Attached files
| file | filename |
|---|---|
| EX-32.02 - EX-32.02 - ML BlueTrend FuturesAccess LLC | a15-12018_1ex32d02.htm |
| EX-31.01 - EX-31.01 - ML BlueTrend FuturesAccess LLC | a15-12018_1ex31d01.htm |
| EX-31.02 - EX-31.02 - ML BlueTrend FuturesAccess LLC | a15-12018_1ex31d02.htm |
| EX-32.01 - EX-32.01 - ML BlueTrend FuturesAccess LLC | a15-12018_1ex32d01.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, 2015
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)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.
|
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, 2015 45,505,263 units of limited liability company interest were outstanding.
ML BLUETREND FUTURESACCESS LLC
QUARTERLY REPORT FOR JUNE 30, 2015 ON FORM 10-Q
Table of Contents
|
|
|
PAGE |
|
|
|
|
|
| ||
|
1 | ||
|
|
|
|
|
Management’s Discussion and Analysis of Financial Condition and Results of Operations |
17 | |
|
|
|
|
|
27 | ||
|
|
|
|
|
31 | ||
|
|
|
|
|
|
|
|
|
31 | ||
|
|
|
|
|
32 | ||
|
|
|
|
|
32 | ||
|
|
|
|
|
33 | ||
|
|
|
|
|
33 | ||
|
|
|
|
|
33 | ||
|
|
|
|
|
33 | ||
PART I - FINANCIAL INFORMATION
ML BLUETREND FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
(unaudited)
|
|
|
June 30, |
|
December 31 , |
| ||
|
|
|
2015 |
|
2014 |
| ||
|
ASSETS: |
|
|
|
|
| ||
|
Equity in commodity trading accounts: |
|
|
|
|
| ||
|
Cash (including restricted cash of $6,556,851 for 2015 and $13,831,321 for 2014) |
|
$ |
47,888,549 |
|
$ |
84,392,795 |
|
|
Unrealized profit on open futures contracts |
|
2,643,621 |
|
5,172,855 |
| ||
|
Unrealized profit on open forwards contracts |
|
893,174 |
|
1,629,265 |
| ||
|
Cash and cash equivalents |
|
460,116 |
|
447,891 |
| ||
|
Other assets |
|
729 |
|
3,179 |
| ||
|
|
|
|
|
|
| ||
|
TOTAL ASSETS |
|
$ |
51,886,189 |
|
$ |
91,645,985 |
|
|
|
|
|
|
|
| ||
|
LIABILITIES AND MEMBERS’ CAPITAL: |
|
|
|
|
| ||
|
LIABILITIES: |
|
|
|
|
| ||
|
Brokerage commissions payable |
|
$ |
7,251 |
|
$ |
5,867 |
|
|
Sponsor and Advisory fees payable |
|
115,238 |
|
203,132 |
| ||
|
Redemptions payable |
|
881,545 |
|
746,054 |
| ||
|
Unrealized loss on open futures contracts |
|
2,933,651 |
|
3,036,436 |
| ||
|
Unrealized loss on open forwards contracts |
|
1,551,165 |
|
945,840 |
| ||
|
Other liabilities |
|
178,383 |
|
189,329 |
| ||
|
|
|
|
|
|
| ||
|
Total liabilities |
|
5,667,233 |
|
5,126,658 |
| ||
|
|
|
|
|
|
| ||
|
MEMBERS’ CAPITAL: |
|
|
|
|
| ||
|
Members’ Capital (45,505,263 Units and 75,062,259 Units outstanding; unlimited Units authorized) |
|
46,218,956 |
|
86,519,327 |
| ||
|
Total members’ capital |
|
46,218,956 |
|
86,519,327 |
| ||
|
|
|
|
|
|
| ||
|
TOTAL LIABILITIES AND MEMBERS’ CAPITAL |
|
$ |
51,886,189 |
|
$ |
91,645,985 |
|
|
|
|
|
|
|
| ||
|
NET ASSET VALUE PER UNIT: |
|
|
|
|
| ||
|
|
|
|
|
|
| ||
|
Class A |
|
$ |
1.0329 |
|
$ |
1.0634 |
|
|
Class C |
|
$ |
0.9752 |
|
$ |
1.0089 |
|
|
Class D |
|
$ |
0.9050 |
|
$ |
— |
|
|
Class I |
|
$ |
1.0623 |
|
$ |
1.0914 |
|
|
Class DS* |
|
$ |
— |
|
$ |
1.3536 |
|
|
Class DT |
|
$ |
1.1347 |
|
$ |
1.1571 |
|
|
Class M |
|
$ |
0.9804 |
|
$ |
1.0018 |
|
*Units fully redeemed as of April 30, 2015.
See notes to financial statements.
ML BLUETREND FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF OPERATIONS
(unaudited)
|
|
|
For the three |
|
For the three |
|
For the six |
|
For the six |
| ||||
|
|
|
months ended |
|
months ended |
|
months ended |
|
months ended |
| ||||
|
|
|
June 30, 2015 |
|
June 30, 2014 |
|
June 30, 2015 |
|
June 30, 2014 |
| ||||
|
TRADING PROFIT (LOSS): |
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Realized, net |
|
$ |
(4,138,815 |
) |
$ |
8,609,507 |
|
$ |
7,598,973 |
|
$ |
6,742,857 |
|
|
Change in unrealized, net |
|
(3,131,868 |
) |
711,639 |
|
(3,767,865 |
) |
(1,792,516 |
) | ||||
|
Brokerage commissions |
|
(122,291 |
) |
(136,152 |
) |
(246,159 |
) |
(314,110 |
) | ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Total trading profit (loss), net |
|
(7,392,974 |
) |
9,184,994 |
|
3,584,949 |
|
4,636,231 |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
INVESTMENT INCOME (EXPENSE): |
|
|
|
|
|
|
|
|
| ||||
|
Interest, net |
|
(604 |
) |
2,089 |
|
710 |
|
1,887 |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
EXPENSES: |
|
|
|
|
|
|
|
|
| ||||
|
Management fee |
|
222,525 |
|
448,965 |
|
557,674 |
|
953,162 |
| ||||
|
Sponsor fee |
|
194,623 |
|
228,968 |
|
405,879 |
|
470,198 |
| ||||
|
Performance fee |
|
(1,270,088 |
) |
— |
|
599,201 |
|
— |
| ||||
|
Other |
|
144,302 |
|
143,078 |
|
281,780 |
|
291,858 |
| ||||
|
Total expenses |
|
(708,638 |
) |
821,011 |
|
1,844,534 |
|
1,715,218 |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
NET INVESTMENT INCOME (LOSS) |
|
708,034 |
|
(818,922 |
) |
(1,843,824 |
) |
(1,713,331 |
) | ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
NET INCOME (LOSS) |
|
$ |
(6,684,940 |
) |
$ |
8,366,072 |
|
$ |
1,741,125 |
|
$ |
2,922,900 |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
NET INCOME (LOSS) PER UNIT: |
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Weighted average number of Units outstanding |
|
|
|
|
|
|
|
|
| ||||
|
Class A |
|
3,843,613 |
|
4,415,477 |
|
3,872,244 |
|
5,065,245 |
| ||||
|
Class C |
|
26,434,639 |
|
34,556,209 |
|
26,967,837 |
|
35,608,515 |
| ||||
|
Class D** |
|
100 |
|
— |
|
100 |
|
— |
| ||||
|
Class I |
|
2,094,841 |
|
2,916,818 |
|
2,100,721 |
|
3,581,348 |
| ||||
|
Class DS* |
|
23,822,173 |
|
31,420,540 |
|
24,806,229 |
|
35,362,106 |
| ||||
|
Class DT |
|
9,157,781 |
|
11,943,328 |
|
9,528,035 |
|
12,519,226 |
| ||||
|
Class M |
|
5,321,136 |
|
4,391,741 |
|
5,329,131 |
|
4,363,073 |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Net income (loss) per weighted average Unit |
|
|
|
|
|
|
|
|
| ||||
|
Class A |
|
$ |
(0.1327 |
) |
$ |
0.0855 |
|
$ |
(0.0282 |
) |
$ |
0.0208 |
|
|
Class C |
|
$ |
(0.1276 |
) |
$ |
0.0787 |
|
$ |
(0.0281 |
) |
$ |
0.0248 |
|
|
Class D** |
|
$ |
(0.0949 |
) |
$ |
— |
|
$ |
(0.0949 |
) |
$ |
— |
|
|
Class I |
|
$ |
(0.1353 |
) |
$ |
0.0896 |
|
$ |
(0.0282 |
) |
$ |
0.0126 |
|
|
Class DS* |
|
$ |
(0.0256 |
) |
$ |
0.1105 |
|
$ |
0.1154 |
|
$ |
0.0330 |
|
|
Class DT |
|
$ |
(0.1377 |
) |
$ |
0.0978 |
|
$ |
(0.0084 |
) |
$ |
0.0444 |
|
|
Class M |
|
$ |
(0.1217 |
) |
$ |
0.0845 |
|
$ |
(0.0215 |
) |
$ |
0.0376 |
|
*Units fully redeemed as of April 30, 2015. (Presentation of weighted average units outstanding and net
income (loss) per weighted average units for this share class is for the period January 1, 2015 to April 30, 2015.)
** Units fully redeemed as of December 31, 2013. Units reissued on May 1, 2015. (Presentation of weighted average units
outstanding and net income (loss) per weighted average units for this share class is for the period May 1, 2015 to June 30, 2015.)
See notes to financial statements.
ML BLUETREND FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014
(unaudited) (in Units)
|
|
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Members’ Capital June |
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Members’ Capital |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class A |
|
6,205,276 |
|
80,426 |
|
(2,252,874 |
) |
4,032,828 |
|
3,681,307 |
|
417,213 |
|
(441,939 |
) |
3,656,581 |
|
|
Class C |
|
36,389,842 |
|
6,240,467 |
|
(11,744,120 |
) |
30,886,189 |
|
27,903,528 |
|
353,025 |
|
(2,543,409 |
) |
25,713,144 |
|
|
Class D** |
|
— |
|
— |
|
— |
|
— |
|
— |
|
100 |
|
— |
|
100 |
|
|
Class I |
|
4,423,168 |
|
89,719 |
|
(2,056,120 |
) |
2,456,767 |
|
2,112,602 |
|
— |
|
(17,761 |
) |
2,094,841 |
|
|
Class DS* |
|
40,760,743 |
|
— |
|
(13,783,991 |
) |
26,976,752 |
|
25,956,877 |
|
— |
|
(25,956,877 |
) |
— |
|
|
Class DT |
|
13,436,067 |
|
— |
|
(2,664,602 |
) |
10,771,465 |
|
10,137,574 |
|
75,991 |
|
(1,300,576 |
) |
8,912,989 |
|
|
Class M |
|
4,366,217 |
|
2,949,196 |
|
(2,462,194 |
) |
4,853,219 |
|
5,270,371 |
|
107,061 |
|
(249,824 |
) |
5,127,608 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Members’ Units |
|
105,581,313 |
|
9,359,808 |
|
(34,963,901 |
) |
79,977,220 |
|
75,062,259 |
|
953,390 |
|
(30,510,386 |
) |
45,505,263 |
|
*Units fully redeemed as of April 30, 2015.
**Units reissued May 1, 2015.
See notes to financial statements.
ML BLUETREND FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014
(unaudited)
|
|
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Net Income |
|
Members’ Capital |
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Net |
|
Members’ Capital June |
| ||||||||||
|
Class A |
|
$ |
6,141,004 |
|
$ |
79,020 |
|
$ |
(2,191,019 |
) |
$ |
105,335 |
|
$ |
4,134,340 |
|
$ |
3,914,576 |
|
$ |
457,118 |
|
$ |
(485,560 |
) |
$ |
(109,062 |
) |
$ |
3,777,072 |
|
|
Class C |
|
34,513,938 |
|
5,748,000 |
|
(10,951,899 |
) |
884,033 |
|
30,194,072 |
|
28,153,234 |
|
383,000 |
|
(2,703,139 |
) |
(757,882 |
) |
25,075,213 |
| ||||||||||
|
Class D** |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
100 |
|
— |
|
(9 |
) |
91 |
| ||||||||||
|
Class I |
|
4,474,756 |
|
88,000 |
|
(2,028,155 |
) |
45,162 |
|
2,579,763 |
|
2,305,631 |
|
— |
|
(21,002 |
) |
(59,331 |
) |
2,225,298 |
| ||||||||||
|
Class DS* |
|
50,584,682 |
|
— |
|
(16,810,993 |
) |
1,167,930 |
|
34,941,619 |
|
35,135,941 |
|
— |
|
(37,998,300 |
) |
2,862,359 |
|
— |
| ||||||||||
|
Class DT |
|
14,111,529 |
|
— |
|
(2,801,343 |
) |
556,456 |
|
11,866,642 |
|
11,730,252 |
|
87,929 |
|
(1,623,881 |
) |
(80,353 |
) |
10,113,947 |
| ||||||||||
|
Class M |
|
4,010,087 |
|
2,671,517 |
|
(2,193,454 |
) |
163,984 |
|
4,652,134 |
|
5,279,693 |
|
115,000 |
|
(252,761 |
) |
(114,597 |
) |
5,027,335 |
| ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
|
Total Members’ Capital |
|
$ |
113,835,996 |
|
$ |
8,586,537 |
|
$ |
(36,976,863 |
) |
$ |
2,922,900 |
|
$ |
88,368,570 |
|
$ |
86,519,327 |
|
$ |
1,043,147 |
|
$ |
(43,084,643 |
) |
$ |
1,741,125 |
|
$ |
46,218,956 |
|
*Units fully redeemed as of April 30, 2015.
**Units reissued May 1, 2015.
See notes to financial statements.
ML BLUETREND FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE THREE MONTHS ENDED JUNE 30, 2015 (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 D** |
|
Class DS* |
|
Class DT |
|
Class M |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net asset value, beginning of period |
|
$ |
1.1657 |
|
$ |
1.1033 |
|
$ |
1.1976 |
|
$ |
1.0000 |
|
$ |
1.4895 |
|
$ |
1.2744 |
|
$ |
1.1023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net realized and net change in unrealized trading profit(loss) |
|
(0.1427 |
) |
(0.1349 |
) |
(0.1466 |
) |
(0.1037 |
) |
(0.0308 |
) |
(0.1563 |
) |
(0.1352 |
) | |||||||
|
Brokerage commissions |
|
(0.0023 |
) |
(0.0021 |
) |
(0.0023 |
) |
(0.0015 |
) |
(0.0008 |
) |
(0.0025 |
) |
(0.0021 |
) | |||||||
|
Interest income, net (b) |
|
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
0.0000 |
|
0.0000 |
|
(0.0000 |
) |
(0.0000 |
) | |||||||
|
Expenses |
|
0.0122 |
|
0.0089 |
|
0.0136 |
|
0.0102 |
|
0.0060 |
|
0.0191 |
|
0.0154 |
| |||||||
|
Net asset value, before full redemption |
|
1.0329 |
|
0.9752 |
|
1.0623 |
|
0.9050 |
|
1.4639 |
|
1.1347 |
|
0.9804 |
| |||||||
|
Less redemption |
|
— |
|
— |
|
— |
|
— |
|
1.4639 |
|
— |
|
— |
| |||||||
|
Net asset value, end of period |
|
$ |
1.0329 |
|
$ |
0.9752 |
|
$ |
1.0623 |
|
$ |
0.9050 |
|
$ |
— |
|
$ |
1.1347 |
|
$ |
0.9804 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Total Return: (a) (d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Total return before Performance fees |
|
-13.38 |
% |
-13.60 |
% |
-13.29 |
% |
-10.95 |
% |
-2.28 |
% |
-12.94 |
% |
-13.05 |
% | |||||||
|
Performance fees |
|
1.99 |
% |
1.99 |
% |
1.99 |
% |
1.45 |
% |
0.56 |
% |
1.98 |
% |
2.00 |
% | |||||||
|
Total return after Performance fees |
|
-11.39 |
% |
-11.61 |
% |
-11.30 |
% |
-9.50 |
% |
-1.72 |
% |
-10.96 |
% |
-11.05 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Ratios to Average Member’s Capital: (d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Expenses (excluding Performance fees) (c) |
|
0.99 |
% |
1.23 |
% |
0.89 |
% |
0.67 |
% |
0.53 |
% |
0.49 |
% |
0.62 |
% | |||||||
|
Performance fees |
|
-2.09 |
% |
-2.09 |
% |
-2.09 |
% |
-1.51 |
% |
-0.58 |
% |
-2.06 |
% |
-2.09 |
% | |||||||
|
Expenses (including Performance fees) |
|
-1.10 |
% |
-0.86 |
% |
-1.20 |
% |
-0.84 |
% |
-0.05 |
% |
-1.57 |
% |
-1.47 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net investment income (loss) (excluding Performance fees) |
|
-0.99 |
% |
-1.23 |
% |
-0.89 |
% |
-0.67 |
% |
-0.53 |
% |
-0.49 |
% |
-0.62 |
% | |||||||
|
Performance fees |
|
2.09 |
% |
2.09 |
% |
2.09 |
% |
1.51 |
% |
0.58 |
% |
2.06 |
% |
2.09 |
% | |||||||
|
Net investment income (loss) (including Performance fees) |
|
1.10 |
% |
0.86 |
% |
1.20 |
% |
0.84 |
% |
0.05 |
% |
1.57 |
% |
1.47 |
% | |||||||
(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.
*Units fully redeemed as of April 30, 2015.
**Units reissued May 1, 2015.
See notes to financial statements.
ML BLUETREND FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE SIX MONTHS ENDED JUNE 30, 2015 (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 D** |
|
Class DS* |
|
Class DT |
|
Class M |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net asset value, beginning of period |
|
$ |
1.0634 |
|
$ |
1.0089 |
|
$ |
1.0914 |
|
$ |
1.0000 |
|
$ |
1.3536 |
|
$ |
1.1571 |
|
$ |
1.0018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net realized and net change in unrealized trading profit(loss) |
|
(0.0052 |
) |
(0.0045 |
) |
(0.0055 |
) |
(0.1037 |
) |
0.1444 |
|
(0.0066 |
) |
(0.0055 |
) | |||||||
|
Brokerage commissions |
|
(0.0038 |
) |
(0.0036 |
) |
(0.0039 |
) |
(0.0015 |
) |
(0.0028 |
) |
(0.0042 |
) |
(0.0036 |
) | |||||||
|
Interest income, net (b) |
|
(0.0000 |
) |
0.0000 |
|
(0.0000 |
) |
0.0000 |
|
0.0000 |
|
(0.0000 |
) |
(0.0000 |
) | |||||||
|
Expenses |
|
(0.0215 |
) |
(0.0256 |
) |
(0.0197 |
) |
0.0102 |
|
(0.0313 |
) |
(0.0116 |
) |
(0.0123 |
) | |||||||
|
Net asset value, before full redemption |
|
1.0329 |
|
0.9752 |
|
1.0623 |
|
0.9050 |
|
1.4639 |
|
1.1347 |
|
0.9804 |
| |||||||
|
Less redemption |
|
— |
|
— |
|
— |
|
— |
|
1.4639 |
|
— |
|
— |
| |||||||
|
Net asset value, end of period |
|
$ |
1.0329 |
|
$ |
0.9752 |
|
$ |
1.0623 |
|
$ |
0.9050 |
|
$ |
— |
|
$ |
1.1347 |
|
$ |
0.9804 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Total Return: (a) (d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Total return before Performance fees |
|
-2.87 |
% |
-3.35 |
% |
-2.67 |
% |
-10.95 |
% |
9.70 |
% |
-1.90 |
% |
-2.14 |
% | |||||||
|
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
1.45 |
% |
-1.55 |
% |
-0.04 |
% |
0.01 |
% | |||||||
|
Total return after Performance fees |
|
-2.87 |
% |
-3.35 |
% |
-2.67 |
% |
-9.50 |
% |
8.15 |
% |
-1.94 |
% |
-2.13 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Ratios to Average Member’s Capital: (d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Expenses (excluding Performance fees) (c) |
|
1.91 |
% |
2.41 |
% |
1.71 |
% |
1.33 |
% |
1.07 |
% |
0.90 |
% |
1.16 |
% | |||||||
|
Performance fees |
|
-0.02 |
% |
-0.02 |
% |
-0.02 |
% |
-1.51 |
% |
1.49 |
% |
0.03 |
% |
-0.02 |
% | |||||||
|
Expenses (including Performance fees) |
|
1.89 |
% |
2.39 |
% |
1.69 |
% |
-0.18 |
% |
2.56 |
% |
0.93 |
% |
1.14 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net investment income (loss) (excluding Performance fees) |
|
-1.91 |
% |
-2.41 |
% |
-1.71 |
% |
-1.33 |
% |
-1.07 |
% |
-0.90 |
% |
-1.16 |
% | |||||||
|
Performance fees |
|
0.02 |
% |
0.02 |
% |
0.02 |
% |
1.51 |
% |
-1.49 |
% |
-0.03 |
% |
0.02 |
% | |||||||
|
Net investment income (loss) (including Performance fees) |
|
-1.89 |
% |
-2.39 |
% |
-1.69 |
% |
0.18 |
% |
-2.56 |
% |
-0.93 |
% |
-1.14 |
% | |||||||
(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.
*Units fully redeemed as of April 30, 2015.
**Units reissued May 1, 2015.
See notes to financial statements.
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) (excluding Performance fees) |
|
-1.04 |
% |
-1.29 |
% |
-0.94 |
% |
-0.66 |
% |
-0.40 |
% |
-0.66 |
% | ||||||
|
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% | ||||||
|
Net investment income (loss) (including Performance fees) |
|
-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 and total return are not annualized.
See notes to financial statements.
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) (excluding Performance fees) |
|
-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 |
% | ||||||
|
Net investment income (loss) (including Performance fees) |
|
-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.
ML BLUETREND FUTURESACCESS LLC
(A Delaware Limited Liability Company)
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. ORGANIZATION
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. Systematica Investments Limited (acting as general partner of Systematica Investments LP) (“Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the BlueTrend Program (the “Trading Program”) for the Fund. The Trading Advisor has delegated the day-to-day operation of the Trading Program to an affiliated sub-investment manager, Systematica Investments Jersey Limited and may in the future delegate to other affiliated sub-investment managers.
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 “BofA Corp.”. 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 BofA Corp. 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 BofA Corp. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor and a single fund of funds no longer offered to investors 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, BofA Corp. or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.
The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of June 30, 2015 the Fund holds cash equivalents. Cash was held at a nationally recognized financial institution.
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, 2015 and December 31, 2014 and the results of its operations for the three and six month periods ended June 30, 2015 and 2014. 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, 2014.
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.
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, 2015 and December 31, 2014, are as follows:
June 30, 2015
|
|
|
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 |
|
182 |
|
$ |
491,539 |
|
1.06 |
% |
(204 |
) |
$ |
(492,306 |
) |
-1.07 |
% |
$ |
(767 |
) |
-0.01 |
% |
September 2015 - December 2015 |
|
|
Currencies-Forwards* |
|
110,254,776 |
|
(697,493 |
) |
-1.51 |
% |
(119,150,134 |
) |
39,502 |
|
0.09 |
% |
(657,991 |
) |
-1.42 |
% |
September 2015 |
| |||
|
Energy |
|
30 |
|
(5,813 |
) |
-0.01 |
% |
(114 |
) |
(63,020 |
) |
-0.14 |
% |
(68,833 |
) |
-0.15 |
% |
July 2015 - October 2015 |
| |||
|
Interest rates |
|
787 |
|
98,123 |
|
0.21 |
% |
(520 |
) |
(125,775 |
) |
-0.27 |
% |
(27,652 |
) |
-0.06 |
% |
September 2015 - June 2019 |
| |||
|
Metals |
|
266 |
|
(1,809,746 |
) |
-3.92 |
% |
(479 |
) |
1,843,395 |
|
3.99 |
% |
33,649 |
|
0.07 |
% |
July 2015 - October 2015 |
| |||
|
Stock indices |
|
106 |
|
(218,972 |
) |
-0.47 |
% |
(388 |
) |
(7,455 |
) |
-0.02 |
% |
(226,427 |
) |
-0.49 |
% |
July 2015 - October 2015 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Total |
|
|
|
$ |
(2,142,362 |
) |
-4.64 |
% |
|
|
$ |
1,194,341 |
|
2.58 |
% |
$ |
(948,021 |
) |
-2.06 |
% |
|
|
December 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 |
|
237 |
|
$ |
(197,940 |
) |
-0.23 |
% |
(280 |
) |
$ |
(49,009 |
) |
-0.06 |
% |
$ |
(246,949 |
) |
-0.29 |
% |
March 2015 |
|
|
Currencies-Forwards* |
|
79,830,267 |
|
(490,902 |
) |
-0.57 |
% |
(112,103,635 |
) |
1,174,327 |
|
1.36 |
% |
683,425 |
|
0.79 |
% |
March 2015 |
| |||
|
Energy |
|
— |
|
— |
|
0.00 |
% |
(101 |
) |
614,270 |
|
0.71 |
% |
614,270 |
|
0.71 |
% |
January 2015 - April 2015 |
| |||
|
Interest rates |
|
3,925 |
|
1,658,552 |
|
1.92 |
% |
— |
|
— |
|
0.00 |
% |
1,658,552 |
|
1.92 |
% |
March 2015 - December 2018 |
| |||
|
Metals |
|
332 |
|
(1,654,290 |
) |
-1.91 |
% |
(407 |
) |
1,332,879 |
|
1.54 |
% |
(321,411 |
) |
-0.37 |
% |
January 2015 - April 2015 |
| |||
|
Stock indices |
|
870 |
|
847,057 |
|
0.98 |
% |
(171 |
) |
(415,100 |
) |
-0.48 |
% |
431,957 |
|
0.50 |
% |
January 2015 - April 2015 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Total |
|
|
|
$ |
162,477 |
|
0.19 |
% |
|
|
$ |
2,657,367 |
|
3.07 |
% |
$ |
2,819,844 |
|
3.26 |
% |
|
|
*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, 2015 and December 31, 2014. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (losses) on open positions is the sum of the unrealized profits (losses) 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.
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.
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. There were no transfers to or from any level during the three or six month periods ended June 30, 2015 or the year ended December 31, 2014.
The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of June 30, 2015 and December 31, 2014, are as follows:
|
Net unrealized profit (loss) |
|
|
|
|
|
|
|
|
| ||||
|
on open contracts |
|
Total |
|
Level I |
|
Level II |
|
Level III |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Assets |
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
$ |
2,643,621 |
|
$ |
980,238 |
|
$ |
1,663,383 |
|
$ |
— |
|
|
Forwards |
|
893,174 |
|
— |
|
893,174 |
|
— |
| ||||
|
|
|
$ |
3,536,795 |
|
$ |
980,238 |
|
$ |
2,556,557 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
Liabilities |
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
$ |
2,933,651 |
|
$ |
1,110,689 |
|
$ |
1,822,962 |
|
$ |
— |
|
|
Forwards |
|
1,551,165 |
|
— |
|
1,551,165 |
|
— |
| ||||
|
|
|
$ |
4,484,816 |
|
$ |
1,110,689 |
|
$ |
3,374,127 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
June 30, 2015 |
|
$ |
(948,021 |
) |
$ |
(130,451 |
) |
$ |
(817,570 |
) |
$ |
— |
|
|
Net unrealized profit (loss) |
|
|
|
|
|
|
|
|
| ||||
|
on open contracts |
|
Total |
|
Level I |
|
Level II |
|
Level III |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Assets |
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
$ |
5,172,855 |
|
$ |
3,866,451 |
|
$ |
1,306,404 |
|
$ |
— |
|
|
Forwards |
|
1,629,265 |
|
— |
|
1,629,265 |
|
— |
| ||||
|
|
|
$ |
6,802,120 |
|
$ |
3,866,451 |
|
$ |
2,935,669 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
Liabilities |
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
$ |
3,036,436 |
|
$ |
1,379,871 |
|
$ |
1,656,565 |
|
$ |
— |
|
|
Forwards |
|
945,840 |
|
— |
|
945,840 |
|
— |
| ||||
|
|
|
$ |
|||||||||||