ML Winton FuturesAccess LLC - FORM 10-Q - May 13, 2016

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EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLCa16-6567_1ex31d02.htm

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

(Mark One)

 

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

 

For the quarterly period ended March 31, 2016

 

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 0-51084

 

ML WINTON FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

 

Delaware

 

20-1227904

(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 10281

(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 March 31, 2016, 652,917,153 units of limited liability company interest were outstanding.

 

 

 


 

ML WINTON FUTURESACCESS LLC

 

QUARTERLY REPORT FOR MARCH 31, 2016 ON FORM 10-Q

 

Table of Contents

 

PART I—FINANCIAL INFORMATION

 

 

 

PAGE

 

 

 

Item 1.

Financial Statements

1

 

 

 

Item 2.

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

15

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

21

 

 

 

Item 4.

Controls and Procedures

26

 

 

 

PART II—OTHER INFORMATION

 

 

 

Item 1.

Legal Proceedings

26

 

 

 

Item 1A.

Risk Factors

26

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

27

 

 

 

Item 3.

Defaults Upon Senior Securities

28

 

 

 

Item 4.

Mine Safety Disclosures

28

 

 

 

Item 5.

Other Information

28

 

 

 

Item 6.

Exhibits

28

 

 


 

PART I - FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

March 31,

 

December 31,

 

 

 

2016

 

2015

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $78,823,587 for 2016 and $96,102,994 for 2015)

 

$

998,728,149

 

$

1,040,573,314

 

Unrealized profit on open futures contracts

 

21,670,172

 

22,033,208

 

Unrealized profit on open forwards contracts

 

12,243,691

 

4,751,569

 

Cash and cash equivalents

 

558,109

 

518,196

 

Other assets

 

137,504

 

64,608

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

1,033,337,625

 

$

1,067,940,895

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Brokerage commissions payable

 

$

7,034

 

$

7,009

 

Sponsor and Advisory fees payable

 

2,769,580

 

2,846,826

 

Redemptions payable

 

2,672,034

 

18,980,515

 

Unrealized loss on open futures contracts

 

20,869,018

 

14,613,804

 

Unrealized loss on open forwards contracts

 

5,683,918

 

6,680,274

 

Other liabilities

 

621,608

 

669,369

 

 

 

 

 

 

 

Total liabilities

 

32,623,192

 

43,797,797

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Capital (652,917,153 Units and 679,544,349 Units outstanding; unlimited Units authorized)

 

1,000,714,433

 

1,024,143,098

 

Total Members’ Capital

 

1,000,714,433

 

1,024,143,098

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

1,033,337,625

 

$

1,067,940,895

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

1.9358

 

$

1.9048

 

Class C

 

$

1.7330

 

$

1.7095

 

Class D

 

$

2.1087

 

$

2.0671

 

Class I

 

$

2.0083

 

$

1.9742

 

Class M

 

$

1.1848

 

$

1.1615

 

Class F

 

$

1.1767

 

$

1.1508

 

Class F1

 

$

1.2057

 

$

1.1792

 

Class DI

 

$

0.9899

 

$

0.9704

 

 

See notes to financial statements.

 

1


 

ML WINTON FUTURESACCESS LLC

 

(A Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 

 

 

For the three

 

For the three

 

 

 

months ended

 

months ended

 

 

 

March 31,

 

March 31,

 

 

 

2016

 

2015

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

25,045,686

 

$

66,569,286

 

Change in unrealized, net

 

1,870,228

 

(2,443,939

)

Brokerage commissions

 

(243,144

)

(259,900

)

 

 

 

 

 

 

Total trading profit (loss), net

 

26,672,770

 

63,865,447

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

Interest, net

 

403,988

 

(1,111

)

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

Management fee

 

4,968,271

 

5,188,130

 

Sponsor fee

 

3,604,442

 

3,642,320

 

Performance fee

 

12,169

 

11,590,474

 

Other

 

522,027

 

554,767

 

Total expenses

 

9,106,909

 

20,975,691

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(8,702,921

)

(20,976,802

)

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

17,969,849

 

$

42,888,645

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

Class A

 

63,211,341

 

64,054,151

 

Class C

 

269,712,698

 

265,395,711

 

Class D

 

33,810,930

 

35,747,449

 

Class I

 

28,712,439

 

31,167,025

 

Class DS*

 

—

 

21,106,304

 

Class DT**

 

—

 

5,331,413

 

Class M

 

99,544,862

 

95,010,626

 

Class F

 

46,520,691

 

46,520,691

 

Class F1

 

32,348,368

 

32,348,368

 

Class DI

 

93,095,046

 

69,259,842

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

Class A

 

$

0.0313

 

$

0.0803

 

Class C

 

$

0.0247

 

$

0.0681

 

Class D

 

$

0.0451

 

$

0.0936

 

Class I

 

$

0.0382

 

$

0.0849

 

Class DS*

 

$

—

 

$

0.0931

 

Class DT**

 

$

—

 

$

0.1085

 

Class M

 

$

0.0260

 

$

0.0526

 

Class F

 

$

0.0259

 

$

0.0541

 

Class F1

 

$

0.0266

 

$

0.0554

 

Class DI

 

$

0.0221

 

$

0.0262

 

 

*Units fully redeemed as of April 30, 2015.

**Units fully redeemed as of December 31, 2015.

 

See notes to financial statements.

 

2


 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited) (in Units)

 

 

 

Members’ Units

 

 

 

 

 

Members’ Units March

 

 

Members’ Units

 

 

 

 

 

Members’ Units March

 

 

 

December 31, 2014

 

Subscriptions

 

Redemptions

 

31, 2015

 

 

December 31, 2015

 

Subscriptions

 

Redemptions

 

31, 2016

 

Class A

 

64,145,923

 

1,413,586

 

(2,076,230

)

63,483,279

 

 

63,179,258

 

1,269,892

 

(1,847,313

)

62,601,837

 

Class C

 

265,575,955

 

5,412,220

 

(6,283,559

)

264,704,616

 

 

272,305,731

 

3,313,695

 

(9,737,602

)

265,881,824

 

Class D

 

35,322,377

 

558,137

 

—

 

35,880,514

 

 

36,603,739

 

917,642

 

(7,106,927

)

30,414,454

 

Class I

 

31,155,649

 

968,533

 

(635,791

)

31,488,391

 

 

29,501,569

 

499,296

 

(1,893,603

)

28,107,262

 

Class DS**

 

21,211,500

 

217,903

 

(935,483

)

20,493,920

 

 

—

 

—

 

—

 

—

 

Class DT***

 

5,341,053

 

35,822

 

(150,427

)

5,226,448

 

 

—

 

—

 

—

 

—

 

Class M

 

92,200,321

 

4,676,304

 

(306,979

)

96,569,646

 

 

102,050,874

 

4,526,232

 

(7,744,291

)

98,832,815

 

Class F

 

46,520,691

 

—

 

—

 

46,520,691

 

 

46,520,691

 

—

 

—

 

46,520,691

 

Class F1

 

32,348,368

 

—

 

—

 

32,348,368

 

 

32,348,368

 

—

 

—

 

32,348,368

 

Class DI*

 

—

 

105,093,219

 

(168,588

)

104,924,631

 

 

97,034,119

 

—

 

(8,824,217

)

88,209,902

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

593,821,837

 

118,375,724

 

(10,557,057

)

701,640,504

 

 

679,544,349

 

10,526,757

 

(37,153,953

)

652,917,153

 

 

* Units issued on February 1, 2015.

**Units fully redeemed as of April 30, 2015.

***Units fully redeemed as of December 31, 2015.

 

See notes to financial statements.

 

3


 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

 

 

 

Members’ Capital

 

 

 

 

 

 

 

Members’ Capital

 

 

Members’ Capital

 

 

 

 

 

 

 

Members’ Capital

 

 

 

December 31, 2014

 

Subscriptions

 

Redemptions

 

Net Income (Loss)

 

March 31, 2015

 

 

December 31, 2015

 

Subscriptions

 

Redemptions

 

Net Income (Loss)

 

March 31, 2016

 

Class A

 

$

124,393,069

 

$

2,793,189

 

$

(4,136,642

)

$

5,143,728

 

$

128,193,344

 

 

$

120,342,696

 

$

2,481,160

 

$

(3,621,690

)

$

1,981,638

 

$

121,183,804

 

Class C

 

466,870,415

 

9,718,497

 

(11,318,810

)

18,079,622

 

483,349,724

 

 

465,517,528

 

5,819,133

 

(17,208,424

)

6,651,590

 

460,779,827

 

Class D

 

73,228,701

 

1,175,000

 

—

 

3,345,915

 

77,749,616

 

 

75,664,376

 

2,000,000

 

(15,054,585

)

1,523,917

 

64,133,708

 

Class I

 

62,368,274

 

1,987,733

 

(1,296,781

)

2,644,654

 

65,703,880

 

 

58,240,855

 

993,817

 

(3,882,214

)

1,095,515

 

56,447,973

 

Class DS**

 

43,919,926

 

463,567

 

(1,996,249

)

1,965,783

 

44,353,027

 

 

—

 

—

 

—

 

—

 

—

 

Class DT***

 

11,818,184

 

81,606

 

(344,716

)

578,601

 

12,133,675

 

 

—

 

—

 

—

 

—

 

—

 

Class M

 

107,401,709

 

5,545,000

 

(370,368

)

5,002,194

 

117,578,535

 

 

118,530,695

 

5,355,937

 

(9,378,259

)

2,591,475

 

117,099,848

 

Class F

 

53,188,258

 

—

 

—

 

2,517,341

 

55,705,599

 

 

53,536,345

 

—

 

—

 

1,205,971

 

54,742,316

 

Class F1

 

37,896,521

 

—

 

—

 

1,793,600

 

39,690,121

 

 

38,144,532

 

—

 

—

 

859,251

 

39,003,783

 

Class DI*

 

—

 

105,087,961

 

(166,723

)

1,817,207

 

106,738,445

 

 

94,166,071

 

—

 

(8,903,389

)

2,060,492

 

87,323,174

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

981,085,057

 

$

126,852,553

 

$

(19,630,289

)

$

42,888,645

 

$

1,131,195,966

 

 

$

1,024,143,098

 

$

16,650,047

 

$

(58,048,561

)

$

17,969,849

 

$

1,000,714,433

 

 

* Units issued on February 1, 2015.

**Units fully redeemed as of April 30, 2015.

***Units fully redeemed as of December 31, 2015.

 

See notes to financial statements.

 

4


 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 (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 M

 

Class F

 

Class F1

 

Class DI

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.9048

 

$

1.7095

 

$

2.0671

 

$

1.9742

 

$

1.1615

 

$

1.1508

 

$

1.1792

 

$

0.9704

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0489

 

0.0440

 

0.0530

 

0.0507

 

0.0298

 

0.0295

 

0.0302

 

0.0249

 

Brokerage commissions

 

(0.0005

)

(0.0004

)

(0.0005

)

(0.0005

)

(0.0003

)

(0.0003

)

(0.0003

)

(0.0002

)

Interest income, net

 

0.0008

 

0.0007

 

0.0008

 

0.0008

 

0.0005

 

0.0005

 

0.0005

 

0.0004

 

Expenses

 

(0.0182

)

(0.0208

)

(0.0117

)

(0.0169

)

(0.0067

)

(0.0038

)

(0.0039

)

(0.0056

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.9358

 

$

1.7330

 

$

2.1087

 

$

2.0083

 

$

1.1848

 

$

1.1767

 

$

1.2057

 

$

0.9899

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

1.63

%

1.38

%

2.01

%

1.72

%

2.00

%

2.26

%

2.26

%

2.00

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

-0.01

%

-0.01

%

0.00

%

Total return after Performance fees

 

1.63

%

1.38

%

2.01

%

1.72

%

2.00

%

2.25

%

2.25

%

2.00

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

0.93

%

1.18

%

0.55

%

0.83

%

0.55

%

0.30

%

0.30

%

0.55

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.01

%

0.01

%

0.00

%

Expenses (including Performance fees)

 

0.93

%

1.18

%

0.55

%

0.83

%

0.55

%

0.31

%

0.31

%

0.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.88

%

-1.14

%

-0.51

%

-0.78

%

-0.51

%

-0.26

%

-0.26

%

-0.51

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

-0.01

%

-0.01

%

0.00

%

Net investment income (loss) (including Performance fees)

 

-0.88

%

-1.14

%

-0.51

%

-0.78

%

-0.51

%

-0.27

%

-0.27

%

-0.51

%

 

(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) The expense ratios do not include brokerage commissions.

(c) The ratios and total return are not annualized.

 

See notes to financial statements.

 

5

 


 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 (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

 

Class F

 

Class F1

 

Class DI (e)

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period or at the time of offer

 

$

1.9392

 

$

1.7580

 

$

2.0732

 

$

2.0018

 

$

2.0706

 

$

2.2127

 

$

1.1649

 

$

1.1433

 

$

1.1715

 

$

1.0000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.1210

 

0.1096

 

0.1295

 

0.1249

 

0.1294

 

0.1384

 

0.0728

 

0.0715

 

0.0732

 

0.0255

 

Brokerage commissions

 

(0.0005

)

(0.0004

)

(0.0005

)

(0.0005

)

(0.0005

)

(0.0005

)

(0.0003

)

(0.0003

)

(0.0003

)

(0.0002

)

Interest income, net (c)

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0404

)

(0.0412

)

(0.0353

)

(0.0396

)

(0.0353

)

(0.0290

)

(0.0198

)

(0.0171

)

(0.0174

)

(0.0080

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

2.0193

 

$

1.8260

 

$

2.1669

 

$

2.0866

 

$

2.1642

 

$

2.3216

 

$

1.2176

 

$

1.1974

 

$

1.2270

 

$

1.0173

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

5.26

%

5.00

%

5.65

%

5.36

%

5.65

%

5.79

%

5.65

%

5.92

%

5.92

%

2.16

%

Performance fees

 

-1.13

%

-1.13

%

-1.13

%

-1.12

%

-1.13

%

-0.87

%

-1.13

%

-1.19

%

-1.18

%

-0.43

%

Total return after Performance fees

 

4.13

%

3.87

%

4.52

%

4.24

%

4.52

%

4.92

%

4.52

%

4.73

%

4.74

%

1.73

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

0.93

%

1.19

%

0.56

%

0.83

%

0.56

%

0.43

%

0.56

%

0.30

%

0.30

%

0.56

%

Performance fees

 

1.11

%

1.11

%

1.11

%

1.11

%

1.11

%

0.85

%

1.11

%

1.16

%

1.16

%

0.43

%

Expenses (including Performance fees)

 

2.04

%

2.30

%

1.67

%

1.94

%

1.67

%

1.28

%

1.67

%

1.46

%

1.46

%

0.99

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.93

%

-1.19

%

-0.56

%

-0.83

%

-0.56

%

-0.43

%

-0.56

%

-0.30

%

-0.30

%

-0.56

%

Performance fees

 

-1.11

%

-1.11

%

-1.11

%

-1.11

%

-1.11

%

-0.85

%

-1.11

%

-1.16

%

-1.16

%

-0.43

%

Net investment income (loss) (including Performance fees)

 

-2.04

%

-2.30

%

-1.67

%

-1.94

%

-1.67

%

-1.28

%

-1.67

%

-1.46

%

-1.46

%

-0.99

%

 

(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) The expense ratios do not include brokerage commissions.

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

(d) The ratios and total return are not annualized.

(e) Units issued on February 1, 2015.

 

See notes to financial statements.

 

6


 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.              ORGANIZATION

 

ML Winton 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 May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (“Trading Advisor”) is the trading advisor of the Fund.  The Trading Advisor trades the Winton Futures 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 “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. 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 classified as Level II within the fair value hierarchy discussed in Note 3. As of March 31, 2016, 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 March 31, 2016 and December 31, 2015 and the results of its operations for the three month periods ended March 31, 2016 and 2015.  However, the operating results for the interim periods may not be indicative of the results for the full year.

 

7


 

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, 2015.

 

Estimates

 

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

 

8


 

2.              CONDENSED SCHEDULES OF INVESTMENTS

 

The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of March 31, 2016 and December 31, 2015, are as follows:

 

March 31, 2016

 

 

 

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

 

702

 

$

176,844

 

0.02

%

(3,641

)

$

(691,965

)

-0.07

%

$

(515,121

)

-0.05

%

April 2016 - September 2016

 

Currencies - Futures

 

1,714

 

1,187,101

 

0.12

%

(3,150

)

(7,730,541

)

-0.77

%

(6,543,440

)

-0.65

%

June 2016

 

Currencies - Forwards*

 

414,860,272

 

12,132,131

 

1.21

%

(237,120,887

)

(5,572,358

)

-0.56

%

6,559,773

 

0.65

%

April 2016 - September 2016

 

Energy

 

—

 

—

 

0.00

%

(1,520

)

125,395

 

0.01

%

125,395

 

0.01

%

April 2016 - June 2016

 

Interest rates

 

23,104

 

11,074,235

 

1.11

%

(1,621

)

(825,455

)

-0.08

%

10,248,780

 

1.03

%

June 2016 - March 2019

 

Metals

 

582

 

(738,899

)

-0.07

%

(711

)

(1,439,753

)

-0.14

%

(2,178,652

)

-0.21

%

May 2016 - July 2016

 

Stock indices

 

2,362

 

3,848,970

 

0.38

%

(1,424

)

(4,184,778

)

-0.42

%

(335,808

)

-0.04

%

April 2016 - June 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

27,680,382

 

2.77

%

 

 

$

(20,319,455

)

-2.03

%

$

7,360,927

 

0.74

%

 

 

 

December 31, 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

 

459

 

$

51,979

 

0.01

%

(3,851

)

$

1,311,309

 

0.13

%

$

1,363,288

 

0.14

%

January 2016 - May 2016

 

Currencies - Futures

 

574

 

34,405

 

0.00

%

(5,108

)

4,418,923

 

0.43

%

4,453,328

 

0.43

%

March 2016

 

Currencies - Forwards*

 

461,839,319

 

(4,714,657

)

-0.46

%

(273,519,553

)

2,785,952

 

0.27

%

(1,928,705

)

-0.19

%

January 2016 - June 2016

 

Energy

 

—

 

—

 

0.00

%

(2,601

)

1,389,060

 

0.14

%

1,389,060

 

0.14

%

January 2016 - May 2016

 

Interest rates

 

22,577

 

(4,080,903

)

-0.40

%

(762

)

(35,806

)

0.00

%

(4,116,709

)

-0.40

%

March 2016 - December 2018

 

Metals

 

327

 

85,008

 

0.01

%

(2,272

)

3,637,773

 

0.35

%

3,722,781

 

0.36

%

January 2016 - April 2016

 

Stock indices

 

2,952

 

1,203,351

 

0.12

%

(1,922

)

(595,695

)

-0.06

%

607,656

 

0.06

%

January 2016 - March 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

(7,420,817

)

-0.72

%

 

 

$

12,911,516

 

1.26

%

$

5,490,699

 

0.54

%

 

 

 

*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 March 31, 2016 and December 31, 2015. 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 (losses) of long positions and short positions, 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.

 

9


 

3.              FAIR VALUE OF INVESTMENTS

 

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

 

The fair value measurement guidance established by U.S. GAAP is a 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.

 

10


 

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 month period ended March 31, 2016 or the year ended December 31, 2015.

 

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of March 31, 2016 and December 31, 2015, are as follows:

 

2016

 

Net unrealized profit (loss) 
on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Futures

 

$

21,670,172

 

$

21,327,234

 

$

342,938

 

$

—

 

Forwards

 

12,243,691

 

—

 

12,243,691

 

—

 

 

 

$

33,913,863

 

$

21,327,234

 

$

12,586,629

 

$

—

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures

 

$

20,869,018

 

$

19,001,460

 

$

1,867,558

 

$

—

 

Forwards

 

5,683,918

 

—

 

5,683,918

 

—

 

 

 

$

26,552,936

 

$

19,001,460

 

$

7,551,476

 

$

—

 

 

 

 

 

 

 

 

 

 

 

March 31, 2016

 

$

7,360,927

 

$

2,325,774

 

$

5,035,153

 

$

—

 

 

11


 

2015

 

Net unrealized profit (loss)
on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Futures

 

$

22,033,208

 

$

19,842,837

 

$

2,190,371

 

$

—

 

Forwards

 

4,751,569

 

—

 

4,751,569

 

—

 

 

 

$

26,784,777

 

$

19,842,837

 

$

6,941,940

 

$

—

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures

 

$

14,613,804

 

$

13,913,792

 

$

700,012

 

$

—

 

Forwards

 

6,680,274

 

—

 

6,680,274

 

—

 

 

 

$

21,294,078

 

$

13,913,792

 

$

7,380,286

 

$

—

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

$

5,490,699

 

$

5,929,045

 

$

(438,346

)

$

—

 

 

The Fund’s volume of trading forwards and futures as of the three month period ended March 31, 2016 and year ended December 31, 2015 are representative of the activity throughout these periods.

 

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 are 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 March 31, 2016 and December 31, 2015, 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 gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with its counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts plus the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Fund’s net exposure.

 

The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for each of the three month periods ended March 31, 2016 and 2015:

 

12


 

 

 

For the three months ended

 

For the three months ended

 

 

 

March 31, 2016

 

March 31, 2015

 

Commodity Industry Sector

 

Profit (loss) from trading, net

 

Profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

518,584

 

$

2,681,165

 

Currencies

 

(5,087,567

)

21,037,247

 

Energy

 

7,606,678

 

993,969

 

Interest rates

 

50,653,534

 

24,689,976

 

Metals

 

(19,142,171

)

(5,900,494

)

Stock indices

 

(7,633,144

)

20,623,484

 

 

 

 

 

 

 

Total, net

 

$

26,915,914

 

$

64,125,347

 

 

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BofA Corp. 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 unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entail legal and political risks.

 

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so.  These procedures focus primarily on monitoring the trading of the Trading Advisor, 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 the Trading Advisor 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 process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor.

 

13


 

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 investors 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 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 BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Fund. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund.

 

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLI as its forwards prime broker.  Due to the relationship with MLPF&S, in the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S.  Due to the relationship with MLI, in the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.

 

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 BofA Corp. affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

 

5.              RELATED PARTY TRANSACTIONS

 

MLAI owns 48 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of March 31, 2016.

 

MLAI, the Fund and certain other FuturesAccess Funds, MLAI’s HedgeAccess® Program of hedge funds and other BofA Corp. funds (each a “Serviced Fund” and collectively, the “Serviced Funds”) have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly owned subsidiary of BofA Corp. and affiliate of MLAI.  The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units.  The fees charged by the Transfer Agent for its services were 0.02% per year of the aggregate net assets of the Serviced Funds. The fee is paid monthly in arrears.  The Transfer Agent also receives reimbursement for its out-of-pocket expenses and certain extraordinary expenses.  MLAI allocates the Transfer Agent fees to each of the Serviced Funds, including the Fund, on a monthly basis based on each Serviced Fund’s net assets.   The Transfer Agent fee allocated to the Fund for the three month periods ended March 31, 2016, and 2015 amounted to

 

14


 

$56,481 and $57,078, respectively, of which $60,137 and $59,827 was payable to the Transfer Agent as of March 31, 2016 and December 31, 2015, respectively.

 

Brokerage commissions, interest, net and sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with a related party.

 

6.              SUBSEQUENT EVENTS

 

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

 

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

MONTH-END NET ASSET VALUE PER UNIT

 

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

 

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund.  Therefore, the charts below are referencing Net Asset Value at each Calculation Date.

 

15


 

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 

 

 

Jan. 15th

 

Jan.

 

Feb. 15th

 

Feb.

 

Mar. 15th

 

Mar.

 

2015

 

$

1.9671

 

$

1.9900

 

$

1.9613

 

$

1.9857

 

$

2.0058

 

$

2.0193

 

2016

 

$

1.9859

 

$

1.9706

 

$

1.9902

 

$

2.0034

 

$

1.9221

 

$

1.9358

 

 

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 

 

 

Jan. 15th

 

Jan.

 

Feb. 15th

 

Feb.

 

Mar. 15th

 

Mar.

 

2015

 

$

1.7825

 

$

1.8025

 

$

1.7758

 

$

1.7971

 

$

1.8145

 

$

1.8260

 

2016

 

$

1.7816

 

$

1.7672

 

$

1.7839

 

$

1.7950

 

$

1.7215

 

$

1.7330

 

 

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 

 

 

Jan. 15th

 

Jan.

 

Feb. 15th

 

Feb.

 

Mar. 15th

 

Mar.

 

2015

 

$

2.1043

 

$

2.1301

 

$

2.1007

 

$

2.1281

 

$

2.1510

 

$

2.1669

 

2016

 

$

2.1565

 

$

2.1412

 

$

2.1638

 

$

2.1795

 

$

2.0924

 

$

2.1087

 

 

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 

 

 

Jan. 15th

 

Jan.

 

Feb. 15th

 

Feb.

 

Mar. 15th

 

Mar.

 

2015

 

$

2.0310

 

$

2.0549

 

$

2.0257

 

$

2.0512

 

$

2.0723

 

$

2.0866

 

2016

 

$

2.0585

 

$

2.0431

 

$

2.0637

 

$

2.0777

 

$

1.9937

 

$

2.0083

 

 

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

 

 

 

Jan. 15th

 

Jan.

 

Feb. 15th

 

Feb.

 

Mar. 15th

 

Mar.

 

2015

 

$

2.1017

 

$

2.1274

 

$

2.0981

 

$

2.1255

 

$

2.1484

 

$

2.1642

 

2016

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

 

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

 

 

 

Jan. 15th

 

Jan.

 

Feb. 15th

 

Feb.

 

Mar. 15th

 

Mar.

 

2015

 

$

2.2484

 

$

2.2781

 

$

2.2451

 

$

2.2767

 

$

2.3031

 

$

2.3216

 

2016

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

 

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS M

 

 

 

Jan. 15th

 

Jan.

 

Feb. 15th

 

Feb.

 

Mar. 15th

 

Mar.

 

2015

 

$

1.1824

 

$

1.1969

 

$

1.1804

 

$

1.1958

 

$

1.2086

 

$

1.2176

 

2016

 

$

1.2117

 

$

1.2031

 

$

1.2158

 

$

1.2247

 

$

1.1757

 

$

1.1848

 

 

PERIOD-END NET ASSET VALUE PER INITIAL UNIT CLASS F

 

 

 

Jan. 15th

 

Jan.

 

Feb. 15th