2231

 

$

1.1382

 

$

0.9947

 

$

1.2229

 

$

1.5239

 

$

1.6143

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-6.80

%

-7.03

%

-6.45

%

-6.71

%

-6.45

%

-6.21

%

Performance fees

 

-0.02

%

-0.02

%

-0.02

%

-0.02

%

-0.02

%

-0.04

%

Total return after Performance fees

 

-6.82

%

-7.05

%

-6.47

%

-6.73

%

-6.47

%

-6.25

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

0.93

%

1.18

%

0.56

%

0.83

%

0.56

%

0.31

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.02

%

Expenses (including Performance fees)

 

0.93

%

1.18

%

0.56

%

0.83

%

0.56

%

0.33

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-0.93

%

-1.18

%

-0.56

%

-0.83

%

-0.56

%

-0.33

%

 


(a) The total return calculations are based on compounded monthly returns and are 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.

 

5



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2011 (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

 

$

1.3296

 

$

1.2436

 

$

1.0733

 

$

1.3268

 

$

1.6443

 

$

1.7338

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Realized and net change in unrealized trading profit (loss)

 

(0.0788

)

(0.0734

)

(0.0641

)

(0.0788

)

(0.0981

)

(0.1039

)

Brokerage commissions

 

(0.0030

)

(0.0028

)

(0.0024

)

(0.0030

)

(0.0037

)

(0.0040

)

Interest income

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0001

)

Expenses

 

(0.0247

)

(0.0292

)

(0.0121

)

(0.0221

)

(0.0186

)

(0.0115

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.2231

 

$

1.1382

 

$

0.9947

 

$

1.2229

 

$

1.5239

 

$

1.6143

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-8.05

%

-8.51

%

-7.35

%

-7.86

%

-7.35

%

-6.89

%

Performance fees

 

-0.04

%

-0.04

%

-0.04

%

-0.04

%

-0.04

%

-0.08

%

Total return after Performance fees

 

-8.09

%

-8.55

%

-7.39

%

-7.90

%

-7.39

%

-6.97

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

1.87

%

2.37

%

1.12

%

1.67

%

1.12

%

0.62

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.04

%

Expenses (including Performance fees)

 

1.87

%

2.37

%

1.12

%

1.67

%

1.12

%

0.66

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-1.87

%

-2.37

%

-1.12

%

-1.67

%

-1.12

%

-0.66

%

 


(a) The total return calculations are based on compounded monthly returns and are 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.

 

6



 

ML TRANSTREND DTP ENHANCED 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

 

$

1.2139

 

$

1.1439

 

$

0.9689

 

$

1.2077

 

$

1.4843

 

$

1.5538

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Realized and net change in unrealized trading profit (loss)

 

(0.0353

)

(0.0332

)

(0.0283

)

(0.0352

)

(0.0433

)

(0.0454

)

Brokerage commissions

 

(0.0016

)

(0.0015

)

(0.0013

)

(0.0015

)

(0.0020

)

(0.0021

)

Interest income

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0111

)

(0.0133

)

(0.0052

)

(0.0098

)

(0.0080

)

(0.0046

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.1659

 

$

1.0959

 

$

0.9341

 

$

1.1612

 

$

1.4310

 

$

1.5017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-3.95

%

-4.19

%

-3.59

%

-3.85

%

-3.59

%

-3.35

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-3.95

%

-4.19

%

-3.59

%

-3.85

%

-3.59

%

-3.35

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

0.92

%

1.17

%

0.54

%

0.82

%

0.54

%

0.30

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

0.92

%

1.17

%

0.54

%

0.82

%

0.54

%

0.30

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-0.92

%

-1.17

%

-0.55

%

-0.82

%

-0.55

%

-0.30

%

 


(a) 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.

 

7



 

ML TRANSTREND DTP ENHANCED 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

 

$

1.1440

 

$

1.0807

 

$

0.9097

 

$

1.1369

 

$

1.3936

 

$

1.4551

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Realized and net change in unrealized trading profit (loss)

 

0.0470

 

0.0443

 

0.0375

 

0.0468

 

0.0574

 

0.0600

 

Brokerage commissions

 

(0.0035

)

(0.0033

)

(0.0028

)

(0.0035

)

(0.0043

)

(0.0045

)

Interest income

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0216

)

(0.0258

)

(0.0103

)

(0.0190

)

(0.0157

)

(0.0089

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.1659

 

$

1.0959

 

$

0.9341

 

$

1.1612

 

$

1.4310

 

$

1.5017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

1.92

%

1.41

%

2.69

%

2.12

%

2.69

%

3.20

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

1.92

%

1.41

%

2.69

%

2.12

%

2.69

%

3.20

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

1.86

%

2.36

%

1.11

%

1.66

%

1.11

%

0.60

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

1.86

%

2.36

%

1.11

%

1.66

%

1.11

%

0.60

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-1.86

%

-2.36

%

-1.11

%

-1.66

%

-1.11

%

-0.60

%

 


(a) 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.

 

8



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML Transtrend DTP Enhanced 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 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 commodity futures contracts, options on futures and forward contracts on a wide range of commodities. Transtrend B.V. (“Transtrend” 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. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.

 

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.

 

As of  June 30, 2011 the Fund offers six Classes of Units:  Class A, Class C, Class D, Class DS, Class DT and Class I.  Each Class of Units, except for Class DT offered at $1.1117, was offered at $1.00 per Unit during the initial offering period and subsequently is offered at Net Asset Value per Unit.  The six 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 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, 2011 and the results of its operations for the three and six months ended  June 30, 2011 and 2010.  However, the operating results for the interim period may not be indicative of the results for the full year.

 

9



 

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 period ended December 31, 2010.

 

Estimates

 

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

 

Initial Offering and Organizational Costs

 

Organization and Offering costs are amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance and initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

 

10



 

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, 2011 and December 31, 2010 are as follows:

 

June 30, 2011

 

 

 

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

 

1,217

 

$

176,494

 

0.07

%

(511

)

$

1,054,825

 

0.42

%

$

1,231,319

 

0.49

%

July 11- December 12

 

Currencies

 

916

 

276,211

 

0.11

%

(879

)

(50,531

)

-0.02

%

225,680

 

0.09

%

September 11

 

Energy

 

21

 

(82,489

)

-0.03

%

(730

)

(560,858

)

-0.22

%

(643,347

)

-0.25

%

July 11- December 13

 

Interest rates

 

5,969

 

(1,139,431

)

-0.45

%

(892

)

318,501

 

0.13

%

(820,930

)

-0.32

%

July 11- December 14

 

Metals

 

645

 

(2,126,455

)

-0.84

%

(563

)

11,119

 

0.00

%

(2,115,336

)

-0.84

%

July 11- April 12

 

Stock indices

 

247

 

286,017

 

0.11

%

(529

)

(272,953

)

-0.11

%

13,064

 

0.00

%

July 11- December11

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

(2,609,653

)

-1.03

%

 

 

$

500,103

 

0.20

%

$

(2,109,550

)

-0.83

%

 

 

 

December 31, 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

 

1,833

 

$

2,141,844

 

0.84

%

(103

)

$

(88,116

)

-0.03

%

$

2,053,728

 

0.81

%

February 11 - February 12

 

Currencies

 

1,694

 

2,107,599

 

0.82

%

(1,210

)

2,412,863

 

0.94

%

4,520,462

 

1.76

%

March 11

 

Energy

 

657

 

1,274,637

 

0.50

%

(396

)

(1,182,550

)

-0.46

%

92,087

 

0.04

%

January 11 - November 11

 

Interest rates

 

2,190

 

174,275

 

0.07

%

(1,729

)

(474,801

)

-0.19

%

(300,526

)

-0.12

%

January 11 - December 13

 

Metals

 

667

 

5,050,247

 

1.97

%

(271

)

(2,467,106

)

-0.96

%

2,583,141

 

1.01

%

January 11 - October 11

 

Stock indices

 

2,533

 

189,573

 

0.07

%

(128

)

128,171

 

0.05

%

317,744

 

0.12

%

January 11 - May 11

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

10,938,175

 

4.27

%

 

 

$

(1,671,539

)

-0.65

%

$

9,266,636

 

3.62

%

 

 

 

No individual contract’s unrealized profit or loss comprised greater than 5% of the Partners’ Capital as of June 30, 2011 and December 31, 2010.

 

11



 

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 a commodity 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

 

12



 

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 by the Fund 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 most 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 and certain futures 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, 2011 and December 31, 2010 are as follows:

 

Net unrealized profit (loss) 

 

 

 

 

 

 

 

 

 

on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Futures

 

 

 

 

 

 

 

 

 

Long

 

$

(2,609,653

)

$

(725,628

)

$

(1,884,025

)

$

 

Short

 

$

500,103

 

$

406,646

 

$

93,457

 

$

 

 

 

$

(2,109,550

)

$

(318,982

)

$

(1,790,568

)

$

 

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

 

 

 

 

Long

 

$

 

$

 

$

 

$

 

Short

 

$

 

$

 

$

 

$

 

 

 

$

 

$

 

$

 

$

 

 

 

 

 

 

 

 

 

 

 

June 30, 2011

 

$

(2,109,550

)

$

(318,982

)

$

(1,790,568

)

$

 

 

13



 

Net unrealized profit (loss) 

 

 

 

 

 

 

 

 

 

on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Futures

 

 

 

 

 

 

 

 

 

Long

 

$

10,938,175

 

$

7,228,490

 

$

3,709,685

 

$

 

Short

 

$

(1,671,539

)

$

795,567

 

$

(2,467,106

)

$

 

 

 

$

9,266,636

 

$

8,024,057

 

$

1,242,579

 

$

 

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

 

 

 

 

Long

 

$

 

$

 

$

 

$

 

Short

 

$

 

$

 

$

 

$

 

 

 

$

 

$

 

$

 

$

 

 

 

 

 

 

 

 

 

 

 

December 31, 2010

 

$

9,266,636

 

$

8,024,057

 

$

1,242,579

 

$

 

 

The Fund’s volume of trading futures as of the period and year ended June 30, 2011 and December 31, 2010, respectively, are representative of the activity throughout these periods. There were no transfers to or from Level I or II during the quarter ended June 30, 2011.

 

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 derivatives 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 and six month periods ended June 30, 2011 and 2010:

 

 

 

For the three months ended

 

For the six months ended

 

 

 

June 30, 2011

 

June 30, 2011

 

Commodity Industry Sector

 

Gain (loss) from trading

 

Gain (loss) from trading

 

 

 

 

 

 

 

Agriculture

 

$

(3,389,284

)

$

(5,158,450

)

Currencies

 

(1,608,433

)

(2,577,608

)

Energy

 

(9,163,547

)

(9,348,337

)

Interest rates

 

3,477,792

 

1,948,608

 

Metals

 

242,644

 

3,004,185

 

Stock indices

 

(5,140,900

)

(4,308,557

)

 

 

 

 

 

 

Total

 

$

(15,581,728

)

$

(16,440,159

)

 

14



 

 

 

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

 

$

(2,675,089

)

$

(2,634,062

)

Currencies

 

(4,525,290

)

1,980,610

 

Energy

 

(10,196,949

)

(4,528,564

)

Interest rates

 

16,540,115

 

22,344,603

 

Metals

 

2,070,554

 

2,297,046

 

Stock indices

 

(8,313,051

)

(8,290,436

)

 

 

 

 

 

 

Total

 

$

(7,099,710

)

$

11,169,197

 

 

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.

 

15



 

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 Transtrend, 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 Transtrend to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected to be unusual.  It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of advisor monitoring, with the market risk controls being applied by Transtrend.

 

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 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.

 

16



 

5.     RELATED PARTY TRANSACTIONS

 

Starting in June of 2010, the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI with a minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee, which was determined at 0.02% of aggregate asset level, allocated to the Fund for the quarter ended June 30, 2011 amounted to $13,313, of which $9,072 was payable to the Transfer Agent as of June 30, 2011.

 

6.    RECENT ACCOUNTING PRONOUNCEMENTS

 

In May 2011, the FASB issued an update to requirements relating to Fair Value Measurement which represents amendments to achieve common fair value measurement and disclosure requirements in GAAP and International Financial Reporting Standards. The amendments are of two types: (i) those that clarify the FASB’s intent about the application of existing fair value measurement and disclosure requirements and (ii) those that change a particular principle or requirement for measuring fair value or for disclosing information about fair value measurements.

 

The amendments that change a particular principle or requirement for measuring fair value or disclosing information about fair value measurements relate to (i) measuring the fair value of the financial instruments that are managed within a portfolio; (ii) application of premium and discount in a fair value measurement; and (iii) additional disclosures about fair value measurements. The update is effective for annual periods beginning after December 15, 2011. MLAI does not believe the adoption of this update will have a material impact on the Fund’s financial statements.

 

7.     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.

 

17



 

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 purposes.

 

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, and any operating costs and other liabilities of the Fund. MLAI is authorized to make all Net Asset Value determinations.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

2010

 

$

1.0816

 

$

1.0975

 

$

1.2139

 

$

1.2405

 

$

1.1682

 

$

1.1659

 

2011

 

$

1.3232

 

$

1.3463

 

$

1.3119

 

$

1.3439

 

$

1.2687

 

$

1.2231

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

2010

 

$

1.0209

 

$

1.0351

 

$

1.1439

 

$

1.1680

 

$

1.0990

 

$

1.0959

 

2011

 

$

1.2365

 

$

1.2571

 

$

1.2239

 

$

1.2527

 

$

1.1816

 

$

1.1382

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

2010

 

$

0.8612

 

$

0.8749

 

$

0.9689

 

$

0.9914

 

$

0.9348