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EX-31.02 - EX-31.02 - ML Transtrend DTP Enhanced FuturesAccess LLCa16-11496_1ex31d02.htm
EX-31.01 - EX-31.01 - ML Transtrend DTP Enhanced FuturesAccess LLCa16-11496_1ex31d01.htm

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

(Mark One)

 

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

 

For the quarterly period ended June 30, 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 0-52701

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

 

Delaware

 

30-0408288

(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 June 30, 2016, 17,192,912 units of limited liability company interest were outstanding.

 

 

 



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

 

QUARTERLY REPORT FOR JUNE 30, 2016 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

26

 

 

 

Item 4.

Controls and Procedures

31

 

 

 

PART II—OTHER INFORMATION

 

 

 

Item 1.

Legal Proceedings

31

 

 

 

Item 1A.

Risk Factors

31

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

31

 

 

 

Item 3.

Defaults Upon Senior Securities

33

 

 

 

Item 4.

Mine Safety Disclosures

33

 

 

 

Item 5.

Other Information

33

 

 

 

Item 6.

Exhibits

33

 



 

PART I - FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

June 30,

 

December 31,

 

 

 

2016

 

2015

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $4,201,295 for 2016 and $5,142,903 for 2015)

 

$

18,886,658

 

$

35,801,001

 

Unrealized profit on open futures contracts

 

3,066,587

 

1,897,921

 

Cash and cash equivalents

 

480,024

 

563,882

 

Other assets

 

2,806

 

2,390

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

22,436,075

 

$

38,265,194

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Sponsor and Advisory fees payable

 

$

337,148

 

$

70,112

 

Redemptions payable

 

64,342

 

10,707,165

 

Unrealized loss on open futures contracts

 

714,103

 

1,508,564

 

Other liabilities

 

371,081

 

607,637

 

 

 

 

 

 

 

Total liabilities

 

1,486,674

 

12,893,478

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Capital (17,192,912 Units and 22,764,695 Units outstanding; unlimited Units authorized)

 

20,949,401

 

25,371,716

 

Total Members’ Capital

 

20,949,401

 

25,371,716

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

22,436,075

 

$

38,265,194

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

1.3275

 

$

1.2314

 

Class C

 

$

1.1750

 

$

1.0954

 

Class D

 

$

1.1637

 

$

1.0714

 

Class I

 

$

1.3539

 

$

1.2544

 

Class M

 

$

1.1561

 

$

1.0643

 

 

See notes to financial statements.

 

1



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 

 

 

For the three
months ended
June 30, 2016

 

For the three
months ended
June 30, 2015

 

For the six months
ended
June 30, 2016

 

For the six months
ended
June 30, 2015

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

(1,692,197

)

$

(4,501,165

)

$

837,536

 

$

4,775,498

 

Change in unrealized, net

 

1,856,568

 

(2,790,472

)

1,963,127

 

(6,998,291

)

Brokerage commissions

 

(36,702

)

(113,219

)

(67,321

)

(241,144

)

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss), net

 

127,669

 

(7,404,856

)

2,733,342

 

(2,463,937

)

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

 

 

 

 

Interest, net

 

7,464

 

(1,281

)

15,854

 

(1,507

)

Other income

 

120,000

 

 

120,000

 

 

Total investment income (expense)

 

127,464

 

(1,281

)

135,854

 

(1,507

)

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Management fee to Trading Advisor

 

51,274

 

126,315

 

108,821

 

318,247

 

Management fee to MLAI

 

25,637

 

49,175

 

54,411

 

129,886

 

Sponsor fee

 

81,039

 

91,443

 

166,635

 

189,219

 

Performance fee

 

(8,042

)

(884,292

)

351,897

 

138,824

 

Other

 

91,003

 

470,636

 

177,888

 

591,730

 

Total expenses

 

240,911

 

(146,723

)

859,652

 

1,367,906

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(113,447

)

145,442

 

(723,798

)

(1,369,413

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

14,222

 

$

(7,259,414

)

$

2,009,544

 

$

(3,833,350

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

4,079,491

 

4,536,413

 

4,212,099

 

4,581,580

 

Class C

 

8,108,624

 

9,236,394

 

8,207,313

 

9,290,972

 

Class D

 

2,717,451

 

2,854,675

 

2,717,451

 

2,644,102

 

Class I

 

913,903

 

889,472

 

746,878

 

898,981

 

Class DS*

 

 

19,352,453

 

 

19,995,760

 

Class DT**

 

 

6,003,306

 

 

6,117,333

 

Class M

 

1,407,062

 

6,043,476

 

2,065,918

 

5,798,934

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

(0.0037

)

$

(0.2049

)

$

0.1030

 

$

(0.1443

)

Class C

 

$

(0.0076

)

$

(0.1856

)

$

0.0814

 

$

(0.1358

)

Class D

 

$

(0.0001

)

$

(0.1759

)

$

0.0924

 

$

(0.1494

)

Class I

 

$

0.0220

 

$

(0.2067

)

$

0.1073

 

$

(0.1461

)

Class DS*

 

$

 

$

(0.0609

)

$

 

$

0.0251

 

Class DT**

 

$

 

$

(0.2859

)

$

 

$

(0.1873

)

Class M

 

$

0.0505

 

$

(0.1713

)

$

0.2788

 

$

(0.1277

)

 


*Units fully redeemed as of April 30, 2015.

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

 

See notes to financial statements.

 

2



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited) (in Units)

 

 

 

Members’ Units
December 31, 2014

 

Subscriptions

 

Redemptions

 

Members’ Units June
30, 2015

 

 

Members’ Units
December 31, 2015

 

Subscriptions

 

Redemptions

 

Members’ Units June
30, 2016

 

Class A

 

4,750,979

 

29,017

 

(259,973

)

4,520,023

 

 

4,495,160

 

9,206

 

(496,337

)

4,008,029

 

Class C

 

9,321,459

 

246,770

 

(342,838

)

9,225,391

 

 

8,392,427

 

34,845

 

(417,921

)

8,009,351

 

Class D

 

1,865,865

 

1,016,290

 

 

2,882,155

 

 

2,717,451

 

 

 

2,717,451

 

Class I

 

926,308

 

3,602

 

(40,438

)

889,472

 

 

590,339

 

622,689

 

(133,469

)

1,079,559

 

Class DS*

 

20,308,932

 

361,807

 

(20,670,739

)

 

 

 

 

 

 

Class DT**

 

6,259,149

 

31,897

 

(334,703

)

5,956,343

 

 

 

 

 

 

Class M

 

4,805,968

 

1,237,508

 

 

6,043,476

 

 

6,569,318

 

29,183

 

(5,219,979

)

1,378,522

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

48,238,660

 

2,926,891

 

(21,648,691

)

29,516,860

 

 

22,764,695

 

695,923

 

(6,267,706

)

17,192,912

 

 


*Units fully redeemed as of April 30, 2015.

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

 

See notes to financial statements.

 

3



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)

 

 

 

Members’ Capital
December 31, 2014

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital
June 30, 2015

 

 

Members’ Capital
December 31, 2015

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital  June
30, 2016

 

Class A

 

$

6,259,557

 

$

40,288

 

$

(350,294

)

$

(660,957

)

$

5,288,594

 

 

$

5,535,180

 

$

11,880

 

$

(660,246

)

$

433,892

 

$

5,320,706

 

Class C

 

11,035,343

 

294,000

 

(417,281

)

(1,261,530

)

9,650,532

 

 

9,193,249

 

41,000

 

(491,781

)

668,482

 

9,410,950

 

Class D

 

2,107,079

 

1,200,100

 

 

(394,994

)

2,912,185

 

 

2,911,354

 

 

 

251,046

 

3,162,400

 

Class I

 

1,237,502

 

5,000

 

(53,738

)

(131,384

)

1,057,380

 

 

740,512

 

820,000

 

(179,042

)

80,175

 

1,461,645

 

Class DS*

 

35,135,941

 

624,218

 

(36,261,543

)

501,384

 

 

 

 

 

 

 

 

Class DT**

 

11,818,184

 

58,863

 

(646,777

)

(1,145,528

)

10,084,742

 

 

 

 

 

 

 

Class M

 

5,391,457

 

1,415,000

 

 

(740,341

)

6,066,116

 

 

6,991,421

 

32,188

 

(6,005,858

)

575,949

 

1,593,700

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

72,985,063

 

$

3,637,469

 

$

(37,729,633

)

$

(3,833,350

)

$

35,059,549

 

 

$

25,371,716

 

$

905,068

 

$

(7,336,927

)

$

2,009,544

 

$

20,949,401

 

 


*Units fully redeemed as of April 30, 2015.

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

 

See notes to financial statements.

 

4



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 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

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.3318

 

$

1.1820

 

$

1.1638

 

$

1.3567

 

$

1.1040

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0089

 

0.0077

 

0.0080

 

0.0091

 

0.0079

 

Brokerage commissions

 

(0.0023

)

(0.0021

)

(0.0020

)

(0.0024

)

(0.0020

)

Interest income, net

 

0.0005

 

0.0004

 

0.0004

 

0.0005

 

0.0004

 

Expenses (d)

 

(0.0114

)

(0.0130

)

(0.0065

)

(0.0100

)

0.0458

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.3275

 

$

1.1750

 

$

1.1637

 

$

1.3539

 

$

1.1561

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-0.39

%

-0.66

%

-0.08

%

-0.28

%

4.65

%

Performance fees

 

0.07

%

0.07

%

0.07

%

0.07

%

0.07

%

Total return after Performance fees

 

-0.32

%

-0.59

%

-0.01

%

-0.21

%

4.72

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

1.21

%

1.46

%

0.83

%

1.11

%

0.83

%

Performance fees

 

-0.05

%

-0.05

%

-0.05

%

-0.05

%

-0.05

%

Expenses (including Performance fees)

 

1.16

%

1.41

%

0.78

%

1.06

%

0.78

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.81

%

-1.16

%

-0.60

%

-1.47

%

4.24

%

Performance fees

 

0.05

%

0.05

%

0.05

%

0.05

%

0.05

%

Net investment income (loss) (including Performance fees)

 

-0.76

%

-1.11

%

-0.55

%

-1.42

%

4.29

%

 


(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) The expense ratios do not include brokerage commissions.

 

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

 

(d) Expenses are presented net inclusive of other income.

 

See notes to financial statements.

 

5



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 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

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.2314

 

$

1.0954

 

$

1.0714

 

$

1.2544

 

$

1.0643

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.1455

 

0.1291

 

0.1269

 

0.1482

 

0.1261

 

Brokerage commissions

 

(0.0041

)

(0.0037

)

(0.0036

)

(0.0042

)

(0.0036

)

Interest income, net

 

0.0010

 

0.0009

 

0.0008

 

0.0010

 

0.0008

 

Expenses (d)

 

(0.0463

)

(0.0467

)

(0.0318

)

(0.0455

)

(0.0315

)

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.3275

 

$

1.1750

 

$

1.1637

 

$

1.3539

 

$

1.1561

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

9.27

%

8.73

%

10.08

%

9.39

%

10.10

%

Performance fees

 

-1.47

%

-1.46

%

-1.47

%

-1.46

%

-1.47

%

Total return after Performance fees

 

7.80

%

7.27

%

8.61

%

7.93

%

8.63

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

2.36

%

2.86

%

1.60

%

2.16

%

1.60

%

Performance fees

 

1.40

%

1.40

%

1.40

%

1.40

%

1.40

%

Expenses (including Performance fees)

 

3.76

%

4.26

%

3.00

%

3.56

%

3.00

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-1.92

%

-2.52

%

-1.33

%

-2.48

%

3.50

%

Performance fees

 

-1.40

%

-1.40

%

-1.40

%

-1.40

%

-1.40

%

Net investment income (loss) (including Performance fees)

 

-3.32

%

-3.92

%

-2.73

%

-3.88

%

2.10

%

 


(a) The total return is calculated for each class taken as a whole based on the change in net asset value.  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.

 

(d) Expenses are presented net inclusive of other income.

 

See notes to financial statements.

 

6



 

ML TRANSTREND DTP ENHANCED 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 D

 

Class I

 

Class DS*

 

Class DT

 

Class M

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.3748

 

$

1.2323

 

$

1.1828

 

$

1.3954

 

$

1.8121

 

$

1.9797

 

$

1.1750

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.1950

)

(0.1746

)

(0.1681

)

(0.1980

)

(0.0766

)

(0.2815

)

(0.1670

)

Brokerage commissions

 

(0.0030

)

(0.0027

)

(0.0026

)

(0.0031

)

(0.0012

)

(0.0043

)

(0.0026

)

Interest income, net

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0001

)

(0.0000

)

Expenses

 

(0.0068

)

(0.0089

)

(0.0017

)

(0.0055

)

0.0150

 

(0.0007

)

(0.0017

)

Net asset value, before full redemption

 

1.1700

 

1.0461

 

1.0104

 

1.1888

 

1.7493

 

1.6931

 

1.0037

 

Less redemption

 

 

 

 

 

1.7493

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.1700

 

$

1.0461

 

$

1.0104

 

$

1.1888

 

$

 

$

1.6931

 

$

1.0037

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-16.21

%

-16.42

%

-15.88

%

-16.11

%

-4.47

%

-15.79

%

-15.88

%

Performance fees

 

1.31

%

1.31

%

1.31

%

1.31

%

1.01

%

1.31

%

1.31

%

Total return after Performance fees

 

-14.90

%

-15.11

%

-14.57

%

-14.80

%

-3.46

%

-14.48

%

-14.57

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

1.99

%

2.23

%

1.62

%

1.89

%

0.53

%

1.49

%

1.62

%

Performance fees

 

-1.34

%

-1.34

%

-1.34

%

-1.34

%

-1.02

%

-1.33

%

-1.34

%

Expenses (including Performance fees)

 

0.65

%

0.89

%

0.28

%

0.55

%

-0.49

%

0.16

%

0.28

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-1.99

%

-2.23

%

-1.62

%

-1.89

%

-0.53

%

-1.49

%

-1.62

%

Performance fees

 

1.34

%

1.34

%

1.34

%

1.34

%

1.02

%

1.33

%

1.34

%

Net investment income (loss) (including Performance fees)

 

-0.65

%

-0.89

%

-0.28

%

-0.55

%

0.49

%

-0.16

%

-0.28

%

 


(a) The total return is calculated for each class taken as a whole based on the change in net asset value.  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.

 

*Units fully redeemed as of April 30, 2015.

 

See notes to financial statements.

 

7



 

ML TRANSTREND DTP ENHANCED 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 D

 

Class I

 

Class DS*

 

Class DT

 

Class M

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.3175

 

$

1.1839

 

$

1.1293

 

$

1.3360

 

$

1.7301

 

$

1.8881

 

$

1.1218

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.1049

)

(0.0938

)

(0.0908

)

(0.1067

)

0.0418

 

(0.1522

)

(0.0902

)

Brokerage commissions

 

(0.0053

)

(0.0047

)

(0.0045

)

(0.0054

)

(0.0042

)

(0.0076

)

(0.0045

)

Interest income, net

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0001

)

(0.0000

)

Expenses

 

(0.0373

)

(0.0393

)

(0.0236

)

(0.0351

)

(0.0184

)

(0.0351

)

(0.0234

)

Net asset value, before full redemption

 

1.1700

 

1.0461

 

1.0104

 

1.1888

 

1.7493

 

1.6931

 

1.0037

 

Less redemption

 

 

 

 

 

1.7493

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.1700

 

$

1.0461

 

$

1.0104

 

$

1.1888

 

$

 

$

1.6931

 

$

1.0037

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-11.18

%

-11.62

%

-10.52

%

-11.01

%

1.44

%

-10.29

%

-10.52

%

Performance fees

 

-0.01

%

-0.02

%

-0.01

%

-0.01

%

-0.33

%

-0.04

%

-0.01

%

Total return after Performance fees

 

-11.19

%

-11.64

%

-10.53

%

-11.02

%

1.11

%

-10.33

%

-10.53

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

2.90

%

3.40

%

2.16

%

2.70

%

1.08

%

1.91

%

2.16

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.32

%

0.03

%

0.00

%

Expenses (including Performance fees)

 

2.90

%

3.40

%

2.16

%

2.70

%

1.40

%

1.94

%

2.16

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-2.90

%

-3.40

%

-2.16

%

-2.70

%

-1.08

%

-1.91

%

-2.16

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

-0.32

%

-0.03

%

0.00

%

Net investment income (loss) (including Performance fees)

 

-2.90

%

-3.40

%

-2.16

%

-2.70

%

-1.40

%

-1.94

%

-2.16

%

 


(a) The total return is calculated for each class taken as a whole based on the change in net asset value.  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.

 

*Units fully redeemed as of April 30, 2015.

 

See notes to financial statements.

 

8



 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.     ORGANIZATION

 

ML Transtrend DTP Enhanced 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 March 8, 2007 and commenced trading activities on April 2, 2007. The Fund engages in the speculative trading of futures on a wide range of commodities. Transtrend B.V. (“Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Transtrend Diversified Trend Program-Enhanced Risk Profile (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 June 30, 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  June 30, 2016 and December 31, 2015 and the results of its operations for the three and six month periods ended June 30, 2016 and 2015.  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

 

9



 

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.

 

10



 

2.            CONDENSED SCHEDULES OF INVESTMENTS

 

The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of June 30, 2016 and December 31, 2015, are as follows:

 

June 30, 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

 

Profit (Loss)

 

Members’ Capital

 

Contracts

 

Profit (Loss)

 

Members’ Capital

 

on Open Positions

 

Members’ Capital

 

Maturity Dates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

140

 

$

102,992

 

0.49

%

(116

)

$

91,571

 

0.44

%

$

194,563

 

0.93

%

August 2016 - June 2017

 

Currencies

 

375

 

321,793

 

1.54

%

(245

)

441,804

 

2.11

%

763,597

 

3.65

%

July 2016 - September 2016

 

Energy

 

67

 

118,952

 

0.57

%

(4

)

6,307

 

0.03

%

125,259

 

0.60

%

July 2016 - November 2017

 

Interest rates

 

1,072

 

1,442,267

 

6.88

%

(481

)

(193,922

)

-0.93

%

1,248,345

 

5.95

%

August 2016 - December 2019

 

Metals

 

97

 

208,462

 

1.00

%

(65

)

(252,827

)

-1.21

%

(44,365

)

-0.21

%

July 2016 - November 2016

 

Stock indices

 

249

 

56,077

 

0.27

%

(118

)

9,008

 

0.04

%

65,085

 

0.31

%

July 2016 - October 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

2,250,543

 

10.75

%

 

 

$

101,941

 

0.48

%

$

2,352,484

 

11.23

%

 

 

 

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

 

Profit (Loss)

 

Members’ Capital

 

Contracts

 

Profit (Loss)

 

Members’ Capital

 

on Open Positions

 

Members’ Capital

 

Maturity Dates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

92

 

$

3,968

 

0.02

%

(403

)

$

44,291

 

0.18

%

$

48,259

 

0.20

%

January 2016 - March 2017

 

Currencies

 

275

 

36,479

 

0.14

%

(159

)

53,762

 

0.21

%

90,241

 

0.35

%

January 2016 - March 2016

 

Energy

 

 

 

0.00

%

(245

)

660,439

 

2.60

%

660,439

 

2.60

%

January 2016 - December 2017

 

Interest rates

 

1,367

 

(601,993

)

-2.37

%

(558

)

49,006

 

0.19

%

(552,987

)

-2.18

%

March 2016 - September 2019

 

Metals

 

82

 

(52,912

)

-0.21

%

(240

)

287,629

 

1.13

%

234,717

 

0.92

%

January 2016 - October 2016

 

Stock indices

 

252

 

(51,524

)

-0.20

%

(236

)

(39,788

)

-0.16

%

(91,312

)

-0.36

%

January 2016 - April 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

(665,982

)

-2.62

%

 

 

$

1,055,339

 

4.15

%

$

389,357

 

1.53

%

 

 

 

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

 

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. There were no transfers to or from any level during the three or six month periods ended June 30, 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 June 30, 2016 and December 31, 2015, are as follows:

 

Net unrealized profit (loss)

 

 

 

 

 

 

 

 

 

on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Futures

 

$

3,066,587

 

$

2,943,358

 

$

123,229

 

$

 

Forwards

 

 

 

 

 

 

 

$

3,066,587

 

$

2,943,358

 

$

123,229

 

$

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures

 

$

714,103

 

$

474,014

 

$

240,089

 

$

 

Forwards

 

 

 

 

 

 

 

$

714,103

 

$

474,014

 

$

240,089

 

$

 

 

 

 

 

 

 

 

 

 

 

June 30, 2016

 

$

2,352,484

 

$

2,469,344

 

$

(116,860

)

$

 

 

13



 

Net unrealized profit (loss)

 

 

 

 

 

 

 

 

 

on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Futures

 

$

1,897,921

 

$

1,534,559

 

$

363,362

 

$

 

Forwards

 

 

 

 

 

 

 

$

1,897,921

 

$

1,534,559

 

$

363,362

 

$

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures

 

$

1,508,564

 

$

1,321,649

 

$

186,915

 

$

 

Forwards

 

 

 

 

 

 

 

$

1,508,564

 

$

1,321,649

 

$

186,915

 

$

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

$

389,357

 

$

212,910

 

$

176,447

 

$

 

 

The Fund’s volume of trading forwards and futures as of the six month period ended June 30, 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 June 30, 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 and six month periods ended June 30, 2016 and 2015:

 

14



 

 

 

For the three months ended

 

For the six months ended

 

 

 

June 30, 2016

 

June 30, 2016

 

Commodity Industry Sector

 

profit (loss) from trading, net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

(55,939

)

$

(195,422

)

Currencies

 

314,345

 

414,077

 

Energy

 

(236,572

)

423,946

 

Interest rates

 

1,018,502

 

3,517,569

 

Metals

 

(168,519

)

(540,774

)

Stock indices

 

(707,446

)

(818,733

)

 

 

 

 

 

 

Total, net

 

$

164,371

 

$

2,800,663

 

 

 

 

For the three months ended

 

For the six months ended