Attached files

file filename
EXCEL - IDEA: XBRL DOCUMENT - ML BlueTrend FuturesAccess LLCFinancial_Report.xls
EX-31.01 - EX-31.01 - ML BlueTrend FuturesAccess LLCa14-19601_1ex31d01.htm
EX-32.01 - EX-32.01 - ML BlueTrend FuturesAccess LLCa14-19601_1ex32d01.htm
EX-31.02 - EX-31.02 - ML BlueTrend FuturesAccess LLCa14-19601_1ex31d02.htm
EX-32.02 - EX-32.02 - ML BlueTrend FuturesAccess LLCa14-19601_1ex32d02.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 September 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

 

(I.R.S Employer Identification No.)

incorporation or organization)

 

 

 

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

 

609-274-5838

(Registrant’s telephone number, including area code)

 

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center

250 Vesey Street, 11th Floor

New York, New York 10080

(Former name, former address and former fiscal year, if changed since last report)

 

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 September 30, 2014, 77,348,423 units of limited liability company interest were outstanding.

 

 

 



 

ML BLUETREND FUTURESACCESS LLC

 

QUARTERLY REPORT FOR SEPTEMBER 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

29

 

 

 

Item 4.

Controls and Procedures

33

 

 

 

 

PART II—OTHER INFORMATION

 

 

 

 

Item 1.

Legal Proceedings

34

 

 

 

Item 1A.

Risk Factors

34

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

34

 

 

 

Item 3.

Defaults Upon Senior Securities

35

 

 

 

Item 4.

Mine Safety Disclosures

35

 

 

 

Item 5.

Other Information

35

 

 

 

Item 6.

Exhibits

35

 



 

PART I - FINANCIAL INFORMATION

 

Item 1.         Financial Statements

 

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

September 30,

 

December 31 ,

 

 

 

2014

 

2013

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $8,484,934 for 2014 and $15,660,472 for 2013)

 

$

85,510,918

 

$

122,942,320

 

Unrealized profit on open futures contracts

 

3,849,386

 

7,484,356

 

Unrealized profit on open forwards contracts

 

3,522,938

 

557,548

 

Cash

 

427,908

 

435,336

 

Other assets

 

 

126

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

93,311,150

 

$

131,419,686

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Brokerage commissions payable

 

$

14,370

 

$

30,519

 

Sponsor and Advisory fees payable

 

202,609

 

290,564

 

Redemptions payable

 

940,296

 

13,556,748

 

Unrealized loss on open futures contracts

 

2,492,723

 

2,900,426

 

Unrealized loss on open forwards contracts

 

4,462,491

 

535,473

 

Other liabilities

 

208,332

 

269,960

 

 

 

 

 

 

 

Total liabilities

 

8,320,821

 

17,583,690

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Interest (77,348,423 Units and 105,581,313 Units outstanding; unlimited Units authorized)

 

84,990,329

 

113,835,996

 

Total members’ capital

 

84,990,329

 

113,835,996

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

93,311,150

 

$

131,419,686

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

1.0191

 

$

0.9896

 

Class C

 

$

0.9694

 

$

0.9485

 

Class I

 

$

1.0449

 

$

1.0117

 

Class DS

 

$

1.2924

 

$

1.2410

 

Class DT

 

$

1.1020

 

$

1.0503

 

Class M

 

$

0.9565

 

$

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 nine months
ended

 

For the nine months
ended

 

 

 

September 30, 2014

 

September 30, 2013

 

September 30, 2014

 

September 30, 2013

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

2,829,486

 

$

(3,320,311

)

$

9,572,343

 

$

(8,153,471

)

Change in unrealized, net

 

(2,396,379

)

1,127,094

 

(4,188,895

)

(5,552,867

)

Brokerage commissions

 

(103,480

)

(189,445

)

(417,590

)

(601,231

)

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss), net

 

329,627

 

(2,382,662

)

4,965,858

 

(14,307,569

)

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

 

 

 

 

Interest, net

 

1,964

 

394

 

3,851

 

3,071

 

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Management fee

 

406,830

 

710,860

 

1,359,992

 

2,282,248

 

Sponsor fee

 

207,986

 

244,151

 

678,184

 

660,024

 

Performance fee

 

 

 

 

49,399

 

Other

 

119,624

 

110,146

 

411,482

 

338,646

 

Total expenses

 

734,440

 

1,065,157

 

2,449,658

 

3,330,317

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(732,476

)

(1,064,763

)

(2,445,807

)

(3,327,246

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

(402,849

)

$

(3,447,425

)

$

2,520,051

 

$

(17,634,815

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

4,000,006

 

7,097,989

 

4,710,166

 

6,426,789

 

Class C

 

30,444,152

 

32,213,472

 

33,887,060

 

26,000,681

 

Class D*

 

 

11,986,674

 

 

12,774,219

 

Class I

 

2,456,768

 

8,793,629

 

3,206,488

 

8,516,206

 

Class DS

 

26,384,475

 

54,256,771

 

32,369,562

 

57,973,290

 

Class DT

 

10,504,400

 

17,364,873

 

11,847,618

 

18,330,178

 

Class M

 

5,137,245

 

6,422,305

 

4,621,130

 

4,729,664

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

(0.0058

)

$

(0.0248

)

$

0.0174

 

$

(0.1482

)

Class C

 

$

(0.0088

)

$

(0.0261

)

$

0.0182

 

$

(0.1450

)

Class D*

 

 

$

(0.0230

)

$

 

$

(0.1271

)

Class I

 

$

(0.0052

)

$

(0.0245

)

$

0.0101

 

$

(0.1398

)

Class DS

 

$

(0.0029

)

$

(0.0270

)

$

0.0337

 

$

(0.1311

)

Class DT

 

$

0.0003

 

$

(0.0200

)

$

0.0472

 

$

(0.1049

)

Class M

 

$

(0.0052

)

$

(0.0195

)

$

0.0297

 

$

(0.1211

)

 


*Units fully redeemed as of December 31, 2013.

See notes to financial statements.

 

2



 

ML BLUETREND FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 and 2013

(unaudited) (in Units)

 

 

 

Members’ Capital

 

 

 

 

 

Members’ Capital 

 

Members’ Capital

 

 

 

 

 

Members’ Capital

 

 

 

December 31, 2012

 

Subscriptions

 

Redemptions

 

September 30, 2013

 

December 31, 2013

 

Subscriptions

 

Redemptions

 

September 30, 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

5,151,202

 

2,977,085

 

(806,826

)

7,321,461

 

6,205,276

 

80,426

 

(2,356,466

)

3,929,236

 

Class C

 

20,843,339

 

17,121,976

 

(3,782,505

)

34,182,810

 

36,389,842

 

6,745,178

 

(13,828,647

)

29,306,373

 

Class D*

 

12,141,337

 

1,457,214

 

(2,583,353

)

11,015,198

 

 

 

 

 

Class I

 

7,588,652

 

1,805,061

 

(705,961

)

8,687,752

 

4,423,168

 

89,719

 

(2,105,496

)

2,407,391

 

Class DS

 

66,823,225

 

1,591,224

 

(19,265,979

)

49,148,470

 

40,760,743

 

 

(14,922,090

)

25,838,653

 

Class DT

 

20,416,399

 

489,464

 

(4,851,687

)

16,054,176

 

13,436,067

 

 

(3,182,128

)

10,253,939

 

Class M

 

2,879,028

 

3,925,098

 

(161,077

)

6,643,049

 

4,366,217

 

4,108,122

 

(2,861,508

)

5,612,831

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

135,843,182

 

29,367,122

 

(32,157,388

)

133,052,916

 

105,581,313

 

11,023,445

 

(39,256,335

)

77,348,423

 

 


*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 NINE MONTHS ENDED SEPTEMBER 30, 2014 and 2013

(unaudited)

 

 

 

Members’ Capital

 

 

 

 

 

Net Income

 

Members’ Capital

 

Members’ Capital

 

 

 

 

 

Net Income

 

Members’ Capital

 

 

 

December 31, 2012

 

Subscriptions

 

Redemptions

 

(Loss)

 

September 30, 2013

 

December 31, 2013

 

Subscriptions

 

Redemptions

 

(Loss)

 

September 30, 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

5,767,104

 

$

3,278,852

 

$

(853,169

)

$

(952,329

)

$

7,240,458

 

$

6,141,004

 

$

79,020

 

$

(2,297,780

)

$

81,988

 

$

4,004,232

 

Class C

 

22,589,572

 

17,540,836

 

(3,880,851

)

(3,770,784

)

32,478,773

 

34,513,938

 

6,245,000

 

(12,968,181

)

617,614

 

28,408,371

 

Class D*

 

14,253,597

 

1,773,429

 

(2,851,804

)

(1,623,198

)

11,552,024

 

 

 

 

 

 

Class I

 

8,650,463

 

2,060,395

 

(745,990

)

(1,190,698

)

8,774,170

 

4,474,756

 

88,000

 

(2,079,748

)

32,419

 

2,515,427

 

Class DS

 

92,418,971

 

2,008,284

 

(26,103,126

)

(7,601,865

)

60,722,264

 

50,584,682

 

 

(18,281,835

)

1,091,084

 

33,393,931

 

Class DT

 

23,677,970

 

520,202

 

(5,530,582

)

(1,923,306

)

16,744,284

 

14,111,529

 

 

(3,371,266

)

559,662

 

11,299,925

 

Class M

 

2,946,759

 

3,847,708

 

(147,885

)

(572,635

)

6,073,947

 

4,010,087

 

3,803,517

 

(2,582,445

)

137,284

 

5,368,443

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

170,304,436

 

$

31,029,706

 

$

(40,113,407

)

$

(17,634,815

)

$

143,585,920

 

$

113,835,996

 

$

10,215,537

 

$

(41,581,255

)

$

2,520,051

 

$

84,990,329

 

 


*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 SEPTEMBER 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

 

$

1.0252

 

$

0.9776

 

$

1.0501

 

$

1.2953

 

$

1.1017

 

$

0.9586

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0055

 

0.0052

 

0.0056

 

0.0069

 

0.0059

 

0.0051

 

Brokerage commissions

 

(0.0012

)

(0.0012

)

(0.0012

)

(0.0015

)

(0.0013

)

(0.0011

)

Interest income, net (b)

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

Expenses

 

(0.0104

)

(0.0122

)

(0.0096

)

(0.0083

)

(0.0043

)

(0.0061

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.0191

 

$

0.9694

 

$

1.0449

 

$

1.2924

 

$

1.1020

 

$

0.9565

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-0.59

%

-0.84

%

-0.49

%

-0.22

%

0.03

%

-0.22

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-0.59

%

-0.84

%

-0.49

%

-0.22

%

0.03

%

-0.22

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

1.01

%

1.26

%

0.91

%

0.64

%

0.39

%

0.64

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

1.01

%

1.26

%

0.91

%

0.64

%

0.39

%

0.64

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (e)

 

-1.01

%

-1.26

%

-0.91

%

-0.64

%

-0.39

%

-0.64

%

 


(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 and total return are not annualized.

(e) The Net investment income (loss) ratio is net of performance fees.

 

See notes to financial statements.

 

5



 

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 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)

 

0.0638

 

0.0609

 

0.0654

 

0.0807

 

0.0687

 

0.0597

 

Brokerage commissions

 

(0.0042

)

(0.0040

)

(0.0043

)

(0.0053

)

(0.0045

)

(0.0039

)

Interest income, net (b)

 

0.0000

 

0.0000

 

0.0000

 

0.0001

 

0.0000

 

0.0000

 

Expenses

 

(0.0301

)

(0.0360

)

(0.0279

)

(0.0241

)

(0.0125

)

(0.0177

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.0191

 

$

0.9694

 

$

1.0449

 

$

1.2924

 

$

1.1020

 

$

0.9565

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

2.98

%

2.20

%

3.28

%

4.14

%

4.93

%

4.14

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

2.98

%

2.20

%

3.28

%

4.14

%

4.93

%

4.14

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

3.06

%

3.82

%

2.76

%

1.93

%

1.18

%

1.93

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

3.06

%

3.82

%

2.76

%

1.93

%

1.18

%

1.93

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (e)

 

-3.06

%

-3.81

%

-2.76

%

-1.93

%

-1.17

%

-1.93

%

 


(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 and total return are not annualized.

(e) The Net investment income (loss) ratio is net of performance fees.

 

See notes to financial statements.

 

6



 

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 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

 

$

1.0140

 

$

0.9767

 

$

1.0713

 

$

1.0345

 

$

1.2621

 

$

1.0628

 

$

0.9340

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.0144

)

(0.0139

)

(0.0152

)

(0.0147

)

(0.0179

)

(0.0151

)

(0.0133

)

Brokerage commissions

 

(0.0013

)

(0.0012

)

(0.0013

)

(0.0013

)

(0.0016

)

(0.0013

)

(0.0012

)

Interest income, net (b)

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

Expenses

 

(0.0094

)

(0.0114

)

(0.0061

)

(0.0086

)

(0.0071

)

(0.0034

)

(0.0052

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

0.9889

 

$

0.9502

 

$

1.0487

 

$

1.0099

 

$

1.2355

 

$

1.0430

 

$

0.9143

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-2.48

%

-2.72

%

-2.11

%

-2.38

%

-2.11

%

-1.86

%

-2.11

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-2.48

%

-2.72

%

-2.11

%

-2.38

%

-2.11

%

-1.86

%

-2.11

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

0.95

%

1.20

%

0.57

%

0.85

%

0.57

%

0.32

%

0.57

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

0.95

%

1.20

%

0.57

%

0.85

%

0.57

%

0.32

%

0.57

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (e)

 

-0.95

%

-1.20

%

-0.57

%

-0.85

%

-0.57

%

-0.32

%

-0.57

%

 


(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 and total return are not annualized.

(e) The Net investment income (loss) ratio is net of performance fees.

 

See notes to financial statements.

 

7



 

ML BLUETREND FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 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)

 

(0.0958

)

(0.0921

)

(0.1014

)

(0.0978

)

(0.1195

)

(0.1007

)

(0.0884

)

Brokerage commissions

 

(0.0040

)

(0.0039

)

(0.0043

)

(0.0041

)

(0.0050

)

(0.0042

)

(0.0037

)

Interest income, net (b)

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

Expenses

 

(0.0309

)

(0.0376

)

(0.0196

)

(0.0281

)

(0.0230

)

(0.0119

)

(0.0171

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

0.9889

 

$

0.9502

 

$

1.0487

 

$

1.0099

 

$

1.2355

 

$

1.0430

 

$

0.9143

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-11.76

%

-12.42

%

-10.76

%

-11.50

%

-10.76

%

-10.09

%

-10.76

%

Performance fees

 

-0.07

%

-0.07

%

-0.07

%

-0.07

%

-0.07

%

-0.16

%

-0.07

%

Total return after Performance fees

 

-11.83

%

-12.49

%

-10.83

%

-11.57

%

-10.83

%

-10.25

%

-10.83

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

2.83

%

3.57

%

1.71

%

2.53

%

1.71

%

0.96

%

1.71

%

Performance fees

 

-0.02

%

-0.02

%

-0.02

%

-0.02

%

-0.02

%

0.07

%

-0.02

%

Expenses (including Performance fees)

 

2.81

%

3.55

%

1.69

%

2.51

%

1.69

%

1.03

%

1.69

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (e)

 

-2.81

%

-3.55

%

-1.69

%

-2.51

%

-1.69

%

-1.02

%

-1.69

%

 


(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 and total return are not annualized.

(e) The Net investment income (loss) ratio is net of performance fees.

 

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 Limited (the “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”, 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 of its affiliates or third 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 September 30, 2014 and December 31, 2013 and the results of its operations for the three and nine month periods ended September 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 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.

 

9



 

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 items have been reclassified to conform to the 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 September 30, 2014 and December 31, 2013 are as follows:

 

September 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

 

25

 

$

(73,311

)

-0.09

%

(590

)

$

1,511,271

 

1.78

%

$

1,437,960

 

1.69

%

November 2014 - December 2014

 

Currencies-Forwards*

 

157,529,499

 

(4,415,054

)

-5.19

%

(173,125,188

)

3,475,501

 

4.09

%

(939,553

)

-1.10

%

December 2014

 

Energy

 

142

 

(242,019

)

-0.28

%

(91

)

373,314

 

0.44

%

131,295

 

0.16

%

October 2014 - January 2015

 

Interest rates

 

2,973

 

149,805

 

0.18

%

(20

)

88

 

0.00

%

149,893

 

0.18

%

December 2014 - September 2018

 

Metals

 

253

 

(1,067,147

)

-1.26

%

(403

)

1,101,974

 

1.30

%

34,827

 

0.04

%

October 2014 - January 2015

 

Stock indices

 

766

 

(266,202

)

-0.31

%

(194

)

(131,110

)

-0.15

%

(397,312

)

-0.46

%

October 2014 - January 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

(5,913,928

)

-6.95

%

 

 

$

6,331,038

 

7.46

%

$

417,110

 

0.51

%

 

 

 

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 September 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, netting unrealized losses against unrealized profits as applicable.  Net unrealized profit and loss provides a rough 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 hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

 

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

 

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by 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.

 

Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period.

 

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of September 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

 

$

3,849,386

 

$

3,089,727

 

$

759,659

 

$

 

Forwards

 

3,522,938

 

 

3,522,938

 

 

 

 

$

7,372,324

 

$

3,089,727

 

$

4,282,597

 

$

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures

 

$

2,492,723

 

$

1,401,491

 

$

1,091,232

 

$

 

Forwards

 

4,462,491

 

 

4,462,491

 

 

 

 

$

6,955,214

 

$

1,401,491

 

$

5,553,723

 

$

 

 

 

 

 

 

 

 

 

 

 

September 30, 2014

 

$

417,110

 

$

1,688,236

 

$

(1,271,126

)

$

 

 

Net unrealized profit (loss) 

 

 

 

 

 

 

 

 

 

on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Futures

 

$

7,484,356

 

$

6,397,283

 

$

1,087,073

 

$

 

Forwards

 

557,548

 

 

557,548

 

 

 

 

$

8,041,904

 

$

6,397,283

 

$

1,644,621

 

$

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures

 

$

2,900,426

 

$

1,433,683

 

$

1,466,743

 

$

 

Forwards

 

535,473

 

 

535,473

 

 

 

 

$

3,435,899

 

$

1,433,683

 

$

2,002,216

 

$

 

 

 

 

 

 

 

 

 

 

 

December 31, 2013

 

$

4,606,005

 

$

4,963,600

 

$

(357,595

)

$

 

 

The Fund’s volume of trading forwards and futures as of the nine month period ended September 30, 2014 and year ended December 31, 2013 are representative of the activity throughout these periods

 

13



 

presented. There were no transfers to or from any level during the three or nine month periods ended September 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, 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 September 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 profit 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 nine month periods ended September 30, 2014 and 2013:

 

 

 

For the three months ended

 

For the nine months ended

 

 

 

September 30, 2014

 

September 30, 2014

 

Commodity Industry Sector

 

profit (loss) from trading, net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

1,966,280

 

$

2,551,316

 

Currencies

 

498,396

 

97,197

 

Energy

 

(2,444,660

)

(3,363,514

)

Interest rates

 

1,453,891

 

9,016,966

 

Metals

 

4,332

 

(1,181,804

)

Stock indices

 

(1,045,132

)

(1,736,713

)

 

 

 

 

 

 

Total, net

 

$

433,107

 

$

5,383,448

 

 

 

 

For the three months ended

 

For the nine months ended

 

 

 

September 30, 2013

 

September 30, 2013

 

Commodity Industry Sector

 

profit (loss) from trading, net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

(381,506