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EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLCa17-13289_1ex32d02.htm
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLCa17-13289_1ex32d01.htm
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLCa17-13289_1ex31d02.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLCa17-13289_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, 2017

 

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,”  “smaller reporting company,” and “emerging growth 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)

 

 

Emerging growth company o

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

 

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, 2017, 492,243,123 units of limited liability company interest were outstanding.

 

 

 



 

ML WINTON FUTURESACCESS LLC

 

QUARTERLY REPORT FOR JUNE 30, 2017 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

17

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

25

 

 

 

Item 4.

Controls and Procedures

30

 

 

 

 

PART II—OTHER INFORMATION

 

 

 

 

Item 1.

Legal Proceedings

30

 

 

 

Item 1A.

Risk Factors

30

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

30

 

 

 

Item 3.

Defaults Upon Senior Securities

32

 

 

 

Item 4.

Mine Safety Disclosures

32

 

 

 

Item 5.

Other Information

32

 

 

 

Item 6.

Exhibits

32

 



 

PART I - FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

June 30,

 

December 31,

 

 

 

2017

 

2016

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $58,298,905 for 2017 and $87,747,552 for 2016)

 

$

739,759,116

 

$

889,963,089

 

Unrealized profit on open futures contracts

 

5,707,601

 

22,615,031

 

Unrealized profit on open forwards contracts

 

2,363,095

 

4,887,369

 

Cash and cash equivalents

 

487,408

 

515,711

 

Other assets

 

505,714

 

260,679

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

748,822,934

 

$

918,241,879

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Brokerage commissions payable

 

$

5,697

 

$

7,521

 

Sponsor and Advisory fees payable

 

1,934,682

 

2,472,295

 

Redemptions payable

 

11,267,661

 

11,747,492

 

Unrealized loss on open futures contracts

 

17,106,953

 

12,781,752

 

Unrealized loss on open forwards contracts

 

2,517,869

 

3,746,400

 

Other liabilities

 

485,302

 

583,208

 

 

 

 

 

 

 

Total liabilities

 

33,318,164

 

31,338,668

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Capital (492,243,123 Units and 588,474,702 Units outstanding; unlimited Units authorized)

 

715,504,770

 

886,903,211

 

Total Members’ Capital

 

715,504,770

 

886,903,211

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

748,822,934

 

$

918,241,879

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

1.8035

 

$

1.8617

 

Class C

 

$

1.5945

 

$

1.6543

 

Class D

 

$

2.0017

 

$

2.0509

 

Class I

 

$

1.8804

 

$

1.9373

 

Class M

 

$

1.1247

 

$

1.1524

 

Class F

 

$

1.1311

 

$

1.1531

 

Class F1

 

$

1.1590

 

$

1.1816

 

Class DI

 

$

0.9397

 

$

0.9629

 

 

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

 

For the six

 

For the six

 

 

 

months ended

 

months ended

 

months ended

 

months ended

 

 

 

June 30,

 

June 30,

 

June 30,

 

June 30,

 

 

 

2017

 

2016

 

2017

 

2016

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

(9,627,630

)

$

(24,504,718

)

$

12,338,649

 

$

540,968

 

Change in unrealized, net

 

(10,018,067

)

44,981,234

 

(22,528,374

)

46,851,462

 

Brokerage commissions

 

(209,347

)

(220,594

)

(418,317

)

(463,738

)

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss), net

 

(19,855,044

)

20,255,922

 

(10,608,042

)

46,928,692

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

 

 

 

 

Interest, net

 

1,440,272

 

407,074

 

2,488,170

 

811,062

 

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Management fee

 

3,597,579

 

4,660,402

 

7,646,021

 

9,628,673

 

Sponsor fee

 

2,442,115

 

3,427,021

 

5,283,977

 

7,031,463

 

Performance fee

 

 

(3,857

)

 

8,312

 

Other

 

498,271

 

537,359

 

1,025,444

 

1,059,386

 

Total expenses

 

6,537,965

 

8,620,925

 

13,955,442

 

17,727,834

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(5,097,693

)

(8,213,851

)

(11,467,272

)

(16,916,772

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

(24,952,737

)

$

12,042,071

 

$

(22,075,314

)

$

30,011,920

 

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

57,166,271

 

63,001,686

 

59,027,872

 

63,106,513

 

Class C

 

188,476,086

 

263,624,973

 

203,799,434

 

266,668,836

 

Class D

 

33,894,880

 

30,553,473

 

35,015,503

 

32,182,201

 

Class I

 

24,206,227

 

27,876,865

 

25,555,873

 

28,294,652

 

Class M

 

98,299,703

 

100,800,528

 

102,158,357

 

100,172,695

 

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

 

34,074,406

 

76,463,337

 

35,618,312

 

84,779,192

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

(0.0617

)

$

0.0243

 

$

(0.0550

)

$

0.0557

 

Class C

 

$

(0.0586

)

$

0.0165

 

$

(0.0537

)

$

0.0412

 

Class D

 

$

(0.0595

)

$

0.0355

 

$

(0.0446

)

$

0.0811

 

Class I

 

$

(0.0621

)

$

0.0254

 

$

(0.0517

)

$

0.0637

 

Class M

 

$

(0.0345

)

$

0.0193

 

$

(0.0246

)

$

0.0453

 

Class F

 

$

(0.0318

)

$

0.0221

 

$

(0.0220

)

$

0.0480

 

Class F1

 

$

(0.0326

)

$

0.0227

 

$

(0.0226

)

$

0.0492

 

Class DI

 

$

(0.0276

)

$

0.0087

 

$

(0.0206

)

$

0.0322

 

 

See notes to financial statements.

 

2



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2017 AND 2016

(unaudited) (in Units)

 

 

 

Members’ Units 

 

 

 

 

 

Members’ Units 

 

Members’ Units 

 

 

 

 

 

Members’ Units 

 

 

 

December 31, 2015

 

Subscriptions

 

Redemptions

 

June 30, 2016

 

December 31, 2016

 

Subscriptions

 

Redemptions

 

June 30, 2017

 

Class A

 

63,179,258

 

2,975,726

 

(3,506,443

)

62,648,541

 

61,945,513

 

1,032,815

 

(9,443,809

)

53,534,519

 

Class C

 

272,305,731

 

5,194,491

 

(18,132,979

)

259,367,243

 

232,428,092

 

430,907

 

(54,734,468

)

178,124,531

 

Class D

 

36,603,739

 

1,334,697

 

(7,106,926

)

30,831,510

 

36,734,074

 

50,207

 

(3,920,891

)

32,863,390

 

Class I

 

29,501,569

 

1,305,305

 

(3,595,138

)

27,211,736

 

28,092,830

 

712,812

 

(5,920,387

)

22,885,255

 

Class M

 

102,050,874

 

8,595,224

 

(10,120,221

)

100,525,877

 

108,834,546

 

13,347,632

 

(26,842,061

)

95,340,117

 

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

 

97,034,119

 

 

(35,196,281

)

61,837,838

 

41,570,588

 

1,387,038

 

(12,331,374

)

30,626,252

 

Total Members’ Units

 

679,544,349

 

19,405,443

 

(77,657,988

)

621,291,804

 

588,474,702

 

16,961,411

 

(113,192,990

)

492,243,123

 

 

See notes to financial statements.

 

3



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2017 AND 2016

(unaudited)

 

 

 

Members’ Capital 

 

 

 

 

 

 

 

Members’ Capital 

 

Members’ Capital 

 

 

 

 

 

 

 

Members’ Capital 

 

 

 

December 31, 2015

 

Subscriptions

 

Redemptions

 

Net Income (Loss)

 

June 30, 2016

 

December 31, 2016

 

Subscriptions

 

Redemptions

 

Net Income (Loss)

 

June 30, 2017

 

Class A

 

$

120,342,696

 

$

5,729,615

 

$

(6,801,087

)

$

3,512,171

 

$

122,783,395

 

$

115,326,344

 

$

1,917,494

 

$

(17,449,040

)

$

(3,247,681

)

$

96,547,117

 

Class C

 

465,517,528

 

9,042,099

 

(31,606,583

)

10,993,343

 

453,946,387

 

384,498,441

 

707,990

 

(90,253,593

)

(10,935,787

)

284,017,051

 

Class D

 

75,664,376

 

2,850,000

 

(15,054,585

)

2,609,777

 

66,069,568

 

75,339,626

 

104,000

 

(8,098,188

)

(1,562,560

)

65,782,878

 

Class I

 

58,240,855

 

2,593,617

 

(7,251,995

)

1,802,454

 

55,384,931

 

54,423,920

 

1,380,000

 

(11,448,041

)

(1,322,436

)

43,033,443

 

Class M

 

118,530,695

 

10,102,371

 

(12,132,540

)

4,540,673

 

121,041,199

 

125,421,076

 

15,383,478

 

(31,056,437

)

(2,515,751

)

107,232,366

 

Class F

 

53,536,345

 

 

 

2,234,842

 

55,771,187

 

53,645,210

 

 

 

(1,025,384

)

52,619,826

 

Class F1

 

38,144,532

 

 

 

1,592,320

 

39,736,852

 

38,222,098

 

 

 

(730,584

)

37,491,514

 

Class DI

 

94,166,071

 

 

(34,681,135

)

2,726,340

 

62,211,276

 

40,026,496

 

1,343,485

 

(11,854,275

)

(735,131

)

28,780,575

 

Total Members’ Capital

 

$

1,024,143,098

 

$

30,317,702

 

$

(107,527,925

)

$

30,011,920

 

$

976,944,795

 

$

886,903,211

 

$

20,836,447

 

$

(170,159,574

)

$

(22,075,314

)

$

715,504,770

 

 

See notes to financial statements.

 

4


 


 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2017 (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

 

$

1.8658

 

$

1.6538

 

$

2.0632

 

$

1.9435

 

$

1.1593

 

$

1.1629

 

$

1.1916

 

$

0.9686

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.0481

)

(0.0425

)

(0.0533

)

(0.0501

)

(0.0299

)

(0.0301

)

(0.0308

)

(0.0250

)

Brokerage commissions

 

(0.0005

)

(0.0004

)

(0.0006

)

(0.0005

)

(0.0003

)

(0.0003

)

(0.0003

)

(0.0003

)

Interest income, net

 

0.0035

 

0.0031

 

0.0038

 

0.0036

 

0.0022

 

0.0022

 

0.0022

 

0.0018

 

Expenses

 

(0.0172

)

(0.0195

)

(0.0114

)

(0.0161

)

(0.0066

)

(0.0036

)

(0.0037

)

(0.0054

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.8035

 

$

1.5945

 

$

2.0017

 

$

1.8804

 

$

1.1247

 

$

1.1311

 

$

1.1590

 

$

0.9397

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-3.34

%

-3.59

%

-2.98

%

-3.25

%

-2.99

%

-2.73

%

-2.74

%

-2.98

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-3.34

%

-3.59

%

-2.98

%

-3.25

%

-2.99

%

-2.73

%

-2.74

%

-2.98

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

0.94

%

1.19

%

0.57

%

0.84

%

0.57

%

0.32

%

0.32

%

0.57

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

0.94

%

1.19

%

0.57

%

0.84

%

0.57

%

0.32

%

0.32

%

0.57

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.75

%

-1.00

%

-0.38

%

-0.65

%

-0.38

%

-0.13

%

-0.13

%

-0.38

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Net investment income (loss) (including Performance fees)

 

-0.75

%

-1.00

%

-0.38

%

-0.65

%

-0.38

%

-0.13

%

-0.13

%

-0.38

%

 


(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 SIX MONTHS ENDED JUNE 30, 2017 (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

 

$

1.8617

 

$

1.6543

 

$

2.0509

 

$

1.9373

 

$

1.1524

 

$

1.1531

 

$

1.1816

 

$

0.9629

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.0283

)

(0.0250

)

(0.0314

)

(0.0295

)

(0.0177

)

(0.0178

)

(0.0182

)

(0.0148

)

Brokerage commissions

 

(0.0010

)

(0.0009

)

(0.0011

)

(0.0010

)

(0.0006

)

(0.0006

)

(0.0006

)

(0.0005

)

Interest income, net

 

0.0058

 

0.0051

 

0.0064

 

0.0060

 

0.0036

 

0.0036

 

0.0037

 

0.0030

 

Expenses

 

(0.0347

)

(0.0390

)

(0.0231

)

(0.0324

)

(0.0130

)

(0.0072

)

(0.0075

)

(0.0109

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.8035

 

$

1.5945

 

$

2.0017

 

$

1.8804

 

$

1.1247

 

$

1.1311

 

$

1.1590

 

$

0.9397

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-3.13

%

-3.61

%

-2.40

%

-2.94

%

-2.41

%

-1.91

%

-1.91

%

-2.40

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-3.13

%

-3.61

%

-2.40

%

-2.94

%

-2.41

%

-1.91

%

-1.91

%

-2.40

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

1.88

%

2.38

%

1.13

%

1.68

%

1.13

%

0.63

%

0.63

%

1.13

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

1.88

%

2.38

%

1.13

%

1.68

%

1.13

%

0.63

%

0.63

%

1.13

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-1.56

%

-2.06

%

-0.81

%

-1.36

%

-0.81

%

-0.31

%

-0.31

%

-0.81

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Net investment income (loss) (including Performance fees)

 

-1.56

%

-2.06

%

-0.81

%

-1.36

%

-0.81

%

-0.31

%

-0.31

%

-0.81

%

 


(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.

 

6



 

ML WINTON 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.

 

Per Unit Operating Performance:

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

Class F

 

Class F1

 

Class DI

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.9358

 

$

1.7330

 

$

2.1087

 

$

2.0083

 

$

1.1848

 

$

1.1767

 

$

1.2057

 

$

0.9899

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0415

 

0.0371

 

0.0455

 

0.0431

 

0.0255

 

0.0255

 

0.0261

 

0.0213

 

Brokerage commissions

 

(0.0004

)

(0.0004

)

(0.0005

)

(0.0004

)

(0.0003

)

(0.0003

)

(0.0003

)

(0.0002

)

Interest income, net

 

0.0008

 

0.0007

 

0.0009

 

0.0008

 

0.0005

 

0.0005

 

0.0005

 

0.0004

 

Expenses

 

(0.0178

)

(0.0202

)

(0.0117

)

(0.0165

)

(0.0064

)

(0.0036

)

(0.0036

)

(0.0054

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.9599

 

$

1.7502

 

$

2.1429

 

$

2.0353

 

$

1.2041

 

$

1.1988

 

$

1.2284

 

$

1.0060

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

1.24

%

0.99

%

1.62

%

1.35

%

1.63

%

1.88

%

1.88

%

1.63

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

1.24

%

0.99

%

1.62

%

1.35

%

1.63

%

1.88

%

1.88

%

1.63

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

0.93

%

1.18

%

0.56

%

0.83

%

0.56

%

0.31

%

0.31

%

0.56

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

0.93

%

1.18

%

0.56

%

0.83

%

0.56

%

0.31

%

0.31

%

0.56

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.89

%

-1.14

%

-0.51

%

-0.79

%

-0.51

%

-0.26

%

-0.26

%

-0.51

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Net investment income (loss) (including Performance fees)

 

-0.89

%

-1.14

%

-0.51

%

-0.79

%

-0.51

%

-0.26

%

-0.26

%

-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.

 

7



 

ML WINTON 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.

 

Per Unit Operating Performance:

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

Class F

 

Class F1

 

Class DI

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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)

 

0.0905

 

0.0810

 

0.0984

 

0.0938

 

0.0553

 

0.0549

 

0.0563

 

0.0462

 

Brokerage commissions

 

(0.0009

)

(0.0008

)

(0.0010

)

(0.0009

)

(0.0005

)

(0.0005

)

(0.0006

)

(0.0005

)

Interest income, net

 

0.0016

 

0.0014

 

0.0017

 

0.0016

 

0.0010

 

0.0010

 

0.0010

 

0.0008

 

Expenses

 

(0.0361

)

(0.0409

)

(0.0233

)

(0.0334

)

(0.0132

)

(0.0074

)

(0.0075

)

(0.0109

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.9599

 

$

1.7502

 

$

2.1429

 

$

2.0353

 

$

1.2041

 

$

1.1988

 

$

1.2284

 

$

1.0060

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

2.89

%

2.38

%

3.67

%

3.09

%

3.67

%

4.19

%

4.19

%

3.67

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

-0.01

%

-0.01

%

0.00

%

Total return after Performance fees

 

2.89

%

2.38

%

3.67

%

3.09

%

3.67

%

4.18

%

4.18

%

3.67

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

1.86

%

2.36

%

1.11

%

1.66

%

1.11

%

0.61

%

0.61

%

1.11

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.01

%

0.01

%

0.00

%

Expenses (including Performance fees)

 

1.86

%

2.36

%

1.11

%

1.66

%

1.11

%

0.62

%

0.62

%

1.11

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-1.77

%

-2.28

%

-1.02

%

-1.57

%

-1.02

%

-0.52

%

-0.52

%

-1.02

%

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)

 

-1.77

%

-2.28

%

-1.02

%

-1.57

%

-1.02

%

-0.53

%

-0.53

%

-1.02

%

 


(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.

 

8



 

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. MLAI 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. MLAI 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, 2017, the Fund held no 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, 2017 and December 31, 2016 and the results of its operations for the three and six month periods ended June 30, 2017 and 2016.  However, the operating results for the interim periods may not be indicative of the results for the full year.

 

9



 

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, 2016.

 

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, 2017 and December 31, 2016, are as follows:

 

June 30, 2017

 

 

 

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

 

455

 

$

572,730

 

0.08

%

(3,161

)

$

(640,762

)

-0.09

%

$

(68,032

)

-0.01

%

July 2017 - March 2018

 

Currencies - Futures

 

1,007

 

5,185

 

0.00

%

(1,847

)

71,053

 

0.01

%

76,238

 

0.01

%

September 2017

 

Currencies - Forwards*

 

337,124,628

 

1,733,411

 

0.24

%

(175,035,084

)

(1,888,185

)

-0.26

%

(154,774

)

-0.02

%

July 2017 - September 2017

 

Energy

 

 

 

0.00

%

(994

)

(2,023,300

)

-0.28

%

(2,023,300

)

-0.28

%

July 2017 - September 2017

 

Interest rates

 

6,502

 

(4,745,496

)

-0.66

%

(697

)

88,686

 

0.01

%

(4,656,810

)

-0.65

%

September 2017 - June 2020

 

Metals

 

770

 

678,557

 

0.09

%

(1,212

)

(1,754,461

)

-0.25

%

(1,075,904

)

-0.16

%

July 2017 - October 2017

 

Stock indices

 

4,877

 

(4,049,552

)

-0.57

%

(1,080

)

398,008

 

0.06

%

(3,651,544

)

-0.51

%

July 2017 - September 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

(5,805,165

)

-0.82

%

 

 

$

(5,748,961

)

-0.80

%

$

(11,554,126

)

-1.62

%

 

 

 

December 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

 

1,343

 

$

(829,500

)

-0.09

%

(2,577

)

$

3,088,279

 

0.35

%

$

2,258,779

 

0.26

%

January 2017 - May 2017

 

Currencies - Futures

 

 

 

0.00

%

(4,246

)

4,263,986

 

0.48

%

4,263,986

 

0.48

%

March 2017

 

Currencies - Forwards*

 

375,072,969

 

2,624,303

 

0.30

%

(228,896,545

)

(1,483,334

)

-0.17

%

1,140,969

 

0.13

%

January 2017 - March 2017

 

Energy

 

545

 

587,351

 

0.07

%

(210

)

(425,312

)

-0.05

%

162,039

 

0.02

%

January 2017 - March 2017

 

Interest rates

 

3,943

 

924,684

 

0.10

%

(7,799

)

891,077

 

0.10

%

1,815,761

 

0.20

%

March 2017 - December 2019

 

Metals

 

1,245

 

(1,075,952

)

-0.12

%

(1,533

)

(490,328

)

-0.06

%

(1,566,280

)

-0.18

%

January 2017 - April 2017

 

Stock indices

 

7,991

 

2,944,929

 

0.33

%

(283

)

(45,935

)

-0.01

%

2,898,994

 

0.32

%

January 2017 - March 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

5,175,815

 

0.59

%

 

 

$

5,798,433

 

0.64

%

$

10,974,248

 

1.23

%

 

 

 


*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, 2017 and December 31, 2016. 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 i