Attached files

file filename
EXCEL - IDEA: XBRL DOCUMENT - ML BlueTrend FuturesAccess LLCFinancial_Report.xls
EX-32.02 - EX-32.02 - ML BlueTrend FuturesAccess LLCa14-9374_1ex32d02.htm
EX-32.01 - EX-32.01 - ML BlueTrend FuturesAccess LLCa14-9374_1ex32d01.htm
EX-31.02 - EX-31.02 - ML BlueTrend FuturesAccess LLCa14-9374_1ex31d02.htm
EX-31.01 - EX-31.01 - ML BlueTrend FuturesAccess LLCa14-9374_1ex31d01.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 March 31, 2014

 

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 0-53794

 

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, 11th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

 

609-274-5838

(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 Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x  No o

 

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

 

Large accelerated filer o

 

Accelerated filer o

 

 

 

Non-accelerated filer x

 

Smaller reporting company o

(Do not check if a smaller reporting company)

 

 

 

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

 

As of March 31, 2014 92,686,438 units of limited liability company interest were outstanding.

 

 

 



 

ML BLUETREND FUTURESACCESS LLC

 

QUARTERLY REPORT FOR MARCH 31, 2014 ON FORM 10-Q

 

Table of Contents

 

 

 

 

 

PAGE

 

 

 

 

 

PART I—FINANCIAL INFORMATION

 

 

 

 

 

 

 

Item 1.

 

Financial Statements

 

1

 

 

 

 

 

Item 2.

 

Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

16

 

 

 

 

 

Item 3.

 

Quantitative and Qualitative Disclosures About Market Risk

 

22

 

 

 

 

 

Item 4.

 

Controls and Procedures

 

26

 

 

 

 

 

PART II—OTHER INFORMATION

 

 

 

 

 

 

 

Item 1.

 

Legal Proceedings

 

27

 

 

 

 

 

Item 1A.

 

Risk Factors

 

27

 

 

 

 

 

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds

 

27

 

 

 

 

 

Item 3.

 

Defaults Upon Senior Securities

 

28

 

 

 

 

 

Item 4.

 

Mine Safety Disclosures

 

28

 

 

 

 

 

Item 5.

 

Other Information

 

28

 

 

 

 

 

Item 6.

 

Exhibits

 

28

 



 

PART I - FINANCIAL INFORMATION

 

Item 1.         Financial Statements

 

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

March 31,

 

December 31,

 

 

 

2014

 

2013

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $12,147,143 for 2014 and $15,660,472 for 2013)

 

$

100,153,954

 

$

122,942,320

 

Net unrealized profit on open futures contracts

 

1,369,550

 

4,777,527

 

Net unrealized profit on open forwards contracts

 

1,772,491

 

557,548

 

Cash

 

417,950

 

435,336

 

Other assets

 

179

 

126

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

103,714,124

 

$

128,712,857

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Brokerage commissions payable

 

$

27,680

 

$

30,519

 

Sponsor and Advisory fees payable

 

236,365

 

290,564

 

Redemptions payable

 

7,567,692

 

13,556,748

 

Net unrealized loss on open futures contracts

 

395,410

 

193,597

 

Net unrealized loss on open forwards contracts

 

644,781

 

535,473

 

Other liabilities

 

198,372

 

269,960

 

 

 

 

 

 

 

Total liabilities

 

9,070,300

 

14,876,861

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Interest (92,686,438 Units and 105,581,313 Units outstanding; unlimited Units authorized)

 

94,643,824

 

113,835,996

 

Total members’ capital

 

94,643,824

 

113,835,996

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

103,714,124

 

$

128,712,857

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

0.9398

 

$

0.9896

 

Class C

 

$

0.8984

 

$

0.9485

 

Class I

 

$

0.9617

 

$

1.0117

 

Class DS

 

$

1.1830

 

$

1.2410

 

Class DT

 

$

1.0036

 

$

1.0503

 

Class M

 

$

0.8755

 

$

0.9184

 

 

See notes to financial statements.

 

1



 

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 

 

 

For the three months
ended

 

For the three months
ended

 

 

 

March 31, 2014

 

March 31, 2013

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

(1,866,650

)

$

8,386,364

 

Change in unrealized, net

 

(2,504,155

)

1,695,333

 

Brokerage commissions

 

(177,958

)

(185,884

)

 

 

 

 

 

 

Total trading profit (loss), net

 

(4,548,763

)

9,895,813

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

Interest, net

 

(202

)

2,904

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

Management fee

 

504,197

 

811,494

 

Sponsor fee

 

241,230

 

196,869

 

Performance fee

 

 

1,425,153

 

Other

 

148,780

 

117,287

 

Total expenses

 

894,207

 

2,550,803

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(894,409

)

(2,547,899

)

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

(5,443,172

)

$

7,347,914

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

Class A

 

5,715,014

 

5,498,035

 

Class C

 

36,660,820

 

21,051,053

 

Class D

 

 

13,112,813

 

Class I

 

4,245,878

 

7,953,795

 

Class DS

 

39,303,672

 

63,280,488

 

Class DT

 

13,095,124

 

19,724,132

 

Class M

 

4,334,404

 

3,421,113

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

Class A

 

$

(0.0476

)

$

0.0463

 

Class C

 

$

(0.0500

)

$

0.0417

 

Class D

 

$

 

$

0.0494

 

Class I

 

$

(0.0509

)

$

0.0477

 

Class DS

 

$

(0.0586

)

$

0.0626

 

Class DT

 

$

(0.0467

)

$

0.0545

 

Class M

 

$

(0.0478

)

$

0.0449

 

 

See notes to financial statements.

 

2



 

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2014 and 2013

(unaudited) (in Units)

 

 

 

Members’ Capital
December 31, 2012

 

Subscriptions

 

Redemptions

 

Members’ Capital
March 31, 2013

 

Members’ Capital
December 31, 2013

 

Subscriptions

 

Redemptions

 

Members’ Capital
March 31, 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

5,151,202

 

1,018,880

 

(258,764

)

5,911,318

 

6,205,276

 

54,162

 

(1,606,765

)

4,652,673

 

Class C

 

20,843,339

 

1,837,062

 

(1,428,029

)

21,252,372

 

36,389,842

 

3,725,776

 

(5,589,349

)

34,526,269

 

Class D**

 

12,141,337

 

1,457,214

 

 

13,598,551

 

 

 

 

 

Class I

 

7,588,652

 

608,788

 

(102,276

)

8,095,164

 

4,423,168

 

55,405

 

(1,357,608

)

3,120,965

 

Class DS

 

66,823,225

 

 

(9,000,309

)

57,822,916

 

40,760,743

 

 

(6,452,317

)

34,308,426

 

Class DT

 

20,416,399

 

 

(2,104,779

)

18,311,620

 

13,436,067

 

 

(1,042,304

)

12,393,763

 

Class M*

 

2,879,028

 

629,117

 

 

3,508,145

 

4,366,217

 

1,367,178

 

(2,049,053

)

3,684,342

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

135,843,182

 

5,551,061

 

(12,894,157

)

128,500,086

 

105,581,313

 

5,202,521

 

(18,097,396

)

92,686,438

 

 


*Units issued on December 1, 2012.

**Units fully redeemed as of December 31, 2013.

 

See notes to financial statements.

 

3



 

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2014 and 2013

(unaudited)

 

 

 

Members’ Capital
December 31, 2012

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital
March 31, 2013

 

Members’ Capital
December 31, 2013

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital
March 31, 2014

 

Class A

 

$

5,767,104

 

$

1,164,350

 

$

(299,296

)

$

254,520

 

$

6,886,678

 

$

6,141,004

 

$

52,695

 

$

(1,548,959

)

$

(272,066

)

$

4,372,674

 

Class C

 

22,589,572

 

2,032,099

 

(1,591,281

)

877,136

 

23,907,526

 

34,513,938

 

3,460,000

 

(5,120,101

)

(1,833,904

)

31,019,933

 

Class D**

 

14,253,597

 

1,773,429

 

 

647,473

 

16,674,499

 

 

 

 

 

 

Class I

 

8,650,463

 

701,568

 

(119,182

)

379,042

 

9,611,891

 

4,474,756

 

55,000

 

(1,312,260

)

(216,126

)

3,001,370

 

Class DS

 

92,418,971

 

 

(12,851,043

)

3,960,799

 

83,528,727

 

50,584,682

 

 

(7,696,698

)

(2,302,657

)

40,585,327

 

Class DT

 

23,677,970

 

 

(2,529,627

)

1,075,291

 

22,223,634

 

14,111,529

 

 

(1,061,322

)

(611,195

)

12,439,012

 

Class M*

 

2,946,759

 

650,000

 

 

153,653

 

3,750,412

 

4,010,087

 

1,232,517

 

(1,809,872

)

(207,224

)

3,225,508

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

170,304,436

 

$

6,321,446

 

$

(17,390,429

)

$

7,347,914

 

$

166,583,367

 

$

113,835,996

 

$

4,800,212

 

$

(18,549,212

)

$

(5,443,172

)

$

94,643,824

 

 


*Units issued on December 1, 2012.

**Units fully redeemed as of December 31, 2013.

 

See notes to financial statements.

 

4



 

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 (unaudited)

 

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

 

 

 

Class A

 

Class C

 

Class I

 

Class DS

 

Class DT

 

Class M

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

0.9896

 

$

0.9485

 

$

1.0117

 

$

1.2410

 

$

1.0503

 

$

0.9184

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.0386

)

(0.0369

)

(0.0394

)

(0.0484

)

(0.0410

)

(0.0358

)

Brokerage commissions

 

(0.0016

)

(0.0015

)

(0.0016

)

(0.0020

)

(0.0017

)

(0.0015

)

Interest income, net (b)

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0096

)

(0.0117

)

(0.0090

)

(0.0076

)

(0.0040

)

(0.0056

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

0.9398

 

$

0.8984

 

$

0.9617

 

$

1.1830

 

$

1.0036

 

$

0.8755

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-5.04

%

-5.27

%

-4.94

%

-4.68

%

-4.44

%

-4.68

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-5.04

%

-5.27

%

-4.94

%

-4.68

%

-4.44

%

-4.68

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

1.01

%

1.26

%

0.91

%

0.63

%

0.39

%

0.63

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

1.01

%

1.26

%

0.91

%

0.63

%

0.39

%

0.63

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-1.01

%

-1.26

%

-0.91

%

-0.63

%

-0.39

%

-0.63

%

 


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

(b) Interest income, net is less than $0.0001 per Unit.

(c) The expense ratios do not include brokerage commissions.

 

See notes to financial statements.

 

5



 

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2013 (unaudited)

 

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

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class DS

 

Class DT

 

Class M

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.1196

 

$

1.0838

 

$

1.1740

 

$

1.1399

 

$

1.3830

 

$

1.1598

 

$

1.0235

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0671

 

0.0649

 

0.0704

 

0.0683

 

0.0829

 

0.0696

 

0.0614

 

Brokerage commissions

 

(0.0012

)

(0.0012

)

(0.0013

)

(0.0013

)

(0.0015

)

(0.0013

)

(0.0011

)

Interest income, net (b)

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

Expenses

 

(0.0205

)

(0.0226

)

(0.0169

)

(0.0195

)

(0.0198

)

(0.0145

)

(0.0147

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.1650

 

$

1.1249

 

$

1.2262

 

$

1.1874

 

$

1.4446

 

$

1.2136

 

$

1.0691

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

4.90

%

4.63

%

5.29

%

5.00

%

5.29

%

5.55

%

5.29

%

Performance fees

 

-0.85

%

-0.85

%

-0.85

%

-0.85

%

-0.85

%

-0.91

%

-0.85

%

Total return after Performance fees

 

4.05

%

3.78

%

4.44

%

4.15

%

4.44

%

4.64

%

4.44

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

0.95

%

1.21

%

0.58

%

0.85

%

0.58

%

0.32

%

0.58

%

Performance fees

 

0.83

%

0.83

%

0.83

%

0.83

%

0.83

%

0.89

%

0.83

%

Expenses (including Performance fees)

 

1.78

%

2.04

%

1.41

%

1.68

%

1.41

%

1.21

%

1.41

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-1.78

%

-2.03

%

-1.40

%

-1.68

%

-1.40

%

-1.21

%

-1.40

%

 


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

(b) Interest income, net is less than $0.0001 per Unit.

(c) The expense ratios do not include brokerage commissions.

 

See notes to financial statements.

 

6



 

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  FuturesAccessSM Program (“FuturesAccess”) fund, which is an Investment Company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on April 30, 2008 and commenced trading activities on September 1, 2008. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. BlueCrest Capital Management LLP (“BlueCrest” or “Trading Advisor”) is the trading advisor of the Fund.  The Trading Advisor trades the BlueTrend Program (the “Trading Program”) for the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI” or “Sponsor”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other parties as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BAC affiliates.

 

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”).  FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC.  FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds.  Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

 

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or other obligations of, and are not guaranteed by, BAC 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  March 31, 2014 and December 31, 2013 and the results of its operations for the three months ended March 31, 2014 and 2013.  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

 

7



 

and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2013.

 

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.

 

8



 

2.              CONDENSED SCHEDULES OF INVESTMENTS

 

The Fund’s investments, defined as net unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of March 31, 2014 and December 31, 2013 are as follows:

 

March 31, 2014

 

 

 

Long Positions

 

Short Positions

 

Net Unrealized

 

 

 

 

 

Commodity Industry

 

Number of

 

Unrealized

 

Percent of

 

Number of

 

Unrealized

 

Percent of

 

Profit (Loss)

 

Percent of

 

 

 

Sector

 

Contracts/Notional*

 

Profit (Loss)

 

Members’ Capital

 

Contracts/Notional*

 

Profit (Loss)

 

Members’ Capital

 

on Open Positions

 

Members’ Capital

 

Maturity Dates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

230

 

$

934,509

 

0.99

%

(18

)

$

(10,405

)

-0.01

%

$

924,104

 

0.98

%

May 2014 - June 2014

 

Currencies-Forwards*

 

30,656,840,725

 

1,772,491

 

1.87

%

(39,972,746,809

)

(644,781

)

-0.68

%

1,127,710

 

1.19

%

June 2014

 

Energy

 

417

 

(200,108

)

-0.21

%

(1

)

700

 

0.00

%

(199,408

)

-0.21

%

April 2014 - July 2014

 

Interest rates

 

2,604

 

(504,241

)

-0.53

%

(129

)

(15,035

)

-0.02

%

(519,276

)

-0.55

%

June 2014 - March 2018

 

Metals

 

323

 

(585,676

)

-0.62

%

(402

)

447,677

 

0.47

%

(137,999

)

-0.15

%

April 2014 - July 2014

 

Stock indices

 

1,400

 

830,655

 

0.88

%

(193

)

76,064

 

0.08

%

906,719

 

0.96

%

April 2014 - July 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

2,247,630

 

2.38

%

 

 

$

(145,780

)

-0.16

%

$

2,101,850

 

2.22

%

 

 

 

December 31, 2013

 

 

 

Long Positions

 

Short Positions

 

Net Unrealized

 

 

 

 

 

Commodity Industry

 

Number of

 

Unrealized

 

Percent of

 

Number of

 

Unrealized

 

Percent of

 

Profit (Loss)

 

Percent of

 

 

 

Sector

 

Contracts/Notional*

 

Profit (Loss)

 

Members’ Capital

 

Contracts/Notional*

 

Profit (Loss)

 

Members’ Capital

 

on Open Positions

 

Members’ Capital

 

Maturity Dates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

213

 

$

(235,914

)

-0.21

%

(592

)

$

493,766

 

0.43

%

$

257,852

 

0.22

%

March 2014

 

Currencies-Forwards*

 

35,391,596,844

 

(535,473

)

-0.47

%

(23,534,575,720

)

557,548

 

0.49

%

22,075

 

0.02

%

March 2014

 

Energy

 

601

 

236,523

 

0.21

%

(2

)

(170

)

0.00

%

236,353

 

0.21

%

January 2014 - April 2014

 

Interest rates

 

1,130

 

(627,061

)

-0.55

%

(837

)

414,227

 

0.36

%

(212,834

)

-0.19

%

March 2014 - December 2017

 

Metals

 

482

 

842,393

 

0.74

%

(541

)

(1,080,178

)

-0.95

%

(237,785

)

-0.21

%

January 2014 - April 2014

 

Stock indices

 

1,946

 

4,118,179

 

3.62

%

(364

)

422,165

 

0.37

%

4,540,344

 

3.99

%

January 2014 - April 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

3,798,647

 

3.34

%

 

 

$

807,358

 

0.70

%

$

4,606,005

 

4.04

%

 

 

 


*Currencies-Forwards are stated in notional amounts. Note that the amounts presented for Currency-Forwards are presented as a mixture of underlying currencies in which the Fund trades.

 

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of March 31, 2014 and December 31, 2013. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (loss) of long positions and short positions of the open contracts, netting unrealized losses against unrealized profits as applicable.  Net unrealized profit and loss provides an approximate measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

 

9



 

3. FAIR VALUE OF INVESTMENTS

 

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

 

The fair value measurement guidance established by U.S. GAAP is a 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 in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

 

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

 

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

 

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

 

10



 

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

 

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

 

The independent pricing sources obtain market quotations and actual transaction prices for investments that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of investments 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 investments, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

 

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

 

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

 

The Fund’s net unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of March 31, 2014 and December 31, 2013 are as follows:

 

Net unrealized profit (loss)
on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Futures

 

 

 

 

 

 

 

 

 

Long

 

$

475,139

 

$

1,103,055

 

$

(627,916

)

$

 

Short

 

499,001

 

193,339

 

305,662

 

 

 

 

$

974,140

 

$

1,296,394

 

$

(322,254

)

$

 

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

 

 

 

 

Long

 

$

1,772,491

 

$

 

$

1,772,491

 

$

 

Short

 

(644,781

)

 

(644,781

)

 

 

 

$

1,127,710

 

$

 

$

1,127,710

 

$

 

 

 

 

 

 

 

 

 

 

 

March 31, 2014

 

$

2,101,850

 

$

1,296,394

 

$

805,456

 

$

 

 

11



 

Net unrealized profit (loss)
on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Futures

 

 

 

 

 

 

 

 

 

Long

 

$

4,334,119

 

$

3,552,651

 

$

781,468

 

$

 

Short

 

249,810

 

1,410,948

 

(1,161,138

)

 

 

 

$

4,583,929

 

$

4,963,599

 

$

(379,670

)

$

 

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

 

 

 

 

Long

 

$

(535,472

)

$

 

$

(535,472

)

$

 

Short

 

557,548

 

 

557,548

 

 

 

 

$

22,076

 

$

 

$

22,076

 

$

 

 

 

 

 

 

 

 

 

 

 

December 31, 2013

 

$

4,606,005

 

$

4,963,599

 

$

(357,594

)

$

 

 

The Fund’s volume of trading forwards and futures as of the three month period ended March 31, 2014 and year ended December 31, 2013, respectively, are representative of the activity throughout these periods. There were no transfers to or from any level during the three month period ended March 31, 2014 or the year ended December 31, 2013.

 

The Fund engages in the speculative trading of futures, options on futures and forwards contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments 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 total notional, contract amount, or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.

 

The Fund presents its futures and forwards contract amounts gross on the Statements of Financial Condition. The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At March 31, 2014 and December 31, 2013, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented on the Statements of Financial Condition in unrealized gain or loss on futures or forwards contracts.

 

12



 

The following table indicates the trading profits and losses, before brokerage commissions, by type/commodity industry sector, on derivative instruments for each of the three month periods ended March 31, 2014 and 2013:

 

 

 

For the three months ended

 

For the three months ended

 

 

 

March 31, 2014

 

March 31, 2013

 

Commodity Industry Sector

 

profit (loss) from trading, net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

446,234

 

$

(850,500

)

Currencies

 

(469,681

)

1,211,003

 

Energy

 

(2,395,959

)

(782,589

)

Interest rates

 

2,328,229

 

(1,983,974

)

Metals

 

(846,440

)

(97,592

)

Stock indices

 

(3,433,188

)

12,585,349

 

 

 

 

 

 

 

Total, net

 

$

(4,370,805

)

$

10,081,697

 

 

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BAC entities.  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 all be presented in the financial statements.  The following summarizes some of those risks.

 

Market Risk

 

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s net unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entail legal and political risks.

 

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it 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

 

13



 

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 Trading 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 (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse.  In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties.  Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

 

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition. MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BAC affiliates, such as MLPF&S and MLI, although MLAI may engage non-BAC affiliated service providers as clearing brokers or prime brokers for the Fund.

 

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker.

 

Indemnifications

 

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

 

5.    RELATED PARTY TRANSACTIONS

 

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets. During the quarter ended March 31, 2014, the rate was 0.02%.  The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Fund, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended March 31, 2014, and 2013 amounted to $5,614 and  $8,528, respectively, of which $3,537 and $4,635 was payable to the Transfer Agent as of March 31, 2014 and December 31, 2013, respectively.

 

Brokerage Commissions, Interest and Sponsor fees as presented on the Statements of Operations are all received from or paid to related parties. Equity in commodity trading accounts, including cash and net unrealized profit/loss, as presented on the Statements of Financial Condition are held with a related party.

 

14



 

6.   SUBSEQUENT EVENTS

 

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

 

15



 

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 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 last calendar day of each month and any other dates MLAI may determine in its discretion (each, a “Calculation Date”). The Fund’s “Net Asset Value” as of any Calculation Date generally equals the value of the Fund’s account under the management of the Trading Advisor as of that date, plus any other assets held by the Fund, minus accrued Sponsor’s, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, amortized organizational and initial offering costs and all other liabilities of the Fund.  MLAI or its delegates are authorized to make all Net Asset Value determinations.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 

 

 

Jan.

 

Feb.

 

Mar.

 

2013

 

$

1.1592

 

$

1.1422

 

$

1.1650

 

2014

 

$

0.9493

 

$

0.9696

 

$

0.9398

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 

 

 

Jan.

 

Feb.

 

Mar.

 

2013

 

$

1.1212

 

$

1.1038

 

$

1.1249

 

2014

 

$

0.9091

 

$

0.9277

 

$

0.8984

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 

 

 

Jan.

 

Feb.

 

Mar.

 

2013

 

$

1.2170

 

$

1.2007

 

$

1.2262

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 

 

 

Jan.

 

Feb.

 

Mar.

 

2013

 

$

1.1807

 

$

1.1637

 

$

1.1874

 

2014

 

$

0.9708

 

$

0.9919

 

$

0.9617

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

 

 

 

Jan.

 

Feb.

 

Mar.

 

2013

 

$

1.4338

 

$

1.4145

 

$

1.4446

 

2014

 

$

1.1920

 

$

1.2189

 

$

1.1830

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

 

 

 

Jan.

 

Feb.

 

Mar.

 

2013

 

$

1.2031

 

$

1.1876

 

$

1.2136

 

2014

 

$

1.0096

 

$

1.0333

 

$

1.0036

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

 

 

 

Jan.

 

Feb.

 

Mar.

 

2013

 

$

1.0611

 

$

1.0468

 

$

1.0691

 

2014

 

$

0.8821

 

$

0.9021

 

$

0.8755

 

 

16



 

Liquidity and Capital Resources

 

The Fund borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Fund’s U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

 

Substantially all of the Fund’s assets are held in cash. The Net Asset Value of the Fund’s cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow.

 

The Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances.  This typically permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

 

Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of the last calendar day of each month (each a “Redemption Date”), upon providing eight business days notice prior to the first of every month.  Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date.

 

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts.  This cash is also used to fund redemptions.  While the Fund has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions.  In the event that positions were liquidated to fund redemptions, MLAI, as the manager of the Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.

 

For the three months ended March 31, 2014, Fund capital decreased 16.86% from $113,835,996 to $94,643,824.  This decrease was attributable to the net loss from operations of $5,443,172, coupled with the redemption of 18,097,396 Redeemable Units resulting in an outflow of $18,549,212.  The cash outflow was offset with cash inflow of $4,800,212 due to subscriptions of 5,202,521 Units.  Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

 

Critical Accounting Policies

 

Statement of Cash Flows

 

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

 

Investments

 

All investments (including derivatives) are held for trading purposes.  Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date.  Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date.  Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included as a component of equity in commodity

 

17



 

trading accounts on the Statements of Financial Condition.  Realized profits or losses and any change in net unrealized profits or losses from the preceding period are reported in the Statements of Operations.

 

Fair Value Measurements

 

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

 

Futures Contracts

 

The Fund trades exchange listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Fund’s Statements of Financial Condition. Contracts are priced daily by the Fund and the profit or loss based on the daily mark to market are recorded as unrealized profits. When the contract is closed, the Fund records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized profits (losses), net and changes in unrealized profits (losses), net on futures contracts are included in the Statements of Operations. The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bids and asks from open outcry sessions.

 

Forward Foreign Currency Contracts

 

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

 

Interest Rates and Income

 

The Fund currently earns interest based on the prevailing federal 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.

 

18



 

Income Taxes

 

No provision for income taxes has been made in the accompanying financial statements as each 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 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.  A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Fund, including reducing the net asset value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2010.

 

Reform Act

 

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant,” and the Fund expects to meet the amended definition so long as its total assets exceed $10 million.  If the Fund does not meet the definition of “eligible contract participant,” it could lead to the Fund bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.  “Retail forex” markets could also be significantly less liquid than the interbank market.  Moreover, the creditworthiness of the counterparties with whom the Fund may be required to trade could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions.

 

Results of Operations

 

January 1, 2014 to March 31, 2014

 

January 1, 2014 to March 31, 2014

 

The Fund experienced a net trading loss of $4,370,805 before brokerage commissions and related fees in the first quarter of 2014. The Fund’s profits were primarily attributable to interest rates and agriculture sectors posting profits. The currency, metals, energy and stock indices sectors posted losses.

 

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The top performing individual markets fell in January within the fixed income sectors.   The Fund’s strategy entered January with a small net long bias to the sector and added to this over the course

 

19



 

of the month, benefitting from the flight out of risk assets into the safe haven of fixed income. Profits were posted to the Fund in the middle of the quarter. The Fund’s small net long bias was maintained steadily through February. Losses were posted to the Fund at the end of the quarter.

 

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter as wheat continued its decline falling during January. Profits were posted to the Fund in the middle of the quarter as drought conditions in Brazil helped push the agricultural sector higher, including soybeans which were one of the top performing markets for the strategy. Profits were posted to the Fund at the end of the quarter. The crops sector reacted to a bullish report from the U.S.D.A., particularly for soybeans and corn, while risks in Ukraine also impacted wheat, pushing prices higher.

 

The currency sector posted losses to the Fund.  Losses were posted to the Fund at the beginning of the first quarter as the U.S. dollar, as measured by the Dollar Index, rose in January.  Looking across individual currency pairs, the Australian dollar and the Euro both weakened vs. U.S. dollar while the Japanese yen strengthened.  In aggregate the sector detracted from performance in January with many moves representing a reversal of recent trends. Losses were posted to the Fund in the middle of the quarter as the U.S. dollar, as measured by the Dollar Index, fell in February as most developed market currencies, Euro, British pound, Australian dollar and the Japanese yen rose against the U.S. dollar. The Fund held a net long bias to the U.S. dollar and although performance varied across currency pairs, the FX sector detracted from performance in aggregate. Profits were posted to the Fund at the end of the quarter. In currency markets the U.S. dollar was modestly stronger, as the Dollar index increased in March. In developed markets the Euro weakened against the dollar, as did the British pound. The Japanese yen also weakened while the Australian dollar strengthened.  In emerging markets the Brazilian real and Russian ruble both strengthened, respectively. The FX sector was the largest positive contributor to performance in aggregate, as persistent trends were identified and captured.

 

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter as gold regained some of its safe haven status, up in January, while industrial metals tended to fall on weaker growth and demand expectations.  Losses were posted to the Fund in the middle of the quarter. Precious metals continued the trend from January with prices rising, on aggregate, while industrial metals were more subdued and registered small price gains as a group. Profits were posted to the Fund at the end of the quarter. Fears of a slowdown in Chinese growth caused a t sell-off in the copper market and gold prices falling in March on reduced demand for the safe haven asset.

 

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The energy complex was generally lower in January, with the exception of natural gas where the cold winter weather resulted in higher demand in the U.S.  With the Fund’s strategy holding net long exposure to the sector, the general price fall in the sector resulted in it detracting from performance. Profits were posted to the Fund in the middle of the quarter. In February, cold weather conditions in the U.S. lifted natural gas and heating oil prices. Crude oil prices resumed an upward move in February after recent price consolidation, with West Texas Intermediate rising. Losses were posted to the Fund at the end of the quarter. An overall long bias was maintained in the energy sector in March, though reduced physical demand for crude oil and a modest sale of stocks by the U.S. limited any price reaction to the geopolitical risks linked to Russia. Natural gas prices fell back in March as forecasts predicted warming weather trends.

 

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The equity sector detracted from performance as markets retreated from their year-end highs.  In response to these market moves the Fund cut risk exposure to the sector.  While the most

 

20



 

significant price moves were seen in the Nikkei, other major indices such as the S&P 500, EuroStoxx and FTSE also experienced falls. Profits were posted to the Fund in the middle of the quarter. The equity sector provided the largest contribution to performance in February.   Long positioning of the Fund’s strategy benefitted from the strong equity markets, as investor risk appetite returned and the recent focus on emerging market concerns faded. Losses were posted to the Fund at the end of the quarter as equity sector returns were mixed and demonstrated few persistent trends.

 

January 1, 2013 to March 31, 2013

 

January 1, 2013 to March 31, 2013

 

The Fund experienced a net trading profit of $10, 081,697 before brokerage commissions and related fees in the first quarter of 2013. The Fund’s profits were primarily attributable to the stock indices and the currency sectors posting profits. The metals, energy, agriculture and interest rate sectors posted losses.

 

The stock indices posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Equity markets around the globe benefitted as the more optimistic mood at the start of the year drove indices to multi-year highs. The Trading Program benefitted from this rally as it maintained, and slightly increased, its net long exposure to the sector. The result was that the equity sector was the largest contributor to the fund’s performance. Losses were posted to the Fund in the middle of the quarter as equity index performance varied markedly around the globe. Profits were posted to the Fund at the end of the quarter. The equity sector provided the strongest positive contribution to performance in March as many, but not all, equity indices rallied strongly.

 

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The FX markets, the broader Dollar Index initially rose before falling to finish down at the end of January. The moves in individual currencies were, in some cases, more extreme and in aggregate the FX sector delivered a strong positive contribution. The continued weakening of the Japanese yen saw U.S. dollar-Japanese yen rise, reaching levels not seen since mid-2010; this move benefitted the Trading Program’s short Japanese yen position. Losses were posted to the Fund in the middle of the quarter. In FX markets, the broad Dollar Index rallied strongly, having generally trended downward over the previous two and a half months. The strong moves in individual currency pairs resulted in the sector containing two of the worst performing markets and combined to leave the FX sector as the second highest detractor. Profits were posted to the Fund at the end of the quarter.

 

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The metal sector marginally detracted from performance with no significant individual drivers. Losses were posted to the Fund in the middle of the quarter as metal markets fell moving against the net long position that the Trading Program held at the start of February. Profits were posted to the Fund at the end of the quarter. The metal sector provided a positive contribution to the Trading Program’s performance as copper prices continued to fall during the month of March.

 

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Energy markets, in general, rallied strongly in January which benefitted the Trading Program’s long positions; RBOB Gasoline, which rose in price in January, was one of the top individual contributors to the Trading Program’s performance. Losses were posted to the Fund in the middle of the quarter. The worst performing sector in February was the energy sector. In general these markets continued their upward trend through the first half of February before reversing and then finishing the month significantly lower (for example, Brent Crude rallied before reversing and finishing the month down). The sharp price falls followed the latest inventory data released by the American Petroleum

 

21



 

Institute (API) which indicated that U.S. crude stock piles had risen to their highest level since December. Losses were posted to the Fund at the end of the quarter.  The unusually cold start to spring in the U.S. led to a surge in the price of natural gas, while optimism on the economic recovery in the U.S. were in part responsible for the rise in WTI crude futures.

 

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The agriculture sector marginally detracted from performance with no significant individual drivers. Losses were posted to the Fund in the middle of the quarter as crop markets fell moving against the net long position that the Trading Program held at the start of February. Losses were posted to the Fund at the end of the quarter.  Within the commodity markets the crop sector detracted from performance, and contained one of the worst performing individual markets — corn.  With prices having risen steadily through March, approaching their year-to- date highs, inventory data released by the USDA indicated that inventories and projected planting were both significantly higher than market expectations.  The result was a sharp fall in corn prices on the day the USDA released their data.

 

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. A consequence of the risk-on rally that benefitted the equity sector in January was that fixed income markets retreated, with both bond futures and short term interest rate futures falling. This price movement was against the long positions held by the Trading Program and resulted in the fixed income sectors being the largest detractors from performance; these sectors also contained the three worst performing markets over the period as well. In response to these falls in price, the Trading Program substantially reduced position sizes within both the bond and short term interest rate sectors. Profits were posted to the Fund in the middle of the quarter. In response to the weaker European data and concerns over the economic environment in both Europe and the U.S., global fixed income markets tended to reflect lower interest rates in February.  This benefitted the Trading Program’s net long positions in both bond and short term interest rate futures. Profits were posted to the Fund at the end of the quarter ad the Trading Program maintained its net long positions in both the bond and short term interest rate futures. European and UK 10Y bond futures rose, while the moves in the U.S. and Japanese 10Y bond futures were slightly more muted.   Price movements in the short term interest rate sector were less consistent and led to the sector detracting slightly from performance.

 

(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.

 

22



 

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

 

The Fund’s risk exposure in the various market sectors traded by the Fund 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 (in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

 

Exchange maintenance margin requirements have been used by the Fund as the measure of its 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.

 

23



 

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 three months ended March 31, 2014 and 2013 the Fund’s average Month-end Net Asset Value was approximately $104,256,419 and $167,984,090, respectively.

 

March 31, 2014

 

 

 

Average Value

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

at Risk

 

Capitalization

 

at Risk

 

at Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

2,989,441

 

2.87

%

$

3,420,214

 

$

2,740,913

 

Currencies

 

3,648,102

 

3.50

%

4,173,786

 

3,344,816

 

Energy

 

645,077

 

0.62

%

738,032

 

591,449

 

Interest Rates

 

1,679,838

 

1.61

%

1,921,899

 

1,540,184

 

Metals

 

446,422

 

0.43

%

510,750

 

409,308

 

Stock Indices

 

2,933,198

 

2.81

%

3,355,866

 

2,689,346

 

Total

 

$

12,342,078

 

11.84

%

$

14,120,547

 

$

11,316,016

 

 

March 31, 2013

 

 

 

Average Value

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

at Risk

 

Capitalization

 

at Risk

 

at Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

450,291

 

0.27

%

$

498,084

 

$

396,946

 

Currencies

 

1,112,477

 

0.66

%

1,230,553

 

980,685

 

Energy

 

1,727,640

 

1.03

%

1,911,008

 

1,522,971

 

Interest Rates

 

12,247,048

 

7.29

%

13,546,928

 

10,796,175

 

Metals

 

289,075

 

0.17

%

319,757

 

254,829

 

Stock Indices

 

3,264,983

 

1.94

%

3,611,522

 

2,878,190

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

19,091,514

 

11.36

%

$

21,117,852

 

$

16,829,796

 

 

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.”

 

24



 

Non-Trading Risk

 

Foreign Currency Balances; Cash on Deposit with MLPF&S and MLI

 

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

 

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

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

The following qualitative disclosures regarding the 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 BlueCrest 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, 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 value of their investment in the Fund.

 

The following were the primary trading risk exposures of the Fund as of March 31, 2014, by market sector.

 

Interest Rates

 

Interest rate movements directly affect the price of derivative sovereign bond futures 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 can 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 may also take futures 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.

 

25



 

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 and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of March 31, 2014. However, it is anticipated that the Fund will maintain an emphasis on cotton, grains and sugar, in which the Fund has historically taken its largest positions.

 

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 primary non-trading risk exposures of the Fund as of March 31, 2014.

 

Foreign Currency Balances

 

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

 

U.S. Dollar Cash Balance

 

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

 

Item 4. Controls and Procedures

 

Disclosure Controls and Procedures

 

MLAI’s Chief Executive Officer and Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of and for the quarter which ended March 31, 2014, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

 

26



 

Changes in Internal Control over Financial Reporting

 

No change in internal control over financial reporting (as defined in Rule 13a-15(f) or Rule 15d-15(f) under the Securities Exchange Act) occurred during the quarter ended March 31, 2014 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 Fund’s report on Form 10-K for the year ended December 31, 2013, filed with the Securities and Exchange Commission on March 25, 2014.

 

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

 

(a)  Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder.  The selling agent of the Units was MLPF&S.

 

27



 

CLASS A

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-14

 

$

8,910

 

9,004

 

$

0.9896

 

Feb-14

 

 

 

0.9493

 

Mar-14

 

43,785

 

45,158

 

0.9696

 

Apr-14

 

 

 

0.9398

 

 

CLASS C

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-14

 

$

1,028,000

 

1,083,816

 

$

0.9485

 

Feb-14

 

926,000

 

1,018,590

 

0.9091

 

Mar-14

 

1,506,000

 

1,623,370

 

0.9277

 

Apr-14

 

1,364,000

 

1,518,255

 

0.8984

 

 

CLASS I

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-14

 

$

30,000

 

29,653

 

$

1.0117

 

Feb-14

 

25,000

 

25,752

 

0.9708

 

Mar-14

 

 

 

0.9919

 

Apr-14

 

33,000

 

34,314

 

0.9617

 

 

CLASS DS

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-14

 

$

 

 

$

1.2410

 

Feb-14

 

$

 

 

$

1.1920

 

Mar-14

 

$

 

 

$

1.2189

 

Apr-14

 

$

 

 

$

1.1830

 

 

CLASS DT

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-14

 

$

 

 

$

1.0503

 

Feb-14

 

 

 

1.0096

 

Mar-14

 

 

 

1.0333

 

Apr-14

 

 

 

1.0036

 

 

CLASS M

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-14

 

$

32,035

 

34,882

 

$

0.9184

 

Feb-14

 

$

61,000

 

69,153

 

$

0.8821

 

Mar-14

 

$

1,139,482

 

1,263,143