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EX-32.02 - EX-32.02 - ML BlueTrend FuturesAccess LLCa14-13471_1ex32d02.htm
EX-31.01 - EX-31.01 - ML BlueTrend FuturesAccess LLCa14-13471_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 June 30, 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 June 30, 2014 79,977,220 units of limited liability company interest were outstanding.

 

 

 



 

ML BLUETREND FUTURESACCESS LLC

 

QUARTERLY REPORT FOR JUNE 30, 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

17

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

27

 

 

 

Item 4.

Controls and Procedures

31

 

 

 

PART II—OTHER INFORMATION

 

 

 

Item 1.

Legal Proceedings

32

 

 

 

Item 1A.

Risk Factors

32

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

32

 

 

 

Item 3.

Defaults Upon Senior Securities

33

 

 

 

Item 4.

Mine Safety Disclosures

33

 

 

 

Item 5.

Other Information

33

 

 

 

Item 6.

Exhibits

34

 



 

PART I - FINANCIAL INFORMATION

Item 1.         Financial Statements

 

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

June 30,

 

December 31 ,

 

 

 

2014

 

2013

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $11,198,225 for 2014 and $15,660,472 for 2013)

 

$

90,157,639

 

$

122,942,320

 

Unrealized profit on open futures contracts

 

3,055,712

 

4,777,527

 

Unrealized profit on open forwards contracts

 

1,209,499

 

557,548

 

Cash

 

500,601

 

435,336

 

Other assets

 

2,731

 

126

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

94,926,182

 

$

128,712,857

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Brokerage commissions payable

 

$

15,457

 

$

30,519

 

Sponsor and Advisory fees payable

 

219,530

 

290,564

 

Redemptions payable

 

4,635,905

 

13,556,748

 

Unrealized loss on open futures contracts

 

153,783

 

193,597

 

Unrealized loss on open forwards contracts

 

1,297,939

 

535,473

 

Other liabilities

 

234,998

 

269,960

 

 

 

 

 

 

 

Total liabilities

 

6,557,612

 

14,876,861

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Interest (79,977,220 Units and 105,581,313 Units outstanding; unlimited Units authorized)

 

88,368,570

 

113,835,996

 

Total members’ capital

 

88,368,570

 

113,835,996

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

94,926,182

 

$

128,712,857

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

1.0252

 

$

0.9896

 

Class C

 

$

0.9776

 

$

0.9485

 

Class I

 

$

1.0501

 

$

1.0117

 

Class DS

 

$

1.2953

 

$

1.2410

 

Class DT

 

$

1.1017

 

$

1.0503

 

Class M

 

$

0.9586

 

$

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

 

For the six months
ended

 

For the six months
ended

 

 

 

June 30, 2014

 

June 30, 2013

 

June 30, 2014

 

June 30, 2013

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

8,609,507

 

$

(13,219,524

)

$

6,742,857

 

$

(4,833,160

)

Change in unrealized, net

 

711,639

 

(8,375,294

)

(1,792,516

)

(6,679,961

)

Brokerage commissions

 

(136,152

)

(225,902

)

(314,110

)

(411,786

)

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss), net

 

9,184,994

 

(21,820,720

)

4,636,231

 

(11,924,907

)

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

 

 

 

 

Interest, net

 

2,089

 

(227

)

1,887

 

2,677

 

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Management fee

 

448,965

 

759,894

 

953,162

 

1,571,388

 

Sponsor fee

 

228,968

 

219,003

 

470,198

 

415,873

 

Performance fee

 

 

(1,375,754

)

 

49,399

 

Other

 

143,078

 

111,213

 

291,858

 

228,500

 

Total expenses

 

821,011

 

(285,644

)

1,715,218

 

2,265,160

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(818,922

)

285,417

 

(1,713,331

)

(2,262,483

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

8,366,072

 

$

(21,535,303

)

$

2,922,900

 

$

(14,187,390

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

4,415,477

 

6,684,343

 

5,065,245

 

6,091,189

 

Class C

 

34,556,209

 

24,737,519

 

35,608,515

 

22,894,286

 

Class D

 

 

13,223,171

 

 

13,167,992

 

Class I

 

2,916,818

 

8,801,194

 

3,581,348

 

8,377,495

 

Class DS

 

31,420,540

 

56,382,611

 

35,362,106

 

59,831,550

 

Class DT

 

11,943,328

 

17,901,529

 

12,519,226

 

18,812,830

 

Class M

 

4,391,741

 

4,345,572

 

4,363,073

 

3,883,343

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

0.0855

 

$

(0.1542

)

$

0.0208

 

$

(0.1274

)

Class C

 

$

0.0787

 

$

(0.1539

)

$

0.0248

 

$

(0.1279

)

Class D

 

 

$

(0.1509

)

$

 

$

(0.1023

)

Class I

 

$

0.0896

 

$

(0.1538

)

$

0.0126

 

$

(0.1164

)

Class DS

 

$

0.1105

 

$

(0.1791

)

$

0.0330

 

$

(0.1026

)

Class DT

 

$

0.0978

 

$

(0.1481

)

$

0.0444

 

$

(0.0837

)

Class M

 

$

0.0845

 

$

(0.1383

)

$

0.0376

 

$

(0.1152

)

 

See notes to financial statements.

 

2



 

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2014 and 2013

(unaudited) (in Units)

 

 

 

Members’ Capital
December 31, 2012

 

Subscriptions

 

Redemptions

 

Members’ Capital
June 30, 2013

 

Members’ Capital
December 31, 2013

 

Subscriptions

 

Redemptions

 

Members’ Capital
June 30, 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

5,151,202

 

1,965,959

 

(484,035

)

6,633,126

 

6,205,276

 

80,426

 

(2,252,874

)

4,032,828

 

Class C

 

20,843,339

 

6,876,884

 

(1,942,552

)

25,777,671

 

36,389,842

 

6,240,467

 

(11,744,120

)

30,886,189

 

Class D*

 

12,141,337

 

1,457,214

 

(1,126,139

)

12,472,412

 

 

 

 

 

Class I

 

7,588,652

 

1,515,614

 

(394,771

)

8,709,495

 

4,423,168

 

89,719

 

(2,056,120

)

2,456,767

 

Class DS

 

66,823,225

 

 

(11,337,661

)

55,485,564

 

40,760,743

 

 

(13,783,991

)

26,976,752

 

Class DT

 

20,416,399

 

 

(2,979,042

)

17,437,357

 

13,436,067

 

 

(2,664,602

)

10,771,465

 

Class M

 

2,879,028

 

1,549,963

 

 

4,428,991

 

4,366,217

 

2,949,196

 

(2,462,194

)

4,853,219

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

135,843,182

 

13,365,634

 

(18,264,200

)

130,944,616

 

105,581,313

 

9,359,808

 

(34,963,901

)

79,977,220

 

 


*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 SIX MONTHS ENDED JUNE 30, 2014 and 2013

(unaudited)

 

 

 

Members’ Capital
December 31, 2012

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital
June 30, 2013

 

Members’ Capital
December 31, 2013

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital
June 30, 2014

 

Class A

 

$

5,767,104

 

$

2,267,580

 

$

(532,249

)

$

(776,186

)

$

6,726,249

 

$

6,141,004

 

$

79,020

 

$

(2,191,019

)

$

105,335

 

$

4,134,340

 

Class C

 

22,589,572

 

7,637,274

 

(2,120,274

)

(2,929,172

)

25,177,400

 

34,513,938

 

5,748,000

 

(10,951,899

)

884,033

 

30,194,072

 

Class D*

 

14,253,597

 

1,773,429

 

(1,317,357

)

(1,347,726

)

13,361,943

 

 

 

 

 

 

Class I

 

8,650,463

 

1,765,910

 

(431,124

)

(974,908

)

9,010,341

 

4,474,756

 

88,000

 

(2,028,155

)

45,162

 

2,579,763

 

Class DS

 

92,418,971

 

 

(16,253,643

)

(6,136,872

)

70,028,456

 

50,584,682

 

 

(16,810,993

)

1,167,930

 

34,941,619

 

Class DT

 

23,677,970

 

 

(3,570,392

)

(1,575,343

)

18,532,235

 

14,111,529

 

 

(2,801,343

)

556,456

 

11,866,642

 

Class M

 

2,946,759

 

1,637,250

 

 

(447,183

)

4,136,826

 

4,010,087

 

2,671,517

 

(2,193,454

)

163,984

 

4,652,134

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

170,304,436

 

$

15,081,443

 

$

(24,225,039

)

$

(14,187,390

)

$

146,973,450

 

$

113,835,996

 

$

8,586,537

 

$

(36,976,863

)

$

2,922,900

 

$

88,368,570

 

 


*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 JUNE 30, 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

 

$

0.9398

 

$

0.8984

 

$

0.9617

 

$

1.1830

 

$

1.0036

 

$

0.8755

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0969

 

0.0926

 

0.0992

 

0.1222

 

0.1038

 

0.0904

 

Brokerage commissions

 

(0.0014

)

(0.0014

)

(0.0014

)

(0.0018

)

(0.0015

)

(0.0013

)

Interest income, net (b)

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

Expenses

 

(0.0101

)

(0.0120

)

(0.0094

)

(0.0081

)

(0.0042

)

(0.0060

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.0252

 

$

0.9776

 

$

1.0501

 

$

1.2953

 

$

1.1017

 

$

0.9586

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

9.08

%

8.81

%

9.19

%

9.49

%

9.77

%

9.49

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

9.08

%

8.81

%

9.19

%

9.49

%

9.77

%

9.49

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

1.04

%

1.30

%

0.94

%

0.66

%

0.41

%

0.66

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

1.04

%

1.30

%

0.94

%

0.66

%

0.41

%

0.66

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-1.04

%

-1.29

%

-0.94

%

-0.66

%

-0.40

%

-0.66

%

 


(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.

(d) The ratios are not annualized.

 

See notes to financial statements.

 

5



 

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 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)

 

0.0584

 

0.0556

 

0.0598

 

0.0738

 

0.0628

 

0.0546

 

Brokerage commissions

 

(0.0030

)

(0.0029

)

(0.0031

)

(0.0038

)

(0.0032

)

(0.0028

)

Interest income, net (b)

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

Expenses

 

(0.0198

)

(0.0236

)

(0.0183

)

(0.0157

)

(0.0082

)

(0.0116

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.0252

 

$

0.9776

 

$

1.0501

 

$

1.2953

 

$

1.1017

 

$

0.9586

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

3.59

%

3.07

%

3.80

%

4.37

%

4.89

%

4.37

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

3.59

%

3.07

%

3.80

%

4.37

%

4.89

%

4.37

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

2.05

%

2.55

%

1.85

%

1.29

%

0.79

%

1.29

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

2.05

%

2.55

%

1.85

%

1.29

%

0.79

%

1.29

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-2.05

%

-2.55

%

-1.85

%

-1.29

%

-0.79

%

-1.29

%

 


(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.

(d) The ratios are not annualized.

 

See notes to financial statements.

 

6



 

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 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

 

$

1.1650

 

$

1.1249

 

$

1.2262

 

$

1.1874

 

$

1.4446

 

$

1.2136

 

$

1.0691

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.1485

)

(0.1431

)

(0.1566

)

(0.1514

)

(0.1845

)

(0.1552

)

(0.1366

)

Brokerage commissions

 

(0.0015

)

(0.0015

)

(0.0016

)

(0.0016

)

(0.0019

)

(0.0016

)

(0.0014

)

Interest income, net (b)

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0010

)

(0.0036

)

0.0033

 

0.0001

 

0.0039

 

0.0060

 

0.0029

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.0140

 

$

0.9767

 

$

1.0713

 

$

1.0345

 

$

1.2621

 

$

1.0628

 

$

0.9340

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-13.75

%

-13.96

%

-13.42

%

-13.66

%

-13.42

%

-13.20

%

-13.42

%

Performance fees

 

0.79

%

0.79

%

0.79

%

0.79

%

0.79

%

0.76

%

0.79

%

Total return after Performance fees

 

-12.96

%

-13.17

%

-12.63

%

-12.87

%

-12.63

%

-12.44

%

-12.63

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

0.93

%

1.17

%

0.56

%

0.83

%

0.56

%

0.31

%

0.56

%

Performance fees

 

-0.84

%

-0.84

%

-0.84

%

-0.84

%

-0.84

%

-0.82

%

-0.84

%

Expenses (including Performance fees)

 

0.09

%

0.33

%

-0.28

%

-0.01

%

-0.28

%

-0.51

%

-0.28

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-0.08

%

-0.33

%

0.28

%

0.02

%

0.28

%

0.51

%

0.28

%

 


(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.

(d) The ratios are not annualized.

 

See notes to financial statements.

 

7



 

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 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)

 

(0.0814

)

(0.0783

)

(0.0862

)

(0.0831

)

(0.1016

)

(0.0856

)

(0.0752

)

Brokerage commissions

 

(0.0028

)

(0.0027

)

(0.0029

)

(0.0028

)

(0.0035

)

(0.0029

)

(0.0026

)

Interest income, net (b)

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

Expenses

 

(0.0214

)

(0.0261

)

(0.0136

)

(0.0195

)

(0.0158

)

(0.0085

)

(0.0117

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.0140

 

$

0.9767

 

$

1.0713

 

$

1.0345

 

$

1.2621

 

$

1.0628

 

$

0.9340

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-9.52

%

-9.98

%

-8.84

%

-9.34

%

-8.84

%

-8.38

%

-8.84

%

Performance fees

 

-0.07

%

-0.07

%

-0.07

%

-0.07

%

-0.07

%

-0.16

%

-0.07

%

Total return after Performance fees

 

-9.59

%

-10.05

%

-8.91

%

-9.41

%

-8.91

%

-8.54

%

-8.91

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

1.88

%

2.38

%

1.13

%

1.68

%

1.13

%

0.64

%

1.13

%

Performance fees

 

-0.02

%

-0.02

%

-0.02

%

-0.02

%

-0.02

%

0.07

%

-0.02

%

Expenses (including Performance fees)

 

1.86

%

2.36

%

1.11

%

1.66

%

1.11

%

0.71

%

1.11

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-1.86

%

-2.36

%

-1.12

%

-1.66

%

-1.12

%

-0.70

%

-1.12

%

 


(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.

(d) The ratios are not annualized.

 

See notes to financial statements.

 

8



 

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 utilizes the BlueTrend Program (the “Trading Program”) for the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) 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, generally the same minimum investment amounts, fees and other operational criteria apply 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 June 30, 2014 and December 31, 2013 and the results of its operations for the three and six month periods ended June 30, 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

 

9



 

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. Certain prior year information has been reclassed to conform to current year presentation.

 

10



 

2.              CONDENSED SCHEDULES OF INVESTMENTS

 

The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of June 30, 2014 and December 31, 2013 are as follows:

 

June 30, 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

 

62

 

$

(229,393

)

-0.26

%

(314

)

$

199,622

 

0.23

%

$

(29,771

)

-0.03

%

September 2014 - December 2014

 

Currencies-Forwards*

 

121,659,466

 

903,166

 

1.02

%

(128,509,559

)

(991,606

)

-1.12

%

(88,440

)

-0.10

%

September 2014

 

Energy

 

431

 

692,690

 

0.78

%

 

 

0.00

%

692,690

 

0.78

%

July 2014 - October 2014

 

Interest rates

 

3,369

 

1,571,561

 

1.78

%

(18

)

(2,523

)

0.00

%

1,569,038

 

1.78

%

September 2014 - June 2018

 

Metals

 

388

 

755,955

 

0.86

%

(280

)

(789,072

)

-0.89

%

(33,117

)

-0.03

%

July 2014 - October 2014

 

Stock indices

 

1,206

 

402,729

 

0.46

%

(156

)

300,360

 

0.34

%

703,089

 

0.80

%

July 2014 - October 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

4,096,708

 

4.64

%

 

 

$

(1,283,219

)

-1.44

%

$

2,813,489

 

3.20

%

 

 

 

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*

 

171,782,264

 

(535,473

)

-0.47

%

(169,909,285

)

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 present notional amounts as converted to USD.

 

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of June 30, 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.  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.

 

11



 

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.

 

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

 

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

 

12



 

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 the process for determining fair values.

 

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 observable prices of investments with similar characteristics 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 unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of June 30, 2014 and December 31, 2013 are as follows:

 

Net unrealized profit (loss)
on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Futures

 

$

3,055,712

 

$

3,126,624

 

$

(70,912

)

$

 

Forwards

 

1,209,499

 

 

1,209,499

 

 

 

 

$

4,265,211

 

$

3,126,624

 

$

1,138,587

 

$

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures

 

$

153,783

 

$

153,783

 

$

 

$

 

Forwards

 

1,297,939

 

 

1,297,939

 

 

 

 

$

1,451,722

 

$

153,783

 

$

1,297,939

 

$

 

 

 

 

 

 

 

 

 

 

 

June 30, 2014

 

$

2,813,489

 

$

2,972,841

 

$

(159,352

)

$

 

 

13



 

Net unrealized profit (loss)
on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Futures

 

$

4,777,527

 

$

5,157,197

 

$

(379,670

)

$

 

Forwards

 

557,548

 

 

557,548

 

 

 

 

$

5,335,075

 

$

5,157,197

 

$

177,878

 

$

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures

 

$

193,597

 

$

193,597

 

$

 

$

 

Forwards

 

535,473

 

 

535,473

 

 

 

 

$

729,070

 

$

193,597

 

$

535,473

 

$

 

 

 

 

 

 

 

 

 

 

 

December 31, 2013

 

$

4,606,005

 

$

4,963,600

 

$

(357,595

)

$

 

 

The Fund’s volume of trading forwards and futures as of the six month period ended June 30, 2014 and year ended December 31, 2013 are representative of the activity throughout these periods presented. There were no transfers to or from any level during the three or six month periods ended June 30, 2014 or the year ended December 31, 2013.

 

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 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 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 June 30, 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, respectively.

 

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 and six month periods ended June 30, 2014 and 2013:

 

14



 

 

 

For the three months ended

 

For the six months ended

 

 

 

June 30, 2014

 

June 30, 2014

 

Commodity Industry Sector

 

profit (loss) from trading, net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

138,801

 

$

585,036

 

Currencies

 

68,483

 

(401,198

)

Energy

 

1,477,104

 

(918,855

)

Interest rates

 

5,234,846

 

7,563,075

 

Metals

 

(339,696

)

(1,186,136

)

Stock indices

 

2,741,608

 

(691,581

)

 

 

 

 

 

 

Total, net

 

$

9,321,146

 

$

4,950,341

 

 

 

 

For the three months ended

 

For the six months ended

 

 

 

June 30, 2013

 

June 30, 2013

 

Commodity Industry Sector

 

profit (loss) from trading, net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

(1,304,481

)

$

(2,154,981

)

Currencies

 

(4,879,232

)

(3,668,229

)

Energy

 

(5,427,771

)

(6,210,360

)

Interest rates

 

(11,531,145

)

(13,515,120

)

Metals

 

2,979,455

 

2,881,863

 

Stock indices

 

(1,431,644

)

11,153,706

 

 

 

 

 

 

 

Total, net

 

$

(21,594,818

)

$

(11,513,121

)

 

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

 

15



 

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 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 quantifica