10-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C.  20549

FORM 10-K

x Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the fiscal year ended: December 31, 2016

or

o Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission file number: 0-52505

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Exact name of registrant as specified in its charter)

Delaware	30-0408280
(State or other jurisdiction of	(I.R.S. Employer
incorporation or organization)	Identification No.)

c/o FRM Investment Management (USA) LLC

452 Fifth Avenue, 26th  Floor

New York, New York 10018

(Address of principal executive offices)

(Zip Code)

212-649-6600

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:  None

Securities registered pursuant to Section 12(g) of the Act:  Units of Limited Liability Company Interest

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes o No x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act. Yes o No x

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K  (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

Indicatebycheckmarkwhethertheregistrantisalargeacceleratedfiler,anacceleratedfiler,anon-acceleratedfiler,orsmallerreportingcompany.Seethedefinitionsof“largeacceleratedfiler”,“acceleratedfiler”and“smallerreportingcompany“inRule 12b-2oftheExchangeAct.

Large accelerated filer o	Accelerated filer o
Non-accelerated filer x (Do not check if a smaller reporting company)	Smaller reporting company o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act). Yes o No x

The Units of limited liability company interest of the registrant are not publicly traded. Accordingly, there is no aggregate market value for the registrant’s outstanding equity that is readily determinable.

As of February 28, 2017 Units of limited liability company interest with an aggregate Net Asset Value of $110,083,755 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2016 Annual Report and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the year ended December 31, 2016, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith.

MAN FRM MANAGED FUTURES STRATEGIES LLC

ANNUAL REPORT FOR 2016 ON FORM 10-K

Table of Contents

	PART I	PAGE
Item 1.	Business	1
Item 1A.	Risk Factors	8
Item 1B.	Unresolved Staff Comments	18
Item 2.	Properties	18
Item 3.	Legal Proceedings	18
Item 4.	Mine Safety Disclosures	18
	PART II
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	19
Item 6.	Selected Financial Data	20
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	21
Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	31
Item 8.	Financial Statements and Supplementary Data	40
Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure	40
Item 9A.	Controls and Procedures	40
Item 9B.	Other Information	41
	PART III
Item 10.	Directors, Executive Officers and Corporate Governance	41
Item 11.	Executive Compensation	43
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	43
Item 13.	Certain Relationships and Related Transactions and Director Independence	44
Item 14.	Principal Accounting Fees and Services	44
	PART IV
Item 15.	Exhibits, Financial Statement Schedules	45

PART I

Item 1:   Business

(a)General Development of Business:

Man FRM Managed Futures Strategies LLC (the “Fund”), a Delaware limited liability company, is a managed futures fund of funds managed by FRM Investment Management (USA) LLC (the “Manager” or “FRM Investment Management”). The Manager is registered as a commodity pool operator (“CPO”) and commodity trading advisor (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act.  The Manager is also registered as an investment adviser under the Investment Advisers Act of 1940. The Manager is an indirect wholly-owned subsidiary of Man Group plc.  (As used herein “Man Group” refers to Man Group plc, the Manager and certain other affiliated entities of Man Group plc.) The Fund was organized under the Delaware Limited Liability Company Act in March 2007 and commenced operations in April 2007.   The Fund is an investment company as defined by Accounting Standards Codification (“ASC”) guidance. The Fund was previously known as “Systematic Momentum FuturesAccess LLC” through April 30, 2015.

Prior to May 1, 2015, the Fund was a participating fund in the FuturesAccessSM Program (“FuturesAccess”) sponsored by Merrill Lynch Alternative Investments LLC (“MLAI”). The Fund operated as a “fund of funds,” allocating and reallocating its capital among underlying FuturesAccess Funds (“FuturesAccess Portfolio Funds” or “Portfolio Funds”). MLAI was the sponsor and manager of the Fund prior to May 1, 2015. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation.

Pursuant to an Asset Purchase Agreement dated as of December 8, 2014 between MLAI and an indirectly wholly-owned subsidiary of Man Group plc, as amended, Man Group  purchased, among other assets, the rights of MLAI and its affiliates under certain agreements relating to the management of the Fund. FRM Investment Management replaced MLAI as manager of the Fund on May 1, 2015, upon the closing of such purchase (the “Manager Replacement”). Effective as of May 1, 2015, the Fund was renamed “Man FRM Managed Futures Strategies LLC.”

Under the direction of the Manager, the Fund allocates its capital among a group of underlying funds (each an “Underlying Fund”, and collectively, the “Underlying Funds”) which, in turn, allocate capital to master funds (each a “Master Fund”, and collectively, the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of commodity trading advisors (each a “Trading Advisor”, and collectively, the “Trading Advisors”).  Presently there are six Underlying Funds, see “Underlying Funds and Master Funds” below.

The Manager invests the Fund’s assets into Underlying Funds that are on the FRM Platform. (“FRM” refers to the affiliated group of companies (all of which are part of the Man Group) known as Financial Risk Management or FRM.  “FRM Platform” refers to FRM’s approved investment platform consisting of Underlying Funds for which the Manager (or an affiliate) serves as risk manager and engages a single Trading Advisor.)

Unless the context requires otherwise, references herein to the Fund, also refer to the Underlying Funds and the Master Funds in which the Underlying Funds invest. References herein to the investment processes, strategies, objectives and activities of the Fund and the Underlying Funds refer to the investment activities of the Master Funds through which the Underlying Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities.

As used herein the “Trading Program” includes the Fund’s overall approach as well as each Trading Advisor’s strategy, as applicable.

The Fund’s outstanding units of limited liability company interest (“Units”) are Class A Units, Class AA Units, Class C Units, Class D Units, Class I Units, Class II Units, Class M Units and Class MM Units.  The only Classes of Units which the Fund is currently offering are Class AA Units, Class II Units and Class MM

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Units.  The Units are privately offered pursuant to Rule 506(b) of Regulation D of the Securities Act of 1933, as amended (the “Securities Act”).

(b)           Financial Information about Segments:

The Fund’s business constitutes only one segment for financial reporting purposes, i.e., a speculative “commodity pool”. The Fund does not engage in sales of goods or services.

(c)           Narrative Description of Business:

Systematic Trading

Under the direction of the Manager, the Fund allocates its capital among a group of Underlying Funds which in turn, invest in related Master Funds managed by the Trading Advisors.  The Master Funds focus on alternative investment strategies known as “systematic managed futures strategies.”

Systematic trading generally assumes that a disciplined and systematic trading approach based on quantitative analysis with limited discretionary decision making can enable a trader to identify price trends or other market dynamics and to take positions designed to profit from it. These systems can incur substantial losses when the market significantly deviates from its usual historical patterns; e.g., when weather-related catastrophes, international political disruptions, and unanticipated supply and demand imbalances unexpectedly dominate the market.

Systematic trading generally utilizes technical analysis.  Technical analysis relies on information intrinsic to the market itself to determine trades, such as prices, price patterns, volume and volatility, unlike fundamental analysis which relies on fundamental economic data as input for trading decisions.

Systematic technical trading systems share basic similarities, although the models which they apply to historical price data differ.  These similarities imply that there will be certain market conditions which are likely to be adverse to all or substantially all of the Underlying Funds in the Fund’s portfolio.

The Trading Advisors selected by the Manager generally have complete discretion to invest in futures, commodities, currency forwards, over-the-counter (“OTC”) derivative instruments (such as swaps), and other financial instruments for their respective Master Funds consistent with the relevant governing documents.

Underlying Funds and Master Funds

(a) The Manager invests the Fund’s assets into Underlying Funds that are on the FRM Platform.  The Underlying Funds are generally established as Delaware limited liability companies for which the Manager serves as CPO.  Each of the Underlying Funds engages the Manager as risk manager and invests in a Master Fund, generally established as a Cayman Islands exempted company, for which the Manager serves as CPO and engages a single Trading Advisor.  The Manager may allocate Fund capital, indirectly through Underlying Funds, to the Master Funds, although any such allocations are not expected to be more than 25% of the Fund’s Net Asset Value at the time of allocation.  Presently, none of the Trading Advisors are affiliates of the Manager.  No additional management fees are payable to the Manager with respect to the FRM Platform, although any Manager affiliate serving as a Trading Advisor will receive management and performance-based compensation, and the Manager receives a Risk Management Fee in its capacity as risk manager of funds on the FRM Platform.

The Fund will generally not be the sole investor in the Underlying Funds.  Other investors, including investors investing through investment vehicles not managed or advised by the Manager or its affiliates, may also invest in the Underlying Funds.

Existing Trading Advisors and Underlying Funds may be replaced, and additional Trading Advisors and Underlying Funds may be added, at any time based on the investment discretion of the Manager.

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The Fund intends to rebalance among the Underlying Funds on a weekly basis based upon, among other things, capital flows into and out of the Fund, changes in the Manager’s conviction on each Trading Advisor and changes in the expected risk contribution of a Trading Advisor to the Fund.  In the process of rebalancing, the Fund’s allocation to any Underlying Fund may range between 3% - 25% of the Fund’s Net Asset Value.

The Fund is not required to be fully invested at all times.  The Manager may elect to reserve a portion of the Fund’s capital for future investment in Underlying Funds or to allocate less than all of the Fund’s capital as a defensive measure.   Capital not invested in Underlying Funds will generally be held at the custodian in cash, interest bearing accounts or cash equivalent money market instruments.

(b)  During 2016, the Fund invested in the following Underlying Funds which in turn invest in the referenced Master Funds (“MF”), which are advised, respectively, by the Trading Advisors as indicated below. The Fund currently invests in all of these Underlying Funds, other than Carlisle Delaware Feeder LLC as noted below.

Underlying Funds and Master Funds	Trading Advisors to Master Fund
Blakeney Delaware Feeder LLC (“Blakeney”) MF: Blakeney Fund Limited	Winton Capital Management Limited*
Campbell Delaware Feeder LLC (“Campbell”) MF: Campbell MAC Cayman Fund Limited	Campbell & Company, LP*
Carlisle Delaware Feeder LLC (“Carlisle”) ** MF: Carlisle Fund Limited	Transtrend B.V.
CCP Core Macro Delaware Feeder LLC (“CCP Core Macro”) MF: CCP Core Macro Cayman Fund Limited	Cantab Capital Partners LLP
Quantica MF Delaware Feeder LLC (“Quantica MF”) MF: Quantica MF Cayman Fund Limited	Quantica Capital AG
Silver Delaware Feeder LLC (“Silver”) MF: Silver MAC Limited	Lynx Asset Management AB*
Century CAT MAC Delaware Feeder LLC *** MF: Century CAT MAC Cayman Fund Limited	Crabel Capital Management, LLC*

*    This Trading Advisor is registered under the Investment Advisers Act of 1940.

**  The Fund fully redeemed its investment in this Underlying Fund in April 2016.

*** On March 21, 2016, added as an Underlying Fund.

(c) As of April 30, 2015 the Fund fully redeemed its investment in the following FuturesAccess Portfolio Funds:  Aspect FuturesAccess LLC; ML BlueTrend FuturesAccess LLC; John Locke FuturesAccess LLC; Lynx FuturesAccess LLC; ML Transtrend DTP Enhanced FuturesAccess LLC; Tudor Tensor FuturesAccess LLC; and ML Winton FuturesAccess LLC.

Employees

The Fund has no employees.

Custodians and Brokers

The Bank of New York Mellon, New York, New York, acts as the Fund’s custodian.  Assets of the Underlying Funds and Master Funds are held in accounts in their names with banks, brokers and futures commission merchants located in the United States and England and Wales.

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Margin

Anywhere from 10% to 50% of each Master Fund’s assets is expected to be required for margin or collateral at any one time.  This amount will vary among Master Funds and could be substantially higher or lower and there is no obligation to maintain required margin or collateral within these or any other specific ranges.

Net Asset Value

The Net Asset Value is calculated on the last calendar day of each month and/or last business day of each week and/or such other days as the Manager may determine in its sole discretion (“Valuation Day”).  The Net Asset Value of the Fund is equivalent to its total assets less its total liabilities as of any Valuation Day.  Appreciation or depreciation in the Net Asset Value of the Fund is based upon appreciation or depreciation in the value of investments in the Underlying Funds that are held by the Fund, with appropriate adjustments for assets and liabilities of the Fund.  The Fund’s investments (including the Fund’s investments through the Underlying Funds) will generally be valued in accordance with generally accepted accounting principles of the United States.

During the period prior to the Manager Replacement, the Fund’s net asset value as of any calculation date generally equaled the value of the Fund’s interests in the FuturesAccess Portfolio Funds as of that date plus any other assets held by the Fund, minus accrued sponsor fees, any offering or operating costs and all other liabilities of the Fund.

The Fund’s average month-end Net Asset Values during 2016, 2015 and 2014 equaled $144,557,725, $195,408,492 and $233,256,119, respectively.

Charges

The following table summarizes the charges incurred by the Fund for the years ended December 31, 2016, 2015 and 2014.

	2016				2015				2014
Charges	Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets
Other Expenses	$	1,559,790	1.08	%	$	989,970	0.51	%	$	678,568	0.29	%
Management or Sponsor Fees	2,875,987		1.99	%	4,070,605		2.08	%	4,866,807		2.09	%
Total	$	4,435,777	3.07	%	$	5,060,575	2.59	%	$	5,545,375	2.38	%

Reference to management fees in the foregoing table refer to such fees paid to FRM Investment Management  beginning May 2015 through December 2016 period.  Reference to sponsor fees in the foregoing table refers to such fees paid to MLAI during  2014 and the January 2015 through April 2015 period.  The foregoing table does not reflect: (i) the bid-ask spreads paid by the Master Funds and FuturesAccess Portfolio Funds on their forward trading; (ii) brokerage commissions or (iii) sales commissions payable in connection with the sales of Units of the Fund.  Bid-ask spreads and brokerage commissions are components of the trading profit or loss of the Master Funds and FuturesAccess Portfolio Funds rather than a distinct expense item separable from the Master Funds’ or FuturesAccess Portfolio Funds’ trading accounts; they are netted against realized and unrealized trading gains or losses in determining trading profit or loss.

Aggregate sales commissions are not included in the table of charges because they are not an expense of the Fund, but rather were paid out of an investor’s subscription proceeds and therefore reduce the amount invested in the Fund by the investor.

While the Trading Advisors to the Master Funds in which the Fund invests do charge management fees and performance fees, these are not included in the table since such fees are not Fund expenses.  However, such management fees and performance fees reduce the Net Asset Value of the Fund’s underlying investment in each Master Fund.  (Similarly with respect to the period prior to the Manager Replacement, the FuturesAccess Portfolio

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Funds’ payment of trading advisor management fees and performance fees are not reflected as Fund expenses in the table.)

Description of Certain Current Charges

Recipient	Nature of Payment	Amount of Payment
FRM Investment Management	Management fee	The Fund pays management fees (“Management Fees”), monthly in arrears, in respect of the Net Asset Value of each Class of Units which are subject to a Management Fee. The Management Fee rate is 1/12 of: 1.5% for Class A Units; 2.5% for Class C Units; 1.1% for Class I Units; 2.5% for Class AA Units; 1.35% for Class II Units; and 0.6% for Class MM Units. Class D Units and Class M Units are not subject to a Management Fee. The Management Fee is calculated prior to reduction for the Management Fee being calculated but after accrual of all other fees and expenses.
FRM Investment Management	Risk management fee	Each Underlying Fund pays the Manager a risk management fee (“Risk Management Fee”) equal to 0.5% per annum of the Trading Level of its related Master Fund, quarterly in arrears, and a pro rata share of any licensing fees for the use of any risk assessment tools provided by any third party which are used by the Manager in providing risk management services to the Master Fund. (“Trading Level” refers to the dollar amount communicated each month (or more frequently, as the case may be) by an Underlying Fund or its designee to a Trading Advisor of a Master Fund on the FRM Platform, based on an estimate of Net Asset Value of the Underlying Fund as of the beginning of the following month multiplied by a leverage factor, if applicable, which the Trading Advisor uses to manage the exposure of the Master Fund’s portfolio.)

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Recipient	Nature of Payment	Amount of Payment
Trading Advisors	Asset-and/or performance-based compensation	The Fund is subject to asset- and/or performance-based compensation payable to the Trading Advisors at the Master Fund level. Asset-based compensation generally ranges from 0.5% to 2.0% per annum of the Trading Level of the Underlying Funds’ assets attributable to the Master Funds’ investments, and performance-based compensation generally ranges from 10% to 25% of the net capital appreciation of the Master Funds’ assets (paid monthly, quarterly, annually or bi-annually) on a “high water mark” basis; that is, no performance-based compensation is payable until losses in previous periods have been recouped. However, the Fund may invest, indirectly, with Trading Advisors whose level or frequency of asset-based or performance-based compensation falls outside of these ranges. For purposes of calculating performance-based compensation (i.e., incentive fees), “net appreciation” in a Master Fund means the positive change in the net asset value of a Master Fund (above the high water mark) attributable to the Trading Advisor’s trading activities on behalf of the Master Fund, and includes unrealized appreciation. Net appreciation is reduced by the Trading Advisor’s management fee, but is not reduced by the Risk Management Fee. A Master Fund’s net asset value is equal to the value of its assets less its liabilities, generally determined in accordance with generally accepted accounting principles in the United States. Each Master Fund calculates its incentive fees based on its individual performance. Moreover, incentive fees are calculated based on the Master Fund’s overall investment experience, not the individual investment experience of any direct investor in the Master Fund, such as an Underlying Fund, or any member of the Fund (“Member”) as an indirect investor through the Fund. Consequently, the Fund could be subject to substantial incentive fees during periods when the Fund is incurring overall losses. Incentive fees generally crystallize upon net redemptions in accordance with the governing documents of the Master Funds.

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Recipient	Nature of Payment	Amount of Payment
Placement Agents	Sales Commissions	The Manager may share a portion of its fees with one or more placement agents, which may include affiliated entities (including Man Investments Inc.), and the Fund may offer additional Classes subject to sales commissions as described in an offering document relating to such Class. Subscriptions for Class AA Units, Class II Units and Class MM Units sold through Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) are subject to upfront sales commissions of up to 3.0%, payable to MLPF&S. Upfront sales commissions are based on the net amount of each subscription (i.e., the total subscription amount after deduction of the upfront sales commission) and are added to, not deducted from, subscription amounts.
Various Parties	Ongoing Operating and Offering Costs	The Fund pays all of its ongoing operating costs, including, without limitation: ongoing offering fees and expenses; transaction costs; legal, accounting, audit and tax reporting and preparation fees and expenses; administrative, custody, transfer, subscription and redemption processing fees and expenses; regulatory, filing and printing fees; fees and expenses of the Fund’s “tax matters partner” or “partnership representative”; and any extraordinary expenses. Operating costs are allocated pro rata among each Class of Units based on their respective Net Asset Values. The Underlying Funds (inclusive of the Master Funds) bear all costs and expenses directly related to their respective investment programs, including brokerage commissions, custody fees and any withholding or transfer taxes. Each Underlying Fund also generally bears all of its overhead and operating costs, including accounting, audit, administration and legal expenses, costs of any litigation or investigation involving such Underlying Fund’s activities, and costs associated with reporting and providing information to existing and prospective investors. The Fund, as an investor in the Underlying Funds, pays its allocable share of each Underlying Fund’s operating costs and expenses.

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Regulation

Under the Commodity Exchange Act (“CEA”), commodity exchanges and futures trading are subject to regulation by the CFTC.  The National Futures Association (“NFA”), a “registered futures association” under the CEA, is the only non-exchange self-regulatory organization for futures industry professionals.  The CFTC has delegated to the NFA responsibility to the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons, and “floor brokers” and “floor traders.”  The CEA requires commodity pool operators and commodity trading advisors, such as the Manager and the Trading Advisors, respectively, and commodity brokers or futures commission merchants to be registered and to comply with various reporting and record keeping requirements.  The CFTC may suspend a commodity pool operator’s or trading advisor’s registration if the CFTC finds that the commodity pool operator’s or trading advisor’s  trading practices tend to disrupt orderly market conditions or in other situations. In the event that the registration of the Manager as a CPO or the Trading Advisor as a CTA were terminated or suspended, the Manager would be unable to continue to manage the business of the Fund or the Trading Advisor would be unable to implement its Trading Program on behalf of the Fund.

In addition to such registration requirements, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. All accounts owned or managed by the Trading Advisor will be combined for position limit purposes.  The Trading Advisor could be required to liquidate positions in order to comply with such limits.  Any such liquidation could result in substantial costs to the Master Fund. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to reach its daily price limit for several days in a row, making it impossible for the Trading Advisor to liquidate a position and thereby experiencing dramatic losses.  Currency forward contracts are not regulated as “swaps” under the CEA, but are subject to governmental regulation such as mandatory reporting and business conduct standards for swap dealers and major swap participants to the extent otherwise applicable to swaps under the CEA and applicable rules of the CFTC.

(d)Financial Information about Geographic Areas

The Fund does not engage in material operations in foreign countries, nor is a material portion of the Master Funds’ revenue derived from customers in foreign countries.

The Master Funds may trade on a number of foreign commodity exchanges and may also trade OTC derivatives with foreign risk exposure.  The Master Funds and the Fund do not engage in the sales of goods or services.

Item 1A:  Risk Factors

GENERAL RISKS

Past Performance

There can be no assurance that the Trading Program will produce profitable results.  The past performance of the Fund or Trading Advisors is not necessarily indicative of how the Fund or the Trading Advisors may perform in the future.  There can be no assurance that the Fund will achieve its investment objectives or avoid substantial or total loss.  The Fund may sustain losses in the future under market conditions in which it achieved gains in the past.

Business and Regulatory Risks of Private Funds

Legal, tax and regulatory developments could occur during the term of the Fund that may adversely affect the Fund.  Financial markets are subject to comprehensive regulation and limitation of statutes, regulatory rules and margin requirements enforced by various government regulators and self-regulatory organizations and exchanges, which are authorized to take extraordinary actions in the event of market emergencies.  The regulation of derivatives transactions and funds that engage in such transactions is an evolving area of law and

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is subject to modification by government and judicial actions.  The regulatory environment for private funds is evolving, and changes in the regulation of private funds may adversely affect the value of investments held by the Fund.  There has been an increase in governmental, as well as self-regulatory, scrutiny of the alternative investment industry in general.  It is impossible to predict what, if any, changes in regulations may occur, but any regulations which restrict the ability of the Fund to trade in financial instruments or the ability of the Fund to employ, or brokers and other counterparties to extend, credit in their trading (as well as other regulatory changes that result) could have a material adverse impact on the profit potential of the Fund.

The Fund, the Manager and the Trading Advisors may also be subject to regulation in jurisdictions in which the Fund, the Manager, and the Trading Advisors engage in business.  The Fund’s business may change over time.  Therefore, the Fund may be subject to new or additional regulatory constraints in the future.  Such regulations may have a significant impact on the Fund or the operations of the Fund, including, without limitation, restricting the types of investments the Fund may make, preventing the Fund from exercising its voting rights with regard to certain financial instruments, requiring the Fund to disclose the identity of its investors or otherwise.

Increased Regulatory Oversight

The financial services industry generally, and the activities of private funds and their managers in particular, have been subject to intense and increasing regulatory scrutiny.  Such scrutiny may increase the Fund’s, the Manager’s, and/or the Trading Advisors’ exposure to potential liabilities and to legal, compliance and other related costs.  Increased regulatory oversight can also impose administrative burdens on the Manager, including, without limitation, responding to investigations and implementing new policies and procedures.

The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, as amended (“Dodd-Frank Act”) imposes burdensome reporting and recordkeeping requirements on the Fund.  The Master Funds intend to trade with dealers who will be required by regulation or will undertake to fulfill the Fund’s Dodd-Frank Act-mandated reporting requirements.  The costs associated with such compliance may result in certain investment strategies in which the Fund engages or may have otherwise engaged becoming non-viable or non-economic to implement.

Risk of Loss

All investments made by the Fund risk the total loss of capital.  No guarantee or representation is made that the Fund’s investment program including, without limitation, the Fund’s investment objective, diversification strategies or risk monitoring goals, will be successful, and investment results may vary substantially over time.

Alternative investment strategies — such as the Manager’s and Trading Advisors’ strategies — are subject to a “risk of ruin” to which traditional, unleveraged, all-long strategies are not.  From time to time in the past, alternative investment strategies which had been consistently profitable for a matter of years have incurred sudden and total losses in a matter of days.  The use of leverage by alternative strategies not only increases the risk of loss, but also makes such strategies dependent on the willingness of brokers and dealers to continue to extend credit.

Derivatives

A number of different jurisdictions have introduced or are in the process of introducing new requirements in respect of derivative contracts which apply or will apply to the Fund when it enters into derivative contracts, and may apply directly to the Fund or indirectly as a consequence of the regulations to which its trading counterparties are subject. Such requirements may include obligations to report derivative contracts, to clear derivative contracts through a central counterparty, to exchange prescribed amounts of collateral with respect to derivative contracts and to carry out certain risk mitigation techniques with respect to derivative contracts. While certain requirements have already been introduced, others are still being developed and the scope of such requirements and their impact on the Fund remains unclear. However, such requirements are likely to result in the implementation of additional administrative, compliance and other processes by the Fund and may also increase the costs of transacting derivative contracts, if applicable, for the Fund.

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Dodd-Frank Act; Regulation of the OTC Derivatives Market

The Dodd-Frank Act requires that a substantial portion of  OTC derivatives used by the Fund be executed in regulated markets and submitted for clearing to regulated clearinghouses.  OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as margin requirements mandated by the CFTC, SEC and/or federal prudential regulators.  The Dodd-Frank Act also gives regulators broad discretion to impose margin requirements on non-cleared OTC derivatives.  Although the Dodd-Frank Act includes limited exemptions from the clearing and margin requirements for so-called “end-users,” the Fund is not expected to be able to rely on such exemptions.  In addition, the OTC derivative dealers with which the Fund executes the majority of their OTC derivatives may not be able to rely on the end-user exemptions under the Dodd-Frank Act and, therefore, such dealers may be subject to clearing and margin requirements notwithstanding whether the Fund is subject to such requirements.  Certain OTC derivative dealers also are required to post margin to the clearinghouses through which they clear their counterparties’ trades instead of using such margin in their operations, as they currently are allowed to do.  Certain OTC derivative dealers and major OTC derivatives market participants are now required to register with the SEC and/or CFTC.  Registered swap dealers will also be subject to minimum capital and margin requirements, and are subject to new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest and other regulatory burdens.  These requirements may apply irrespective of whether the OTC derivatives in question are exchange-traded or cleared.  These new requirements have increased and will continue to increase the overall costs for OTC derivative dealers, and dealers can be expected to try to pass those increased costs along, at least partially, to market participants such as the Fund in the form of higher fees or less advantageous dealer marks.  The overall impact of the Dodd-Frank Act on the Fund is highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime.

The CFTC now also requires a substantial portion of certain derivative transactions engaged in by the Fund that were previously executed on a bi-lateral basis in the OTC markets to be executed through a regulated futures, or swap exchange or execution facility.  The SEC is also expected to impose similar requirements on certain security-based derivatives in the near future, though it is not yet clear when these parallel SEC requirements will go into effect.  Such requirements may make it more difficult and costly for investment funds, including the Fund, to enter into highly tailored or customized transactions.  Those requirements may also render certain strategies in which the Fund might otherwise engage impossible, or so costly that they will no longer be economical, to implement.  If the Fund decides to execute derivatives transactions through such exchanges or execution facilities — and especially if it decides to become a direct member of one or more of these exchanges or execution facilities, the Fund would be subject to the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential requirements under applicable regulations and under rules of the relevant exchange or execution facility.

The “Volcker Rule” component of the Dodd-Frank Act materially restricts proprietary speculative trading by banks, “bank holding companies” and other regulated entities.  As a result, there has been a significant influx of new portfolio managers into private investment funds who had previously traded institutional proprietary accounts.  Such influx can only increase the competition for the Fund from other talented portfolio managers trading in the Fund’s investment sector.

In addition, the Dodd-Frank Act contains numerous other far ranging reforms to the financial industry.  Many of these reforms require regulatory rulemakings by various governmental authorities that have not yet been completed.  It is possible that these rulemakings could impose additional direct or indirect costs on the Fund, limit the types of investments that the Fund may make or adversely impact the desirability of certain classes of investments or the anticipated return on certain investments.

RISKS RELATING TO THE OPERATIONS AND STRUCTURE OF THE FUND AND THE MANAGER

Exemption from Certain Regulation

Generally, the Fund and the Units are not expected to be registered in any country.  Accordingly, the provisions of regulatory rules for registered funds (including, without limitation, the Investment Company Act of

10

1940, as amended; (“Investment Company Act”) will not be applicable.  The Fund neither is required to nor intends to register as an investment company under the Investment Company Act.  Accordingly, the provisions of such law and related regulations, which among other things generally require investment companies to have a majority of disinterested directors and regulate the relationship between the investment company and its asset manager, are not applicable to the Fund.  Therefore, Members do not have the benefit of the protections afforded by, and the Fund is not subject to the restrictions contained in, such registration and regulation.

“Master-Feeder” Structure

The Fund expects to be exposed to master-feeder structures indirectly through Underlying Funds.   The Fund may be materially affected by the actions of other funds that invest in the Master Fund.  If another fund were to redeem from the Master Fund, the Fund may experience higher pro rata operating expenses, thereby producing lower returns, and the Master Fund may become less diverse, resulting in increased portfolio risk.

Regulatory Limits

“Position limits” imposed by various regulators may limit the Master Fund’s ability to effect desired trades.  Position limits are the maximum amounts of gross, net long or net short positions that any one person or entity may own or control in a particular financial instrument.  All positions owned or controlled by the same person or entity, even if in different accounts, may be aggregated for purposes of determining whether the applicable position limits have been exceeded.  Thus, even if the Master Fund does not intend to exceed applicable position limits, it is possible that the Manager’s or the Trading Advisors’ other accounts together with the Master Fund may be aggregated for purposes of the position limits.  To the extent that the Master Fund’s position limits were collapsed with an affiliate’s position limits, the effect on the Master Fund and resulting restriction on its investment activities may be significant.  If at any time positions managed by the Manager and Trading Advisors were to exceed applicable position limits, the Manager and/or Trading Advisor would be required to liquidate positions, which might include positions of the Master Fund, to the extent necessary to come within those limits.  Further, to avoid exceeding the position limits, the Master Fund might have to forego or modify certain of its contemplated trades.

In addition, the Dodd-Frank Act significantly expands the CFTC’s authority to impose position limits with respect to futures contracts, options on futures contracts, swaps that are economically equivalent to futures or options on futures, swaps that are traded on a regulated U.S. exchange and certain swaps that perform a significant price discovery function.  The Master Fund could be required to liquidate positions it holds in order to comply with such limits, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits.  Any such liquidation or limited implementation could result in substantial costs to the Fund and the Master Funds.

RISKS RELATED TO THE OPERATIONS OF THE FUND

Operational Risk

The Fund depends on the Manager and the Trading Advisors to develop appropriate systems and procedures to control operational risk.  These systems and procedures may not account for every actual or potential disruption of the Fund’s operations.  The Fund’s business is dynamic and complex.  As a result, certain operational risks are intrinsic to the Fund’s operations. Consequently, the Fund relies heavily on its financial, accounting and other data processing systems.  Systemic failures in the systems employed by the Fund, the Manager, prime brokers, the administrator and/or counterparties, exchanges and similar clearance and settlement facilities and other parties could result in mistakes made in the confirmation or settlement of transactions, or in transactions not being properly booked, evaluated or accounted for.  These and other similar disruptions in the Fund’s operations may cause the Fund to suffer, among other things, financial loss, the disruption of its businesses, liability to third parties, regulatory intervention or reputational damage.

Systems Risks

The Fund depends on the Trading Advisors and their other service providers to develop and implement appropriate systems for the Fund’s trading activities.  Further, the Fund relies on computer programs and

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systems (and may rely on new systems and technology in the future) for various purposes including, without limitation, to trade, clear and settle transactions, to evaluate certain financial instruments, to monitor its portfolio and net capital, and to generate risk management and other reports that are critical to oversight of the Fund’s activities.  Certain of the Fund’s and the Trading Advisors’ operations interface will be dependent upon systems operated by third parties, including futures commission merchants, prime brokers, the Manager, the administrator, market counterparties and their sub-custodians and other service providers, and the Fund may not be in a position to verify the risks or reliability of such third-party systems.  The Fund’s operations are highly dependent on each of these systems and the successful operation of such systems is often out of the Fund’s, Trading Advisors’ and the Manager’s control.  The failure of one or more systems or the inability of such systems to satisfy the Fund’s business could have a material adverse effect on the Fund. In particular, the Manager and Trading Advisors may be reliant upon the operation of trading software, and may therefore be at risk of errors of implementation (colloquially known as “bugs”) and errors of design that may become present in the software, and which may cause inappropriate or aberrant behavior under certain or all market conditions.

Breaches in Information Technology Security

The Manager maintains information technology systems, consisting of infrastructure, applications and communications networks to support the Fund’s as well as its own business activities.  These systems could be subject to security breaches such as “cyber-crime” resulting in theft, a disruption in the Manager’s ability to close out positions and the disclosure or corruption of sensitive and confidential information.  Security breaches may also result in misappropriation of assets and could create significant financial and/or legal exposure for the Fund.  The Manager seeks to mitigate attacks on its own systems but will not be able to control directly the risks to third-party systems to which it may connect.  Any breach in security of the Manager’s systems could have a material adverse effect on the Manager and may cause the Fund to suffer, among other things, financial loss, the disruption of its business, liability to third parties, regulatory intervention or reputational damage.

Misconduct of Personnel of the Manager, Trading Advisors and of Third Party Service Providers

The Fund relies on a substantial number of personnel of the Manager, the Trading Advisors, counterparties and other service providers.  Accordingly, risks associated with errors of such personnel are inherent in the business and operations of the Fund.  Misconduct by such personnel could cause significant losses to the Fund and may include binding the Fund to transactions that are not properly authorized, that present unacceptable risks or that conceal unsuccessful trading activities (which may result in unknown and unmanaged risks or losses).

Execution of Orders

The Fund’s investment strategy depends on its ability to establish and maintain an overall market position in a combination of financial instruments selected by the Manager and Trading Advisors.  The Fund’s trading orders may not be executed in a timely and efficient manner due to various circumstances, including, without limitation, trading volume surges or systems failures attributable to the Fund, the Manager, the Trading Advisors, counterparties, brokers, dealers, agents or other service providers.  In such event, the Fund might only be able to acquire or dispose of some, but not all, of the components of such position, or if the overall position were to need adjustment, the Fund might not be able to make such adjustment.  As a result, the Fund would not be able to achieve the market position selected by the Manager or Trading Advisors, which may result in a loss.  In addition, the Fund relies heavily on electronic execution systems (and may rely on new systems and technology in the future), and such systems may be subject to certain systemic limitations or mistakes, causing the interruption of trading orders made by the Fund.

GENERAL CREDIT RISKS

Systemic Risk

Credit risk may arise through a default by one of several large institutions that are dependent on one another to meet their liquidity or operational needs, so that a default by one institution causes a series of defaults by the other institutions.  This is sometimes referred to as a “systemic risk” and may adversely affect financial

12

intermediaries, such as clearing agencies, clearing houses, banks, securities firms and exchanges, with which the Fund interacts on a daily basis.

Necessity for Counterparty Trading Relationships; Counterparty Risk

The Fund has established and may establish additional relationships to obtain financing, derivative intermediation and brokerage services that permit the Fund to trade in any variety of markets or asset classes over time; however, there can be no assurance that the Fund will be able to maintain such relationships or establish such relationships.  Moreover, a disruption in the financing, derivative intermediation and prime brokerage services provided by any such relationships before the Fund establishes additional relationships could have a significant impact on the Fund’s business due to the Fund’s reliance on such counterparties. Further, the institutions (such as brokerage and trading firms and banks) with which the Fund does business, or to which securities have been entrusted for custodial purposes, could encounter financial difficulties.  This could impair the operational capabilities or the capital position of the Fund or create unanticipated trading risks.

Certain of the markets in which the Fund may effect transactions are not “exchanged-based,” including OTC or “interdealer” markets.  The participants in such markets are typically not subject to the credit evaluation and regulatory oversight to which members of “exchange-based” markets are subject.  The lack of evaluation and oversight of OTC markets exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss.  Such “counterparty risk” is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Fund has concentrated its transactions with a single or small group of counterparties.  Generally, the Fund will not be restricted from dealing with any particular counterparties.  The Manager’s and Trading Advisors’ evaluation of the creditworthiness of their counterparties may not prove sufficient.  The lack of a complete and “foolproof” evaluation of the financial capabilities of the Fund’s counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Fund.

Collateral

The Fund will have significant credit and operational risk exposure to its counterparties, which will require the Fund to post collateral to support its obligations in connection with transactions involving forwards, swaps, futures, options and other derivative instruments.  Generally, counterparties will have the right to sell, pledge, re-hypothecate, assign, use or otherwise dispose of the collateral posted by the Fund in connection with such transactions.  This could increase the Fund’s exposure to the risk of a counterparty default since, under such circumstances, such collateral of the Fund could be lost or the Fund may be unable to recover such collateral promptly.  Also, counterparties have an interest in maximizing the return from such collateral.  This interest could conflict with the interests of the Fund in preserving and protecting its portfolio.

Broker or Dealer Insolvency

The Fund’s assets may be held in one or more accounts maintained by the custodian and the assets of the Underlying Funds and Master Funds may be held by futures commission merchants (“FCMs”) or at other brokers.  There is a residual risk that the custodian or any of such brokers or dealers could become insolvent.  If the custodian or one or more of the Underlying Funds’ FCMs or other brokers were to become insolvent or the subject of liquidation proceedings in the United States (either under Part 190 of the CFTC’s regulations or the U.S. Bankruptcy Code), there exists the risk that the recovery of the Fund’s and the Underlying Funds’ securities and other assets from the custodian or such broker or dealer will be delayed or be of a value less than the value of any securities or assets originally entrusted to such broker or dealer.

The CEA requires FCMs registered with the CFTC to segregate all funds received from such broker’s customers, such as the Master Funds, in respect of futures (but not forward) transactions from such broker’s proprietary funds.  If an FCM were not to do so to the full extent required by law, or in the event of a substantial default by one or more of such broker’s customers, the assets of its other customers might not be fully protected in the event of the bankruptcy of such broker.  Furthermore, in the event of such a bankruptcy, each customer would be

13

limited to recovering only a pro rata share of all available funds segregated on behalf of the affected FCM’s combined customer accounts.

In addition, the Master Funds may use futures commission merchants or other brokers located in various jurisdictions.  Such international futures commission merchants or other brokers, as brokerage firms or commercial banks, are subject to various laws and regulations in various jurisdictions that are designed to protect their customers in the event of their insolvency.  However, the practical effect of these laws and their application to the Fund’s assets are subject to substantial limitations and uncertainties.  Because of the large number of entities and jurisdictions involved and the range of possible factual scenarios involving the insolvency of an international broker or any of its sub-custodians, agents or affiliates, or an international broker or dealer, it is impossible to generalize about the effect of their insolvency on the Fund and its assets.

GENERAL LIQUIDITY AND LEVERAGE RISKS

Liquidity Risks

Liquidity is important to the Fund’s activities.  Under certain market conditions, such as during volatile markets or when trading in a financial market is otherwise impaired, the liquidity of the Fund’s portfolio positions may be reduced.  In addition, the Fund may from time to time hold large positions with respect to a specific type of financial instrument, which may reduce the Fund’s portfolio liquidity.  During such times, the Fund may be unable to dispose of certain financial instruments, including longer-term financial instruments, which would adversely affect its ability to meet redemption requests.  In addition, such circumstances may force the Fund to dispose of financial instruments at reduced prices, thereby adversely affecting its performance.  If there are other market participants seeking to dispose of similar financial instruments at the same time, the Fund may be unable to sell such financial instruments or prevent losses relating to such financial instruments.  Furthermore, if the Fund incurs substantial trading losses, the need for liquidity could rise sharply while its access to liquidity could be impaired.  In addition, in conjunction with a market downturn, the Fund’s counterparties could incur losses of their own, thereby weakening their financial condition and increasing the Fund’s credit risk to them.

Leverage Risks

Leverage is an important component of the Fund’s investment strategy.  The use of leverage may enable the Fund to achieve a higher rate of return than would be otherwise possible.  The use of leverage will magnify the volatility of changes in the value of the investments of the Fund.  Accordingly, any event which adversely affects the value of an investment would be magnified to the extent the investment is leveraged.  The cumulative effect of the use of leverage by the Fund in a market that moves adversely to its investments could result in substantial losses to the Fund, which would be greater than if the Fund were not leveraged.

Volatility

The prices of the instruments traded by the Master Funds have been subject to periods of high volatility in the past, and such periods can be expected to recur.  In particular, commodity and currency price movements are influenced by many unpredictable factors and are, in particular, subject to dramatic price movements as the result of factors such as market sentiment, inflation rates (real and perceived), interest rate movements and general economic and political conditions.

Price volatility can create material risks for the Underlying Funds’ strategies, especially as such volatility may lead to the Underlying Funds’ strategies incorrectly identifying a number of supposed price trends which then quickly reverse, causing both trading losses and increased brokerage expense.  The use of leverage can exacerbate the volatility of a Master Fund’s portfolio potentially resulting in more frequent margin calls and larger losses.  See “Leverage Risks” above.

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GENERAL MARKET RISKS

General Economic and Market Conditions

The success of the Fund’s activities will be affected by general economic and market conditions, such as interest rates, availability of credit, credit defaults, inflation rates, economic uncertainty, changes in laws (including laws relating to taxation of the Fund’s investments), trade barriers, currency exchange controls, and national and international political circumstances (including wars, terrorist acts or security operations).  These factors may affect the level and volatility of financial instruments’ prices and the liquidity of the Fund’s investments.

Limited Diversification and Risk Management Failures

The Fund’s portfolio could become significantly concentrated in a limited number of types of financial instruments, strategies, countries, or geographic regions and any such concentration of risk may increase losses suffered by the Fund.  This limited diversity could expose the Fund to losses disproportionate to market movements in general.  Even when the Manager or Trading Advisors attempt to control risks and diversify the portfolio, risks associated with different assets may be correlated in unexpected ways, with the result that the Fund faces concentrated exposure to certain risks.  Although each of the Trading Advisors and the Manager attempt to identify, monitor and manage significant risks, these efforts do not take all risks into account and there can be no assurance that these efforts will be effective.  Many risk management techniques are based on observed historical market behavior, but future market behavior may be entirely different.  Any inadequacy or failure in the Trading Managers’ and/or the Manager’s risk management efforts could result in material losses for the Fund.

GENERAL RISKS RELATED TO INTERNATIONAL INVESTMENTS

Currency Exchange Exposure

The Fund may invest in financial instruments denominated in currencies other than the U.S. Dollar.  However, the Fund values its financial instruments in dollars.  The Fund may or may not seek to hedge its foreign currency exposure by entering into currency hedging transactions, such as treasury locks, forward contracts, futures contracts and cross-currency swaps.  There can be no guarantee that financial instruments suitable for hedging currency or market shifts will be available at the time when the Fund wishes to use them, or that hedging techniques employed by the Fund will be effective.  Further, currency and other financial markets can be highly volatile and are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic events and policies.

RISKS RELATED TO THE FUND’S INVESTMENT STRATEGY

Concentration of Trading Advisors

The Fund is a “single-strategy” fund of funds that invests exclusively in systematic managed futures trading strategies via the FRM Platform.  The concentration of the Fund’s portfolio may cause its performance to be more volatile than that of a fund implementing a “multi-strategy” approach.  Systematic trading systems may differ materially from each other, but all of these systems are based on the principle that historical market prices and other technical market data can be used to identify price trends in the market on a systematic basis. The basic similarities of these systems may tend to cause many of them to incur losses at or about the same time.  There are certain market conditions in which systematic trading systems tend to incur significant losses.  This is particularly true in trendless “sideways” markets and “whipsaw” markets in which numerous apparent price trends develop and then quickly reverse.  Even if a Trading Advisor correctly identifies price trends before or as they occur, the Trading Advisor may nevertheless incur material losses if its system is unable to close out a position as a price trend is ending or reversing.

Portfolio Limited to Underlying Funds

The Fund will only invest in Underlying Funds and in cash.  The universe of Underlying Funds is inherently limited — correspondingly limiting the diversification of the Fund’s portfolio.

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Reliance on Information Received from the Trading Advisor

Although the Manager conducts initial due diligence as part of its Trading Advisor selection process, the Manager must rely on the information it receives from each prospective Trading Advisor regarding the Trading Advisor’s historical performance and trading strategy.  In most cases, the Manager has no means of independently verifying the accuracy of information supplied by prospective Trading Advisors.

While the Manager will have position transparency into the performance of the Fund, the Manager will not be able to validate any Trading Advisor’s track record or have transparency into the trading of any of the Trading Advisor’s other accounts.

No Formal Investment Restrictions or Allocation Limits

In constructing the Fund’s portfolio, the Manager is not subject to any formal diversification requirements or restrictions, other than the restrictions that only Underlying Funds be included in the portfolio.  There are no limitations on the minimum or maximum number of Underlying Funds, or on the absolute or relative percentage of Fund capital, which may be allocated to any Underlying Fund.  Certain Underlying Funds selected by the Manager may be allocated substantially larger portions of the Fund’s capital than others.  Due to the limited number of available Underlying Funds, the Fund necessarily allocates a significant percentage of its capital to certain Underlying Funds.

Trading Advisor Risk

The Fund is subject to the risk of the bad judgment, negligence or misconduct of the Trading Advisors.  There have been a number of instances in recent years in which private investment funds have incurred substantial losses due to manager misconduct.

Changes in Trading Strategies

The Trading Advisors may make material changes to their Trading Strategies without the knowledge of the Manager.  It is virtually impossible for the Manager to detect these changes particularly given the confidential, proprietary, systematic and/or quantitative nature of the Trading Program strategies, customarily referred to as “black box strategies.”

RISKS RELATED TO THE TRADING ADVISORS’ INVESTMENT STRATEGIES

Trend Following

The trading decisions of the Trading Advisors will be based in part on trading strategies which utilize mathematical analyses of technical factors relating to past market performance.  The buy and sell signals generated by a technical, trend-following trading strategy are based upon a study of daily, weekly and monthly price fluctuations, volume variations and changes in open interest in the markets.  The profitability of any technical, trend-following trading strategy depends upon the occurrence in the future of significant, sustained price moves in some of the markets traded.  The Fund may incur substantial trading losses during periods: when markets are dominated by fundamental factors that are not reflected in the technical data analyzed by the program; without sustained moves in one or more of the markets traded; or with “whip-saw” markets, in which potential price trends start to develop but reverse before actual trends are realized.  Historically, there have been prolonged periods without sustained price moves in various markets. Presumably, such periods will recur.  A series of volatile reverses in price trends may generate repeated entry and exit signals in trend-following systems, resulting in unprofitable transactions and increased brokerage commission expenses.  At times, the use of technical trading systems may result in traders attempting to initiate or liquidate substantial positions in a market at or about the same time, alter historical trading patterns, obscure developing price trends and/or or affect the execution of trades.

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RISKS RELATED TO CERTAIN FINANCIAL INSTRUMENTS

Swap Agreements

The Master Funds may enter into swap agreements and options on swap agreements (“swaptions”).  These agreements can be individually negotiated and structured to include exposure to a variety of different types of investments, asset classes or market factors.  Swap transactions may be highly illiquid and may increase or decrease the volatility of the Fund’s portfolio.  Moreover, the Master Funds bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or insolvency of its counterparty.  The Fund will also bear the risk of loss related to swap agreements, for example, for breaches of such agreements or the failure of the Fund to post or maintain required collateral.

Futures Contracts

The value of futures depends upon the price of the financial instruments or other assets, such as commodities, underlying them.  The prices of futures are highly volatile and price movements of futures contracts can be influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments and national and international political and economic events and policies.  In addition, investments in futures are also subject to the risk of the failure of any of the exchanges on which the Fund’s positions trade or of its clearing houses or counterparties.

Futures positions may be illiquid because certain commodity exchanges limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” Under such daily limits, during a single trading day no trades may be executed at prices beyond the daily limits.  Once the price of a particular futures contract has increased or decreased by an amount equal to the daily limit, positions in that contract can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit.  This could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses or prevent it from entering into desired trades.  In extraordinary circumstances, a futures exchange, the CFTC or other regulator could suspend trading in a particular futures contract or order liquidation or settlement of all open positions in such contract.

Options on Futures Contracts

Options are speculative in nature and are highly leveraged.  The purchaser of an option risks losing the entire purchase price of the option.  The seller (writer) of an option risks losing the difference between the premium received for the option and the price of the underlying futures contract that the writer must purchase upon exercise of the option.  Additionally, the seller of the options loses any commissions and fees associated with such transactions. This could subject the writer to unlimited risk in the event of an increase in the price of the contract to be purchased or delivered.  Successful trading of options on futures contracts requires a trader to accurately determine near-term market volatility because it often has an immediate impact on the price of outstanding options. Accurate determination of near-term volatility is more important to successful options trading than it is to long-term futures contract trading strategies because such volatility generally does not have as significant an effect on the prices of futures contracts.

Forward Trading

Deliverable forward contracts and options thereon, unlike futures contracts, are generally not traded on exchanges and are not standardized; rather, banks and dealers act as principals in these markets, negotiating each transaction on an individual basis. As a result of Dodd-Frank, the CFTC now regulates non-deliverable forwards (including many deliverable forwards where the parties do not take delivery) as swaps.   Deliverable forward and “cash” trading is substantially unregulated; there is no limitation on daily price movements and speculative position limits are not applicable.  The principals who deal in such forward markets are not required to continue to make markets in the currencies or commodities they trade, and these markets can experience periods of illiquidity, sometimes of significant duration.  There have been periods during which certain participants in these markets have refused to quote prices for certain currencies or commodities or have quoted prices with an unusually

17

wide spread between the price at which they were prepared to buy and that at which they were prepared to sell.  Disruptions can occur in forward markets due to unusually high trading volume, political intervention or other factors.

Certain non-deliverable forward currency exchange contracts are regulated as swaps by the CFTC and have recently begun being voluntarily traded on swap execution facilities.  To the extent the Master Fund is treated as a “U.S. person” or if the Master Fund’s swap counterparty is a U.S. person (for the purposes of the CFTC’s swap regulations), some of these contracts may be required to be centrally cleared by a regulated U.S. clearing house, and may be required to be traded on regulated exchanges in the future.  See “Dodd-Frank Act; Regulation of the OTC Derivatives Market,” above.

Derivative Instruments

The Fund may enter into certain derivative instruments.  Certain derivative instruments may be subject to various types of risks, including market risk, liquidity risk, the risk of non-performance by the counterparty, including risks relating to the financial soundness and creditworthiness of the counterparty, legal risk and operations risk.  In addition, the Fund may, in the future, take advantage of opportunities with respect to certain other derivative instruments that are not presently contemplated for use or that are currently not available.  Special risks may apply in the future that cannot be determined at this time.  The regulatory and tax environment for derivative instruments in which the Fund may participate is evolving and changes in the regulation or taxation of such financial instruments may have a material adverse effect on the Fund.

Margin on Futures and Leverage

In the futures markets, margin deposits are typically low relative to the nominal value of the futures contracts purchased or sold. In the forward, currency and certain other derivative markets, margin deposits may be even lower or may not be required at all. Such low margin deposits are indicative of the fact that any futures, forward, currency or other derivatives contract trading typically is accompanied by a high degree of leverage. Low margin deposits mean that a relatively small price movement in such a contract may result in immediate and substantial losses.

Item 1B:  Unresolved Staff Comments

Not applicable.

Item 2:Properties

The Fund and the Underlying Funds do not use any physical properties in the conduct of their business.

The Fund’s offices are the administrative offices of the Manager (FRM Investment Management (USA) LLC, 452 Fifth Avenue, 26th Floor, New York, New York 10018). The Manager performs administrative services for the Fund from the Manager’s offices.

Item 3:Legal Proceedings

None

Item 4:Mine Safety Disclosures

Not applicable.

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PART II

Item 5:Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

Item 5(a)

(a)           Market Information:

There is no established public trading market for the Units.  A Member may generally redeem any or all of its Units at Net Asset Value, in whole or fractional Units, effective as of each Friday (or where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (“Redemption Day”), upon submitting a redemption request by the “Redemption Notice Date,” which is four business days prior to the Redemption Day.  The Net Asset Value of redeemed Units is determined as of the Redemption Day. Members will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Day.

(b)           Holders:

As of December 31, 2016, there were 1,906 holders of Units.

(c)           Dividends:

The Manager has not made and does not contemplate making any distributions on the Units.

(d)Securities Authorized for Issuance Under Equity Compensation Plans:

Not applicable.

(e)Performance Graph

Not applicable.

(f)            Recent Sales of Unregistered Securities:

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(a)(2) of the Securities Act and Rule 506 thereunder.  The selling agent of the Units is MLPF&S.

CLASS AA

	Subscriptions
	Amount		Units	NAV (1)
11/14/2016	$	245,000	272,132	0.9003
11/21/2016	$	235,000	260,850	0.9009
12/12/2016	$	80,000	86,909	0.9205

CLASS II

	Subscription
	Amount		Units	NAV (1)
11/14/2016	$	615,000	666,017	0.9234
11/21/2016	$	2,580,000	2,791,604	0.9242

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(1) Beginning of the period Net Asset Value

Subscriptions for Class AA Units and Class II Units sold through MLPF&S are subject to upfront sales commissions of up to 3.0%, payable to MLPF&S.

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

Item 6:   Selected Financial Data

The following selected financial data has been derived from the financial statements of the Fund.

	For the year ended			For the year ended			For the year ended			For the year ended			For the year ended
Statements of Operations	December 31, 2016			December 31, 2015			December 31, 2014			December 31, 2013			December 31, 2012
Trading gain (loss)
Realized, net	$	(7,369,110	)	$	31,061,059		$	(10,091,962	)	$	(14,826,176	)	$	20,681,999
Change in unrealized, net	3,152,181			(41,752,455		)	43,753,405			8,923,985			(51,734,232		)
Total trading gain (loss)	(4,216,929		)	(10,691,396		)	33,661,443			(5,902,191		)	(31,052,233		)
INVESTMENT INCOME:
Interest	—			275			—			—			—
EXPENSES:
Sponsor/Management fees	2,875,987			4,070,605			4,866,807			8,734,447			15,170,255
Other	1,559,790			989,970			678,568			1,020,964			1,444,939
Total Expenses	4,435,777			5,060,575			5,545,375			9,755,411			16,615,194
NET INVESTMENT INCOME (LOSS)	(4,435,777		)	(5,060,300		)	(5,545,375		)	(9,755,411		)	(16,615,194		)
NET INCOME (LOSS)	$	(8,652,706	)	$	(15,751,696	)	$	28,116,068		$	(15,657,602	)	$	(47,667,427	)

Balance Sheet Data	December 31, 2016		December 31, 2015		December 31, 2014		December 31, 2013		December 31, 2012
Member’s Capital	$	114,938,294	$	160,781,732	$	219,500,711	$	297,282,028	$	543,069,764
Net Asset Value per Class A Unit	1.0385		1.1098		1.2045		1.0369		1.0689
Net Asset Value per Class C Unit	0.9851		1.0633		1.1656		1.0135		1.0554
Net Asset Value per Class D Unit	1.3421		1.4130		1.5105		1.2809		1.3008
Net Asset Value per Class I Unit	1.1267		1.1993		1.2963		1.1115		1.1413
Net Asset Value per Class D1 Unit*	—		—		—		—		1.1609
Net Asset Value per Class M Unit	0.9915		1.0438		1.1158		0.9463		0.9610
Net Asset Value per Class AA Unit**	0.9133		0.9858		—		—		—
Net Asset Value per Class II Unit***	0.9382		1.0011		—		—		—
Net Asset Value per Class MM Unit****	0.9106		—		—		—		—

20

* Units liquidated as of December 31, 2013.

** Units issued on November 16, 2015.

*** Units issued on December 7, 2015.

**** Units issued on January 25, 2016.

Item 7:   Management’s Discussion and Analysis of Financial Condition and Results of Operations

Operational Overview

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the Master Fund level.

December 31, 2016

				Percent Net
	Net Unrealized Profit			Unrealized Profit
	(Loss) on Open			(Loss) on Open
Commodity Industry Sector	Positions			Positions
Agricultural Commodities	$	205,520		12.35	%
Energy	383,320			23.04	%
Interest Rates	392,729			23.61	%
Metals	(199,975		)	-12.02	%
Stock Indices	452,121			27.17	%
Currencies - Future	294,805			17.72	%
Currencies - Forward	135,304			8.13	%
Total	$	1,663,824		100.0	%

Results of Operations/Performance Summary

This performance summary is an outline description of how the Fund performed in the past, not necessarily any indication of how it will perform in the future.  In addition, the general causes to which certain price movements are attributed may or may not have caused such movements, but simply occurred at or about the same time.

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Year Ended December 31, 2016

	Total Trading Profit (Loss)
Blakeney	$	(15,627	)
Campbell	(3,135,990		)
Carlisle*	713,644
CCP Core Macro	(425,212		)
Century CAT**	(2,881,308		)
Quantica MF	1,510,060
Silver	17,504
Total	$	(4,216,929	)

* Underlying Fund was redeemed in April 2016.

** Underlying Fund purchased in March 2016.

The Fund experienced a net trading loss for the year end December 31, 2016 of  $4,216,929.

References herein to the Fund’s trading and portfolios refer to such trading and portfolios through the Master Funds generally.

January 1, 2016 to March 31, 2016

The start of the quarter was characterized by an overall risk-off sentiment as the Chinese equity market experienced extreme volatility with heavy sell-offs that hit the circuit breakers twice in a week, coupled with the continued decline in the energy market.  Consequently, this led to raised uncertainty about policy actions from the central banks that remained throughout the quarter.  Mid-quarter, the outlook for 2016 became even more complicated as markets also dealt with the marginal effect of negative rate policy in the Eurozone and Japan. However, Yellen’s speech at the end of March maintained the dovish tone held throughout the quarter, leading the market to revise down the probability of a June rate hike. The portfolio however maintained a positive net-of-fees result year-to-date, despite the backdrop of uncertainty from central bank action.

The main contributor to performance at the start of the quarter was the fixed income sector, receiving positions across the developed market rates benefited from the January rally, especially during the final week of the month. Fixed income remained the main contributor to performance through February. However, this sector performed negatively towards the end of the quarter.  The majority of the losses came from long positions in developed market bonds such as UK Gilts despite being offset by long positions in Italian and French government bonds.

The commodities sector performed positively in January.  The short position in crude benefited early in the month as the price of oil slid below the $30/bbl mark. However, towards the middle of the quarter, while precious metals detracted from performance, gains were led by shorts in energy and agriculturals making the commodities sector the second best performing asset class in February.  Commodities was the worst performer in March despite most programs scaling back their shorts in the energy sector towards the end of the quarter.

The equities sector was the only sector that detracted at the start of the quarter as a result of the market sell-off, and remained down until the end of the quarter. Longs in the U.S. and Japanese major equity indices all suffered from the price drop during the first two weeks of January, and long positions in S&P500 and DAX detracted in February.  In March, the Fund saw positive performance with gains led by longs in the US equity market including S&P500, Nasdaq and Dow Jones.

Foreign currencies future and forwards contributed positively at the start of the quarter, but turned negative by the end. Short positions in GBP, CAD and ZAR against USD contributed to performance in the beginning of January.  However, a long JPY against USD position was maintained into February and through March as at the end of the quarter the euro and pound strengthened against the U.S. dollar, further detracting from performance.

In terms of positioning at quarter end, the portfolio continued to hold its long delta exposure although there were some notable reductions within the fixed income sector. The portfolio trimmed some of the longs in precious metals in the last week of the quarter and adjusted its overall delta exposure in commodities to almost flat. Regarding equities, the portfolio entered March flat, but swiftly built up a long exposure most significantly in the U.S. as the

22

equities market rallied. Finally, the portfolio notably reversed its net long dollar exposure to net short during the second half of March in the FX sector.

April 1, 2016 to June 30, 2016

The quarter started with economic and financial market conditions being generally firmer, characterized by a further rebound in global stock markets and the commodities sector. The Federal Open Market Committee (FOMC) acknowledged these improving trends, and expectations of a near term Federal Reserve (Fed) rate hike were substantially upgraded in May following the release of the April FOMC minutes.  Come June, however, attention shifted.  A disappointing non-farm payroll report which led to a decline in the US dollar and a rally in bonds across regions was overshadowed later in the month by the referendum on Britain voting to leave the EU.

The fixed income sector detracted substantially in April due to the broad sell-off towards month end, but performed well in May given most programs’ long positioning in bonds.  Long bond positions across the US and Europe led the gains in June. The fixed income sector was the best performing asset class throughout the quarter end and contributed most notably post Brexit in the final week of June.

The FX sector contributed positively to performance at the start of the quarter, but was the main detractor in May with a meaningful net short position in the dollar.  Overall, USD net exposure in FX was aggressively reversed to long mid-quarter.  In June, the FX sector was the second best performer, benefiting from the currency moves post Brexit.

Commodities detracted from performance with energy, grains, softs and industrial metals performing negatively, although precious metals and livestock mitigated the losses at the start of the quarter. Mid-quarter, positive performance in longs in agricultural markets could not offset the losses from long positions in precious and industrial metals which suffered heavily.  However, this sector contributed positively at the end of the quarter. Precious metals and agriculturals were the top performers while the energy sector detracted.

Equities were mixed over the quarter.  The net long equity exposure performed positively through most of April, but could not hold on to the gains as equities market sold off in major developed markets at the end of the month. Despite positive performance in May, the equity sector detracted in June.  This was mainly due to losses related to the post Brexit referendum selloff as the portfolio held a bullish bias to this asset class.

In terms of positioning, the portfolio continues to hold a net long bias in fixed income and has increased risk towards quarter end. The increase is mainly driven by topping up long positions in the US bond market. Regarding the FX sector, the portfolio started June net long in USD, but reversed to flat by month end. This was primarily driven by a combination of increasing longs in JPY and reducing shorts in GBP and EUR against USD. In commodities, the portfolio maintained a net long exposure overall and increased its long bias to precious metals and agriculturals. Although the portfolio remained net long equities through June, net exposure has come down due to significant reduction in long US equity futures positions, along with a reversal in positioning in European equities from long to short.

July 1, 2016 to September 30, 2016

The start of the quarter was volatile for currencies, fixed income and commodities.  USD was up with a strong July payrolls report and higher retail sales mid-month, but reversed at the end of July, as the Federal Open Market Committee expressed that “near term risks to the economic outlook have diminished” and the Bank of Japan held rates and marginally increased their ETF purchase program. UK rates continued their post-Brexit march lower, and global bond curves flattened. Mid-quarter was relatively directionless for markets overall as the positive impact of additional QE measures was offset by increased inflation fears. The cumulative impact on markets, in terms of news flow, was relatively muted at quarter end, with central bank activity, fundamental data out of the US, an informal OPEC meeting, the US elections and concerns about the solvency of Deutsche Bank being relevant market drivers at one point or another.

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The equity sector was the best performing asset class throughout July and exposure was increased. As a result, Trading Advisors were net long broadly heading into mid-quarter, and gains were partially offset by poor performance in certain regions like Japan. At quarter end, Trading Advisors accumulated losses against markets which exhibited a fair amount of choppiness.

In fixed income, the sector contributed at the start of the quarter, particularly as rates rallied through the final week of July.  Mid-quarter experienced losses that continued through quarter end.

Performance in July was mixed and slightly negative overall in the FX sector at the start of the quarter, although FX remained the highest risk allocation in the portfolio. As the US dollar rallied broadly against Trading Advisors bearish positions, FX ended in negative territory mid-quarter. However, managers ended the month with gains despite carrying a net long US dollar bias against a broad move down in the greenback.

At the start of the quarter, the commodities sector was overall positive, with noteworthy positive contribution from energies and precious metals and losses from agriculturals. However, mid quarter the biggest drivers of negative performance were energies and precious metals. Energies also explain the bulk of losses in the commodity sector at quarter end.

In terms of positioning, Trading Advisors continue to hold a net long bias to equites and fixed income. In FX, managers are roughly neutral to the US dollar overall. In commodities, the primary drivers of risk by subsector are precious metals. Net exposure in energy keeps on shifting back and forth on continued market choppiness and with programs having moved (again) from net short to flat by quarter end.

October 1, 2016 to December 31, 2016

The quarter started out with a steep selloff in fixed income, which exhibited severe declines across most major markets around the world. This event combined with uncertainty surrounding a QE extension, Brexit negotiations, and an increased inflation expectation were all driving forces for bonds and interest rates markets.  On top of that, speculation on the results of the US election and an OPEC deal added to volatility in the market. By mid-quarter, the US election results dominated the conversation.  The market reaction was a rally in the dollar and a steep selloff in fixed income.  Moving into quarter end, attention shifted to the constitutional referendum  in Italy and central bank monetary policy.  Other highlights included the muted market reaction of the Italian referendum and OPEC’s agreed deal to cut production.

Returns were positive at the end of the quarter, but not enough to offset losses in October and November. Fixed income and commodities drove losses early in the quarter and into November, while equities drove performance at quarter end. FX was positive throughout the quarter, offsetting some of the losses in the earlier months.

Fixed income was a major detractor from performance as Trading Advisors held a long receiver bias prior to the heavy global sell-off.  By quarter end, positioning switched to a net short bias which resulted in gains driven by payer positions in US rates as yields continued moving higher in that region.

Commodities were a meaningful detractor throughout the quarter.  Early on, negative performance was driven by energies, precious metals and grains. Energies and precious metals continued to detract through mid-quarter from choppiness in those markets.  Although, grains and base metals helped offset losses. However, it was energies that offset losses from industrial metals and grains at quarter-end.

Equities began the quarter in negative territory, but performed positively in November and December. Trading Advisors were positioned net long across the board at the start of Q3, and gains from Japan and the UK were not enough to offset losses in most other regions (most notably in the US). However, North America and Japan drove positive performance mid-quarter, outweighing losses in the Eurozone, and the UK. Positive performance continued

24

into quarter-end, as Trading Advisors entered December net long and capitalized on the upward move in developed markets.

In FX, performance was positive in October as Trading Advisors drifted from roughly neutral to net long USD resulting in meaningful gains as the dollar rallied. However, FX detracted in November due to losses in long AUD, short GBP and long JPY. December saw gains from Trading Advisors’ net long positions, accumulating gains as the dollar moved higher.

In terms of positioning, areas of risk concentration at year-end include equities, where Trading Advisors continue to be net long and FX, where they remain net long dollar. In equities, Trading Advisors are net long and most notably in the US and Europe. In FX, short EUR, short GBP and short JPY are among the biggest drivers of the net long USD bias. In commodities, Trading Advisors exhibit a slight net long bias overall which results from net long exposure to industrial metals, energy and livestock and net short exposure to precious metals, grains and softs.

The total risk of the portfolio (in VaR terms) decreased slightly relative to the end of December with this being driven by decreases in equities, commodities and FX.

Year Ended December 31, 2015

	Total Trading Profit (Loss)
Aspect FuturesAccess LLC	$	(509,070	)
John Locke FuturesAccess LLC	1,283,475
Lynx FuturesAccess LLC	714,472
ML BlueTrend FuturesAccess LLC	2,862,359
ML Transtrend DTP Enhanced FuturesAccess LLC	501,384
Tudor Tensor FuturesAccess LLC	1,341,872
Winton FuturesAccess LLC	407,901
Blakeney Delaware Feeder LLC	(465,478		)
Campbell Delaware Feeder LLC	(1,672,727		)
Carlisle Delaware Feeder LLC	(1,304,229		)
CCP Core Macro Delaware Feeder LLC	(1,901,342		)
Quantica MF Delaware Feeder LLC	(7,620,266		)
Silver Delaware Feeder LLC	(4,329,747		)
Total	$	(10,691,396	)

The Fund experienced a net trading loss for the year end December 31, 2015 of $10,691,396.

With respect to the period prior to the Manager Replacement on May 1, 2015, references herein to the Fund’s trading and portfolios refer to such trading and portfolios through the underlying FuturesAccess Portfolio Funds generally.

With respect to the period following the Manager Replacement (May 1, 2015 and after), references herein to the Fund’s trading and portfolio refer to such trading and portfolios through the Master Funds generally.

January 1, 2015 to March 31, 2015

In equity indices, the Portfolio Funds came into the first quarter with long exposure, with positions across geographies. The largest exposures were in U.S. indices, based on recent trends. Equity markets saw some

25

divergence in the first three months of the year. U.S. markets had roughly flat returns, taking a break from the strong performance they had put in the previous two years as rate hikes approached, a strong U.S. dollar began to weigh on earnings, and the energy sector continued to struggle. On the other hand, European markets took off strongly as quantitative easing became a reality and a weaker currency buoyed earnings. Japanese equities also performed well due to similar reasons. The Portfolio Funds generally adjusted their portfolios, reducing allocations to U.S. indices and increasing their long positions in Europe and Asia. The asset class finished the first quarter with gains, driven primarily by rising equity prices in non-U.S. markets.

Fixed income was also profitable. The falling yields drove performance in 2014. The Portfolio Funds were long fixed income markets across geographies and maturities at the start of 2015, even as yields were low in many areas. Yields fell further, with big moves registered in January, especially in Europe. These moves were in part due to the concerns over slow growth and deflation, and the easing bias adopted by many central banks as evidenced by rate cuts in several countries and the quantitative easing decision from the European Central Bank. Yields did come back up some in February, but were down again in March. Overall, the direction was downward and the moves benefited long positions, resulting in profits for trend followers.

Currencies were another profitable asset class. Following some big moves in the second half of 2014, the Portfolio Funds were broadly long the U.S. Dollar against most major foreign currencies, with especially large short exposure in the euro. The first quarter generally saw a continuation of the strong dollar trend. Continuing divergence across economies and monetary policy versus the U.S. led to the euro being down in the first quarter and many foreign currencies fell in tandem. These moves led to gains.

In commodities, there was a short bias across portfolios. Energy positions had been profitable in the latter part of 2014 as oil and related markets fell precipitously due to acute supply and demand imbalances. The moves in oil continued in January, but there was a choppy period in February when oil markets rebounded strongly, followed by another down leg in March. WTI crude oil was down over the first quarter and short positions made additional gains. In metals and agricultural markets, price moves were more mixed and there were some losses due to choppiness and an absence of strong trends. Sugar and nickel were two trending markets where the Portfolio Funds did make some money. Looking at the asset class as a whole, commodities attribution was roughly flat.

Overall, even as some trends have looked a little extended, market moves generally continued in the direction of existing trends during the first quarter. There were gains in fixed income, equity indices and FX. Commodities were close to flat. As a result, the first quarter was profitable for the Fund.

April 1, 2015 to June 30, 2015

The second quarter started off with reversals across asset classes and markets. With many trends appearing extended and mature coming into April, many sectors and markets reversed around at the same time. Markets were relatively quiet during May, with mixed performance in equities, slight weakness in fixed income and a rebound in the U.S. dollar against most major currencies.  Greece dominated the headlines in Europe, as markets speculated about the country’s ability to repay an IMF loan due in early June.  The uncertainty caused European equity markets, the euro, and European fixed income to finish May lower. Volatility towards the end of the second quarter due to low levels of liquidity, uncertainty over the outcome of the Greek referendum and the sharp reversal in the Chinese equity markets proved a difficult environment for many trend following managers.

Equities were mixed during the second quarter. In April equity indices were profitable for the Fund. Long exposures in the U.S. and Asia helped the asset class. May was mixed; however, Japanese exposure benefited the Fund. Equities were a meaningful detractor during June with long positions across all regions adding to the negative results.

Fixed income detracted from performance during the second quarter. Yields reversed in April and began to rise from the low levels they had reached in March. Poor growth numbers in the United States, the possibility that rate hikes might be delayed and better economic performance in Europe all contributed to negative performance. Poor performance continued in May as long exposure in German bunds, U.S. treasuries and Japanese government

26

bonds generated losses. Fixed income was a minor detractor during June with gains in U.S. bonds, French Obligations Assimilables du Trésor, Italian Buoni del Tesoro Poliennalis and German bunds not being sufficient to fully offset losses in Japanese government bonds and British gilts.

In currencies, the U.S. dollar experienced a big reversal to start the second quarter, falling against several foreign currencies. Short positions in the Euro and Japanese yen were the worst hit. However, currencies were a leading contributor during May as the U.S. dollar reversed and benefited trend following managers. This was most noticeable against the Euro and Japanese yen. Currencies ended the quarter negative with Japanese yen and Euro shorts accounting for significant losses during June.

In commodities, a weaker U.S. dollar coupled with an improving growth outlook in Europe led to higher energy prices. Short positions suffered losses as a result during April. Some other sectors such as industrial metals and softs also experienced reversals from the prevailing trend and added to losses. Shorts in softs and energies were a major detractor during June.

In terms of positioning, overall risk levels were reduced during the end of the second quarter. In commodities, the Trading Advisors remain broadly short most subsectors. Equities positions have been cut on the back of the losses and the level of exposure has come down relative to the end of May. Exposure to foreign exchange has increased slightly with long British pound and short Euro and short Japanese yen being the main areas of risk concentration. Long fixed income positioning continues to edge towards the lower end of the range.

July 1, 2015 to September 30, 2015

The third quarter began with a relatively clear narrative; trouble for commodities and emerging markets while developed markets had a smoother ride as concerns eased over Greece. Commodities were at the forefront of market volatility in July due to weakening Chinese economic growth and inventory surplus in several markets. Against this backdrop the Fund had a positive July, recouping some losses incurred in prior months. By asset class, commodities were the strongest contributor to performance led by short positions in energy and precious metals. These gains were partially offset by long positions in agricultural markets which detracted due to the reversal in grain prices during the second half of July. Currencies also contributed to performance driven by short positions in both Australian dollar and Canadian dollar. Fixed income ended July with little contribution to portfolio performance. The choppy price action in U.S. treasuries caused some losses, but these were offset by long positions in European instruments. Within equity trading, long positions in China were a negative contributor, however, this was partially offset by long exposure in North America.

Stepping into August, volatility in equity markets returned in full force. This hurt trend-following Trading Advisors who were whipsawed in the range-bound market environment. Given the nature of the market moves, with heightened volatility and sharp reversals, the Fund had a tough month in August. Equities were the main detractor specifically in long equity indices in the U.S., Europe and Japan. FX also detracted considerably in August.  The long U.S. dollar theme prevalent in most portfolios only worked against emerging markets and commodity currencies but suffered against shorts in Japanese yen and Euro. Commodities were flat for August. Most Trading Advisors made small gains from shorts in base metals; though this was partially offset by shorts in gold and energies which rallied during the last week of August. Trading programs with slower signals performed worse when the markets rebounded. Fixed income was negative in August 2015. Long positions in U.S. treasuries and German bunds reversed earlier gains as the markets whipsawed towards the end of September.

The Fund was well positioned in September, ending with positive performance. The Federal Reserve retained its low interest rate regime by keeping the Federal Funds rate target range at 0% to 0.25%. The Federal Open Market Committee action was seen as confirmation of the extent of global growth concern that started in China and emerging markets economies and is far-reaching. This had an adverse effect on risk assets. Markets remained volatile in September with an overarching theme being the repricing down of growth expectations across asset classes. The fixed income sector was a leading contributor to performance over the course of September 2015. The Trading Advisors have positioned the Fund long in both government bonds and short-term interest rates. Commodities also performed well in September. The largest contributor was energy short, predominately driven by

27

shorting crude oil. Shorts in livestock also added to performance. The main detractor in commodities for September was in agricultural grains and in softs as crops rebounded during the month. The Fund remained short in commodities. The equities sector was another main detractor in September. Losses were focused in longs in Japan and U.S. equity index futures. FX also detracted in September through losses in Euro and Japanese yen shorts.

October 1, 2015 to December 31, 2015

The beginning of the fourth quarter was challenging given the sharp momentum reversal as a rally in risk assets were counterbalanced by the end of October.  Attention shifted after a more hawkish Federal Open Market Committee (FOMC) statement left the door open for a December rate hike.  November was an extension of the themes observed in previous months, with positive returns across asset classes.  Dramatic moves in major asset classes occurred in the first week of December following the European Central Bank (ECB) disappointment as the central bank under-delivered market expectations of greater monetary accommodation at their December 3rd policy meeting.  In comparison, the first Fed rate hike since the end of quantitative easing in the U.S. led to a much more muted response.  Overall, the end of the quarter was difficult given the Central Bank policy developments and considerable price volatility observed in the market over the course of December.

In equities, longs in the U.S., Eurozone (excluding the UK) and Japan were three main drivers at the beginning of October contributing to performance during the month.  Equities contributed some positive returns in November with long positions in European and Japanese equity indices.  However, they were the main detractor at the end of the quarter.

The fixed income sector was mixed during the quarter.  In October, the U.S. rates market in particular was weak due to the FOMC statement.  November ended with a positive contribution to returns driven by longs in European bond futures including Bobl, Bund and Gilt.  However, poor performance generated negative returns at the end of the quarter. The main detractors were receiving positions in Bobl and Bund contracts, as well as long Gilt futures positions.  On the positive side, receiving JGB 10yr and Canadian 10yr bonds generated positive returns to partially recoup losses in the European markets.

FX detracted as both emerging markets and commodity-related currencies rebounded against the U.S. dollar in October.  Short in Euro against U.S. dollar was the main driver of positive performance for November.  However, FX detracted towards the end of the quarter.  Short Euro against U.S. dollar along with short Swiss Franc against U.S. dollar were the main detractors in December. Despite the sharp price movements, the FX market recovered with the U.S. dollar recouping earlier losses as the Fed raised the interest rate.

Commodities were the largest detractor at the start of the quarter, but were the largest contributor to performance in November.  Energy and base metal sectors in particular ended the month significantly lower as commodities were weaker across the board.  Gains coming from the energy sector at the end of the quarter resulted in commodities being the main driver of positive performance.

In terms of positioning, the overall net long exposure to equities remained low in the portfolio. The long position was almost halved during December, driven mostly by a reduction in long European and to some extent long US equity indices. In Fixed Income, the portfolio maintained a receiving position overall at a reduced level by quarter end.  While the FX position continued to carry the largest risk in the portfolio, short exposure in Euro had been considerably reduced.  In terms of positioning, the portfolio continues to be short commodities overall, though short exposure has been somewhat reduced in precious metals and agricultural softs.

28

Year Ended December 31, 2014

	Total Trading Profit (Loss)
Transtrend Fund	$	6,109,429
Altis Fund	(2,921,043		)
Winton Fund	5,371,945
Aspect Fund	6,196,491
John Locke Fund	5,249,513
BlueTrend Fund	2,681,711
Tudor Fund	3,350,358
Lynx Fund	7,623,039
	$	33,661,443

The Fund experienced a net trading profit for the year ended December 31, 2014 of $33,661,443.

References herein to the Fund’s trading  and portfolios refer to such trading and portfolios through the  underlying FuturesAccess Portfolio Funds generally.

In equity indices, the Portfolio Funds came into the first quarter with long exposure, given the strong rally in global equity prices during 2013. Positioning was greatest in U.S. and European indices. The upward trend in equities did not continue in the first quarter. Markets quickly reversed in January, rallied back in February, then showed some v-shaped moves in March. They generally ended the quarter not far from where they began, but the reversals and choppiness proved costly to trend followers, making equity indices the worst performing asset class. Commodities also performed poorly in the first quarter. The Portfolio Funds had long positions in energies and industrial metals, but short positions in grains and precious metals coming into the first quarter. Commodities fell in January, rallied in February, and then fell again in March, exhibiting reversals and several directional shifts along the way. The largest losses were incurred in the energy sector. In currencies, the Portfolio Funds had mixed positioning coming into the first quarter. Long positions in European currencies like the euro, British pound and Swiss franc were balanced against short positions in the Japanese yen, Canadian dollar and Australian dollar. The downward trend in the Japanese yen continued for part of the quarter and the Portfolio Funds made money, but there were reversals in the remaining major currency positions, leading to small losses. In fixed income, the Portfolio Funds had long positioning in both interest rates and bonds. Fixed income proved to be the only profitable asset class. Yields generally moved lower over the course of the first quarter. The moves were not very large, but they benefited long positions. In summary, the first quarter saw reversals in several asset classes. Trends in equity indices, commodities and many currency markets were interrupted. With market moves going against positioning, the Portfolio Funds saw losses in those asset classes. Gains in fixed income markets only partially made up for the losses.

The Fund gained 3.9% for the second quarter. Returns were positive for most of the Portfolio Funds during the second quarter. Continuing trends in equity indices and fixed income drove performance. Choppiness and some reversals in currencies and commodities minimally offset those gains. In equity indices, the Portfolio Funds came into the second quarter with long exposure, with positions across geographies. While the first quarter had not necessarily seen the strong upward trends in global equity prices continue, there had not been any significant reversals either. As such, trend followers generally kept their positioning from year end. Exposures were greatest in U.S. and European indices. The upward trend in equities resumed to some extent in the second quarter with many markets rising in late April. These moves were beneficial to long positions. The asset class had losses in April, but was profitable in both May and June as markets rose. In fixed income, the Portfolio Funds had long positioning within both rates and bonds given falling yields in the first quarter. Yields generally moved lower still in April and May and in several markets in June as well. These moves benefited long positions held by trend followers. Fixed income proved to be the most profitable asset class for the second quarter, generating gains in all three months. In currencies, the Portfolio Funds lost money. The U.S. dollar exhibited somewhat choppy moves, falling in April, rising in May and falling again in June. The Portfolio Funds were profitable trading the British pound, but lost money in their yen and euro exposures. Losses in April and May were somewhat made up for by gains in June. Commodity trading was difficult and generally contributed to losses. Oil markets were down initially before recovering in the second half of the second quarter on heightened concerns over the disruption of supply in Iraq. Long positions generally made money. Natural gas saw a reversal later in the quarter, falling as stock levels and the weather outlook improved, resulting in some losses. Larger losses came from the agricultural sector and especially grains. With several negative supply effects such as drought conditions and tensions in Ukraine dissipating, these markets reversed and fell, leading to losses on long positions. Metal markets also shifted direction several times, depending on strength in the Chinese economy, production levels and safe-haven demand, leading to additional losses. In summary, equity and fixed income trends continued in the second quarter. Energy markets were also

29

profitable. On the other hand, there was some choppiness in currencies and several commodity sectors such as grains and metals suffered mild reversals which detracted from performance. Overall, the gains outweighed losses and the quarter was profitable for the Fund.

In the third quarter, managed futures and trend following strategies had positive performance. Returns were negative in July, but August and September were strong months. Continuing trends in fixed income and new trends in the currency and commodity sectors drove performance. A slight reversal in equity indices resulted in small offsetting losses. In equity indices, the Portfolio Funds came into the third quarter with long exposure, with positions across geographies. The largest exposures were in U.S. and European indices. These positions were due to the upward trend in the asset class which had generally continued during the second quarter. During the third quarter, this trend weakened, with global growth concerns starting to weigh on markets. September was a down month for many equity indices and gains from earlier in the quarter were given back. The sector ended with small losses for the Fund. In fixed income, the Portfolio Funds had long positioning with both rates and bonds having generally falling yields. The moves were especially large in August, resulting in profits for the Portfolio Funds. Yields rose slightly in September, leading to a small give back of earlier gains, but fixed income ended up being a strong driver of performance for the Portfolio Funds in the quarter overall. Currencies also performed strongly. Diverging economic performance and central bank policies were important factors in driving currencies during the third quarter. A decently performing U.S. economy relative to much of the rest of the world meant that the U.S. dollar strengthened against most foreign currencies. The Portfolio Funds generally adopted a long U.S. dollar bias and made profits being short currencies like the euro and yen which weakened consistently through the third quarter. Commodities were another bright spot for the Portfolio Funds. The strength in the U.S. dollar and the slow weakening of the global economy were among the factors that led to many commodities falling over the course of the third quarter. Supply and demand factors such as dissipating tensions around the Ukraine situation, higher global oil production and reports of strong harvests in many grain markets also played a role. The Portfolio Funds were generally long commodity markets coming into July, but moved to a short stance by the end of August with minimal losses. As the downward trends in the asset class accelerated in September, the Portfolio Funds were well positioned to benefit from them. Falling prices in oil markets, precious metals, grains and softs all contributed positively to performance. In summary, fixed income trends generally continued in the third quarter. The Portfolio Funds also took advantage of relatively newer downward trends in currencies and commodities. Slight reversals in equity indices mildly detracted from performance. Overall, the third quarter was profitable for the Fund.

In the fourth quarter, managed futures and trend following strategies had strong performance. Returns were positive in all three months. Continuing trends in energies, fixed income and currencies drove performance. Equity indices were a detractor. The Fund returned 9.6% for the quarter. In equity indices, the Portfolio Funds came into the third quarter with long exposure, with positions across geographies. The largest exposures were in U.S. and European indices. While the upward trend in equity indices was not especially strong, there had not been any big reversals in the space either; as such, the Portfolio Funds generally maintained their long exposure. The last quarter of the year saw more choppiness in the space. The first half of October saw a sharp selloff, driven by general worries over global growth, concerns of recession and potential deflation in Europe, weakening Chinese demand and approaching rate hikes in the U.S. Markets did recover in the second half of October and showed some continued strength in November, but only to see another mild reversal in December due to similar factors. The back and forth with several directional shifts hurt the Portfolio Funds who were reducing and adding to exposures at the wrong time, all the while maintaining a long posture. They lost money in October, made some of it back in November, but lost again in December. The asset class had negative attribution for the quarter. In agriculture, metals and interest rate asset classes, the Portfolio Funds made money in all three months, illustrating the continuation of major trends. Fixed income was the most profitable as the same concerns causing equities to show choppiness led to much lower yields in bonds. The Portfolio Funds made strong gains being long markets, especially in Europe where yields fell. In currencies, the divergence between the economies of the U.S. on one hand and Europe and Japan on the other was clearly apparent. The U.S. dollar appreciated strongly against both the euro and yen, along with most other foreign currencies. The Portfolio Funds were generally short these currencies and benefited from the continuing trends. Commodities also proved profitable with energy markets driving performance. During the third quarter, the Portfolio Funds had gotten short oil and oil product markets as the price of oil fell sharply due to supply/demand imbalances. The moves accelerated in the fourth quarter as OPEC refused to cut production. WTI crude oil was down over -40% in the three months. The Portfolio Funds were positioned to take advantage of this continuing trend. Moves in metals and agriculturals were much milder and attribution from those

30

two sectors was muted. In summary, in three important sectors (fixed income, energies and FX), continuing trends led to strong gains. There were relatively few significant reversals elsewhere. As a result, the fourth quarter was profitable for trend followers.

Variables Affecting Performance

The principal variables that determine the net performance of the Fund are gross profitability from the Underlying Funds’ trading activities and interest income.

During the periods set forth above in “Selected Financial Data”, the interest rates in many countries were at unusually low levels. In addition, low interest rates are frequently associated with reduced fixed income market volatility, and in static markets the Fund’s profit potential generally tends to be diminished.  On the other hand, during periods of higher interest rates, the relative attractiveness of a high risk investment such as the Fund may be reduced as compared to high yielding and much lower risk fixed-income investments.

The Fund’s Management Fees are a constant percentage of the Fund’s net assets.

Except in unusual circumstances, factors — regulatory approvals, cost of goods sold, employee relations and the like — which often materially affect an operating business, have no material impact on the Fund.

Liquidity; Capital Resources

The Fund and the Underlying Funds through their related Master Funds borrow only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Fund’s and Underlying Funds’ U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

An Underlying Fund through its Master Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Underlying Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash directly and indirectly through the underlying Master Funds, which they must have to post initial and variation and variation margin on futures contracts.  This cash is also used to fund redemptions.

The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 3.03(a)(4) and 3.03(a)(5) of Regulation S-K.

Recent Accounting Developments

Recent accounting developments, if any, are discussed in Exhibit 13.01.

Item 7A: Quantitative and Qualitative Disclosures About Market Risks

The Underlying Funds are speculative commodity pools. The market sensitive instruments held by the Master Funds are acquired for speculative trading purposes and all or substantially all of the Master Funds’ assets are subject to the risk of trading loss.  Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Master Funds’ main line of business.

Market movements result in frequent changes in the fair market value of the Master Funds’ open positions and, consequently, in their earnings and cash flows. The Master Funds’ market risk is influenced by a wide

31

variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Master Funds’ open positions and the liquidity of the markets in which they trade.

The Master Funds, under the direction of their respective Trading Advisors rapidly acquire and liquidate both long and short positions in a wide range of different markets.  Consequently, it is not possible to predict how a possible future market scenario will affect performance, and the Fund’s and the Master Funds’ past performance is not necessarily indicative of future results.

Value at Risk (“VaR”) is a measure of the maximum amount which the Fund and the Underlying Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s and the Underlying Funds’ speculative trading and the recurrence in the markets traded by the Fund and the Underlying Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR or the Fund’s and the Underlying Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Fund’s and the Underlying Funds’ losses in any market sector will be limited to VaR or by the Fund’s and the Underlying Funds’ attempts to manage market risk.

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”).  All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Fund’s risk exposure in the various market sectors traded by the Master Funds is quantified below in terms of VaR.  Due to the Master Funds’ fair value accounting, any loss in the fair value of the Master Funds’ open positions is directly reflected in the Master Funds’ earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Prior to May 1, 2015.    With respect to the period prior to May 1, 2015 (prior to the Manager Replacement), exchange maintenance margin requirements have been used by the FuturesAccess Portfolio Funds as the measure of their VaR.  Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95% to 99% of the one-day time periods included in the historical sample (approximately one year, generally) researched for purposes of establishing margin levels.  The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.  In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the FuturesAccess Portfolio Funds), the margin requirements for the equivalent futures positions have been used as VaR.  In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.  During the period prior to May 1, 2015, 100% positive correlation in the different positions held in each market risk category has been assumed.  Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate VaR.  The diversification effects (which would reduce the VaR estimates) resulting from the fact that the FuturesAccess Portfolio Funds’ positions were rarely, if ever, 100% positively correlated, were not reflected during this time period.

May 1, 2015 and After.  With respect to the period on and after May 1, 2015 (after the Manager Replacement), VaR was calculated for each Underlying Fund by first calculating VaR with respect to each Master

32

Fund and adjusting based on the Underlying Fund’s pro-rata ownership of the Master Fund.  VaR of the Master Funds is based on a one day 99% Monte Carlo model VaR utilizing 1,000 simulations.  The sector breakdown of VaR for each Master Fund is based on an incremental VaR calculated for each position that is aggregated across each of the sectors presented below.

There are various ways of calculating VaR, and each methodology will not yield the same result.  Differences between VaR methodologies could be material as the underlying assumptions will vary.

The Underlying Funds’ Trading Value at Risk in Different Market Sectors

The following information with respect to VaR is set forth in respect of the Underlying Funds separately, rather than for the Fund.

The following tables indicate the average, highest, and lowest trading VaR associated with the Underlying Funds and the FuturesAccess Portfolio Funds open positions by market category for the twelve month periods ended December 31, 2016 and 2015.  For initial Underlying Fund investments made during the period, VaR is calculated starting from the commencement of the holding.

Blakeney (1)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	12,744	0.07	%	$	22,374	$	18
Energy	46,641		0.26	%	174,690		2,562
Interest Rates	210,744		1.17	%	528,998		24,197
Metals	37,571		0.21	%	87,266		2,447
Stock Indices	82,482		0.46	%	166,220		2,307
Currencies	122,083		0.68	%	322,947		55,215
TOTAL	$	512,264	2.82	%	$	1,302,495	$	86,745

(1) Average capitalization of Blakeney is $18,051,204.

Campbell (2)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	48,815	0.28	%	$	115,750	$	17,059
Energy	53,301		0.31	%	188,541		2,733
Interest Rates	155,456		0.89	%	347,156		3,968
Metals	38,970		0.22	%	94,474		1,835
Stock Indices	146,824		0.84	%	274,580		36,105
Currencies	110,000		0.63	%	286,916		18,349
TOTAL	$	553,366	3.19	%	$	1,307,417	$	80,049

(2) Average capitalization of Campbell is $17,388,161.

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Carlisle (3)

	December 31, 2016 *
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	18,096	0.22	%	$	31,053	$	7,164
Energy	63,630		0.77	%	125,640		3,230
Interest Rates	151,620		1.83	%	208,645		46,770
Metals	10,213		0.12	%	16,960		5,644
Stock Indices	23,933		0.29	%	38,709		6,331
Currencies	30,214		0.36	%	45,151		6,609
Other	18,984		0.23	%	28,014		7,676
TOTAL	$	316,690	3.82	%	$	494,172	$	83,424

(3) Average capitalization of Carlisle is $8,306,779.

* Carlisle redeemed April 2016.

Century CAT (4)

	December 31, 2016 *
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	7,413	0.05	%	$	14,616	$	737
Energy	33,847		0.21	%	87,315		1,864
Interest Rates	164,369		1.02	%	330,627		46,185
Metals	10,650		0.07	%	30,640		1,478
Stock Indices	71,458		0.44	%	129,586		4,124
Currencies	121,133		0.75	%	239,550		14,295
TOTAL	$	408,870	2.53	%	$	832,334	$	68,682

(4) Average capitalization of Century CAT is $16,184,457.

* Century CAT commenced March 2016.

CCP Core Macro (5)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	15,103	0.13	%	$	50,815	$	176
Energy	41,749		0.36	%	131,014		631
Interest Rates	132,732		1.14	%	337,476		999
Metals	11,713		0.10	%	43,431		112
Stock Indices	69,943		0.60	%	155,350		508
Currencies	40,936		0.35	%	132,030		4,027
TOTAL	$	312,176	2.70	%	$	850,117	$	6,454

(5) Average capitalization of CCP Core Macro is $11,625,669.

Quantica MF (6)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	20,780	0.17	%	$	37,803	$	7,614
Energy	42,300		0.36	%	305,453		546
Interest Rates	174,985		1.47	%	529,812		2,598
Metals	47,759		0.40	%	105,016		8,447
Stock Indices	82,179		0.69	%	215,773		1,658
Currencies	37,888		0.32	%	122,438		4,963
TOTAL	$	405,891	3.41	%	$	1,316,296	$	25,826

(6) Average capitalization of Quantica MF is $11,895,352.

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Silver (7)

	December 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	20,551	0.18	%	$	43,009	$	3,634
Energy	63,277		0.55	%	280,212		13,217
Interest Rates	133,607		1.16	%	489,756		4,719
Metals	52,650		0.46	%	110,685		48
Stock Indices	111,907		0.97	%	237,984		7,696
Currencies	125,946		1.10	%	303,401		31,931
TOTAL	$	507,938	4.42	%	$	1,465,047	$	61,245

(7) Average capitalization of Silver is $11,481,304.

Aspect DS (1) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	543,879	2.24	%	$	720,573	$	156,090
Currencies	485,971		2.01	%	1,004,655		280,131
Energy	205,769		0.85	%	379,796		132,210
Interest Rates	887,875		3.67	%	973,255		813,515
Metals	163,258		0.67	%	339,839		93,411
Stock Indices	159,818		0.66	%	219,055		125,332
TOTAL	$	2,446,570	10.10	%	$	3,637,173	$	1,600,689

(1) Average capitalization of Aspect Class DS was $24,217,973.

* Aspect redeemed as of April 30, 2015.

BlueTrend DS (2) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	122,456	0.34	%	$	384,364	$	29,501
Currencies	893,239		2.53	%	1,859,704		479,274
Energy	219,718		0.62	%	305,405		32,721
Interest Rates	1,683,631		4.74	%	2,429,552		3,242
Metals	111,620		0.31	%	146,717		83,857
Stock Indices	413,534		1.16	%	463,806		332,988
TOTAL	$	3,444,198	9.70	%	$	5,589,548	$	961,583

(2) Average capitalization of BlueTrend Class DS was $35,498,838.

* BlueTrend redeemed as of April 30, 2015.

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John Locke DS (3) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	1,189,626	4.88	%	$	1,258,388	$	1,052,845
Currencies	38,559		0.16	%	40,787		34,125
Energy	220,250		0.90	%	232,981		194,926
Interest Rates	1,723,369		7.07	%	1,822,982		1,525,219
Metals	262,751		1.08	%	277,938		232,540
Stock Indices	241,105		0.99	%	255,041		213,383
TOTAL	$	3,675,660	15.08	%	$	3,888,117	$	3,253,038

(3) Average capitalization of John Locke Class DS was $24,336,141.

* John Locke redeemed as of April 30, 2015.

Lynx DS (4) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	807,721	2.44	%	$	1,178,332	$	11,089
Currencies	69,933		0.21	%	85,323		58,253
Energy	249,568		0.75	%	349,352		43,665
Interest Rates	2,109,893		6.39	%	2,979,873		297,054
Metals	213,437		0.64	%	289,286		63,272
Stock Indices	623,944		1.88	%	1,111,938		414,656
TOTAL	$	4,074,496	12.31	%	$	5,994,104	$	887,989

(4) Average capitalization of Lynx Class DS was $33,102,183.

* Lynx redeemed as of April 30, 2015.

Transtrend DS (5) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	1,719,219	4.87	%	$	2,438,783	$	241,557
Currencies	298,297		0.84	%	702,840		150,284
Energy	275,614		0.78	%	301,361		245,525
Interest Rates	1,583,766		4.49	%	1,950,399		1,028,515
Metals	116,112		0.33	%	281,383		56,107
Stock Indices	758,297		2.15	%	887,668		618,065
Others	143,713		0.41	%	143,713		143,713
TOTAL	$	4,895,018	13.87	%	$	6,706,147	$	2,483,766

(5) Average capitalization of Transtrend Class DS was $35,315,715.

* Transtrend redeemed as of April 30, 2015.

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Tudor Tensor DS (6) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	447,314	1.83	%	$	628,215	$	567,932
Currencies	250,250		1.03	%	351,455		317,730
Energy	8,935		0.04	%	12,548		11,344
Interest Rates	278,368		1.14	%	390,945		353,431
Metals	1,258,617		5.16	%	1,571,426		558,800
Stock Indices	123,826		0.51	%	173,904		157,216
TOTAL	$	2,367,310	9.71	%	$	3,128,493	$	1,966,453

(6) Average capitalization of Tudor Tensor Class DS was $24,390,855.

* Tudor Tensor redeemed as of April 30, 2015.

Winton DS (7) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	304,057	0.69	%	$	419,487	$	122,260
Currencies	537,387		1.21	%	1,819,461		84,999
Energy	305,886		0.69	%	668,557		142,914
Interest Rates	1,528,473		3.45	%	2,163,220		472,487
Metals	380,153		0.86	%	459,897		308,843
Stock Indices	197,131		0.45	%	263,266		101,960
TOTAL	$	3,253,087	7.35	%	$	5,793,888	$	1,233,463

(7) Average capitalization of Winton Class DS was $44,253,768.

* Winton redeemed as of April 30, 2015.

Blakeney (8) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	25,889	0.13	%	$	59,615	$	1 ,234
Energy	108,967		0.57	%	271,612		22,423
Interest Rates	167,260		0.87	%	395,748		3,818
Metals	74,685		0.39	%	130,151		10,761
Stock Indices	83,962		0.44	%	196,113		11,163
Currencies	110,198		0.57	%	220,942		$	27,012
TOTAL	$	570,961	2.97	%	$	1,274,181	$	76,411

(8) Average capitalization of Blakeney is $19,177,743.

* Blakeney added in May 2015.

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Campbell (9) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	96,315	0.42	%	$	266,226	$	33,319
Energy	114,098		0.49	%	301,082		2,974
Interest Rates	103,243		0.45	%	307,346		7,227
Metals	137,731		0.60	%	347,565		29,579
Stock Indices	81,226		0.35	%	230,333		17,937
Currencies	271,596		1.17	%	466,861		172,427
TOTAL	$	804,209	3.48	%	$	1,919,413	$	263,463

(9) Average capitalization of Campbell is $23,118,588.

* Campbell added in May 2015.

Carlisle (10) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	58,256	0.53	%	$	126,376	$	27,208
Energy	112,200		1.02	%	336,117		17,709
Interest Rates	108,208		0.99	%	237,959		19,488
Metals	71,570		0.65	%	147,925		1,467
Stock Indices	109,314		1.00	%	382,069		1,972
Currencies	62,477		0.57	%	131,880		5,533
Other	34,932		0.32	%	86,143		13,327
TOTAL	$	556,957	5.08	%	$	1,448,469	$	86,704

(10) Average capitalization of Carlisle is $10,981,988.

* Carlisle added in May 2015.

CCP Core Macro (11) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	11,581	0.11	%	$	31,773	$	331
Energy	43,150		0.40	%	129,654		7,043
Interest Rates	80,378		0.74	%	212,453		5,762
Metals	18,598		0.17	%	35,026		2,210
Stock Indices	124,038		1.14	%	304,273		26,181
Currencies	58,167		0.53	%	83,455		22,855
TOTAL	$	335,912	3.09	%	$	796,634	$	64,382

(11) Average capitalization of CCP Core Macro is $10,921,094.

* CCP Core Macro added in May 2015.

38

Quantica MF(12) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	21,647	0.11	%	$	43,912	$	3,911
Energy	64,678		0.33	%	270,708		671
Interest Rates	214,770		1.10	%	523,313		5,984
Metals	19,602		0.10	%	45,676		884
Stock Indices	244,784		1.25	%	549,858		53,301
Currencies	60,418		0.31	%	90,286		21,080
TOTAL	$	625,899	3.20	%	$	1,523,753	$	85,831

(12) Average capitalization of Quantica MF is $19,535,611.

* Quantica MF added in May 2015.

Silver (13) *

	December 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	22,137	0.12	%	$	62,644	$	1,485
Energy	117,368		0.66	%	372,089		5,284
Interest Rates	129,098		0.72	%	389,786		12,670
Metals	87,907		0.49	%	146,393		1,056
Stock Indices	208,450		1.16	%	490,107		4,997
Currencies	130,796		0.73	%	244,752		2,790
TOTAL	$	695,756	3.88	%	$	1,705,771	$	28,282

(13) Average capitalization of Silver is $17,918,170.

* Silver added in May 2015.

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund and the Underlying Funds are typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund and the Underlying Funds.  The magnitude of the Fund’s and the Underlying Funds’ open positions creates a “risk of ruin” not typically found in most other investment vehicles.  Because of the size of their positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund and the Underlying Funds to incur severe losses over a short period of time.  The foregoing VaR table — as well as the past performance of the Fund and the Underlying Funds — gives no indication of this “risk of ruin.”

Non-Trading Risk

The Master Funds have non-trading market risk on foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are generally immaterial.

The Master Funds also have non-trading market risk on their assets which are held in cash at the clearing broker. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures through the Underlying Funds after the change in structure — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act.

39

The Fund’s primary market risk exposures as well as the strategies used and to be used by the Manager and the Trading Advisors of the Underlying Funds for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the risk controls for the Fund and for the trading conducted through Underlying Funds to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the value of their investment in the Fund.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Each Underlying Fund (inclusive of its related Master Fund) and its Trading Advisor are monitored by the Manager’s investment team.  This coverage is intended to provide that each Underlying Fund and its Trading Advisor are monitored by individuals who have an in-depth understanding of the Underlying Fund and its Trading Advisor, as well as knowledge of the market environment affecting that particular strategy.

Item 8: Financial Statements and Supplementary Data

The following quarterly information is unaudited.

	Fourth Quarter 2016			Third Quarter 2016			Second Quarter 2016			First Quarter 2016		Fourth Quarter 2015			Third Quarter 2015			Second Quarter 2015			First Quarter 2015
Total Income (Loss)	$	(6,820,880	)	$	(4,168,157	)	$	664,987		$	6,107,121	$	(2,832,502	)	$	(484,440	)	$	(22,496,802	)	$	15,122,62 3
Total Expenses	989,667			1,198,101			1,037,548			1,210,461		1,137,206			1,261,473			1,320,333			1,341,563
Net Income (Loss)	$	(7,810,547	)	$	(5,366,258	)	$	(372,561	)	$	4,896,660	$	(3,969,708	)	$	(1,745,913	)	$	(23,817,135	)	$	13,781,060
Net Income (Loss) per weighted average Unit(a)	$	(0.0657	)	$	(0.0414	)	$	(0.0027	)	$	0.0339	$	(0.0256	)	$	(0.0105	)	$	(0.1379	)	$	0.0764

(a)The Net Income (Loss) per weighted average Unit is based on the weighted average of the total Units for each quarter.

The financial statements required by this Item are included in Exhibit 13.01.

The supplementary financial information (“information about oil and gas producing activities”) specified by Item 302(b) of Regulation S-K is not applicable.

Item 9: Changes in and Disagreements With Accountants on Accounting and Financial Disclosure

On June 16, 2016, the Manager, on behalf of the Fund, dismissed PricewaterhouseCoopers LLP as the independent registered public accounting firm for the Fund.  The Manager, on behalf of the Fund, appointed Ernst & Young Ltd. as the independent registered public accounting firm for the Fund, effective July 11, 2016.

There were no disagreements with the respective independent registered public accounting firms on accounting and financial disclosure.

Item 9A: Controls and Procedures

Disclosure Controls and Procedures

FRM Investment Management’s President and Principal Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in

40

Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of and for the year ended December 31, 2016, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Management’s Annual Report on Internal Control over Financial Reporting

The Fund’s management is responsible for establishing and maintaining adequate internal control over financial reporting.  The Fund’s internal control over financial reporting is a process designed under the supervision of FRM Investment Management’s President and the Principal Financial Officer, on behalf of the Fund and is effected by management, other personnel and service providers to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles and included those policy and procedures that:

·Pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Fund.

·Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that  receipts and expenditures of the Fund are being made only in accordance with authorizations of management and directors of the Fund; and

·Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisitions, use or disposition of the Fund’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation and presentation.  Projections of any evaluation of effectiveness to future periods are subject to the risks that controls may become inadequate because of changes in condition, or that the degree of compliance with the policies or procedures may deteriorate.

The Fund’s management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2016.  In making this assessment, management used the applicable criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control — Integrated Framework (2013).

Based on its assessment the Fund’s management concluded that at December 31, 2016, the Fund’s internal control over financial reporting was effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended December 31, 2016 that has materially affected, or is reasonable likely to materially affect, the Fund’s internal control over financial reporting.

Item 9B:  Other Information

Not applicable.

PART III

Item 10: Directors, Executive Officers and Corporate Governance

10(a) and 10(b)Identification of Directors and Executive Officers:

The Fund has no officers or directors and is managed by FRM Investment Management (USA) LLC, its Manager. Trading decisions are made by the Trading Advisors on behalf of the Master Funds.

41

The executive officers of the Manager with respect to the Fund and their respective business backgrounds are as follows:

Michelle McCloskey	President
Linzie Steinbach	Principal Financial Officer

Michelle McCloskey, President of the Manager, is Senior Managing Director at FRM, a member of Man Group’s Executive Committee, President of FRM Investments (USA) LLC (“FRM USA”), an investment management entity which forms a part of FRM, President of FRM Investment Management GP (USA) LLC (formerly known as Pine Grove Asset Management GP LLC), an entity within FRM that principally serves as general partner to certain funds of funds managed by the Manager (“FRM IM GP”), and is based in New York.  FRM USA was a member of the NFA and was registered with the CFTC as a commodity pool operator from August 31, 1987 to June 11, 2015, and was registered with the CFTC as a commodity trading advisor from November 6, 1989 to June 11, 2015.  FRM USA was also formerly registered as an “investment adviser” with the SEC.  FRM IM GP was registered with the CFTC as a commodity pool operator and a commodity trading advisor and was a member of the NFA from April 19, 2011 to June 11, 2015.  Michelle has been registered as an associated person and listed as a principal of the Manager since February 18, 2015.  Michelle was also registered as an associated person and listed as a principal of FRM USA from January 7, 2013 and November 2, 2011, respectively, to June 11, 2015.  Michelle was registered as an associated person and listed as a principal of FRM IM GP from March 6, 2015 to June 11, 2015.  Michelle has overall oversight of the Manager Research team as well as the Managed Account Lifecycle team at FRM, of which the Manager, FRM IM GP and FRM USA form a part.  Prior to assuming her current role in February 2013, Michelle was Head of the Commodities and New Alternatives teams, within Hedge Fund Research of Man’s Multi-Manager Business from June 2009 to July 2010, researching traditional commodities and new alternative hedge fund strategies including environmentally focused renewable energy and carbon trading strategies, and Head of Hedge Fund Research from July 2010 to February 2013, responsible for overseeing the qualitative investment process across all strategies on the manager research team.  Michelle graduated magna cum laude with a BS in chemical engineering from Texas Tech University in Lubbock, Texas.

Linzie Steinbach, serves as a Fund Controller at Man Group and has been appointed as the Principal Financial Officer of the Manager with respect to the Fund.  Prior to assuming her current role in April 2015, Ms. Steinbach was a Senior Vice President at Merrill Lynch serving as a hedge fund controller within the Alternative Investments Group.  Before joining Merrill Lynch in March 2007, Ms. Steinbach was a financial analyst at D.E. Shaw & Co.  She received a BBA in finance and accounting with high distinction recognition from Emory University Goizueta Business School.

(c)Identification of Certain Significant Employees:

None.

(d)Family Relationships:

None.

(e)Business Experience:

See Items 10(a) and (b) above.

(f)Involvement in Certain Legal Proceedings:

None.

(g)Promoters and Control Persons:

42

Not applicable.

(h)Section 16(a) Beneficial Ownership Reporting Compliance:

To the Fund’s knowledge all required Section 16(a) filings during the fiscal year ended           December 31, 2016 were timely made.

Code of Ethics:

The Fund has no employees, officers or directors and is controlled by the Manager.  The Manager has adopted an Executive Code of Ethics that applies to its principal executive officer and principal financial officer or persons performing similar functions on behalf of the Fund.  A copy of the Executive Code of Ethics may be obtained at no charge by written request to FRM Investment Management (USA) LLC, 452  Fifth Avenue, 26th Floor, New York, New York 10018, or by calling the Chief Compliance Officer at (212) 649-6600.

Nominating Committee:

Not applicable.

Audit Committee: Audit Committee Financial Expert:

Not applicable. (Neither the Fund nor FRM Investment Management has an audit committee.  There are no listed shares of the Fund or FRM Investment Management.)

Item 11: Executive Compensation

The officers of the Manager are remunerated by Man Group in their respective positions.  These officers do not receive compensation from the Fund. The Fund does not have any officers or employees.  The Fund pays Management Fees to the Manager, and the Underlying Funds pay Risk Management Fees to the Manager.  See Item 1(c) “Narrative Description of Business—Description of Certain Current Charges.”

Item 12: Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

(a)Security Ownership of Certain Beneficial Owners:

Not applicable. (The Units represent limited liability company interests. The Fund is managed by its Manager, Man FRM Investment Management (USA) LLC.)

(b)Security Ownership of Management:

As of December 31, 2016, the Manager owned no Unit-equivalent member interests, and the executive officers of the Manager did not own any Units.

(c)Changes in Control:

None.

(d)Securities Authorized for Issuance Under Equity Compensation Plans:

Not applicable.

43

Item 13: Certain Relationships and Related Transactions and Director Independence

See Item 1(c) “Narrative Description of Business—Description of Certain Current Charges” regarding fees that the Manager receives from the Fund and Underlying Funds.

Director Independence

The Fund has no directors.  The Fund is managed by certain officers of the Manager.

Item 14: Principal Accounting Fees and Services

(a)Audit Fees

Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant PricewaterhouseCoopers LLP, for the audit of the Fund’s annual financial statements and review of financial statements included in the Fund’s Form 10-Q or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the year ended December 31, 2015 was $177,000.

Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant PricewaterhouseCoopers LLP, for review of financial statements included in the Fund’s Form 10-Q or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the year ended December 31, 2016 was $40,000.

Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant Ernst & Young Ltd., for the audit of the Fund’s annual financial statements and review of financial statements included in the Fund’s Form 10-Q or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the year ended December 31, 2016 was $133,000.

(b)Audit-Related Fees

There were no other audit-related fees billed for the years ended December 31, 2016 and December 31, 2015 related to the Fund.

(c)Tax Fees

No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2016 and 2015 for professional services rendered to the Fund in connection with tax compliance, tax advice and tax planning.

Aggregate fees billed by Ernst & Young Ltd. or any member firms of the global Ernst & Young organization a for the year ended December 31, 2016 for professional services rendered to the Fund in connection with tax compliance, tax advice and tax planning was $75,500.

(d)All Other Fees

No other fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2016 and 2015, other than as set forth in the preceding paragraph (a).

No other fees were billed by Ernst & Young Ltd. or any member firms the global Ernst & Young organization for the year ended December 31, 2016, other than as set forth in the preceding paragraph (a).

(e)Neither the Fund nor the Manager has an audit committee to pre-approve principal accountant fees and services.  In lieu of an audit committee, the Manager’s relevant officer pre-approves all services prior to the

44

commencement of services.

PART IV

Item 15: Exhibits, Financial Statement Schedules

1.Financial Statements of Man FRM Managed Futures Strategies LLC:

REPORTs OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS

FINANCIAL STATEMENTS:

Statements of Financial Condition as of December 31, 2016 and 2015

Statements of Operations for the years ended December 31, 2016, 2015 and 2014

Statements of Changes in Members’ Capital for the years ended December 31, 2016, 2015 and 2014

Financial Data Highlights for the years ended December 31, 2016, 2015 and 2014

Notes to Financial Statements

2.Supplemental Financial Statement Schedules:

(  )Financial Statements of Century CAT MAC Delaware Feeder LLC (Feeder) and Century CAT MAC Cayman Fund Limited (Master Fund) as of and for the year ending December 31,  2016 (audited)

(  )Financial Statements of Campbell  Delaware Feeder LLC (Feeder) and Campbell MAC Cayman Fund Limited (Master Fund) as of and for the year ending December 31,  2016 (audited)

(  )Financial Statements of Carlisle Delaware Feeder LLC (Feeder) and Carlisle Fund Limited (Master Fund) as of November 17, 2016 and for the period January 1, 2016 to November 17, 2016 (audited)

(  )Financial Statements of Quantica MF Delaware Feeder LLC (Feeder Fund) and Quantica MF Cayman Fund Limited (Master Fund) as of and for the years ending December 31,  2016 and 2015 (audited)

(  )Financial Statements of Silver Delaware Feeder LLC (Feeder Fund) and Silver MAC Limited (Master Fund) as of and for the years ending December 31, 2016 and, 2015 (audited)

(  )Financial Statements of Aspect FuturesAccess LLC as of and for the years ending December 31, 2015 and 2014 (audited)

(  )Financial Statements of BlueTrend FuturesAccess LLC as of and for the years ending December  2015 and 2014 (audited)

(  )Financial Statements of John Locke FutureAccess LLC as of and for the year ending December 31, 2014 (audited)

45

(  )Financial Statements of Lynx FuturesAccess LLC as of and for the year ending December 31, 2014 (audited)

(  )Financial Statements of ML Transtrend DTP Enhanced FuturesAccess LLC as of and for the years ending December 31, 2015 and 2014 (audited)

(  )Financial Statements of Tudor Tensor FuturesAccess LLC as of and for the year ending December 31, 2014 (audited)

(  )Financial Statements of Winton FuturesAccess LLC as of and for the years ending December 31, 2015 and 2014 (audited)

3.Exhibits:  The following exhibits are incorporated by reference or are filed herewith to this Annual Report on    Form 10-K:

Designation	Description
3.01	Amended and Restated Certificate of Formation of ML Systematic Momentum FuturesAccess LLC.
Exhibit 3.01:	Is incorporated by reference from Exhibit 3.01 contained in the registrants Report on Form 8-K filed on February 14, 2012.
3.02	Amendment to Certificate of Formation of Systematic Momentum FuturesAccess LLC.
Exhibit 3.02:	Is incorporated by reference from Exhibit 3.01(i) contained in the registrant’s Report on Form 8-K filed on May 7, 2015.
3.03	Fifth Amended and Restated Limited Liability Company Operating Agreement of Man FRM Managed Futures Strategies LLC.
Exhibit 3.03	Is incorporated by reference from Exhibit 3.02 contained in the registrant’s Report on Form 8-K, filed on August 25, 2015.
13.01	2016 Annual Report and Reports of Independent Registered Public Accounting Firms
13.02	Financial Statements of Century CAT MAC Delaware Feeder LLC
13.03	Financial Statements of Campbell Delaware Feeder LLC
13.04	Financial Statements of Carlisle Delaware Feeder LLC
13.05	Financial Statements of Quantica MF Delaware Feeder LLC
13.06	Financial Statements of Silver Delaware Feeder LLC
13.07	Financial Statements of Aspect FuturesAccess LLC
13.08	Financial Statements of ML BlueTrend FuturesAccess LLC
13.09	Financial Statements of John Locke FuturesAccess LLC
13.10	Financial Statements of Lynx FuturesAccess LLC

46

13.11	Financial Statements of ML Transtrend DTP Enhanced FuturesAccess LLC
13.12	Financial Statements of Tudor Tensor FuturesAccess LLC
13.13	Financial Statements of ML Winton FuturesAccess LLC
	Are filed herewith.
31.01 and 31.02	Rule 13a-14(a)/15d-14(a) Certifications
Exhibit 31.01	Are filed herewith.
and 31.02:
32.01 and 32.02	Section 1350 Certifications.
Exhibit 32.01
and 32.02:	Are filed herewith.
101	The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.
Exhibit 101	Is filed herewith.

47

SIGNATURES

Pursuant to the requirements of Section 13 or Section 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized on March 29, 2017.

MAN FRM MANAGED FUTURES STRATEGIES LLC
By:	FRM INVESTMENT MANAGEMENT (USA) LLC, Manager
By:	/s/Michelle McCloskey
Michelle McCloskey
President
(Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Signature	Title	Date
/s/ Michelle McCloskey	President	March 29,2017
Michelle McCloskey	(Principal Executive Officer)
/s/ Linzie Steinbach	Principal Financial Officer	March 29, 2017
Linzie Steinbach	(Principal Financial Officer)

48

MAN FRM MANAGED FUTURES STRATEGIES LLC

2016 FORM 10-K

INDEX TO EXHIBITS

Exhibit
Exhibit 13.01	2016 Annual Report and Report of Independent Registered Public Accounting Firms.
Exhibit 13.02	Financial Statements of Century CAT MAC Delaware Feeder LLC
Exhibit 13.03	Financial Statements of Campbell Delaware Feeder LLC
Exhibit 13.04	Financial Statements of Carlisle Delaware Feeder LLC
Exhibit 13.05	Financial Statements of Quantica MF Delaware Feeder LLC
Exhibit 13.06	Financial Statements of Silver Delaware Feeder LLC
Exhibit 13.07	Financial Statements of Aspect FuturesAccess LLC
Exhibit13.08	Financial Statements of ML BlueTrend FuturesAccess LLC
Exhibit 13.09	Financial Statements of John Locke FuturesAccess LLC
Exhibit 13.10	Financial Statements of Lynx FuturesAccess LLC
Exhibit 13.11	Financial Statements of ML Transtrend DTP Enhanced FuturesAccess LLC
Exhibit 13.12	Financial Statements of Tudor Tensor FuturesAccess LLC
Exhibit 13.13	Financial Statements of ML Winton FuturesAccess LLC
Exhibit 31.01 and 31.02	Rule 13a - 14(a) / 15d - 14(a) Certifications
Exhibit 32.01 and 32.02	Sections 1350 Certifications
Exhibit 101	The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 2016 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

49

EX-13.01

Exhibit 13.01

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

TABLE OF CONTENTS
	Page
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1
FINANCIALS STATEMENTS:
Statements of Financial Condition as of December 31, 2016 and 2015	3
Statements of Operations for the years ended December 31, 2016, 2015 and 2014	4
Statements of Changes in Members’ Capital for the years ended December 31, 2016, 2015 and 2014	5
Financial Data Highlights for the years ended December 31, 2016, 2015 and 2014	7
Notes to Financial Statements	10

Report of Independent Registered Public Accounting Firm

The Manager and Members of Man FRM Managed Futures Strategies LLC (formerly known as Systematic Momentum FuturesAccess LLC)

We have audited the accompanying statement of financial condition of Man FRM Managed Futures Strategies LLC (formerly known as Systematic Momentum FuturesAccess LLC) (the “Fund”), as of December 31, 2016, and the related statements of operations, changes in members’ capital, and financial data highlights for the year then ended. These financial statements and financial data highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial data highlights based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial data highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial data highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements and financial data highlights referred to above present fairly, in all material respects, the financial position of Man FRM Managed Futures Strategies LLC (formerly known as Systematic Momentum FuturesAccess LLC) at December 31, 2016, and the results of its operations, changes in its members’ capital, and financial data highlights for the year then ended in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young Ltd.

Grand Cayman, Cayman Islands

March 29, 2017

1

Report of Independent Registered Public Accounting Firm

To the Members of MAN FRM Managed Futures Strategies LLC (formerly Systematic Momentum FuturesAccess LLC):

In our opinion, the accompanying statement of financial condition as of December 31, 2015 and the related statements of operations and of changes in members’ capital and the financial data highlights for each of the two years in the period ended December 31, 2015 present fairly, in all material respects, the financial position of MAN FRM Managed Futures Strategies LLC (formerly Systematic Momentum FuturesAccess LLC) (the “Fund”) as of December 31, 2015, and the results of its operations, the changes in its members’ capital and its financial data highlights for each of the two years in the period ended December 31, 2015, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial data highlights (hereafter collectively referred to as the “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

March 29, 2016

PricewaterhouseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017 T: (646) 471 3000, F:(813) 286 6000, www.pwc.com/us

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2016 AND 2015

	2016		2015
ASSETS:
Cash	$	48,971,063	$	78,898,781
Investment in Affiliated Funds (Cost: $77,057,266 and $95,890,791 at December 31, 2016 and 2015, respectively)	68,779,867		84,461,211
Receivable from Affiliated Funds	100,000		400,000
Investment in Affiliated Funds paid in advance	—		320,000
TOTAL ASSETS	$	117,850,930	$	164,079,992
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Management fee payable	606,974		877,496
Redemptions payable	1,846,095		1,435,905
Subscriptions received in advance	—		390,000
Administrative fee payable	46,954		248,871
Professional fees payable	194,639		143,138
Other liabilities	217,974		202,850
Total liabilities	2,912,636		3,298,260
MEMBERS’ CAPITAL:
Members’ Capital (113,650,916 Units and 147,812,907 Units outstanding at December 31, 2016 and 2015, respectively; unlimited Units authorized)	114,938,294		160,781,732
Total Members’ Capital	114,938,294		160,781,732
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	117,850,930	$	164,079,992
NET ASSET VALUE PER UNIT:
Class A	$	1.0385	$	1.1098
Class C	$	0.9851	$	1.0633
Class D	$	1.3421	$	1.4130
Class I	$	1.1267	$	1.1993
Class M	$	0.9915	$	1.0438
Class AA	$	0.9133	$	0.9858
Class II	$	0.9382	$	1.0011
Class MM	$	0.9106	$	—

See notes to financial statements.

3

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2016, 2015 AND 2014

	2016			2015			2014
TRADING PROFIT (LOSS), NET:
Realized from Affiliated Funds, net	$	(7,369,110	)	$	31,061,059		$	(10,091,962	)
Change in unrealized from Affiliated Funds, net	3,152,181			(41,752,455		)	43,753,405
Total trading profit (loss), net	(4,216,929		)	(10,691,396		)	33,661,443
INVESTMENT INCOME:
Interest	—			275			—
EXPENSES:
Management fee	2,875,987			4,070,605			4,866,807
Professional fees	572,269			390,820			—
Administrative fee	306,995			339,321			—
Other expenses	680,526		#	259,829			678,568
Total expenses	4,435,777			5,060,575			5,545,375
NET INVESTMENT INCOME (LOSS)	(4,435,777		)	(5,060,300		)	(5,545,375		)
NET INCOME (LOSS)	$	(8,652,706	)	$	(15,751,696	)	$	28,116,068
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding
Class A	20,340,977			24,858,980			33,702,930
Class C	83,850,361			115,841,365			162,092,813
Class D	2,885,277			3,066,004			5,591,192
Class I	12,900,892			14,846,095			17,176,681
Class M	6,379,411			8,178,434			9,285,972
Class AA	4,102,054			803,375		*	—
Class II	2,491,734			1,584,229		**	—
Class MM***	36,529			—			—
Net income (loss) per weighted average Unit
Class A	$	(0.0611	)	$	(0.0908	)	$	0.1275
Class C	$	(0.0666	)	$	(0.0964	)	$	0.1162
Class D	$	(0.0642	)	$	(0.1006	)	$	0.0790
Class I	$	(0.0663	)	$	(0.0943	)	$	0.1655
Class M	$	(0.0321	)	$	(0.0720	)	$	0.1822
Class AA	$	(0.1157	)	$	(0.0355	)*	$	—
Class II	$	(0.0395	)	$	0.0011	**	$	—
Class MM***	$	(0.0838	)	$	—		$	—

*Units issued on November 16, 2015. Amounts presented reflect the period from November 16, 2015 through December 31, 2015.

**Units issued on December 7, 2015. Amounts presented reflect the period from December 7, 2015 through December 31, 2015.

***Units issued on January 25, 2016. Amounts presented reflect the period from January 25, 2016 through December 31, 2016.

# See Note 2 for further breakout of other expenses

See notes to financial statements.

4

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2016, 2015 AND 2014

(in Units)

	Members’				Members’				Members’				Members’
	Units				Units				Units				Units
	December 31,				December 31,				December 31,				December 31,
	2013	Subscriptions	Redemptions		2014	Subscriptions###	Redemptions###		2015	Subscriptions#	Redemptions##		2016
Class A	44,919,355	777,492	(19,249,241	)	26,447,606	474,649	(3,957,137	)	22,965,118	—	(6,723,662	)	16,241,456
Class C	208,733,990	4,987,802	(82,288,062	)	131,433,730	706,472	(34,225,981	)	97,914,221	—	(32,057,651	)	65,856,570
Class D	10,103,544	—	(6,832,791	)	3,270,753	—	(321,749	)	2,949,004	893,199	(875,694	)	2,966,509
Class I	19,789,101	197,782	(4,407,347	)	15,579,536	170,060	(2,160,074	)	13,589,522	—	(1,417,315	)	12,172,207
Class M	4,445,192	8,084,640	(4,191,204	)	8,338,628	123,985	(839,088	)	7,623,525	—	(2,856,741	)	4,766,784
Class AA*	—	—	—		—	1,187,288	—		1,187,288	5,287,677	(388,913	)	6,086,052
Class II**	—	—	—		—	1,584,229	—		1,584,229	4,074,667	(126,389	)	5,532,507
Class MM***	—	—	—		—	—	—		—	43,497	(14,666	)	28,831
Total Members’ Units	287,991,182	14,047,716	(116,968,645	)	185,070,253	4,246,683	(41,504,029	)	147,812,907	10,299,040	(44,461,031	)	113,650,916

* Units issued on November 16, 2015.

** Units issued on December 7, 2015.

*** Units issued on January 25, 2016.

# Includes transfers in to Class AA, from Class A, of 167,859 units, 23,521 units and 14,142 units, on April 11, 2016, May 16, 2016 and August 1, 2016, respectively.

## Includes transfers out of Class A, to Class AA, of 148,700 units, 20,816 units and 12,489 units, on April 8, 2016, May 13, 2016 and July 29, 2016, respectively.

### Includes transfers out of 399,447 units and 1,073,617 units of Class A and Class C, respectively, into Class II.

Amounts have been rounded to the nearest whole unit.

See notes to financial statements.

5

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2016, 2015 AND 2014

(in Dollars)

	Members’									Members’										Members’										Members’
	Capital									Capital										Capital										Capital
	December 31,							Net Income		December 31,							Net Income			December 31,							Net Income			December 31,
	2013		Subscriptions		Redemptions			(Loss)		2014		Subscriptions###		Redemptions###			(Loss)			2015		Subscriptions#		Redemptions##			(Loss)			2016
Class A	$	46,575,864	$	831,690	$	(19,850,266	)	$	4,297,734	$	31,855,022	$	587,905	$	(4,696,867	)	$	(2,258,381	)	$	25,487,679	$	—	$	(7,377,434	)	$	(1,243,359	)	$	16,866,886
Class C	211,561,932		4,941,000		(82,140,174		)	18,841,610		153,204,368		858,000		(38,777,389		)	(11,169,717		)	104,115,262		—		(33,653,036		)	(5,588,159		)	64,874,067
Class D	12,941,674		—		(8,442,972		)	441,715		4,940,417		—		(465,189		)	(308,403		)	4,166,825		1,237,616		(1,237,617		)	(185,327		)	3,981,497
Class I	21,996,156		212,328		(4,854,808		)	2,842,837		20,196,513		234,625		(2,733,249		)	(1,399,630		)	16,298,259		—		(1,728,455		)	(854,932		)	13,714,872
Class M	4,206,402		7,481,070		(4,075,253		)	1,692,172		9,304,391		145,000		(903,348		)	(588,791		)	7,957,252		—		(3,026,560		)	(204,651		)	4,726,041
Class AA*	—		—		—			—		—		1,199,000		—			(28,537		)	1,170,463		5,227,420		(364,918		)	(474,781		)	5,558,184
Class II**	—		—		—			—		—		1,584,229		—			1,763			1,585,992		3,835,000		(132,064		)	(98,435		)	5,190,493
Class MM***	—		—		—			—		—		—		—			—			—		43,831		(14,515		)	(3,062		)	26,254
Total Members’ Capital	$	297,282,028	$	13,466,088	$	(119,363,473	)	$	28,116,068	$	219,500,711	$	4,608,759	$	(47,576,042	)	$	(15,751,696	)	$	160,781,732	$	10,343,867	$	(47,534,599	)	$	(8,652,706	)	$	114,938,294

* Units issued on November 16, 2015.

** Units issued on December 7, 2015.

*** Units issued on January 25, 2016.

# Includes transfers in to Class AA, from Class A, of $170,663, $22,966 and $14,578, on April 11, 2016, May 16, 2016 and August 1, 2016, respectively.

## Includes transfers out of Class A, to Class AA, of $170,663, $22,966 and $14,578, on April 8, 2016, May 13, 2016 and July 29, 2016, respectively.

### Includes transfers out of $442,867 and $1,141,362 of Class A and Class C, respectively, and into Class II of $1,584,229.

Amounts have been rounded to the nearest dollar.

See notes to financial statements.

6

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2016

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 AA			Class II			Class MM*
Per Unit Operating Performance
Net asset value, beginning of year	$	1.1098		$	1.0633		$	1.4130		$	1.1993		$	1.0438		$	0.9858		$	1.0011		$	1.0000
Net realized and net change in unrealized trading profit (loss)	(0.0426		)	(0.0402		)	(0.0552		)	(0.0463		)	(0.0409		)	(0.0373		)	(0.0385		)	(0.0738		)
Net investment loss (b)	(0.0287		)	(0.0380		)	(0.0157		)	(0.0263		)	(0.0114		)	(0.0352		)	(0.0244		)	(0.0156		)
Net asset value, end of year	$	1.0385		$	0.9851		$	1.3421		$	1.1267		$	0.9915		$	0.9133		$	0.9382		$	0.9106
Total Return: (a)(c)
Total return	(6.42		)%	(7.35		)%	(5.02		)%	(6.05		)%	(5.01		)%	(7.35		)%	(6.28		)%	(8.94		)%
Ratios to Average Members’ Capital: (b)
Expenses	2.58		%	3.58		%	1.08		%	2.18		%	1.08		%	3.58		%	2.43		%	1.72		%
Net investment income (loss)	(2.58		)%	(3.58		)%	(1.08		)%	(2.18		)%	(1.08		)%	(3.58		)%	(2.43		)%	(1.72		)%

(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 the timing of the capital transactions.

(b)     The amounts do not reflect the proportionate share of expense from the Underlying Funds.

(c)     Total return has not been annualized.

*        Class MM units issued on January 25, 2016, and the ratios have been annualized.

See notes to financial statements.

7

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2015

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 AA*			Class II**
Per Unit Operating Performance
Net asset value, beginning of year	$	1.2045		$	1.1656		$	1.5105		$	1.2963		$	1.1158		$	1.0000		$	1.0000
Net realized and net change in unrealized trading profit (loss)	(0.0707		)	(0.0678		)	(0.0899		)	(0.0764		)	(0.0664		)	(0.0101		)	0.0026
Net investment loss (b)	(0.0240		)	(0.0345		)	(0.0076		)	(0.0206		)	(0.0056		)	(0.0041		)	(0.0015		)
Net asset value, end of year	$	1.1098		$	1.0633		$	1.4130		$	1.1993		$	1.0438		$	0.9858		$	1.0011
Total Return: (a)(c)
Total return	(7.86		)%	(8.78		)%	(6.45		)%	(7.48		)%	(6.45		)%	(1.42		)%	0.11		%
Ratios to Average Members’ Capital: (b)
Expenses	2.01		%	3.02		%	0.51		%	1.61		%	0.51		%	3.26		%	2.13		%
Net investment income (loss)	(2.01		)%	(3.02		)%	(0.51		)%	(1.61		)%	(0.51		)%	(3.26		)%	(2.13		)%

(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 the timing of the capital transactions.

(b)The amounts do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds and the Underlying Funds.

(c)Total return has not been annualized.

*Class AA units issued on November 16, 2015, and the ratios have been annualized.

**Class II units issued on December 7, 2015, and the ratios have been annualized.

See notes to financial statements.

8

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2014

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 year	$	1.0369		$	1.0135		$	1.2809		$	1.1115		$	0.9463
Net realized and net unrealized change in trading profit (loss)	0.1863			0.1806			0.2332			0.2005			0.1723
Net investment loss (b)	(0.0187		)	(0.0285		)	(0.0036		)	(0.0157		)	(0.0028		)
Net asset value, end of year	$	1.2045		$	1.1656		$	1.5105		$	1.2963		$	1.1158
Total Return: (a)
Total return	16.16		%	15.01		%	17.93		%	16.63		%	17.91		%
Ratios to Average Members’ Capital: (b)
Expenses	1.79		%	2.80		%	0.29		%	1.39		%	0.29		%
Net investment income (loss)	(1.79		)%	(2.80		)%	(0.29		)%	(1.39		)%	(0.29		)%

(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 the timing of the capital transactions.

(b)The ratios do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds.

See notes to financial statements.

9

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1.             ORGANIZATION

Man FRM Managed Futures Strategies LLC (the “Fund”), a Delaware limited liability company, is a managed futures fund of funds managed by FRM Investment Management (USA) LLC (the “Manager” or “FRM”). FRM is registered as a commodity pool operator (“CPO”) and commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act. FRM is also registered as an investment adviser under the Investment Advisers Act of 1940. FRM is an indirect wholly-owned subsidiary of Man Group plc (“Man Group”). The Fund was organized under the Delaware Limited Liability Company Act in March 2007 and commenced operations in April 2007. The Fund is an investment company as defined by Accounting Standards Codification (“ASC”) guidance. The Fund was previously known as “Systematic Momentum FuturesAccess LLC” through April 30, 2015.

Prior to May 1, 2015, the Fund was a participating fund in the FuturesAccessSM Program (“FuturesAccess”) sponsored by Merrill Lynch Alternative Investments LLC (“MLAI”). The Fund operated as a “fund of funds”, allocating and reallocating its capital among underlying FuturesAccess Funds (“FuturesAccess Portfolio Funds” or “Portfolio Funds”). MLAI was the sponsor and manager of the Fund prior to May 1, 2015. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation.

Pursuant to an Asset Purchase Agreement dated as of December 8, 2014 between MLAI and an indirect wholly-owned subsidiary of Man Group, as amended, the Man Group purchased, among other assets, the rights of MLAI and its affiliates under certain agreements relating to the management of the Fund. FRM replaced MLAI as manager of the Fund on May 1, 2015, upon the closing of such purchase. Effective as of May 1, 2015, the Fund was renamed “Man FRM Managed Futures Strategies LLC.”

Under the direction of the Manager, the Fund allocates its capital among a group of underlying related party funds (each an “Underlying Fund”, and collectively the “Underlying Funds”) which, in turn, allocate capital to related party master funds (each a “Master Fund” and collectively the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of related party commodity trading advisors (each a “Trading Advisor” and collectively, the “Trading Advisors”).

The Manager invests the Fund’s assets in Underlying Funds that are on the FRM platform. The Underlying Funds invested in by the Fund are established as Delaware limited liability companies, each of which engages the Manager as the risk manager and each of which further invests in a Master Fund, established as a Cayman Islands exempted company, which engages a single Trading Advisor (see Note 3). As of December 31, 2016, there are six Underlying Funds (see Note 3) held by the Fund. The Manager serves as CPO of the Underlying Funds and Master Funds.

Unless the context requires otherwise, references to the Fund in these financial statements notes, also refer to the Underlying Funds and the Master Funds in which the Underlying Funds invest. Reference to the investment process, strategies, objectives or activities of the Fund and the Underlying Funds refer to the investment activities of the Master Funds through which the Underlying Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities. Additionally, references to the

10

Underlying Funds that follow are also related to the FuturesAccess Portfolio Funds during the period prior to May 1, 2015.

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 any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

2.             SIGNIFICANT ACCOUNTING POLICIES

The Fund prepares its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). These financial statements have applied the guidance as set forth in the Financial Accounting Standards Board (“FASB”) ASC 946, Financial Services - Investment Companies. The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

Cash and Cash Equivalents

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of December 31, 2016 and December 31, 2015, the Fund does not hold any cash equivalents. Cash is held at a nationally recognized financial institution.

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.

Statement of Cash Flows

In accordance with FASB ASC 230, the Fund is exempt from the requirement to provide a statement of cash flows as all required conditions have been met.

Revenue Recognition

The resulting change between cost and market value (net of subscription and redemption activity in the investment in the Underlying Funds) is reflected in the Statements of Operations as change in unrealized from the investments in the Underlying Funds. In addition, when the Fund redeems or partially redeems its interest in the Underlying Funds, it records realized (net profit or loss) under Trading profit (loss), net for such interests in the Statements of Operations of the Fund.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar. The Master Funds may invest in financial instruments denominated in currencies other than U.S. dollar. However, the Master Funds value their financial instruments in U.S. dollars. The Master Funds may or may not seek to hedge their foreign currency exposure by entering into currency hedging transactions, such as treasury locks, forward contracts, future contracts and cross-currency swaps. Assets and liabilities denominated in currencies other than the U.S.

11

dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition of the Fund and each of the Underlying Funds and Master Funds. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statement of Operations of the Master Funds.

Operating Expenses and Selling Commissions

The Fund pays all of its ongoing operating costs, including, without limitation: ongoing offering fees and expenses; transaction costs; legal, accounting, audit and tax reporting and preparation fees and expenses; administrative, custody, transfer, subscription and redemption processing fees and expenses; regulatory, filing and printing fees and expenses; and any extraordinary expenses. Operating costs are allocated pro rata among each Class of Units based on their respective Net Asset Values.

During the year ended December 31, 2016, the Fund incurred $485,878 of costs for reports to shareholders, which is currently included in other expenses on the Statement of Operations.

Class A Units are subject to upfront sales commissions paid to Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Class AA, Class II and Class MM Units are subject to upfront sales commissions of up to 3.0% of an investor’s net subscription amount, payable to MLPF&S. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions.

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes.

The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value (“NAV”) of the Fund, including reducing the NAV of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund or the Underlying Funds. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. The Manager has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2013.

12

Distributions

Each investor is entitled to receive, equally per unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2016, 2015 and 2014.

Subscriptions

The Fund generally offers units (“Units”) for investment each Monday (or, where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (each a “Subscription Day”). Investors must submit their executed subscription agreement five business days prior to the Subscription Day. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate NAV, equal to the dollar amount invested.

Each member shares in the profits and losses of the Fund in proportion to the number of Units held by each member. However, no member is liable for obligations of the Fund in excess of its capital subscription and net profits or losses, if any. Except as noted above in respect to sales commissions and in Notes 6 below in respect of fees, the classes of units are identical.

Redemptions

Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of (i) each Friday (or, where such day is not a business day, the immediate following business day) and/or (ii) such other days as the Manager may determine in its sole discretion (each a “Redemption Day”), upon providing notice to the Fund in writing (or in such other manner as the Manager may determine in its sole discretion) not less than four business days prior to the Redemption Day. The NAV of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption requests and the applicable Redemption Date.

New Accounting Pronouncement

In August 2014, FASB issued ASU 2014-15, Presentation of Financial Statements — Going Concern (Subtopic 205-40) (“ASU 2014-15”). The pronouncement determines management’s responsibility regarding assessment of the Fund’s ability to continue as a going concern, even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management needs to evaluate whether there are conditions or events that, in aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt exists if these conditions or events indicate that the Fund will be unable to meet its obligations as they become due. If such conditions or events exist, management should develop a plan to mitigate or alleviate these conditions or events. Regardless of management’s plan to mitigate, certain disclosures must be made in the financial statements. ASU 2014-15 is effective for annual periods ending after December 15, 2016, however, early adoption is permitted. Adoption of the update had no impact on the Fund’s financial statements.

3.             INVESTMENTS IN UNDERLYING FUNDS

During 2015, the Fund held investments in the following FuturesAccess Portfolio Funds: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), John Locke FuturesAccess LLC (“John Locke”), Lynx FuturesAccess LLC (“Lynx”), ML Transtrend DTP Enhanced

13

FuturesAccess LLC (“Transtrend”), Tudor Tensor FuturesAccess LLC (“Tudor”) and ML Winton FuturesAccess LLC (“Winton”). As of April 30, 2015, the Fund fully redeemed its investments in the FuturesAccess Portfolio Funds.

During May 2015, the Fund invested in a new group of Underlying Funds. As of December 31, 2016, the six Underlying Funds in which the Fund is invested in, and the respective Master Funds in which the Underlying Funds are invested in, are: (i) Blakeney Delaware Feeder LLC (“Blakeney”) which invests in Blakeney Fund Limited, (ii) Campbell Delaware Feeder LLC (“Campbell”) which invests in Campbell MAC Cayman Fund Limited, (iii) CCP Core Macro Delaware Feeder LLC (“CCP Core Macro”) which invests in CCP Core Macro Cayman Fund Limited, (iv) Century CAT MAC Delaware Feeder LLC (“Century CAT”) which invests in Century CAT MAC Cayman Fund Limited, (v) Quantica MF Delaware Feeder LLC (“Quantica MF”) which invests in Quantica MF Cayman Fund Limited, and (vi) Silver Delaware Feeder LLC (“Silver”) which invests in Silver MAC Limited. As used herein, Trading Advisor in respect of an Underlying Fund refers to the Trading Advisor of its related Master Fund. FRM, in its discretion, may change the Underlying Funds at any time. FRM, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Underlying Funds. In the process of rebalancing, the Fund’s allocation to any individual Underlying Fund may range between 3% - 25% of the Fund’s NAV.

During the year, the Fund had purchases of $53,670,000 and sales of $65,134,415 of investments in Underlying Funds. The investment transactions were accounted for on trade date. The investments in the Underlying Funds are valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, FRM utilized the NAV of the Underlying Funds which approximates fair value. The fair value was net of all fees relating to the Underlying Funds, paid or accrued. Additionally, FRM monitored the performance of the Underlying Funds. The fair value of the Fund’s assets and liabilities which qualify as financial instruments approximates the carrying amounts presented on the Statements of Financial Condition.

The details of investments in Underlying Funds at and for the year ended December 31, 2016 are as follows:

	Percentage of
	Members’							Cost @		Management		Performance			Redemptions
	Capital		Fair Value		Profit (Loss)			12/31/16		Fees		Fees			Permitted
Blakeney	11.13	%	$	12,788,895	$	(15,627	)	$	13,427,752	$	405,674	178,465			Weekly
Campbell	9.33	%	10,721,283		(3,135,990		)	13,028,816		356,382		8,285			Weekly
Carlisle*	—		—		713,644			—		35,154		119,723			Weekly
CCP Core Macro	10.12	%	11,633,446		(425,212		)	12,743,445		176,762		(407		)	Weekly
Century CAT**	12.32	%	14,163,692		(2,881,308		)	16,787,646		93,602		—			Weekly
Quantica MF	8.64	%	9,934,794		1,510,060			10,088,625		143,688		—			Weekly
Silver	8.30	%	9,537,757		17,504			10,980,982		116,455		—			Weekly
	59.84	%	$	68,779,867	$	(4,216,929	)	$	77,057,266	$	1,327,717	$	306,066

* Underlying Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829.

** Underlying Fund purchased in March 2016.

14

The details of investments in FuturesAccess Portfolio Funds and in Underlying Funds at and for the year ended December 31, 2015 are as follows:

	Percentage of
	Members’							Cost @		Management		Performance			Redemptions
	Capital		Fair Value		Profit (Loss)			12/31/15		Fees		Fees			Permitted
Transtrend*	0.00	%	$	—	$	501,384		$	—	$	180,168	$	145,534		Semi-Monthly
Winton*	0.00	%	—		407,901			—		299,068		492,114			Semi-Monthly
Aspect*	0.00	%	—		(509,070		)	—		164,422		467,119			Semi-Monthly
John Locke*	0.00	%	—		1,283,475			—		166,674		320,838			Semi-Monthly
Blue trend*	0.00	%	—		2,862,359			—		184,796		545,795			Monthly
Tudor*	0.00	%	—		1,341,872			—		165,656		315,320			Semi-Monthly
Lynx*	0.00	%	—		714,472			—		225,815		730,254			Semi-Monthly
Blakeney**	12.75	%	20,499,522		(465,478		)	20,751,000		285,106		—			Weekly
Campbell**	12.50	%	20,102,273		(1,672,727		)	21,084,372		308,835		(55,828		)	Weekly
Carlisle**	3.98	%	6,395,771		(1,304,229		)	6,754,807		137,694		23,009			Weekly
CCP Core Macro**	5.74	%	9,238,658		(1,901,342		)	10,422,116		106,198		—			Weekly
Quantica MF**	10.85	%	17,439,734		(7,620,266		)	23,687,804		201,190		1,512			Weekly
Silver**	6.71	%	10,785,253		(4,329,747		)	13,190,692		123,621		—			Weekly
	52.53	%	$	84,461,211	$	(10,691,396	)	$	95,890,791	$	2,549,243	$	2,985,667

* FuturesAccess Portfolio Funds redeemed as of April 30, 2015.

** Underlying Funds purchased in May 2015.

As of December 31, 2016 and 2015, there are no investments held by the Underlying Funds and the Underlying Funds’ Master Funds that in the aggregate exceed 5% of the Fund’s members’ capital.

The following is summarized financial information as required by Regulation S-X, for each of the FuturesAccess Portfolio Funds and the Underlying Funds:

	As of December 31, 2016
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	12,939,371	$	141,001	$	12,798,370
Campbell	10,859,354		130,341		10,729,013
CCP Core Macro	11,744,051		98,433		11,645,618
Century CAT	14,247,902		75,923		14,171,979
Quantica MF	10,069,651		127,622		9,942,029
Silver	9,670,349		125,495		9,544,854
Total	$	69,530,678	$	698,815	$	68,831,863

	As of December 31, 2015
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	20,631,073	$	421,747	$	20,209,326
Campbell	21,212,903		1,331,203		19,881,700
Carlisle	6,488,042		83,221		6,404,821
CCP Core Macro	9,321,267		74,078		9,247,189
Quantica MF	17,560,913		444,542		17,116,371
Silver	11,676,904		883,811		10,793,093
Total	$	86,891,102	$	3,238,602	$	83,652,500

15

	For the year ended December 31, 2016
									Net
	Income (Loss)			Commissions		Expenses			Income (Loss)
Blakeney	$	285,631		$	—	$	(301,619	)	$	(15,988	)
Campbell	(2,865,772		)	—		(271,928		)	(3,137,700		)
Carlisle#	776,008			—		(115,102		)	660,906
CCP Core Macro	111,541			—		(529,943		)	(418,402		)
Century CAT##	(2,697,621		)	—		(182,029		)	(2,879,650		)
Quantica MF	1,731,012			—		(220,354		)	1,510,658
Silver	233,347			—		(216,584		)	16,763
Total	$	(2,425,854	)	$	—	$	(1,837,559	)	$	(4,263,413	)

#Underlying Fund was redeemed in April 2016.

##Underlying Fund purchased in March 2016.

	For the year ended December 31, 2015
										Net
	Income (Loss)			Commissions			Expenses			Income (Loss)
Aspect*	$	404,556		$	(169,723	)	$	(4,910,852	)	$	(4,676,019	)
BlueTrend*	9,245,595			(170,694		)	(2,259,861		)	6,815,040
John Locke*	1,864,422			(74,165		)	(506,783		)	1,283,474
Lynx *	2,414,522			(79,733		)	(1,344,163		)	990,626
Transtrend*	1,877,424			(177,794		)	(921,164		)	778,466
Tudor*	1,983,906			(127,346		)	(514,687		)	1,341,873
Winton*	25,719,496			(335,422		)	(24,207,340		)	1,176,734
Blakeney**	(246,302		)	—			(224,457		)	(470,759		)
Campbell**	(1,355,182		)	—			(236,523		)	(1,591,705		)
Carlisle**	(1,152,742		)	—			(152,437		)	(1,305,179		)
CCP Core Macro**	(1,757,466		)	—			(145,345		)	(1,902,811		)
Quantica MF**	(7,392,755		)	—			(230,874		)	(7,623,629		)
Silver**	(4,343,455		)	—			(206,272		)	(4,549,727		)
Total	$	27,262,019		$	(1,134,877	)	$	(35,860,758	)	$	(9,733,616	)

* FuturesAccess Portfolio Funds redeemed as of April 30, 2015. The information above reflects income and expenses of the related FuturesAccess Portfolio Fund for the period from January 1, 2015 through April 30, 2015.

** Underlying Funds purchased in May 2015.

	For the year ended December 31, 2014
										Net
	Income (Loss)			Commissions			Expenses			Income (Loss)
Altis*	$	(2,692,878	)	$	(50,824	)	$	(177,341	)	$	(2,921,043	)
Aspect	42,916,804			(562,521		)	(9,186,371		)	33,167,912
BlueTrend	10,068,569			(530,630		)	(3,183,394		)	6,354,545
John Locke	6,683,299			(225,361		)	(1,208,425		)	5,249,513
Lynx	14,668,003			(218,706		)	(3,616,591		)	10,832,706
Transtrend	16,067,593			(573,907		)	(3,152,986		)	12,340,700
Tudor	4,770,661			(476,414		)	(543,889		)	3,750,358
Winton	169,525,630			(1,182,808		)	(63,893,716		)	104,449,106
Total	$	262,007,681		$	(3,821,171	)	$	(84,962,713	)	$	173,223,797

* Altis liquidated as of March 31, 2014.

16

4.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).

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.

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. FRM’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.

FASB ASC 820 - Fair Value Measurement and Disclosures no longer requires investments for which fair value is determined based on practical expedient reliance to be reported utilizing the fair value hierarchy. As of December 31, 2016 and December 31, 2015, all of the investments were fair valued using the NAV as practical expedient of the Underlying Funds.

5.MARKET, CREDIT AND CONCENTRATION RISKS

The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes certain of those risks.

17

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 Master Funds’ financial assets (liabilities) at fair value through profit or loss on such derivative instruments as reflected in the Statements of Financial Condition of the Master Funds. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Master Funds 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.

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 members 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 derivatives, at fair value, if any, included in the Master Funds’ Statements of Financial Condition.

As of December 31, 2016, the Underlying Funds held by the Fund do not invest directly in positions other than their related Master Funds. The Master Funds enter into contracts with various futures clearing brokers. These brokers may encounter financial difficulties that can impair the operating capabilities or the capital position of the Master Funds, and in turn, the Underlying Funds. The Trading Advisors of the Master Funds will attempt to limit transactions to well-capitalized and established brokers in an effort to mitigate such risk.

Credit risk is the possibility that a loss may occur from the failure of a counterparty to make payments according to the terms of a contract. The Fund’s exposure to credit risk is contingent upon the Underlying Funds and the brokers and counterparties which the Underlying Funds transact business with as well as amounts recorded as assets in the Statements of Financial Condition.

Cash held as deposits may exceed the amount of federal insurance provided on such deposits and are therefore subject to credit risk.

Concentration Risk

The Fund’s investments in the Underlying Funds are subject to the market and credit risk of the Underlying Funds. Because the majority of the Fund’s capital is invested in the Underlying Funds, any changes in the market conditions that would adversely affect the Underlying Funds could significantly impact the solvency of the Fund.

18

Currency Risk

The Fund’s investments in the Underlying Funds are subject to currency risk to the extent that the fair value or future cash flow of a financial instrument held by any Underlying Fund will fluctuate because of changes in foreign exchange rates.

Liquidity Risk

Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Units are the main liquidity risk for the Fund. The Units are redeemable as outlined in Note 2. The exposure to liquidity risk through redemption requests for Units is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the Underlying Funds as agreed by the Investment Manager.

Indemnifications

The Fund enters into administrative and other professional service contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is not known; however, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

6.RELATED PARTY TRANSACTIONS

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Former Transfer Agent”), an affiliate of MLAI, which was in place through April 30, 2015. The fees charged by the Former Transfer Agent for its services were based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranged from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. Effective as of May 1, 2015, The Bank of New York Mellon, a corporation organized under the laws of the State of New York, through its Alternative Investment Services division (“AIS”), serves as the administrator, registrar and transfer agent (“New Transfer Agent”) for the Fund pursuant to an Administrative Services Agreement. The New Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of units. The New Transfer Agent is not a related party of the Fund.

The Former Transfer Agent fee allocated to the Fund for the year ended December 31, 2016, 2015 and 2014 amounted to $0, $36,363 and $47,679, respectively.

The Manager receives monthly management fees (“Management Fees”) based on the aggregate NAV of the Class of Units. The respective Management Fee rates are: Class A Units 1.5% per annum; Class C Units 2.5% per annum; and Class I Units 1.1% per annum. Class D Units and Class M Units are not charged Management Fees. Prior to May 1, 2015, Management Fees were known as sponsor fees and were paid to MLAI. Effective August 19, 2015, three new classes were offered by the Fund. The respective Management Fee for these classes are: Class AA units 2.5% per annum; Class II units 1.35% per annum; Class MM units 0.60% per annum.

7.WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding for each

19

Class for the years ended December 31, 2016, 2015 and 2014 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year.

8.SUBSEQUENT EVENTS

Effective January 1, 2017 the Fund has redeemed $250,000 from its investment in Quantica MF.

For the period January 1, 2017 to March 29, 2017, the Fund has recorded subscriptions of approximately $11,000 and redemptions of approximately $14,340,028.

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 additional subsequent events that require adjustment to, or disclosure in, the financial statements.

20

EX-13.02

Exhibit 13.02

Century CAT MAC Delaware Feeder LLC

(A Delaware limited liability company)

Report and Financial Statements

For the period from 12 February 2016 (date of formation)

to 31 December 2016

FRM Investment Management (USA) LLC, the risk manager and commodity pool operator (the “Risk Manager”) of Century CAT MAC Delaware Feeder LLC (the “Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Fund.

Century CAT MAC Delaware Feeder LLC

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Statement of operations	5
Statement of changes in unitholders’ capital	6
Statement of cash flows	7
Notes to the financial statements	8
Report of independent auditors	13

Appendix: Audited financial statements of Century CAT MAC Cayman Fund Limited

1

Century CAT MAC Delaware Feeder LLC

Directory

Board of Directors of the Master Fund	Registered office of the Master Fund
Colin Ball	c/o Citco Trustees (Cayman) Limited
John Renouf	89 Nexus Way
Jennifer Thomson	Camana Bay
	P.O. Box 31106
Master Fund	Grand Cayman, KY1-1205
Century CAT MAC Cayman Fund Limited	Cayman Islands
c/o Citco Trustees (Cayman) Limited
89 Nexus Way	Legal Advisors to the Master Fund
Camana Bay	(as to Cayman Islands law)
P.O. Box 31106	Maples and Calder
Grand Cayman, KY1-1205	P.O. Box 309
Cayman Islands	Ugland House
	Grand Cayman, KY1-1104
Manager and Risk Manager of the Fund; Risk Manager of	Cayman Islands
the Master Fund
FRM Investment Management (USA) LLC	Legal Advisors to the Fund and the Master Fund
452 Fifth Avenue, 26th Floor	(as to U.S. law)
New York, NY 10018	Sidley Austin LLP
United States of America	One South Dearborn
	Chicago, IL 60603
Investment Manager of the Master Fund	United States of America
Crabel Capital Management, LLC
10250 Constellation Blvd #2650	Auditors
Los Angeles, CA 90067	Ernst & Young Ltd.
United States of America	Suite 6401
	62 Forum Lane
Administrator	Camana Bay
International Fund Services (Ireland) Limited	Grand Cayman, KY1-1106
78 Sir John Rogerson’s Quay	Cayman Islands
Dublin 2
Ireland
Bank
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
United States of America

2

Century CAT MAC Delaware Feeder LLC

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in these financial statements of Century CAT MAC Delaware Feeder LLC for the period from 12 February 2016 (date of formation) to 31 December 2016 is accurate and complete.

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Century CAT MAC Delaware Feeder LLC

3

Century CAT MAC Delaware Feeder LLC

Statement of financial condition

As at 31 December 2016

		2016
	Notes	US$
Assets
Investment in Century CAT MAC Cayman Fund Limited, at fair value	3	14,216,076
Other assets		31,825
Total assets		14,247,901
Liabilities
Risk management fees payable	6	18,178
Accrued expenses		57,744
Total liabilities		75,922
Net assets		14,171,979
Which are represented by:
Series A Units
17,102 Series A Units with a Net Asset Value per
Unit of US$828.67	7	14,171,979
		14,171,979

Approved and authorised for issue on behalf of the manager of Century CAT MAC Delaware Feeder LLC on 16 March 2017.

Linzie Steinbach

FRM Investment Management (USA) LLC

The accompanying notes form an integral part of these financial statements.

The financial statements of Century CAT MAC Cayman Fund Limited should be read in conjunction with these financial statements.

4

Century CAT MAC Delaware Feeder LLC

Statement of operations

For the period from 12 February 2016 (date of formation) to 31 December 2016

		2016
	Notes	US$
Investment income allocated from Century CAT MAC Cayman Fund Limited
Interest income		21,341
Total investment income		21,341
Expenses allocated from Century CAT MAC Cayman Fund Limited
Management fees	5	93,657
Administration fees		16,794
Interest expense		9,813
Other expenses		18,160
Total expenses		138,424
Net investment loss allocated from Century CAT MAC Cayman Fund Limited		(117,083	)
Fund expenses
Risk management fees	5,6	93,657
Administration fees	5	14,422
Other expenses		77,365
Total fund expenses		185,444
Net investment loss		(302,527	)
Net realised loss and unrealised appreciation from derivatives and foreign currency allocated from Century CAT MAC Cayman Fund Limited
Net realised loss from non-commodity interest derivatives and foreign currency		(691,890	)
Net realised loss from commodity interest derivatives		(2,563,298	)
Net unrealised appreciation from non-commodity interest derivatives and foreign currency		393,793
Net unrealised appreciation from commodity interest derivatives		280,901
Net realised loss and unrealised appreciation from derivatives and foreign currency		(2,580,494	)
Net decrease in net asset resulting from operations		(2,883,021	)

The accompanying notes form an integral part of these financial statements.

The financial statements of Century CAT MAC Cayman Fund Limited should be read in conjunction with these financial statements.

5

Century CAT MAC Delaware Feeder LLC

Statement of changes in unitholders’ capital

For the period from 12 February 2016 (date of formation) to 31 December 2016

		2016
	Notes	US$
Net assets at the beginning of the period		—
Changes in net assets resulting from operations
Net investment loss		(302,527	)
Net realised loss and unrealised appreciation from derivatives and foreign currency allocated from Century CAT MAC Cayman Fund Limited
Net realised loss from non-commodity interest derivatives and foreign currency		(691,890	)
Net realised loss from commodity interest derivatives		(2,563,298	)
Net unrealised appreciation from non-commodity interest derivatives and foreign currency		393,793
Net unrealised appreciation from commodity interest derivatives		280,901
Net realised loss and unrealised appreciation from derivatives and foreign currency		(2,580,494	)
Net decrease in net assets resulting from operations		(2,883,021	)
Change in net assets resulting from capital transactions
Issuance of Units	7	21,630,000
Redemptions of Units	7	(4,575,000	)
Net increase in net assets resulting from capital transactions		17,055,000
Net increase in net assets		14,171,979
Net assets at the end of the period		14,171,979

The accompanying notes form an integral part of these financial statements.

The financial statements of Century CAT MAC Cayman Fund Limited should be read in conjunction with these financial statements.

6

Century CAT MAC Delaware Feeder LLC

Statement of cash flows

For the period from 12 February 2016 (date of formation) to 31 December 2016

	2016
	U S $
Cash flows from operating activities
Net decrease in net assets resulting from operations	(2,883,021	)
Adjustments to reconcile net decrease in net assets resulting from operations to net cash used in operating activities:
Net investment in Century CAT MAC Cayman Fund Limited	(14,216,076	)
Increase in other assets	(31,825	)
Increase in risk management fees payable	18,178
Increase in accrued expenses	57,744
Net cash used in operating activities	(17,055,000	)
Cash flows from financing activities
Proceeds from issue of Units	21,630,000
Payments for redemption of Units	(4,575,000	)
Net cash provided by financing activities	17,055,000
Net increase/decrease in cash and cash equivalents	—
Cash and cash equivalents at the beginning of the period	—
Cash and cash equivalents at the end of the period	—

The accompanying notes form an integral part of these financial statements.

The financial statements of Century CAT MAC Cayman Fund Limited should be read in conjunction with these financial statements.

7

Century CAT MAC Delaware Feeder LLC

Notes to the financial statements

For the period from 12 February 2016 (date of formation) to 31 December 2016

1.General

Century CAT MAC Delaware Feeder LLC (the “Fund”) was organised as a Delaware limited liability company on 12 February 2016. The Fund commenced trading on 21 March 2016.

The investment objective of the Fund is to maximise the long-term total returns to the holders of the Fund’s units (the “Units”). The Fund invests substantially all of its investible assets (to the extent not retained in cash) in, and conducts its investment program through, a “master-feeder structure” by investing into Century CAT MAC Cayman Fund Limited, an exempted company with limited liability incorporated in the Cayman Islands under the provisions of the Companies Law (as amended) of the Cayman Islands (the “Master Fund”). As at 31 December 2016, the Fund held 21.38% of the Master Fund.

The most recent, applicable Confidential Offering Memorandum of the Fund (the “Offering Memorandum”) is dated 21 March 2016.

Crabel Capital Management, LLC, a Wisconsin limited liability company, has been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). The Investment Manager is registered as a commodity trading advisor with the U.S. Commodity Futures Trading Commission (the “CFTC”), and is a member of the U.S. National Futures Association (“NFA”) in such capacity. FRM Investment Management (USA) LLC, a Delaware limited liability company, has been appointed as the manager, risk manager and commodity pool operator of the Fund (the “Risk Manager”). The Risk Manager is registered as an “investment advisor” under the U.S. Investment Advisors Act of 1940, as amended (the “Advisors Act”), with the U.S. Securities and Exchange Commission (the “SEC”), as a commodity pool operator and commodity trading advisor with the CFTC and is a member of the NFA in such capacities.

The financial statements of the Master Fund are attached and should be read in conjunction with the Fund’s financial statements.

2.Significant accounting policies

These financial statements have been prepared in accordance with United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Fund is an investment company in conformity with US GAAP. Therefore the Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

Management has made an assessment of the Fund’s ability to continue as a going concern and is satisfied that the Fund has resources to continue in business for the foreseeable future. Furthermore, management is not aware of any material uncertainties that may cast significant doubt upon the Fund’s ability to continue as a going concern; therefore, these financial statements are prepared on a going concern basis.

(a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in these financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

(b)Recent accounting pronouncements

In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity’s Ability to Continue as a Going Concern” (ASU 2014-15), which provides guidance on determining when and how to disclose going-concern uncertainties in these financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. The Fund adopted this ASU during the period, and it had no significant impact on these financial statements.

(c)Investment in Master Fund

The Fund’s investment in the Master Fund is recorded at fair value, which is the Fund’s proportionate interest in the net assets of the Master Fund. The Fund records its proportionate share of the Master Fund’s income, expenses, and realised and unrealised gains and losses on the statement of operations.

Valuation of the investments held by the Master Fund including, but not limited to, the valuation techniques used and classification within the fair value hierarchy of instruments held by the Master Fund are discussed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

8

Century CAT MAC Delaware Feeder LLC

Notes to the financial statements (continued)

For the period from 12 February 2016 (date of formation) to 31 December 2016

2.Significant accounting policies (continued)

(d)Foreign currency

Items included in the Fund’s financial statements are measured using the currency of the primary economic environment in which it operates which is US$ (the “Functional Currency”). These financial statements are presented in the Functional Currency, US$, reflecting the fact that transactions are denominated primarily in US$.

Transactions during the period denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at the period-end denominated in foreign currency, the resulting gains or losses are included in the net realised loss and unrealised appreciation from non-commodity interest derivatives and foreign currency on the statement of operations.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in the net realised loss and unrealised appreciation from non-commodity interest derivatives and foreign currency on the statement of operations.

(e)Cash and cash equivalents

Cash and cash equivalents include cash held at a bank maturing within three months of the period end date.

(f)Recognition and allocation of income or loss

The Fund records subscriptions to and redemptions from the Master Fund on the transaction date. The Fund records its proportionate share of the Master Fund’s income, expenses and change in realised and unrealised gains and losses. In addition, the Fund accrues its own income and expenses. The Master Fund’s income and expense recognition and net gain/loss allocation policies are disclosed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

The Fund allocates income or loss between classes of Units after consideration of any prior day accruals for operating expenses and management fees in the Fund.

(g)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amounts and number of Units are not fixed remain in capital until the net asset value used to determine the redemption and unit amounts are determined. The Fund does not have any redemptions payable as at the period end.

(h)Offsetting

Financial assets and liabilities are offset and the net amount is reported on the statement of financial condition when the Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the period end no financial instruments of the Fund are being presented net within the statement of financial condition of the Fund.

(i)Taxation

The Fund is classified as a partnership for United States Federal income tax purposes. Consequently, no provision has been made in these financial statements for United States federal or state income taxes as any tax liability arising from operations of the Fund is the responsibility of the unitholders and not the Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740” (“ASU 740-10”) clarifies the accounting for uncertainty in income taxes recognised in the Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Fund. Tax positions that meet the “more-likely-than-not” recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

9

Century CAT MAC Delaware Feeder LLC

Notes to the financial statements (continued)

For the period from 12 February 2016 (date of formation) to 31 December 2016

2.Significant accounting policies (continued)

(i)Taxation (continued)

Management has analysed the Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Fund’s financial statements. Management’s assessment considers tax years subject to investigation. The Fund recognises interest and penalties, if any, related to unrecognised tax liability as income tax expense on the statement of operations. During the period ended 31 December 2016, the Fund did not incur any interest or penalties.

(j)Preliminary expenses

The Fund has borne its organisational expenses, including, without limitation, legal, accounting, filing and administration expenses associated with the organisation of the Fund and the offering of Units. For financial statement and net asset value purposes the organisational costs are amortised over the first 36 months of trading of the Fund.

3.Fair value of financial instruments

The Fund invests in the Master Fund as part of a “master-feeder” structure as disclosed in Note 1. The investment objective of the Master Fund is disclosed in the financial statements of the Master Fund which are attached to these financial statements. The redemption terms of the Master Fund are in accordance with the redemption terms of the Fund as disclosed in Note 7 of these financial statements.

The fair value of the Fund’s assets and liabilities which qualify as financial instruments under disclosure about Fair Value of Financial Instruments approximates the carrying amounts presented on the statement of financial condition.

4.Financial risk management and associated risk

Since the Fund invests in the Master Fund, the Fund will also bear the risks associated with the Master Fund, which risks are disclosed in Note 7 of the Master Fund’s financial statements and in the Offering Memorandum.

5.Fees and expenses

Management fees

Pursuant to the Investment Management Agreement entered into between the Master Fund and the Investment Manager (“IMA”), the Master Fund pays a management fee to the Investment Manager. Details of the IMA are disclosed in Note 8 of the Master Fund’s financial statements.

Risk management fees

Pursuant to the Risk Management Agreement entered into by and among the Fund, the Master Fund and the Risk Manager (the “Management Agreement”), the Fund pays the Risk Manager a risk management fee equal to 0.50% per annum of the trading level of the Master Fund’s assets attributable to each series of the Fund, quarterly in arrears, and a pro rata share of any licensing fees for the use of any risk assessment tools provided by any third party which are used by the Risk Manager in providing services to the Fund pursuant to the Management Agreement.

Administration fees

The Fund paid the administrator of the Fund (the “Administrator”) an administration fee for the period of US$ 14,422. The Administrator’s fees are subject to review from time to time to reflect changes in the operational cost of administering the Fund, as further set out in the administration agreement entered between the Administrator and the Fund. In addition, the Administrator receives an additional administration fee from the Master Fund of up to 0.15% per annum of the net asset value of the Master Fund.

6.Related party transactions

The Risk Manager is a related party as it is the manager, risk manager and commodity pool operator of the Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund. The terms of the management fees payable are disclosed in Note 8 of the Master Fund’s financial statements.

Management is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisors and/or agents of other companies, including companies and other legal structures in which the Fund may invest and/or which may invest in the Fund.

10

Century CAT MAC Delaware Feeder LLC

Notes to the financial statements (continued)

For the period from 12 February 2016 (date of formation) to 31 December 2016

6.Related party transactions (continued)

The following transactions took place between the Fund and its related parties for the period ended 31 December 2016:

		Total fees	Fees payable
Related party	Type of fee	US$	US$
FRM Investment Management (USA) LLC	Risk management fees	93,657	18,178

As at 31 December 2016, 100% of the outstanding Units were owned by entities affiliated with Man Group plc (refer to Note 7).

7.Unitholders’ capital

The minimum initial capital contribution and the minimum additional contribution by a unitholder is US$ 100,000. The Manager may determine the current minimum subscription and/or such other amount in its sole discretion.

The Fund offers Units on the first business day of each week or each month (the “Dealing Day”), or at any other time the Manager, in their sole discretion, may permit. A business day is any day which is not a Saturday, Sunday or a day on which banking institutions are obliged by law or regulation to close in New York, or another day classified as a business day according to such criteria as the Manager may adopt from time to time. The Manager, in their sole discretion, may decline to sell Units to any unitholder for any reason or no reason.

Unitholders may, subject to the restrictions set out in the Offering Memorandum, redeem their Units on each Dealing Day of the Fund. Redemptions may be accepted on days other than the specified redemption date, in the Manager’s sole discretion. Units will be considered to be withdrawn on a “first purchased, first withdrawn” basis.

The Units shall be issued as Series A Units or Series B Units as designated by the Manager. Series A Units and Series B Units have identical rights and privileges in all respects except that: (i) Series A Units are only available for subscription by Man Investors (as defined in the Offering Memorandum); and (ii) Series B Units are subject to the Reporting Fee (as defined in the Offering Memorandum). The Manager may establish additional series, classes or tranches of Units in the future, which may have different and/or preferential terms to existing series, including among other things, the incentive fee, the management fee, minimum and additional subscription amounts, leverage levels, distribution policies, capacity rights, investor eligibility, voting rights, informational rights and other rights. For the period ended 31 December 2016, there were no Series B Shares in issue.

	Series A
	US$		No of Units
As at the beginning of the period			—
Issue of Units for the period*	21,630,000		21,934
Redemption of Units for the period	(4,575,000	)	(4,832	)
As at the end of the period			17,102

*This includes subscriptions of US$ 10,000 (10 Units) made by the Manager.

In the event of a winding-up or dissolution of the Fund or upon the distribution of capital, the unitholders shall be entitled to the return of the assets of the Fund held in respect of that series and, thereafter, to share pro rata in the assets, if any, of the Fund which are not held in respect of any series of Units.

11

Century CAT MAC Delaware Feeder LLC

Notes to the financial statements (continued)

For the period from 12 February 2016 (date of formation) to 31 December 2016

8.Financial highlights

	Series A
Per Unit operating performance:	US$
Net asset value per Unit at which units were initially issued	1,000.00
Change in net assets resulting from operations:
Net investment loss	(17.51	)
Net realised loss and unrealised appreciation
from derivatives and foreign currency	(153.82	)
Net decrease in net assets resulting from operations	(171.33	)
Net asset value per Unit at the end of the period	828.67
Total Return (i)
Total return	(17.13	)%
Ratios to average net assets (ii)
Net investment loss	(2.40	)%
Total expenses	2.57	%
Non trade expenses (ii)(iii)	2.48	%

(i)The total return as computed is not annualised.

(ii)The financial highlights are calculated for a Unit class or series taken as a whole. An individual unitholder’s financial highlights may vary from the above on the timing of capital transactions and individual management fee arrangements. Ratios to average net asset and non-trade expenses are annualised.

(iii)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Fund in the course of normal trading, to the average net assets described above.

9.Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote.

10.Subsequent events

Subsequent to 31 December 2016, investors subscribed for Series A Units having an aggregate net asset value of US$ Nil and redeemed Series A Units having an aggregate net asset values of US$ 1,465,000.

In connection with the preparation of the accompanying financial statements as at 31 December 2016, management has evaluated the impact of all subsequent events on the Fund through 16 March 2017, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in these financial statements.

12

Ernst & Young Ltd.
62 Forum Lane Camana Bay P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com

Report of Independent Auditors

The Manager

Century CAT MAC Delaware Feeder LLC

We have audited the accompanying financial statements of Century CAT MAC Delaware Feeder LLC (the “Fund”), which comprise the statement of financial condition, as of 31 December 2016, and the related statements of operations, statement of changes in unit holders’ capital and cash flows for the period from 12 February 2016 (date of formation) to 31 December 2016, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Century CAT MAC Delaware Feeder LLC at 31 December 2016, and the results of its operations, changes in its unitholders’ capital and its cash flows for the period from 12 February 2016 (date of formation) to 31 December 2016 in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young Ltd.

16 March 2017

A member firm of Ernst & Young Global Limited

13

Century CAT MAC Cayman Fund Limited

(A Cayman Islands exempted company)

Report and Financial Statements

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

FRM Investment Management (USA) LLC, the risk manager and commodity pool operator (the “Risk Manager”) of Century CAT MAC Cayman Fund Limited (the “Master Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Master Fund.

Century CAT MAC Cayman Fund Limited

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Condensed schedule of investments	5
Statement of operations	10
Statement of changes in net assets	11
Statement of cash flows	12
Notes to the financial statements	13
Report of independent auditors	25

1

Century CAT MAC Cayman Fund Limited

Directory

Board of Directors	Registered Office
Colin Ball	c/o Citco Trustees (Cayman) Limited
John Renouf	89 Nexus Way
Jennifer Thomson	Camana Bay
	P.O. Box 31106
Investment Manager	Grand Cayman, KY1-1205
Crabel Capital Management, LLC	Cayman Islands
10250 Constellation Blvd #2650
Los Angeles, CA 90067	Legal Advisors
United States of America	(as to Cayman Islands law)
	Maples and Calder
Risk Manager	P.O. Box 309
FRM Investment Management (USA) LLC	Ugland House
452 Fifth Avenue, 26th Floor	Grand Cayman, KY1-1104
New York, NY 10018	Cayman Islands
United States of America
	(as to U.S. law)
Administrator	Sidley Austin LLP
International Fund Services (Ireland) Limited	One South Dearborn
78 Sir John Rogerson’s Quay	Chicago, IL 60603
Dublin 2	United States of America
Ireland
	Auditors
Bank	Ernst & Young Ltd.
State Street Bank and Trust Company	Suite 6401
225 Franklin Street	62 Forum Lane
Boston, MA 02110	Camana Bay
United States of America	Grand Cayman, KY1-1106
	Cayman Islands
	Company Secretary
	CSS Corporation Ltd.
	89 Nexus Way
	Camana Bay
	P.O. Box 31106
	Grand Cayman, KY1-1205
	Cayman Islands
	Prime Brokers
	Credit Suisse Securities (USA) LLC
	Eleven Madison Avenue
	New York, NY 10010
	United States of America
	Deutsche Bank Securities Inc.
	5022 Gate Parkway, Suite 400
	Jacksonville, FL 32256
	United States of America

2

Century CAT MAC Cayman Fund Limited

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in these financial statements of Century CAT MAC Cayman Fund Limited for the period from 15 January 2016 (date of incorporation) to 31 December 2016 is accurate and complete.

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Century CAT MAC Cayman Fund Limited

3

Century CAT MAC Cayman Fund Limited

Statement of financial condition

As at 31 December 2016

	Notes	2016 US$
Assets
Derivatives, at fair value	4,5	3,440,443
Cash and cash equivalents	3	981,323
Balances with brokers	3	63,241,712
Other assets		33,712
Total assets		67,697,190
Liabilities
Derivatives, at fair value	4,5	1,789,110
Redemptions payable		100,000
Management fees payable	8,9	41,685
Accrued expenses		64,956
Total liabilities		1,995,751
Net assets		65,701,439
Which are represented by:
78,358 Series A Shares with a Net Asset Value per Share of US$838.48		65,701,439

Approved and authorised for issue on behalf of the Board on 16 March 2017.

Jennifer Thomson	John Renouf
Director	Director

The accompanying notes form an integral part of these financial statements.

4

Century CAT MAC Cayman Fund Limited

Condensed schedule of investments

As at 31 December 2016

	Fair Value		% of
Investments in derivatives at fair value	US$		Net Assets
Derivative contracts — long exposure contracts
Futures contracts
Australia
Equity futures	43,301		0.07
Commodity futures	(106	)	0.00
Total Australia	43,195		0.07
Canada
Equity futures	3,090		0.00
Commodity futures	(8,838	)	(0.01	)
Total Canada	(5,748	)	(0.01	)
China
Equity futures	110		0.00
Total China	110		0.00
France
Bond futures	59,372		0.10
Commodity futures	9,836		0.01
Equity futures	35,334		0.05
Total France	104,542		0.16
Germany
Bond futures	446,832		0.68
Equity futures	65,097		0.10
Total Germany	511,929		0.78
Hong Kong
Equity futures	3,312		0.01
Total Hong Kong	3,312		0.01
Italy
Equity futures	47,005		0.07
Total Italy	47,005		0.07
Japan
Bond futures	17,148		0.03
Commodity futures	9,603		0.01
Equity futures	(28,671	)	(0.04	)
Total Japan	(1,920	)	0.00
Korea
Equity futures	43,716		0.07
Total Korea	43,716		0.07

The accompanying notes form an integral part of these financial statements.

5

Century CAT MAC Cayman Fund Limited

Condensed schedule of investments (continued)

As at 31 December 2016

	Fair Value		% of
Investments in derivatives at fair value	US$		Net Assets
Derivative contracts — long exposure contracts (continued)
Futures contracts (continued)
Malaysia
Commodity futures	7,802		0.01
Total Malaysia	7,802		0.01
Netherlands
Equity futures	37,349		0.06
Total Netherlands	37,349		0.06
Norway
Equity futures	714		0.00
Total Norway	714		0.00
Singapore
Bond futures	(34	)	0.00
Equity futures	5,774		0.01
Total Singapore	5,740		0.01
Spain
Equity futures	5,209		0.01
Total Spain	5,209		0.01
Sweden
Equity futures	(33,759	)	(0.05	)
Total Sweden	(33,759	)	(0.05	)
Switzerland
Bond futures	1,692		0.00
Equity futures	2,194		0.00
Total Switzerland	3,886		0.00
Thailand
Equity futures	19,038		0.03
Total Thailand	19,038		0.03
Turkey
Index futures	189		0.00
Total Turkey	189		0.00
United Kingdom
Bond futures	182,678		0.27
Commodity futures	135,601		0.21
Equity futures	45,453		0.07
Interest rate futures	13,925		0.02
Total United Kingdom	377,657		0.57

The accompanying notes form an integral part of these financial statements.

6

Century CAT MAC Cayman Fund Limited

Condensed schedule of investments (continued)

As at 31 December 2016

	Fair Value		% of
Investments in derivatives at fair value	US$		Net Assets
Derivative contracts — long exposure contracts (continued)
Futures contracts (continued)
United States
Commodity futures	471,576		0.71
Equity futures	(104,098	)	(0.16	)
Total United States	367,478		0.55
Total futures contracts (cost: US$ nil)	1,537,444		2.34
Forward foreign currency contracts
Forward foreign currency contracts	(339,370	)	(0.52	)
Total forward foreign currency contracts (cost: US$nil)	(339,370	)	(0.52	)
Total Derivative contracts — long exposure contracts	1,198,074		1.82
Derivative contracts — short exposure contracts
Futures contracts
Australia
Bond futures	20,447		0.03
Total Australia	20,447		0.03
Canada
Bond futures	(78,282	)	(0.12	)
Interest rate futures	(233	)	0.00
Total Canada	(78,515	)	(0.12	)
Ecuador
Equity futures	(1,107	)	0.00
Total Ecuador	(1,107	)	0.00
France
Commodity futures	2,505		0.00
Total France	2,505		0.00
Germany
Bond futures	(34,554	)	(0.05	)
Equity futures	707		0.00
Total Germany	(33,847	)	(0.05	)
India
Equity futures	(15,925	)	(0.02	)
Total India	(15,925	)	(0.02	)

The accompanying notes form an integral part of these financial statements.

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Century CAT MAC Cayman Fund Limited

Condensed schedule of investments (continued)

As at 31 December 2016

Investments in derivatives at fair value	Fair Value US$		% of Net Assets
Derivative contracts — short exposure contracts (continued)
Futures contracts (continued)
Indonesia
Equity futures	(330	)	0.00
Total Indonesia	(330	)	0.00
Japan
Commodity futures	746		0.00
Total Japan	746		0.00
Malaysia
Equity futures	217		0.00
Total Malaysia	217		0.00
South Africa
Commodity futures	234		0.00
Equity futures	17,727		0.03
Total South Africa	17,961		0.03
United Kingdom
Commodity futures	105,197		0.16
Equity futures	(316	)	0.00
Total United Kingdom	104,881		0.16
United States
Bond futures	241,617		0.37
Commodity futures	205,464		0.31
Equity futures	85,895		0.13
Interest rate futures	(96,750	)	(0.15	)
Total United States	436,226		0.66
Total futures contracts (cost: US$nil)	453,259		0.69
Total Derivative contracts — short exposure contracts	453,259		0.69
Total Derivative contracts — long and short exposure contracts, at fair value (cost: US$nil)	1,651,333		2.51

The accompanying notes form an integral part of these financial statements.

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Century CAT MAC Cayman Fund Limited

Condensed schedule of investments (continued)

As at 31 December 2016

Reconciliation of long and short derivatives (Note 4)

	Fair Value
	US$
Derivative Assets at fair value
Total fair value of long derivative assets	2,659,443
Total fair value of short derivative assets	781,000
Total Derivative Assets at fair value	3,440,443
Derivative Liabilities at fair value
Total fair value of long derivative assets	(1,461,369	)
Total fair value of short derivative assets	(327,741	)
Total Derivative Liabilities at fair value	(1,789,110	)

The accompanying notes form an integral part of these financial statements.

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Century CAT MAC Cayman Fund Limited

Statement of operations

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

		2016
	Notes	US$
Investment income
Interest income		91,991
Total investment income		91,991
Expenses
Management fees	8,9	363,970
Administration fees	8	64,560
Interest expense		42,646
Other expenses	9	66,292
Total expenses		537,468
Net investment loss		(445,477	)
Net realised loss and unrealised appreciation from derivatives and foreign currency
Net realised loss from non-commodity interest derivatives and foreign currency	5	(4,098,101	)
Net realised loss from commodity interest derivatives	5	(9,350,465	)
Net unrealised appreciation from non-commodity interest derivatives and foreign currency	5	627,566
Net unrealised appreciation from commodity interest derivatives	5	1,024,677
Net realised loss and unrealised appreciation from derivatives and foreign currency		(11,796,323	)
Net decrease in net assets resulting from operations		(12,241,800	)

The accompanying notes form an integral part of these financial statements.

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Century CAT MAC Cayman Fund Limited

Statement of changes in net assets

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

		2016
	Notes	US$
Net assets at the beginning of the period
Changes in net assets resulting from operations
Net investment loss		(445,477	)
Net realised loss from non-commodity interest derivatives and foreign currency		(4,098,101	)
Net realised loss from commodity interest derivatives		(9,350,465	)
Net unrealised appreciation from non-commodity interest derivatives and foreign currency		627,566
Net unrealised appreciation from commodity interest derivatives		1,024,677
Net decrease in net assets resulting from operations		(12,241,800	)
Changes in net assets resulting from capital transactions
Issuance of Shares	10	91,855,000
Redemptions of Shares	10	(13,911,761	)
Net increase in net assets resulting from capital transactions		77,943,239
Net increase in net assets		65,701,439
Net assets at the end of the period		65,701,439

The accompanying notes form an integral part of these financial statements.

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Century CAT MAC Cayman Fund Limited

Statement of cash flows

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

	2016
	US$
Cash flows from operating activities
Net decrease in net assets resulting from operations	(12,241,800	)
Adjustments to reconcile net decrease in net assets resulting from operations to net cash used in operating activities:
Proceeds on settlement of derivative contracts	(13,447,656	)
Net unrealised appreciation from non-commodity interest derivatives and foreign currency	(627,566	)
Net unrealised appreciation from commodity interest derivatives	(1,024,677	)
Net realised loss from non-commodity interest derivatives and foreign currency	4,098,101
Net realised loss from commodity interest derivatives	9,350,465
Increase in balances with brokers	(63,241,712	)
Increase in other assets	(33,712	)
Increase in accrued expenses	64,956
Increase in management fees payable	41,685
Net cash used in operating activities	(77,061,916	)
Cash flows from financing activities
Proceeds from issue of Shares	91,855,000
Payments for redemption of Shares	(13,811,761	)
Net cash provided by financing activities	78,043,239
Net increase in cash and cash equivalents	981,323
Cash and cash equivalents at the beginning of the period	—
Cash and cash equivalents at the end of the period	981,323
Supplemental disclosure of cash flow information:
Interest paid	(42,646	)
Interest received	91,991

The accompanying notes form an integral part of these financial statements.

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Century CAT MAC Cayman Fund Limited

Notes to the financial statements

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

1.General

Century CAT MAC Cayman Fund Limited (the “Master Fund”) is an exempted company incorporated with limited liability in the Cayman Islands under the provisions of the Companies Law of the Cayman Islands (as amended). The Master Fund was incorporated in the Cayman Islands on 15 January 2016 and commenced trading on 21 March 2016. The Master Fund is an open-ended mutual fund registered with the Cayman Islands Monetary Authority (“CIMA”) and regulated under the Mutual Funds Law of the Cayman Islands (as amended).

The investment objective of the Master Fund is to maximise the long-term total returns to the holders of the Master Fund’s redeemable participating shares (the “Shares”). The Master Fund seeks to achieve its objective by primarily investing in futures, forwards and related investments pursuant to its advanced trend program. The advanced trend program is a systematic trading program designed to capture long-term classic managed futures trend following returns in an efficient manner.  The Master Fund has two separate feeder funds, Century CAT MAC Cayman Feeder, an exempted company incorporated with limited liability in the Cayman Islands (the “Offshore Fund”), and Century CAT MAC Delaware Feeder LLC, a Delaware limited liability company (the “Onshore Fund”; and, together with the Offshore Fund, the “Feeder Funds”). The Feeder Funds invest substantially all of their assets (to the extent not retained in cash) in the Master Fund. Further feeder funds may be created to invest in the Master Fund. As at 31 December 2016, the Offshore Fund and the Onshore Fund held 78.62% and 21.38% respectively of the Master Fund.

Crabel Capital Management, LLC a Wisconsin limited liability company, has been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). The Investment Manager is registered as a commodity trading advisor with the U.S. Commodity Futures Trading Commission (the “CFTC”) and is a member of the U.S. National Futures Association (“NFA”) in such capacity. FRM Investment Management (USA) LLC, a Delaware limited liability company, has been appointed as the risk manager and commodity pool operator of the Master Fund (the “Risk Manager”). The Risk Manager is registered as an “investment advisor” under the U.S. Investment Advisors Act of 1940, as amended (the “Advisors Act”), with the U.S. Securities and Exchange Commission (the “SEC”), as a commodity pool operator and commodity trading advisor with the CFTC and is a member of the NFA in such capacities.

2.Significant accounting policies

These financial statements have been prepared in accordance with United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Master Fund is an investment company in conformity with US GAAP. Therefore the Master Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standard Board (“FASB”) Accounting Standard Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

Management has made an assessment of the Master Fund’s ability to continue as a going concern and is satisfied that the Master Fund has resources to continue in business for the foreseeable future. Furthermore, management is not aware of any material uncertainties that may cast significant doubt upon the Master Fund’s ability to continue as a going concern; therefore, these financial statements are prepared on a going concern basis.

a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in these financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

b)Recent accounting pronouncements

In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity’s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in these financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date these financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. The Master Fund adopted this ASU during the period, and it had no significant impact on these financial statements.

c)Investments transactions and related investment income and expenses

Security transactions are recorded on a trade date basis. Realised gains and losses are computed using the first-in, first-out method. Interest income, interest expense and operating expenses are recorded on an accrual basis.

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Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

2.Significant accounting policies (continued)

d)Fair value of financial instruments

Definition and hierarchy

Derivative contracts are carried at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

A fair value hierarchy that prioritises the inputs to valuation techniques is used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:

·Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

·Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;

·Level 3 — Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable.

Valuation

Investments with values based on quoted market prices in active markets including active listed equities, are classified within Level 1. The Master Fund does not adjust the quoted price for such instruments, including in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices for an identical instrument, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non—transferability, which are generally based on available market information.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include private placements. When observable prices are not available for these financial instruments, the Investment Manager uses one or more valuation techniques e.g., the market approach or the income approach, for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors.

Derivative Instruments can be exchange-traded or privately negotiated over-the-counter (“OTC”).

OTC derivatives are valued by the Master Fund using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs.

These OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilise some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Investment Manager updates the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

e)Foreign currency

Items included in the Master Fund’s financial statements are measured using the currency of the primary economic environment in which it operates, which is US$ (the “Functional Currency”). These financial statements are presented in the Functional Currency and not the local currency of the Cayman Islands reflecting the fact that transactions are denominated primarily in US$.

Transactions during the period denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at the period-end denominated in foreign currency, the resulting gains or losses are included in net realised loss and unrealised appreciation from non-commodity interest derivatives and foreign currency on the statement of operations.

The Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in net realised loss and unrealised appreciation from derivatives and foreign currency on the statement of operations.

f)Cash and cash equivalents

Cash and cash equivalents include cash held at a bank and prime brokers maturing within three months of the period end date.

14

Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

2.Significant accounting policies (continued)

g)Allocation of income or loss

Income, expenses, realised and change in unrealised gains or losses on investments are allocated pro-rata to each share class based on the respective net asset value.

h)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amount and number of shares are not fixed remain in capital until the net asset value used to determine the redemption and share amounts are determined. Accordingly, the statement of financial condition and the statement of changes in net assets include redemptions payable of US$ 100,000. This relates to redemptions due to be paid on the first dealing day of 2017, which under the terms of ASC 480-10 are mandatorily redeemable financial instruments and consequently a liability of the Master Fund and not part of equity.

i)Offsetting

Financial assets and liabilities are offset and the net amount is reported on the statement of financial condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the period end no financial instruments of the Master Fund are being presented net within the statement of financial condition of the Master Fund.

j)Taxation

The Cayman Islands currently have no income, corporation or capital gains tax, no taxes by way of withholding and no estate duty, inheritance tax or gift tax. In addition, the Master Fund has applied for and received from the Governor-in-Cabinet of the Cayman Islands pursuant to The Tax Concessions Law (as amended) of the Cayman Islands, an undertaking that, for a period of twenty years from the date of the undertaking, no law which is thereafter enacted in the Cayman Islands imposing any tax to be levied on profits, income, gains or appreciations shall apply to the Master Fund or its operations. In addition no tax on profits, income, gains or appreciation which is in the nature of estate duty or inheritance tax shall be payable on or in respect of the shares, debentures or other obligations of the Master Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740” (“ASU 740-10”) clarifies the accounting for uncertainty in income taxes recognised in the Master Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Master Fund. Tax positions that meet the “more-likely-than-not” recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

Management has analysed the Master Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Master Fund’s financial statements. Management’s assessment considers tax years subject to investigation. The Master Fund recognises interest and penalties, if any, related to unrecognised tax liability as income tax expense on the statement of operations. During the period ended 31 December 2016, the Master Fund did not incur any interest or penalties.

k)Preliminary expenses

The Master Fund has borne its organisational expenses, including, without limitation, legal, accounting, filing and administration expenses associated with the organisation of the Master Fund and the offering of Shares. For financial statement and net asset value purposes the organisational costs are amortised over the first 36 months of trading of the Master Fund.

3.Cash and cash equivalents and balances with brokers

At the period end amounts disclosed as cash and cash equivalents and balances with brokers were held at State Street and Trust Company (the “Bank”), Credit Suisse Securities (USA) LLC and Deutsche Bank Securities Inc. (collectively, the “Prime Brokers”). Balances with brokers represent the margin account balances held in the broker as at the period end.

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Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

4.Fair value measurements

The Master Fund’s assets and liabilities carried at fair value have been categorised based upon the fair value hierarchy set out in Note 2. The following is a summary of the Master Fund’s financial instruments carried at fair value as at 31 December 2016:

	Level 1	Level 2	Level 3	Total
	US$	US$	US$	US$
Derivative Assets, at fair value
Derivatives
Bond futures	992,757	—	—	992,757
Commodity futures	1,350,651	—	—	1,350,651
Equity futures	528,971	—	—	528,971
Index futures	189	—	—	189
Interest rate futures	14,624	—	—	14,624
Forward currency contracts	—	553,251	—	553,251
Total Derivatives	2,887,192	553,251	—	3,440,443
Total Derivative Assets, at fair value	2,887,192	553,251	—	3,440,443
Derivative Liabilities, at fair value
Derivatives
Bond futures	135,881	—	—	135,881
Commodity futures	410,990	—	—	410,990
Equity futures	251,936	—	—	251,936
Interest rate futures	97,682	—	—	97,682
Forward currency contracts	—	892,621	—	892,621
Total Derivatives	896,489	892,621	—	1,789,110
Total Derivative Liabilities, at fair value	896,489	892,621	—	1,789,110

There were no significant transfers between Levels 1 and 2 during the period ended 31 December 2016.

The Master Fund did not hold any Level 3 investments during the period.

Investments are reviewed at each financial reporting point to ensure that they are correctly classified between Level 1, 2 and 3 in accordance with the fair value hierarchy outlined above. Where an investment’s characteristics change during the period and investments no longer meet the criteria of a given level, they are transferred into a more appropriate level at the end of relevant financial reporting period.

5.Derivatives

Typically, derivative contracts serve as components of the Master Fund’s investment strategy and are utilised primarily to structure and hedge investments to enhance performance and reduce risk to the Master Fund. The derivative contracts that the Master Fund is a party to consist of forward contracts and futures contracts. As at 31 December 2016, the derivative contracts were included in the Master Fund’s statement of financial condition at fair value.

The Master Fund records its derivative activities on a mark-to-market basis. Fair values are determined in accordance with the valuation principles set out in Note 2.

For all OTC contracts, the Master Fund enters into master netting agreements with its counterparties, which may allow in certain circumstances netting of assets and liabilities. Assets and liabilities are only offset and the net amount reported on the statement of financial condition when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the assets and settle the liabilities simultaneously. As at 31 December 2016, no assets or liabilities are offset on the statement of financial condition.

As at 31 December 2016, all futures contracts were exchange traded and forward foreign currency contracts were OTC contracts. As at 31 December 2016, master netting arrangements were related to futures contracts and forward currency contracts held by the Master Fund.

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Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

5.Derivatives (continued)

The Master Fund has not designated any derivative instruments as hedging instruments under ASC 815 “Derivatives and hedging” (“ASC 815”). The condensed schedule of investments details information regarding derivative types and their fair value as at 31 December 2016.

As at 31 December 2016, open derivative instruments are included on the statement of financial condition under the heading “Derivatives, at fair value”:

	2016
Derivative Type	US$
Assets
Bond futures	992,757
Commodity futures	1,350,651
Equity futures	528,971
Index futures	189
Interest rate futures	14,624
Forward currency contracts	553,251
Total	3,440,443

	2016
Derivative Type	US$
Liabilities
Bond futures	135,881
Commodity futures	410,990
Equity futures	251,936
Interest rate futures	97,682
Forward currency contracts	892,621
Total	1,789,110

As at 31 December 2016, the notional value of derivative instrument activity which is representative of the volume of derivative trading during the period was as follows:

	Notional value US$
	As at 31 December 2016
	Long (US$)	Short (US$)
Bond price risk
Bond futures	124,875,046	206,889,183
Equity risk
Equity futures	74,516,654	4,306,609
Index futures	45,990	—
Commodity price risk
Commodity futures	27,692,887	16,946,896
Interest rate risk
Interest rate futures	37,727,457	129,225,004
Foreign exchange risk
Forward currency contracts	338,323,507	—

17

Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

5.Derivatives (continued)

For non-exchange traded derivatives, under standard derivative agreements, the Master Fund may be required to post collateral on derivatives if the Master Fund is a net liability position with the counterparty exceeding certain amounts.

The effect of transactions in derivative instruments on the statement of operations for the period ended 31 December 2016 was as follows:

Derivative Type	Location of gain or loss on the statement of operations	Amounts of gain or loss recognised on the statement of operations US$
Futures contracts (non - commodity interest)	Net realised loss from non-commodity interest derivatives and foreign currency	(3,532,558	)
Futures contracts (commodity interest)	Net realised loss from commodity interest derivatives	(9,350,465	)
Forward currency contracts	Net realised loss from non-commodity interest derivatives and foreign currency	(596,934	)
Total		(13,479,957	)
Futures contracts (non - commodity interest)	Net unrealised appreciation from non-commodity interest derivatives and foreign currency	1,018,378
Futures contracts (commodity interest)	Net unrealised appreciation from commodity interest derivatives	1,024,677
Forward currency contracts	Net unrealised appreciation from non-commodity interest derivatives and foreign currency	(391,722	)
Total		1,651,333
Net realised loss and unrealised appreciation from foreign exchange		32,301
Net realised loss and unrealised appreciation from derivatives and foreign currency		(11,796,323	)

The primary difference in the risk associated with OTC contracts and exchange-traded contracts is credit risk. The Master Fund has credit risk from OTC contracts when two conditions are present (i) the OTC contracts have unrealised gains, net of any collateral and (ii) the counterparty of the contracts default. The credit risk related to exchange-traded contracts is minimal because the exchange ensures that their contracts are always honoured. As at 31 December 2016, all future contracts were exchanged traded and all other derivatives were OTC contracts.

Futures are contracts for delayed delivery of commodities, securities, equity indices or money market instruments in which the seller agrees to make delivery at a specified future date of a specified commodity or instrument, at a specified price or yield. Gains and losses on futures are recorded by the Master Fund based upon market fluctuations and are recorded as realised or unrealised gains or losses on the statement of operations.

Forward contracts entered into by the Master Fund represent a firm commitment to buy or sell an underlying asset, or currency at a specified value and point in time based upon an agreement or contracted quantity. The realised /unrealised gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date/period-end date and is included on the statement of operations.

Derivative financial instruments are generally based on notional amounts which are not recorded in these financial statements. These notional amounts represent the theoretical principal value on which the cash flows of the derivative transactions are based. Unrealised gains or losses, rather than notional amounts, or the exchange-traded derivatives traded by the Master Fund are included on the statement of financial condition.

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Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

6.Offsetting of assets and liabilities

Financial assets and liabilities are offset and the net amount is reported on the statement of financial condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously.

As at 31 December 2016, no financial instruments of the Master Fund are being presented net within the statement of financial condition.

The following tables provide information on the financial impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement in the event of default as defined under such agreements:

Derivative Assets and Collateral held by counterparty

	(i) Gross amounts of assets	(ii) Impact of master netting arrangements not offset on the statement of financial condition			(iii)=(i)-(ii)
	presented on the statement	Gross amounts not offset on the statement of financial condition
Counterparty	of financial condition US$	Financial instruments US$		Cash collateral received US$	Net amount US$
Credit Suisse Securities (USA) LLC	2,565,427	(788,481	)	—	1,776,946
Deutsche Bank Securities Inc.	875,016	(875,016	)	—	—
Total	3,440,443	(1,663,497	)	—	1,776,946

Derivative Liabilities and Collateral held by counterparty

	(i) Gross amounts of liabilities	(ii) Impact of master netting arrangements not offset on the statement of financial condition			(iii)=(i)-(ii)
	presented on the statement	Gross amounts not offset on the statement of financial condition
Counterparty	of financial condition US$	Financial instruments US$		Cash collateral pledged US$	Net amount US$
Credit Suisse Securities (USA) LLC	788,481	(788,481	)	—	—
Deutsche Bank Securities Inc.	1,000,629	(875,016	)	—	125,613
Total	1,789,110	(1,663,497	)	—	125,613

7.Financial risk management and associated risk

Overall risk management

The Master Fund’s investment activities expose it to the various types of risk which are associated with the financial instruments and markets in which it invests. The most important types of financial risks to which the Master Fund is exposed are market risk, credit risk and liquidity risk. Market risk includes price risk, interest rate risk and currency risk. The Master Fund manages these risks on an aggregate basis along with the risks associated with its investing activities as part of its overall risk management policies.

The Master Fund has an agreement with FRM Investment Management (USA) LLC to act as risk manager. The Directors rely upon the Risk Manager to monitor that risks within the Master Fund are managed by the Investment Manager.

19

Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

7.Financial risk management and associated risk (continued)

Overall risk management (continued)

As a pre-requisite for investment, initial due diligence is performed by the Risk Manager to review the Investment Manager’s trading strategy, operational infrastructure and risk management environment. The Risk Manager then monitors the integrity of the Investment Manager’s operations on an ongoing basis.

The Risk Manager further monitors certain risk and performance measures of the Master Fund on a regular basis to seek to ensure that risks are managed by the Investment Manager and performance is in line with expectations and in accordance with any investment restrictions placed upon the Investment Manager. To this extent, the Risk Manager is given transparency on the positions and performance of the Investment Manager through trade files. Such measures include return breakouts, drawdowns, Value-at-Risk (“VaR”), risk factor sensitivities stress test losses and funding liquidity.

The Risk Manager performs regular reviews of certain performance based measures against the Master Fund’s history of such measures and against that of the Investment Manager’s funds which implement similar strategies. If necessary, the Risk Manager requests that corrective action be taken by the Investment Manager.

The nature and extent of the financial instruments outstanding at the date of the statement of financial condition and the risk management policies employed by the Master Fund are discussed below.

Market risk

Market risk is the risk that fair value or future cash flows of financial instruments will fluctuate due to changes in market variables such as interest rates, foreign exchange rates and equity prices.

Interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates.

The Master Fund is exposed to interest rate risk on cash or cash equivalents at a bank, balances with brokers and certain derivative contracts.

Currency risk

Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. Although the majority of the Master Fund’s assets are denominated in US$, the Master Fund may invest in financial instruments and hold cash balances at its brokers that are denominated in currencies other than its reporting currency, the US$. Consequently, the Master Fund is exposed to risks that the exchange rate of the US$ relative to other currencies may change in a manner which has an adverse effect on the reported value of that portion of the Master Fund’s assets which are denominated in currencies other than the US$.

Other price risk

Other price risk is the risk that the price of a financial instrument will fluctuate due to changes in market conditions influencing, directly or indirectly, the value of the financial instrument. The Master Fund is exposed to other price risk from its financial instruments. Due to the nature of the trading strategies followed by this Master Fund, no direct relationship between any market factors and the expected prices of the financial instruments can be reliably established. Other price risk is managed through the overall risk management processes described above.

Credit/counterparty risk

Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered into with the Master Fund.

The Master Fund’s maximum exposure to credit risk (not taking into account the value of any collateral or other security held) in the event that the counterparties fail to perform their obligations as at 31 December 2016 in relation to each series of recognised financial assets, other than derivatives, is the carrying amount of those assets on the statement of financial condition.

With respect to derivative financial instruments, credit risk arises from the potential failure of counterparties to meet their obligations under the contract or arrangement.

The Risk Manager has centralised its due diligence and monitoring process of prime brokerage and trading relationships through a dedicated prime brokerage and trading team employed by an affiliated company. Credit and counterparty risk is analysed by examining certain credit related criteria on a centralised basis across platforms by establishing risk tolerance levels in accordance with the overall risk profile of the prime broker/counterparty as determined by the Risk Manager. The credit quality of the Master Fund’s Bank, Prime Brokers and any lenders at their parent companies level and subsidiaries when they are available is regularly monitored and factored into allocation decisions.

The exposures are to the Bank and to the Prime Brokers. As at the date of issuance of these financial statements, according to Moody’s Rating Agency, the credit rating of the Bank’s parent company State Street Bank is A1. The credit rating of Credit Suisse Securities (USA) LLC is A and the credit rating of Deutsche Bank Securities Inc.’s parent company is BBB+ per S&P.

20

Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

7.Financial risk management and associated risk (continued)

Credit/counterparty risk (continued)

In addition, netting agreements and collateral arrangements (including International Swaps and Derivatives Association Inc. (“ISDA”) Master Agreements for over-the-counter derivatives) are routinely put in place when appropriate to allow the counterparty risk mitigating benefits of close-out netting and payment netting.

Liquidity risk

Liquidity risk is the risk that the Master Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Shares are the main liquidity risk for the Master Fund.

The Shares are redeemable as outlined in Note 10. The exposure to liquidity risk through redemption requests for Shares is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the underlying investments as agreed by the Investment Manager.

The majority of the Master Fund’s financial instruments are Level 1 financial instruments which are considered readily realisable as they are all listed on major recognised exchanges.

The Master Fund’s financial instruments also include investments in Level 2 financial instruments, which are not quoted in an active public market and which generally may be illiquid. As a result, the Master Fund may not be able to liquidate quickly some of its investments in these instruments at an amount close to their fair value in order to meet its liquidity requirements.

8.Fees, commissions and other expenses

Management fees

Pursuant to the Investment Management Agreement entered into between the Master Fund and the Investment Manager (the “IMA”), the Master Fund pays the Investment Manager a management fee, calculated on a monthly basis, accrued on each valuation day and payable monthly in arrears, of 1/12 of 1.00% (1.00% per annum) of the Master Fund’s trading level, adjusted for profits and losses. If the Fund’s trading level at any time equals or exceeds US$ 50,000,000, or such lower amount as the Investment Manager determines, the Master Fund’s trading level shall be subject to a monthly management fee equal to 1/12 of 0.50%, rather than 1/12 of 1.00% (the “Reduced Management Fee”). If the trading level falls below US$ 50,000,000, the Investment Manager may, in its sole discretion and subject to a three month cure period (as defined below), elect to charge the Master Fund an additional amount in respect of the management fee which, when taken together with any amount(s) already paid by way of the Reduced Management Fee, shall not exceed the aggregate fees that would have been payable by the Master Fund without the discounted fee arrangement. The Master Fund retains the right to a three month cure period (the “Cure Period”) from the date of which the trading level falls below US$ 50,000,000, during which the Master Fund will retain the Reduced Management Fee and the Master Fund may make additions to the trading level to equal or exceed the US$ 50,000,000. At such time that the trading level equals or exceeds US$ 50,000,000, the Reduced Management Fee shall be applied at the beginning of the month in which the trading level has exceeded the US$ 50,000,000.

Administration fees

The Master Fund pays the administrator an administration fee of up to 0.15% per annum of the net asset value of the Master Fund.

9.Related party transactions

Master Multi-Product Holdings II Ltd., a Bermuda exempted company, is a related party through its 100% holding of all the management shares of the Master Fund. The intermediate controlling party of the Master Fund is therefore Master Multi-Product Holdings II Ltd.

The Risk Manager is a related party as it is the risk manager and commodity pool operator of the Master Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund.

Each of the Directors is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Master Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Master Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisors and/or agents of other companies, including companies and other legal structures in which the Master Fund may invest and/or which may invest in the Master Fund.

21

Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

9.Related party transactions (continued)

The following transactions took place between the Master Fund and its related parties for the period ended 31 December 2016:

		Total fees	Fees payable
Related parties	Type of fee	US$	US$
Directors	Directors’ fees	12,000	—
Crabel Capital Management, LLC	Management fees	363,970	41,685

As at 31 December 2016, 100% of all outstanding Shares were owned by the Feeder Funds, which are entities affiliated with Man Group plc (refer to Note 10).

10.Share capital

The Master Fund has an authorised share capital of US$ 50,000 divided into 1,000 Management Shares (“Management Shares”) of a par value of US$ 1.00 each and 4,900,000 non-voting Shares of a par value of US$ 0.01 each, which may be divided into different classes and/or series of Shares as the Directors may determine.

Management Shares of the Master Fund

The Management Shares are held by Master Multi-Product Holdings II Ltd. which is wholly-owned by Codan Trust Company Limited as trustee of the Master Multi-Product Purpose Trust, a special purpose trust formed under the laws of Bermuda pursuant to a Deed of Trust made by Codan Trust Company Limited dated 14 December 2005. As at 31 December 2016, these shares remained uncalled and no amounts were paid or payable to the Master Fund.

Shares of the Master Fund

Investors may subscribe for Shares on the first business day of each week or each month (the “Dealing Day”), or at any other time the Directors, in their sole discretion, may permit. A business day is any day which is not a Saturday, Sunday or a day on which banking institutions are obliged by law or regulation to close in New York, or another day classified as a business day according to such criteria as the Directors may adopt from time to time. The Directors, in their sole discretion, may decline to sell Shares to any investor for any reason or no reason.

Holders of Shares may, upon two business days’ written notice to the administrator of the Master Fund, redeem their Shares on a Dealing Day, and/or such other days as the Directors may determine in their sole discretion. The Directors, in their sole discretion, may decline to sell Shares to any investor for any reason or for no reason.

Transactions in Shares for the period ended 31 December 2016 were as follows:

	Series A
	US$		No of Shares
As at the beginning of the period			—
Issue of Shares for the period	91,855,000		93,034
Redemption of Shares for the period	(13,911,761	)	(14,676	)
As at the end of the period			78,358

In the event of a winding-up or dissolution of the Master Fund or upon the distribution of capital, the holders of the Shares shall be entitled, following a payment to the holders of paid-up Management Shares of the par value thereof, to the return of the assets of the Master Fund held in respect of that series and, thereafter, to share pro rata in the assets, if any, of the Master Fund which are not held in respect of any series of shares.

22

Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

10.Share capital (continued)

Capital management

The Master Fund’s objectives for managing capital may include:

·investing the capital in investments meeting the description, risk exposure and expected return indicated in the Feeder Funds’ offering documents;

·achieving consistent returns while safeguarding capital by investing in a diversified portfolio, by participating in derivative and other advanced capital markets and by using various investment strategies and hedging techniques;

·maintaining sufficient liquidity to meet the expenses of the Master Fund, and to meet redemption requests as they arise; and

·maintaining sufficient size to make the operation of the Master Fund cost-efficient.

Refer to Note 7, “Financial risk management and associated risk”, for the policies and processes applied by the Master Fund in managing its capital.

11.Financial highlights

	Series A
Per Share operating performance:	US$
Net asset value per Share at which shares were initially issued	1,000.00
Change in net assets resulting from operations:
Net investment loss	(6.73	)
Net realised loss and unrealised appreciation from derivatives and foreign currency	(154.79	)
Net decrease in net assets resulting from operations	(161.52	)
Net asset value per share at the end of the period	838.48
Total Return (i)
Total return	(16.15	)%
Ratios to average net assets (ii)
Net investment loss	(0.92	)%
Total expenses	1.11	%
Non-trade expenses (ii) (iii)	1.02	%

(i)The total return as computed is not annualised.

(ii)The financial highlights are calculated for a share class taken as a whole. An individual shareholder’s financial highlights may vary from the above on the timing of capital transactions and individual management fee arrangements. Ratios to average net asset and non-trade expenses are annualised.

(iii)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Master Fund in the course of normal trading, to the average net assets described above.

12.Indemnifications

In the normal course of business, the Master Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote.

23

Century CAT MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the period from 15 January 2016 (date of incorporation) to 31 December 2016

13.Subsequent events

Subsequent to 31 December 2016, investors subscribed for Shares having an aggregate net asset value of US$ 1,720,000 and redeemed Shares having an aggregate net asset value of US$ 11,164,731.

In connection with the preparation of these financial statements as at 31 December 2016, management has evaluated the impact of all subsequent events on the Master Fund through 16 March 2017, the date these financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in these financial statements.

24

Ernst & Young Ltd.
62 Forum Lane
Camana Bay P.O. Box 510
Grand Cayman KYl-1106 CAYMAN ISLANDS Tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com

Report of Independent Auditors

The Board of Directors

Century CAT MAC Cayman Fund Limited

We have audited the accompanying financial statements of Century CAT MAC Cayman Fund Limited (the “Master Fund”), which comprise the statement of financial condition, including the condensed schedule of investments, as of 31 December 2016, and the related statements of operations, changes in net assets and cash flows for the period from 15 January 2016 (date of incorporation) to 31 December 2016, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Century CAT MAC Cayman Fund Limited at 31 December 2016, and the results of its operations, changes in its net assets and its cash flows for the period from 15 January 2016 (date of incorporation) to 31 December 2016 in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young Ltd.

16 March 2017

A member firm of Ernst & Young Global Limited

25

EX-13.03

Exhibit 13.03

Campbell Delaware Feeder LLC

(A Delaware limited liability company)

Report and Financial Statements

For the year ended 31 December 2016

FRM Investment Management (USA) LLC, the risk manager and commodity pool operator (the “Risk Manager”) of Campbell Delaware Feeder LLC (the “Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Fund.

Campbell Delaware Feeder LLC

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Statement of operations	5
Statement of changes in unitholders’ capital	6
Notes to the financial statements	7
Report of independent auditors	12
Appendix: Audited Financial Statements of Campbell MAC Cayman Fund Limited

1

Campbell Delaware Feeder LLC

Directory

Board of Directors of the Master Fund	Registered office of the Master Fund
Colin Ball (Appointed on 7 January 2016)	c/o Citco Trustees (Cayman) Limited
Ronan Daly (Resigned on 7 January 2016)	89 Nexus Way
John Renouf (Appointed on 7 January 2016)	Camana Bay
Jennifer Thomson	P.O. Box 31106
	Grand Cayman, KY1-1205
Master Fund	Cayman Islands
Campbell MAC Cayman Fund Limited
c/o Citco Trustees (Cayman) Limited	Legal Advisors to the Master Fund
89 Nexus Way	(as to Cayman Islands law)
Camana Bay	Maples and Calder
P.O. Box 31106	P.O. Box 309
Grand Cayman, KY1-1205	Ugland House
Cayman Islands	Grand Cayman, KY1-1104
	Cayman Islands
Manager and Risk Manager of the Fund; Risk Manager of the	Legal Advisors to the Fund and the Master Fund
Master Fund	(as to U.S. law)
FRM Investment Management (USA) LLC	Sidley Austin LLP
452 Fifth Avenue, 26th Floor	One South Dearborn
New York, NY 10018	Chicago, IL 60603
U.S.A.	U.S.A.
Investment Manager to the Master Fund	Auditors
Campbell & Company, LP	Ernst & Young Ltd.
2850 Quarry Lake Drive	Suite 6401
Baltimore, MD 21209	62 Forum Lane
U.S.A.	Camana Bay
	Grand Cayman, KY1-1106
Administrator	Cayman Islands
HSBC Securities Services (Ireland) DAC
1 Grand Canal Square
Grand Canal Harbour
Dublin 2
Ireland
Bank
HSBC Bank plc
8 Canada Square
London, E14 5HQ
United Kingdom

2

Campbell Delaware Feeder LLC

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in these financial statements of Campbell Delaware Feeder LLC for the year ended 31 December 2016 is accurate and complete.

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Campbell Delaware Feeder LLC

3

Campbell Delaware Feeder LLC

Statement of financial condition

As at 31 December 2016

	Notes	2016 US$
Assets
Investment in Campbell MAC Cayman Fund Limited, at fair value	4	10,838,867
Other assets		20,486
Total assets		10,859,353
Liabilities
Risk management fees payable	6,7	29,746
Accrued expenses		100,594
Total liabilities		130,340
Net assets		10,729,013
Which are represented by:
10,134 Series A Units with a net asset value per Unit of US$1,058.71	8	10,729,013
		10,729,013

Approved and authorised for issue on behalf of the manager of Campbell Delaware Feeder LLC on 23 March 2017.

Linzie Steinbach

FRM Investment Management (USA) LLC

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

4

Campbell Delaware Feeder LLC

Statement of operations

For the year ended 31 December 2016

	Notes	2016 US$
Investment income allocated from Campbell MAC Cayman Fund Limited
Interest income		14,643
Other income		25,362
Total investment income		40,005
Expenses allocated from Campbell MAC Cayman Fund Limited
Incentive fees	6,7	8,291
Management fees	6,7	356,639
Margin commission		266,754
Administration fees	6	26,166
Tax charge	3	272,341
Interest expense		3,101
Other expenses		55,404
Total expenses		988,696
Net investment loss allocated from Campbell MAC Cayman Fund Limited		(948,691	)
Fund expenses
Risk management fees	6,7	173,883
Administration fees	6	21,500
Preliminary expenses		15,364
Other expenses	7	70,922
Total fund expenses		281,669
Net investment loss		(1,230,360	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency allocated from Campbell MAC Cayman Fund Limited
Net realised gain from non-commodity interest derivatives and foreign currency		1,773,767
Net realised loss from commodity interest derivatives		(4,156,483	)
Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency		(81,160	)
Net change in unrealised appreciation from commodity interest derivatives		556,549
Net realised loss and change in unrealised appreciation from derivatives and foreign currency		(1,907,327	)
Net decrease in net assets resulting from operations		(3,137,687	)

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

5

Campbell Delaware Feeder LLC

Statement of changes in unitholders’ capital

For the year ended 31 December 2016

	Notes	2016 US$
Net assets at the beginning of the year
		19,881,700
Changes in net assets resulting from operations
Net investment loss		(1,230,360	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency allocated from Campbell MAC Cayman Fund Limited
Net realised gain from non-commodity interest derivatives and foreign currency		1,773,767
Net realised loss from commodity interest derivatives		(4,156,483	)
Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency		(81,160	)
Net change in unrealised appreciation from commodity interest derivatives		556,549
Net realised loss and change in unrealised appreciation from derivatives and foreign currency		(1,907,327	)
Net decrease in net assets resulting from operations		(3,137,687	)
Change in net assets resulting from capital transactions
Issuance of Units	8	6,235,000
Redemptions of Units	8	(12,250,000	)
Net decrease in net assets resulting from capital transactions		(6,015,000	)
Net decrease in net assets		(9,152,687	)
Net assets at the end of the year		10,729,013

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

6

Campbell Delaware Feeder LLC

Notes to the financial statements

For the year/period ended 31 December 2016

1.General

Campbell Delaware Feeder LLC (the “Fund”) was organised as a Delaware limited liability company on 25 February 2015. The Fund commenced trading on 1 May 2015.

The investment objective of the Fund is to maximise the long-term total returns to the holders of the Fund’s units (the “Units”“). The Fund invests substantially all of its investible assets (to the extent not retained in cash) in, and conducts its investment program through, a “master-feeder structure” by investing into Campbell MAC Cayman Fund Limited, an exempted company with limited liability incorporated in the Cayman Islands under the provisions of the Companies Law (as amended) of the Cayman Islands (the “Master Fund”). As at 31 December 2016, the Fund held 23.44% of the Master Fund.

The most recent, applicable Confidential Offering Memorandum of the Fund (the “Offering Memorandum”) is dated 1 May 2015.

Campbell & Company, LP, a Delaware limited partnership, has been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). The Investment Manager is registered as an “investment advisor” under the U.S. Investment Advisors Act of 1940, as amended (the “Advisors Act”), with U.S. Securities and Exchange Commission (the “SEC”), as a commodity trading advisor with the U.S. Commodity Futures Trading Commission (the “CFTC”), and is a member of the U.S. National Futures Association (“NFA”) in such capacity. FRM Investment Management (USA) LLC, a Delaware limited liability company, has been appointed as the manager, risk manager and commodity pool operator of the Fund (the “Risk Manager”). The Risk Manager is registered as an investment advisor under the Advisors Act with the SEC, as a commodity pool operator and commodity trading advisor with the CFTC and is a member of the NFA in such capacities.

The financial statements of the Master Fund are attached and should be read in conjunction with the Fund’s financial statements.

2.Summary of significant accounting policies

These financial statements have been prepared in accordance with United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Fund is an investment company in conformity with US GAAP. Therefore the Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

Management has made an assessment of the Fund’s ability to continue as a going concern and is satisfied that the Fund has resources to continue in business for the foreseeable future. Furthermore, management is not aware of any material uncertainties that may cast significant doubt upon the Fund’s ability to continue as a going concern; therefore, these financial statements continue to be prepared on a going concern basis.

The Fund is exempted from preparing a statement of cash flow under ASC 946 as the Fund has no level 3 investments, does not hold any debt instruments and presents a statement of changes in unitholders’ capital.

a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in these financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

b)Recent accounting pronouncements

In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. The Fund adopted this ASU during the year, which had no significant impact on the financial statements.

c)Investment in Master Fund

The Fund’s investment in the Master Fund is recorded at fair value, which is the Fund’s proportionate interest in the net assets of the Master Fund. The Fund records its proportionate share of the Master Fund’s income, expenses, and realised and unrealised gains and losses in the statement of operations.

Valuation of the investments held by the Master Fund including, but not limited to, the valuation techniques used and classification within the fair value hierarchy of instruments held by the Master Fund are discussed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

d)         Foreign currency

Items included in the Fund’s financial statements are measured using the currency of the primary economic environment in which it operates which is US$ (the “Functional Currency”). These financial statements are presented in the Functional Currency, US$, reflecting the fact that transactions are denominated primarily in US$.

7

Campbell Delaware Feeder LLC

Notes to the financial statements (continued)

For the year/period ended 31 December 2016

2.Summary of significant accounting policies (continued)

d)         Foreign currency (continued)

Transactions during the year denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at the year-end denominated in foreign currency, the resulting gains or losses are included in the net realised gain and change in unrealised depreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in the net realised gain and change in unrealised depreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

e)Cash and cash equivalents

Cash and cash equivalents include cash held at a bank maturing within three months of the year end date.

f)Recognition and allocation of income or loss

The Fund records subscriptions to and redemptions from the Master Fund on the transaction date. The Fund records its proportionate share of the Master Fund’s income, expenses and change in realised and unrealised gains and losses. In addition, the Fund accrues its own income and expenses. The Master Fund’s income and expense recognition and net gain/(loss) allocation policies are disclosed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

g)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amounts and number of Units are not fixed remain in capital until the net asset value used to determine the redemption and Unit amounts are determined. The Fund does not have any redemptions payable as at the year end.

h)Offsetting

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the year-end no financial instruments of the Fund are being presented net within the statement of financial condition of the Fund.

i)Taxation

The Fund is classified as a partnership for United States Federal income tax purposes. Consequently, no provision has been made in these financial statements for United States federal or state income taxes as any tax liability arising from operations of the Fund is the responsibility of the Unitholders and not the Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740 (“ASU 740-10”)” clarifies the accounting for uncertainty in income taxes recognised in the Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

Management has analysed the Fund’s tax positions from commencement of operations and has concluded that no provision, other than for Spanish capital gains tax as described below, for income tax is required in the Fund’s financial statements. Management’s assessment considers tax years subject to investigation. The Fund recognises interest and penalties, if any, related to unrecognised tax liability as a tax charge in the statement of operations. During the year ended 31 December 2016, the Fund did not incur any interest or penalties except in respect of Spanish capital gains tax as described below.

j)Preliminary expenses

The Fund has borne its organisational expenses, including, without limitation, legal, accounting, filing and administration expenses associated with the organisation of the Fund and the offering of Units. For financial statement and net asset value purposes the organisational costs are amortised over the first 36 months of trading of the Fund.

3.Spanish capital gains tax

In accordance with ASC 740, Spanish capital gains tax of US$272,341 was recognised in the statement of operations within the tax charge allocated from the Master Fund, which includes interests and penalties allocated from the Master Fund.

8

Campbell Delaware Feeder LLC

Notes to the financial statements (continued)

For the year/period ended 31 December 2016

4.Fair value of financial instruments

The Fund invests in the Master Fund as part of a “master-feeder” structure as disclosed in note 1. The investment objective of the Master Fund is disclosed in the financial statements of the Master Fund which are attached to these financial statements. The redemption terms of the Master Fund are in accordance with the redemption terms of the Fund as disclosed in note 8 of these financial statements.

The fair value of the Fund’s assets and liabilities which qualify as financial instruments under disclosure about Fair Value of Financial Instruments approximates the carrying amounts presented in the statement of financial condition.

5.Financial risk management and associated risk

Since the Fund invests in the Master Fund, the Fund will also bear the risks associated with the Master Fund, which are disclosed in note 8 of Master Fund’s financial statements and in the Offering Memorandum.

6.Fees and expenses

Management fees

Pursuant to the Investment Management Agreement entered into between the Master Fund and the Investment Manager (“IMA”), the Master Fund pays a management fee to the Investment Manager. Details of the IMA are disclosed in note 9 of the Master Fund’s financial statements.

Incentive fees

Pursuant to the IMA, the Master Fund pays an incentive fee to the Investment Manager. Details of the IMA are disclosed in the note 9 of the Master Fund’s financial statements.

Risk management fees

Pursuant to the risk management agreement entered into by and among the Fund, the Master Fund and the Risk Manager (the “Management Agreement”), the Fund pays the Risk Manager a risk management fee equal to 0.50% per annum of the trading level of the Master Fund’s assets attributable to each series of the Fund, quarterly in arrears, and a pro rata share of any licensing fees for the use of any risk assessment tools provided by any third party which are used by the Risk Manager in providing services to the Fund pursuant to the Management Agreement.

Administration fees

The Fund pays the administrator of the Fund (the “Administrator”) an annual administration fee of US$21,500. The Administrator’s fees are subject to review from time to time to reflect changes in the operational cost of administering the Fund, as further set out in the administration agreement entered into between Administrator and the Fund. In addition, the Administrator receives an additional administration fee from the Master Fund of up to 0.135% per annum of the net asset value of the Master Fund.

7.Related party transactions

The Risk Manager is a related party as it is the manager, risk manager and commodity pool operator of the Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund. Terms of incentive fees and management fees are disclosed in note 9 of the Master Fund’s financial statements.

Management is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisors and/or agents of other companies, including companies and other legal structures in which the Fund may invest and/or which may invest in the Fund.

The following transactions took place between the Fund and its related parties for the year ended 31 December 2016:

Related party	Type of fee	Total Fees US$	Fees payable US$
FRM Investment Management (USA) LLC	Risk management fees	173,883	29,746

As at 31 December 2016, 100% of the outstanding Units were owned by entities affiliated with Man Group plc (refer to note 8).

8.Unitholders’ capital

The minimum initial capital contribution and the minimum additional contribution by a Unitholder is US$100,000. The Manager may determine the current minimum subscription and/or such other amount in its sole discretion.

Unitholders may, subject to the restrictions set out in the Offering Memorandum, redeem their Units on the first business day of each week or month. Redemptions may be accepted on days other than the specified redemption date, in the Manager’s sole discretion. Units will be considered to be redeemed on a “first purchased, first redeemed” basis.

9

Campbell Delaware Feeder LLC

Notes to the financial statements (continued)

For the year/period ended 31 December 2016

8.Unitholders’ capital (continued)

The Units shall be issued as Series A Units or Series B Units as designated by the Manager. Series A Units and Series B Units have identical rights and privileges in all respects except that: (i) Series A Units are only available for subscription by Man Investors (as defined in the Offering Memorandum); and (ii) Series B Units are subject to the Reporting Fee (as defined in the Offering Memorandum). The Manager may establish additional series, classes or tranches of Units in the future, which may have different and/or preferential terms to existing series, including among other things, the Incentive Fee, the Management Fee, minimum and additional subscription amounts, leverage levels, distribution policies, capacity rights, investor eligibility, voting rights, informational rights and other rights. During the year ended 31 December 2016, Series B Units were not in issue.

	Series A
	US$		Units
As at the beginning of the year			15,372
Contributions	6,235,000		4,981
Redemptions	(12,250,000	)	(10,219	)
As at the end of the year			10,134

In the event of a winding-up or dissolution of the Fund or upon the distribution of capital, the Unitholders shall be entitled to the return of the assets of the Fund held in respect of that series and, thereafter, to share pro rata in the assets, if any, of the Fund which are not held in respect of any Series of Units.

9.         Financial highlights

Per Unit operating performance:	Series A US$
Net asset value per Unit at the beginning of the year	1,293.34
Change in net assets resulting from operations:
Net investment loss	(80.78	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency	(153.85	)
Net decrease in net assets resulting from operations	(234.63	)
Net asset value per Unit at the end of the year	1,058.71
Total Return
Total return before incentive fees	(18.14	)%
Incentive fees	—
Total return after incentive fees	(18.14	)%
Ratio to average net assets(i)
Net investment loss before incentive fees	(7.13	)%
Incentive fees	—
Net investment loss after incentive fees	(7.13	)%
Total expenses before incentive fees	7.36	%
Incentive fees	—
Total expenses after incentive fees	7.36	%
Non trade expenses(ii)	5.88	%

(i)The financial highlights are calculated for a Unit class or series taken as a whole. An individual Unitholder’s financial highlights may vary from the above on the timing of capital transactions and individual management and incentive fee arrangements.

(ii)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Fund in the course of normal trading, to the average net assets described above.

10.      Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote.

10

Campbell Delaware Feeder LLC

Notes to the financial statements (continued)

For the year/period ended 31 December 2016

11.      Subsequent events

Subsequent to 31 December 2016, investors redeemed Series A Units having an aggregate net asset value of US$1,130,000.

In connection with the preparation of the accompanying financial statements as at 31 December 2016, management has evaluated the impact of all subsequent events on the Fund through 23 March 2017, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in these financial statements.

11

Ernst & Young Ltd. 62 Forum Lane Camana Bay P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com

Report of Independent Auditors

The Manager

Campbell Delaware Feeder LLC

We have audited the accompanying financial statements of Campbell Delaware Feeder LLC (the “Fund”), which comprise the statement of financial condition, as of 31 December 2016, and the related statements of operations and changes in unitholders’ capital for the year then ended, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

A member firm of Ernst & Young Global Limited

12

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Campbell Delaware Feeder LLC at 31 December 2016, and the results of its operations and changes in its unitholders’ capital for the year then ended in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young Ltd.

23 March 2017

13

Campbell MAC Cayman Fund Limited

(A Cayman Islands exempted company)

Report and Financial Statements

For the year ended 31 December 2016

FRM Investment Management (USA) LLC, the risk manager and commodity pool operator (the “Risk Manager”) of Campbell MAC Cayman Fund Limited  (the “Master Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Master Fund.

Campbell MAC Cayman Fund Limited

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Condensed schedule of investments	5
Statement of operations	8
Statement of changes in net assets	9
Notes to the financial statements	10
Report of independent auditors	21

1

Campbell MAC Cayman Fund Limited

Directory

Board of Directors
Colin Ball (Appointed on 7 January 2016)
Ronan Daly (Resigned on 7 January 2016)
John Renouf (Appointed on 7 January 2016)
Jennifer Thomson

Investment Manager
Campbell & Company, LP
2850 Quarry Lake Drive
Baltimore, MD 21209
U.S.A.

Risk Manager
FRM Investment Management (USA) LLC
452 Fifth Avenue, 26th Floor
New York, NY 10018
U.S.A.

Administrator
HSBC Securities Services (Ireland) DAC
1 Grand Canal Square
Grand Canal Harbour
Dublin 2
Ireland

Bank
HSBC Bank plc
8 Canada Square
London, E14 5HQ
United Kingdom Registered Office
c/o Citco Trustees (Cayman) Limited
89 Nexus Way
Camana Bay
P.O. Box 31106
Grand Cayman, KY1-1205
Cayman Islands

Legal Advisors
(as to Cayman Islands law)
Maples and Calder
P.O. Box 309
Ugland House
Grand Cayman, KY1-1104
Cayman Islands

(as to U.S. law)
Sidley Austin LLP
One South Dearborn
Chicago, IL 60603
U.S.A.

Auditors
Ernst & Young Ltd.
Suite 6401
62 Forum Lane
Camana Bay
Grand Cayman, KY1-1106
Cayman Islands

Company Secretary
CSS Corporation Ltd.
89 Nexus Way
Camana Bay
P.O. Box 31106
Grand Cayman, KY1-1205
Cayman Islands

Prime Broker
UBS Warburg Ltd
100 Liverpool Street
London, EC2M 2RH
United Kingdom

2

Campbell MAC Cayman Fund Limited

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in the financial statements of Campbell MAC Cayman Fund Limited for the year ended 31 December 2016 is accurate and complete.

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Campbell MAC Cayman Fund Limited

3

Campbell MAC Cayman Fund Limited

Statement of financial condition

As at 31 December 2016

	Notes	2016 US$
Assets
Derivatives, at fair value	5,6	4,334,611
Cash and cash equivalents	4	15,616,962
Balances with brokers	4	30,493,701
Other assets		9,403
Total assets		50,454,677
Liabilities
Derivatives, at fair value	5,6	3,015,937
Balances due to brokers	4	80,282
Tax charge payable	3	740,000
Incentive fees payable	9,10	161,802
Management fees payable	9,10	100,074
Accrued expenses	9	106,946
Total liabilities		4,205,041
Net assets		46,249,636
Which are represented by:
42,467 Class A Shares with a Net Asset Value per Share of US$1,089.07	11	46,249,636

Approved and authorised for issue on behalf of the Board on 23 March 2017.

Jennifer A Thomson	John Renouf
Director	Director

The accompanying notes form an integral part of the financial statements.

4

Campbell MAC Cayman Fund Limited

Condensed schedule of investments

As at 31 December 2016

	Fair Value		% of
Investments in derivatives at fair value	US$		Net Assets
Assets
Derivative contracts — long exposure contracts
Futures contracts
Australia
Bond futures	44,375		0.10
Index futures	69,571		0.15
Total Australia	113,946		0.25
Canada
Index futures	(56,619	)	(0.12	)
Interest rate futures	9,565		0.02
Total Canada	(47,054	)	(0.10	)
France
Index futures	90,460		0.20
Total France	90,460		0.20
Germany
Bond futures	347,268		0.75
Index futures	167,343		0.36
Total Germany	514,611		1.11
Japan
Index futures	60,428		0.13
Total Japan	60,428		0.13
Netherlands
Index futures	102,405		0.22
Total Netherlands	102,405		0.22
Singapore
Index futures	(17,922	)	(0.04	)
Total Singapore	(17,922	)	(0.04	)
Sweden
Index futures	(68,337	)	(0.15	)
Total Sweden	(68,337	)	(0.15	)
Taiwan
Index futures	44,270		0.10
Total Taiwan	44,270		0.10
United Kingdom
Index futures	134,230		0.29
Commodity futures	(371,157	)	(0.80	)
Total United Kingdom	(236,927	)	(0.51	)

The accompanying notes form an integral part of the financial statements.

5

Campbell MAC Cayman Fund Limited

Condensed schedule of investments (continued)

As at 31 December 2016

	Fair Value		% of
Investments in derivatives at fair value	US$		Net Assets
Assets (continued)
Derivatives contracts — long exposure contracts (continued)
Futures contracts (continued)
United States
Bond futures	161,951		0.35
Index futures	(221,085	)	(0.48	)
Interest rate futures	11,188		0.02
Commodity futures	180,136		0.39
Total United States	132,190		0.28
Total futures contracts (cost: US$nil)	688,070		1.49
Forward foreign currency contracts	2,152,466		4.65
Total forward foreign currency contracts (cost: US$nil)	2,152,466		4.65
Total Derivative contracts — long exposure, at fair value (cost: US$nil)	2,840,536		6.14
Liabilities
Derivative contracts — short exposure contracts
Futures contracts
Australia
Bond futures	(32,946	)	(0.07	)
Interest rate futures	16,488		0.04
Total Australia	(16,458	)	(0.03	)
Canada
Bond futures	357		—
Total Canada	357		—
Germany
Bond futures	(39,435	)	(0.09	)
Total Germany	(39,435	)	(0.09	)
Hong Kong
Index futures	(35,983	)	(0.08	)
Total Hong Kong	(35,983	)	(0.08	)
India
Index futures	(32,379	)	(0.07	)
Total India	(32,379	)	(0.07	)
Japan
Bond futures	(82,570	)	(0.18	)
Total Japan	(82,570	)	(0.18	)

The accompanying notes form an integral part of the financial statements.

6

Campbell MAC Cayman Fund Limited

Condensed schedule of investments (continued)

As at 31 December 2016

	Fair Value		% of
Investments in derivatives at fair value	US$		Net Assets
Liabilities (continued)
Derivative contracts — short exposure contracts (continued)
Futures contracts (continued)
South Africa
Index futures	6,551		0.01
Total South Africa	6,551		0.01
United Kingdom
Bond futures	(148,134	)	(0.32	)
Interest rate futures	(56,042	)	(0.12	)
Commodity futures	7,740		0.02
Total United Kingdom	(196,436	)	(0.42	)
United States
Bond futures	(36,316	)	(0.08	)
Index futures	(48,065	)	(0.10	)
Commodity futures	422,718		0.91
Total United States	338,337		0.73
Total futures contracts (proceeds: US$nil)	(58,016	)	(0.13	)
Forward foreign currency contracts	(1,463,846	)	(3.16	)
Total forward foreign currency contracts (proceeds: US$nil)	(1,463,846	)	(3.16	)
Total Derivative contracts — short exposure, at fair value (proceeds : US$nil)	(1,521,862	)	(3.29	)

Reconciliation of long and short derivatives (note 5)

	Fair Value
	US$
Derivative Assets at fair value
Total fair value of long derivative assets	3,702,325
Total fair value of short derivative assets	632,286
Total Derivative Assets at fair value	4,334,611
Derivative Liabilities at fair value
Total fair value of long derivative liabilities	(861,789	)
Total fair value of short derivative liabilities	(2,154,148	)
Total Derivative Liabilities at fair value	(3,015,937	)

The accompanying notes form an integral part of the financial statements.

7

Campbell MAC Cayman Fund Limited

Statement of operations

For the year ended 31 December 2016

	Notes	2016 US$
Investment income
Interest income		49,687
Other income		74,357
Total investment income		124,044
Expenses
Incentive fees	9,10	161,802
Management fees	9,10	1,254,218
Margin commission		903,822
Administration fees	9	91,488
Tax charge	3	740,000
Interest expense		11,240
Other expenses	10	196,538
Total expenses		3,359,108
Net investment loss		(3,235,064	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency
Net realised gain from non-commodity interest derivatives and foreign currency	6	5,552,070
Net realised loss from commodity interest derivatives	6	(14,080,191	)
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency	6	951,541
Net change in unrealised appreciation from commodity interest derivatives	6	1,773,310
Net realised loss and change in unrealised appreciation from derivatives and foreign currency		(5,803,270	)
Net decrease in net assets resulting from operations		(9,038,334	)

The accompanying notes form an integral part of the financial statements.

8

Campbell MAC Cayman Fund Limited

Statement of changes in net assets

For the year ended 31 December 2016

	Notes	2016 US$
Net assets at the beginning of the year		79,642,300
Changes in net assets resulting from operations
Net investment loss		(3,235,064	)
Net realised gain from non-commodity interest derivatives and foreign currency		5,552,070
Net realised loss from commodity interest derivatives		(14,080,191	)
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		951,541
Net change in unrealised appreciation from commodity interest derivatives		1,773,310
Net decrease in net assets resulting from operations		(9,038,334	)
Changes in net assets resulting from capital transactions
Issuance of Shares	11	23,123,185
Redemptions of Shares	11	(47,477,515	)
Net decrease in net assets resulting from capital transactions		(24,354,330	)
Net decrease in net assets		(33,392,664	)
Net assets at the end of the year		46,249,636

The accompanying notes form an integral part of the financial statements.

9

Campbell MAC Cayman Fund Limited

Notes to the financial statements

For the year ended 31 December 2016

1.General

Campbell MAC Cayman Fund Limited (the “Master Fund”) is an exempted company incorporated with limited liability in the Cayman Islands under the provisions of the Companies Law of the Cayman Islands (as amended). The Master Fund was incorporated in the Cayman Islands on 11 October 2013. The Master Fund is an open-ended mutual fund registered with the Cayman Islands Monetary Authority and regulated under the Mutual Funds Law of the Cayman Islands (as amended).

The investment objective of the Master Fund is to maximise the long-term total returns to the holders of the Fund’s redeemable participating shares (the “Shares”). The Master Fund has two separate feeder funds, Campbell Cayman Feeder, an exempted company incorporated with limited liability in the Cayman Islands (the “Offshore Fund”), and Campbell Delaware Feeder LLC, a Delaware limited liability company (the “Onshore Fund”; and, together with the Offshore Fund, the “Feeder Funds”). The Feeder Funds invest substantially all of their assets (to the extent not retained in cash) in the Master Fund.

Further feeder funds may be created to invest in the Master Fund. As at 31 December 2016, the Offshore Fund and the Onshore Fund held 76.56% and 23.44% respectively of the Master Fund.

Campbell & Company, LP, a Delaware limited partnership, has been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). The Investment Manager is registered as an “investment advisor” under the U.S. Investment Advisors Act of 1940, as amended (the “Advisors Act”), with U.S. Securities and Exchange Commission (the “SEC”), as a commodity trading advisor with the U.S. Commodity Futures Trading Commission (the “CFTC”) and is a member of the U.S. National Futures Association (the “NFA”) in such capacity. FRM Investment Management (USA) LLC, a Delaware limited liability company, has been appointed as the risk manager and commodity pool operator of the Master Fund (the “Risk Manager”). The Risk Manager is registered as an investment advisor under the Advisors Act with the SEC, as a commodity pool operator and commodity trading advisor with the CFTC and is a member of the NFA in such capacities.

2.Significant accounting policies

The financial statements have been prepared in accordance with United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Master Fund is an investment company in conformity with US GAAP. Therefore the Master Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standard Board (“FASB”) Accounting Standard Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

Management has made an assessment of the Master Fund’s ability to continue as a going concern and is satisfied that the Master Fund has resources to continue in business for the foreseeable future. Furthermore, management is not aware of any material uncertainties that may cast significant doubt upon the Master Fund’s ability to continue as a going concern; therefore, the financial statements continue to be prepared on a going concern basis.

The Master Fund is exempted from preparing a statement of cash flow under ASC 946 as the Master Fund has no level 3 investments, does not hold any debt instruments and presents a statement of changes in net assets.

a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

b)Recent accounting pronouncements

In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. The Master Fund adopted this ASU during the year, which has had no significant impact on the financial statements.

c)Investments transactions and related investment income and expenses

Security transactions are recorded on a trade date basis. Realised gains and losses are computed using the first-in, first-out method. Interest income, interest expense and operating expenses are recorded on an accrual basis. Dividend income, net of applicable withholding taxes and dividend expenses on financial instruments sold short, are recorded on the ex-dividend date.

10

Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Significant accounting policies (continued)

d)Fair value of financial instruments

Definition and hierarchy

Derivative contracts are carried at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

A fair value hierarchy that prioritises the inputs to valuation techniques is used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:

·Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

·Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;

·Level 3 — Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable.

Valuation

Investments with values based on quoted market prices in active markets including active listed equities, are classified within Level 1. The Master Fund does not adjust the quoted price for such instruments, including in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices for an identical instrument, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non—transferability, which are generally based on available market information.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include private placements. When observable prices are not available for these financial instruments, the Investment Manager uses one or more valuation techniques e.g., the market approach or the income approach, for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors.

Derivative Instruments can be exchange-traded or privately negotiated over-the-counter (“OTC”).

OTC derivatives are valued by the Master Fund using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs.

These OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilise some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Investment Manager updates the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

e)Foreign currency

Items included in the Master Fund’s financial statements are measured using the currency of the primary economic environment in which it operates, which is US$ (the “Functional Currency”). The financial statements are presented in the Functional Currency and not the local currency of the Cayman Islands reflecting the fact that transactions are denominated primarily in US$.

Transactions during the year denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and Liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at the year-end denominated in foreign currency, the resulting gains or losses are included in the net realised gain and change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

The Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in net realised gains and change in unrealised appreciation from derivatives and foreign currency.

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Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Significant accounting policies (continued)

f)Cash and cash equivalents

Cash and cash equivalents include cash held at a bank and prime brokers maturing within three months of the year end date.

g)Allocation of income or loss

Income, expenses, realised and change in unrealised gains or losses on investments are allocated pro-rata to each share class based on the respective net asset value.

h)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amount and number of shares are not fixed remain in capital until the net asset value used to determine the redemption and share amounts are determined. The Master Fund does not have any redemptions payable as at the year end.

i)Offsetting

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the year end no financial instruments of the Master Fund are being presented net within the statement of financial condition of the Master Fund.

j)Taxation

The Cayman Islands currently has no income, corporation or capital gains tax, no taxes by way of withholding and no estate duty, inheritance tax or gift tax. In addition, the Master Fund has applied for and received from the Governor-in-Cabinet of the Cayman Islands pursuant to The Tax Concessions Law (as amended) of the Cayman Islands, an undertaking that, for a period of twenty years from the date of the undertaking, no law which is thereafter enacted in the Cayman Islands imposing any tax to be levied on profits, income, gains or appreciations shall apply to the Master Fund or its operations. In addition no tax on profits, income, gains or appreciation which is in the nature of estate duty or inheritance tax shall be payable on or in respect of the shares, debentures or other obligations of the Master Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740 (“ASU 740-10”) clarifies the accounting for uncertainty in income taxes recognised in the Master Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Master Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

Management has analysed the Master Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Master Fund’s financial statements except in respect of Spanish capital gains tax as outlined in note 3. Management’s assessment considers tax years subject to investigation. The Master Fund recognises interest and penalties, if any, related to unrecognised tax liability as a tax charge in the statement of operations. During the year ended 31 December 2016, the Master Fund did not incur any interest or penalties except in respect of Spanish capital gains tax as outlined in note 3.

3.Spanish capital gains tax

In accordance with ASC 740, Spanish capital gains tax of US$740,000 was recognised in the statement of operations within the tax charge which includes interests and penalties and US$740,000 was payable as at 31 December 2016.

4.Cash and Cash equivalents and balances with/due to brokers

At the year end amounts disclosed as cash and cash equivalents, balances with brokers and balances due to brokers were held at HSBC Bank Plc (the “Bank”) and UBS Warburg Ltd. (the “Prime Broker”). Balances with brokers and balances due to brokers represent the margin account balances held in the broker and balances payable to broker as at the year end. Due from brokers and to brokers represent receivables for financial instruments sold and payables for financial instruments purchased that have been contracted for but not yet settled or delivered on the statement of financial position date respectively. These include amounts transferred as collateral (which is subject to a security interest) against open derivatives, short positions or financial instruments purchased on margin.

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Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

4.Cash and Cash equivalents and balances with/due to brokers (continued)

Amounts receivable from short sales and collateral may be restricted in whole or part until the related financial instruments are purchased. To the extent that the financial instruments are purchased on margin, the margin debt may be secured on the related financial instruments. The portion of balances with brokers represented by collateral as at 31 December 2016 was US$15,955,418.

Included in the cash and cash equivalents balances as at 31 December 2016 is cash in foreign currencies with a fair value of US$ 291,644 (cost US$ 291,803).

5.Fair value measurements

The Master Fund’s assets and liabilities carried at fair value have been categorised based upon the fair value hierarchy set out in note 2. The following is a summary of the Master Fund’s financial instruments carried at fair value as at 31 December 2016:

	Level 1 US$	Level 2 US$	Level 3 US$	Total US$
Derivative Assets, at fair value
Derivatives
Bond futures	556,133	—	—	556,133
Commodity futures	907,259	—	—	907,259
Index futures	681,513	—	—	681,513
Interest rate futures	37,240	—	—	37,240
Forward currency contracts	—	2,152,466	—	2,152,466
Total Derivatives	2,182,145	2,152,466	—	4,334,611
Total Derivative Assets, at fair value	2,182,145	2,152,466	—	4,334,611
Derivative Liabilities, at fair value
Derivatives
Bond futures	341,582	—	—	341,582
Commodity futures	667,822	—	—	667,822
Index futures	486,644	—	—	486,644
Interest rate futures	56,043	—	—	56,043
Forward currency contracts	—	1,463,846	—	1,463,846
Total Derivatives	1,552,091	1,463,846	—	3,015,937
Total Derivative Liabilities, at fair value	1,552,091	1,463,846	—	3,015,937

There were no significant transfers between levels 1 and 2 during the year ended 31 December 2016.

The Master Fund did not hold any level 3 investments during the year.

Investments are reviewed at each financial reporting point to ensure that they are correctly classified between level 1, 2 and 3 in accordance with the fair value hierarchy outlined above. Where an investment’s characteristics change during the year and investments no longer meet the criteria of a given level, they are transferred into a more appropriate level at the end of relevant financial reporting year.

6.Derivatives

Typically, derivative contracts serve as components of the Master Fund’s investment strategy and are utilised primarily to structure and hedge investments to enhance performance and reduce risk to the Master Fund. The derivative contracts that the Master Fund is a party to consist of forward contracts and futures contracts. As at 31 December 2016, the derivative contracts were included in the Master Fund’s statement of financial condition at fair value.

The Master Fund records its derivative activities on a mark-to-market basis. Fair values are determined in accordance with the valuation principles set out in note 2.

For all OTC contracts, the Master Fund enters into master netting agreements with its counterparties, which may allow in certain circumstances netting of assets and liabilities. Assets and liabilities are only offset and the net amount reported in the statement of financial condition when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the assets and settle the liabilities simultaneously. As at 31 December 2016 no assets or liabilities are offset in the statement of financial condition.

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Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

6.Derivatives (continued)

As at 31 December 2016 all futures contracts were exchange traded and forward foreign currency contracts were OTC contracts. As at 31 December 2016 master netting arrangements were related to forward currency contracts held by the Master Fund.

The Master Fund has not designated any derivative instruments as hedging instruments under ASC 815 “Derivatives and hedging” (“ASC 815”). The condensed schedule of investments details information regarding derivative types and their fair value as at 31 December 2016.

As at 31 December 2016, open derivative instruments are included in the statement of financial condition under the heading ‘Derivatives, at fair value’:

	2016
	US$
Assets
Bond futures	556,133
Commodity futures	907,259
Index futures	681,513
Interest rate futures	37,240
Forward currency contracts	2,152,466
	4,334,611

	2016
	US$
Liabilities
Bond futures	341,582
Commodity futures	667,822
Index futures	486,644
Interest rate futures	56,043
Forward currency contracts	1,463,846
	3,015,937

As at 31 December 2016, the notional value of derivative instrument activity which is representative of the volume of derivative activity during the year was as follows:

	Notional value US$
	As at 31 December 2016
	Long (US$)	Short (US$)
Bond price risk
Bond futures	103,704,087	(133,849,053	)
Commodity price risk
Commodity futures	29,583,128	(23,903,813	)
Equity price risk
Index futures	101,876,770	(7,525,330	)
Interest rate risk
Interest rate futures	45,911,601	(309,991,161	)
Foreign exchange risk
Forward currency contracts	156,490,087	(125,593,339	)

For non-exchange traded derivatives, under standard derivative agreements, the Master Fund may be required to post collateral on derivatives if the Master Fund is in a net liability position with the counterparty exceeding certain amounts.

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Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

6.Derivatives (continued)

The effect of transactions in derivative instruments on the statement of operations for the year ended 31 December 2016 was as follows:

		Amount of gain or loss
		recognised in
		statement of operations
Derivative Type	Location of gain or loss in statement of operations	US$
Futures contracts (non-commodity interest)	Net realised gain from non-commodity interest derivatives and foreign currency	7,011,485
Futures contracts (commodity interest)	Net realised loss from commodity interest derivatives	(14,080,191	)
Forward currency contracts	Net realised gain from non-commodity interest derivatives and foreign currency	(1,457,437	)
Total		(8,526,143	)
Futures contracts (non-commodity interest)	Net change in unrealised appreciation on non-commodity interest derivatives and foreign currency	578,851
Futures contracts (commodity interest)	Net change in unrealised appreciation on commodity interest derivatives	1,773,310
Forward currency contracts	Net change in unrealised appreciation on non-commodity interest derivatives and foreign currency	377,509
Total		2,729,670
Net realised loss and change in unrealised appreciation on foreign currency		(6,797	)
Net realised loss and change in unrealised appreciation from derivative contracts and foreign currency		(5,803,270	)

The primary difference in the risk associated with OTC contracts and exchange-traded contracts is credit risk. The Master Fund has credit risk from OTC contracts when two conditions are present (i) the OTC contracts have unrealised gains, net of any collateral and (ii) the counterparty of the contracts default. The credit risk related to exchange-traded contracts is minimal because the exchange ensures that their contracts are always honoured. As at 31 December 2016, all future contracts were exchange traded all other derivatives were OTC contracts.

Futures are contracts for delayed delivery of commodities, securities, equity indices or money market instruments in which the seller agrees to make delivery at a specified future date of a specified commodity or instrument, at a specified price or yield. Gains and losses on futures are recorded by the Master Fund based upon market fluctuations and are recorded as realised or unrealised gains or losses in the statement of operations.

Forward contracts entered into by the Master Fund represent a firm commitment to buy or sell an underlying asset, or currency at a specified value and point in time based upon an agreement or contracted quantity. The realised/unrealised gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date/year-end date and is included in the statement of operations.

Derivative financial instruments are generally based on notional amounts which are not recorded in the financial statements. These notional amounts represent the theoretical principal value on which the cash flows of the derivative transactions are based. Unrealised gains or losses, rather than notional amounts, or the exchange-traded derivatives traded by the Master Fund are included in the statement of financial condition.

7.Offsetting of assets and liabilities

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously.

As at 31 December 2016, no financial instruments of the Master Fund are being presented net within the statement of financial condition.

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Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

7.Offsetting of assets and liabilities (continued)

The following tables provide information on the financial impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement in the event of default as defined under such agreements.

Derivative Assets and Collateral held by counterparty

		(ii)
	(i)	Impact of master netting arrangements not offset in the statement of financial condition
	Gross amounts of assets presented in the	Gross amounts not offset in the statement of financial condition
	statement of financial condition	Financial Instruments		Cash collateral received	(iii)=(i)+(ii) Net amount
Counterparty	US$	US$		US$	US$
UBS Warburg Ltd.	4,334,611	(3,015,937	)	—	(1,318,674	)
Total	4,334,611	(3,015,937	)	—	(1,318,674	)

Derivative Liabilities and Collateral pledged by counterparty

		(ii)
	(i)	Impact of master netting arrangements not offset in the statement of financial condition
	Gross amounts of liabilities presented in	Gross amounts not offset in the statement of financial condition
	the statement of financial condition	Financial Instruments		Cash collateral pledged	(iii)=(i)+(ii) Net amount
Counterparty	US$	US$		US$	US$
UBS Warburg Ltd.	3,015,937	(3,015,937	)	—	—
Total	3,015,937	(3,015,937	)	—	—

As at 31 December 2016 excess collateral pledged over fair value of financial liabilities was US$15,955,418.

8.Financial risk management and associated risk

Overall risk management

The Master Fund’s investment activities expose it to the various types of risk which are associated with the financial instruments and markets in which it invests. The most important types of financial risks to which the Master Fund is exposed are market risk, credit risk and liquidity risk. Market risk includes price risk, interest rate risk and currency risk. The Master Fund manages these risks on an aggregate basis along with the risks associated with its investing activities as part of its overall risk management policies.

The Master Fund has an agreement with FRM Investment Management (USA) LLC to act as risk manager. The Directors rely upon the Risk Manager to ensure that risks within the Master Fund are managed by the Investment Manager.

As a pre-requisite for investment, initial due diligence is performed by the Risk Manager to review the Investment Manager’s trading strategy, operational infrastructure and risk management environment. The Risk Manager then monitors the integrity of the Investment Manager’s operations on an ongoing basis.

The Risk Manager further monitors certain risk and performance measures of the Master Fund on a regular basis to seek to ensure that risks are managed by the Investment Manager and performance is in line with expectations and in accordance with any investment restrictions placed upon the Investment Manager. To this extent, the Risk Manager is given transparency on the positions and performance of the Investment Manager through trade files. Such measures include return breakouts, drawdowns, Value-at-Risk (“VaR”), and stress test losses.

The Risk Manager performs regular reviews of certain performance based measures against the Master Fund’s history of such measures and against that of the Investment Manager’s funds which implement similar strategies. If necessary, the Risk Manager requests that corrective action be taken by the Investment Manager.

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Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

8.Financial risk management and associated risk (continued)

Overall risk management (continued)

The nature and extent of the financial instruments outstanding at the date of the statement of financial condition and the risk management policies employed by the Master Fund are discussed below.

Market risk

Market risk is the risk that fair value or future cash flows of financial instruments will fluctuate due to changes in market variables such as interest rates, foreign exchange rates and equity prices.

Interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates.

The Master Fund is exposed to interest rate risk on cash or cash equivalents at bank, balances with brokers, balances due to brokers and certain derivative contracts.

Currency risk

Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. Although the majority of the Master Fund’s assets are denominated in US$, the Master Fund may invest in financial instruments and hold cash balances at its brokers that are denominated in currencies other than its reporting currency, the US$. Consequently, the Master Fund is exposed to risks that the exchange rate of the US$ relative to other currencies may change in a manner which has an adverse effect on the reported value of that portion of the Master Fund’s assets which are denominated in currencies other than the US$.

Other price risk

Other price risk is the risk that the price of a financial instrument will fluctuate due to changes in market conditions influencing, directly or indirectly, the value of the financial instrument. The Master Fund is exposed to other price risk from its financial instruments. Due to the nature of the trading strategies followed by this Master Fund, no direct relationship between any market factors and the expected prices of the financial instruments can be reliably established. Other price risk is managed through the overall risk management processes described above.

Credit/Counterparty risk

Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered into with the Master Fund.

The Master Fund’s maximum exposure to credit risk (not taking into account the value of any collateral or other security held) in the event that the counterparties fail to perform their obligations as at 31 December 2016 in relation to each class of recognised financial assets, other than derivatives, is the carrying amount of those assets in the statement of financial condition.

With respect to derivative financial instruments, credit risk arises from the potential failure of counterparties to meet their obligations under the contract or arrangement.

The Risk Manager has centralised its due diligence and monitoring process of prime brokerage and trading relationships through a dedicated prime brokerage and trading team employed by an affiliated company. Credit and counterparty risk is analysed by examining certain credit related criteria on a centralised basis across platforms by establishing risk tolerance levels in accordance with the overall risk profile of the prime broker/counterparty as determined by the Risk Manager. The credit quality of the Master Fund’s Bank, Brokers and any lenders at their parent companies level and subsidiaries when they are available is regularly monitored and factored into allocation decisions.

The exposures are to the Bank and to the Prime Brokers. As at the date of issuance of these financial statements, according to Moody’s Rating Agency, the credit rating of the Bank’s parent company, HSBC Holdings Plc, is A1 and the credit rating of UBS Warburg Ltd’s parent company UBS AG, is Ba1.

In addition, netting agreements and collateral arrangements (including International Swaps and Derivatives Association Inc. (“ISDA”) Master Agreements for over-the-counter derivatives) are routinely put in place when appropriate to allow the counterparty risk mitigating benefits of close-out netting and payment netting.

Liquidity risk

Liquidity risk is the risk that the Master Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Shares are the main liquidity risk for the Master Fund.

The Shares are redeemable as outlined in note 11. The exposure to liquidity risk through redemption requests for Shares is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the underlying investments as agreed by the Investment Manager.

The majority of the Master Fund’s financial instruments are Level 1 financial instruments which are considered readily realisable as they are all listed on major recognised exchanges.

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Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

8.Financial risk management and associated risk (continued)

Liquiditiy risk (continued)

The Master Fund’s financial instruments also include investments in Level 2 financial instruments, which are not quoted in an active public market and which generally may be illiquid. As a result, the Master Fund may not be able to liquidate quickly some of its investments in these instruments at an amount close to their fair value in order to meet its liquidity requirements.

9.Fees, commissions and other expenses

Management and incentive fees

Pursuant to the Investment Management Agreement (the “IMA”) entered into between the Master Fund and the Investment Manager (the “IMA”), the Master Fund pays the Investment Manager (i) a management fee, calculated on daily basis, accrued on each valuation day and payable monthly in arrears, equal to 1/365 of the Applicable Management Fee Rate of the Master Fund’s Adjusted Trading Level, adjusted for profits and losses. The “Applicable Management Fee Rate” shall be (a) 1.50% where the Trading Level is less than US$50 million; (b) 1.25% where the Trading Level is equal to or greater than US$50 million; (c) 1.00% where the Trading Level is equal to or greater than US$100 million and (ii) the Incentive Fee, effective from 1 August 2015, payable on an annual basis in arrears, equal to the Applicable Incentive Fee Rate of any net appreciation during the twelve-month period. The “Applicable Incentive Fee Rate” shall be (a) 20% of any net appreciation where the Trading Level is less than US$75 million; and (b) 15% of any net appreciation where the Trading Level is equal to or greater than US$75 million; provided that no incentive fee shall be payable until losses in previous periods have been recouped. Incentive fees generally crystallise upon a Redeemable Participating Shareholder making a redemption from the Master Fund to the extent incentive fees are allocable at the time of the redemption. In addition, redemptions generally reduce any then-allocable losses that must be recouped by the Investment Manager for it to be entitled to incentive fees.

Risk management fees

Pursuant to the Risk Management Agreement entered into between the Master Fund and the Risk Manager, the Risk Manager is responsible for monitoring the trading and investments of the Master Fund’s assets by the investment manager and its compliance with the investment objectives and strategies of the Master Fund. FRM Investment Management (USA) LLC receives no separate remuneration from the Master Fund. Risk management fees are paid by the Feeder Funds.

Administration fees

The Master Fund pays the administrator of the Master Fund an administration fee of up to 0.135% per annum of the net asset value of the Master Fund.

10.Related party transactions

Master Multi-Product Holdings II Ltd., a Bermuda exempted company, is a related party through its 100% holding of all the management shares of the Master Fund. The intermediate controlling party of the Master Fund is therefore Master Multi-Product Holdings II Ltd.

The Risk Manager is a related party as it is the risk manager and commodity pool operator of the Master Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund.

Each of the Directors is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Master Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Master Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisors and/or agents of other companies, including companies and other legal structures in which the Master Fund may invest and/or which may invest in the Master Fund.

The following transactions took place between the Master Fund and its related parties for the year ended 31 December 2016.

Related party	Type of fee	Total Fees US$	Fees payable US$
Campbell & Company, LP	Management fees	1,254,218	100,074
Campbell & Company, LP	Incentive fees	161,802	161,802
Directors	Directors’ fees	12,000	—

As at 31 December 2016, 100% of all outstanding Shares were owned by the Feeder Funds, which are entities affiliated with Man Group plc (refer to note 11).

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Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

11.Share capital

The Master Fund has an authorised share capital of US$50,000 divided into 1,000 management shares (“Management Shares”) of a par value of US$1.00 each and 4,900,000 non-voting Shares of a par value of US$0.01 each, which may be divided into different classes and/or series of Shares as the Directors may determine.

Management Shares of the Master Fund

The Management Shares are held by Master Multi-Product Holdings II Ltd. which is wholly-owned by Codan Trust Company Limited as trustee of the Master Multi-Product Purpose Trust, a special purpose trust formed under the laws of Bermuda pursuant to a Deed of Trust made by Codan Trust Company Limited dated 14 December 2005. As at 31 December 2016, these shares remained uncalled and no amounts were paid or payable to the Master Fund.

Shares of the Master Fund

Holders of Shares may, upon three calendar days’ written notice to the administrator of the Master Fund, redeem their Shares on the first business day of each month and/or each week and/or such other days as the Directors may determine in their sole discretion. The Directors, in their sole discretion, may decline to sell Shares to any investor for any reason or for no reason.

Investors may subscribe for Shares on each weekly and/or monthly dealing day of the Master Fund.

Transactions in Shares for the year ended 31 December 2016 were as follows:

	Class A
	US$		No of Shares
Balance at the beginning of the year			60,950
Issue of Shares for the year	23,123,185		18,220
Redemption of Shares for the year	(47,477,515	)	(36,703	)
Balance at the end of the year			42,467

In the event of a winding-up or dissolution of the Master Fund or upon the distribution of capital, the holders of the Shares shall be entitled, following a payment to the holders of paid-up Management Shares of the par value thereof, to the return of the assets of the Master Fund held in respect of that class and, thereafter, to share pro rata in the assets, if any, of the Master Fund which are not held in respect of any class of shares.

Capital management

The Master Fund’s objectives for managing capital may include:

·investing the capital in investments meeting the description, risk exposure and expected return indicated in the Feeder Funds’ offering documents;

·achieving consistent returns while safeguarding capital by investing in a diversified portfolio, by participating in derivative and other advanced capital markets and by using various investment strategies and hedging techniques;

·maintaining sufficient liquidity to meet the expenses of the Master Fund, and to meet redemption requests as they arise; and

·maintaining sufficient size to make the operation of the Master Fund cost-efficient.

Refer to note 8, ‘Financial risk management and associated risk’, for the policies and processes applied by the Master Fund in managing its capital.

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Campbell MAC Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

12.Financial highlights

Per Share operating performance:	Class A US$
Net asset value per share at the beginning of the year	1,306.69
Change in net assets resulting from operations:
Net investment loss	(61.06	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency	(156.55	)
Net decrease in net assets resulting from operations	(217.62	)
Net asset value per share at the end of the year	1,089.07
Total Return
Total return before incentive fees	(16.62	)%
Incentive fees	(0.03	)%
Total return after incentive fees	(16.65	)%
Ratio to average net assets (i)
Net investment loss before incentive fees	(5.09	)%
Incentive fees	(0.27	)%
Net investment loss after incentive fees	(5.36	)%
Total expenses before incentive fees	5.28	%
Incentive fees	0.27	%
Total expenses after incentive fees	5.55	%
Non-trade expenses (ii)	4.05	%

(i)The financial highlights are calculated for a share class taken as a whole. An individual shareholder’s financial highlights may vary from the above based on the timing of capital transactions and individual management and incentive fee arrangements.

(ii)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Master Fund in the course of normal trading, to the average net assets described above.

13.Indemnifications

In the normal course of business, the Master Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote.

14.Subsequent events

Subsequent to 31 December 2016, investors redeemed Shares having an aggregate net asset value of US$9,095,795.

In connection with the preparation of the financial statements as at 31 December 2016, management has evaluated the impact of all subsequent events on the Master Fund through 23 March 2017, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in the financial statements.

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Ernst & Young Ltd. 62 Forum Lane Camana Bay P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com

Report of Independent Auditors

The Board of Directors

Campbell MAC Cayman Fund Limited

We have audited the accompanying financial statements of Campbell MAC Cayman Fund Limited (the “Master Fund”), which comprise the statement of financial condition, including the condensed schedule of investments, as of 31 December 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

A member firm of Ernst & Young Global Limited

21

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Campbell MAC Cayman Fund Limited at 31 December 2016, and the results of its operations and changes in its net assets for the year then ended in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young Ltd.

23 March 2017

22

EX-13.04

Exhibit 13.04

Carlisle Delaware Feeder LLC

(Liquidation basis)

(A Delaware limited liability company)

Report and Financial Statements

For the period from 1 January 2016 to 17 November 2016

FRM Investment Management (USA) LLC, risk manager and commodity pool operator (the “Risk Manager”) of Carlisle Delaware Feeder LLC (the “Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Fund.

Carlisle Delaware Feeder LLC

(Liquidation basis)

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Statement of operations	5
Statement of changes in unitholders’ capital	6
Notes to the financial statements	7
Report of independent auditors	12

Appendix: Audited Financial Statements of Carlisle Fund Limited

1

Carlisle Delaware Feeder LLC

(Liquidation basis)

Directory

Board of Directors of the Master Fund	Registered Office of the Master Fund
Colin Ball (Appointed on 7 January 2016)	c/o Citco Trustees (Cayman) Limited
Ronan Daly (Resigned on 7 January 2016)	89 Nexus Way
John Renouf (Appointed on 7 January 2016)	Camana Bay
Jennifer Thomson	P.O. Box 31106
	Grand Cayman, KY1-1205
Master Fund	Cayman Islands
Carlisle Fund Limited
c/o Citco Trustees (Cayman) Limited	Legal Advisors to the Master Fund
89 Nexus Way	(as to Cayman Islands law)
Camana Bay	Maples and Calder
P.O. Box 31106	P.O. Box 309
Grand Cayman, KY1-1205	Ugland House
Cayman Islands	Grand Cayman, KY1-1104
	Cayman Islands
Manager and Risk Manager of the Fund; Risk Manager
of the Master Fund	Legal Advisors to the Fund and the Master Fund
FRM Investment Management (USA) LLC	(as to U.S. law)
452 Fifth Avenue, 26th Floor	Sidley Austin LLP
New York, NY 10018	One South Dearborn
U.S.A	Chicago, IL 60603
	U.S.A
Investment Manager to the Master Fund
Transtrend B.V	Auditors
Weena 723, unit C5.070	Ernst & Young Ltd
3013 AM Rotterdam	Suite 6401
The Netherlands	62 Forum Lane
	Camana Bay
Administrator	Grand Cayman, KY1-1106
HSBC Securities Services (Ireland) DAC	Cayman Islands
1 Grand Canal Square
Grand Canal Harbour
Dublin 2
Ireland
Bank
HSBC Bank plc
8 Canada Square
London, E14 5HQ
United Kingdom

2

Carlisle Delaware Feeder LLC

(Liquidation basis)

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in these financial statements of Carlisle Delaware Feeder LLC for the period from 1 January 2016 to 17 November 2016 is accurate and complete.

/s/ Linzie Steinbach

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Carlisle Delaware Feeder LLC

3

Carlisle Delaware Feeder LLC

(Liquidation basis)

Statement of financial condition

As at 17 November 2016

	Notes	2016 US$
Assets
Cash and cash equivalents		93,634
Total assets		93,634
Liabilities
Liquidation fees payable	1	33,061
Accrued expenses	4,5	60,573
Total liabilities		93,634
Net assets		—

Approved and authorised for issue on behalf of the manager of Carlisle Delaware Feeder LLC on 9 February 2017.

Linzie Steinbach

FRM Investment Management (USA) LLC

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

4

Carlisle Delaware Feeder LLC

(Liquidation basis)

Statement of operations

For the period from 1 January 2016 to 17 November 2016

	Notes	2016 US$
Investment income allocated from Carlisle Fund Limited
Interest income		7,432
Other income		205
Total investment income		7,637
Expenses
Tax expenses		164,665
Incentive fees	4,5	119,866
Management fees	4,5	35,196
Margin commission		30,428
Liquidation expense		25,541
Administration fees	4	6,932
Legal expenses		2,282
Interest expense		1,982
Other expenses		28,475
Total expenses		415,367
Net investment loss allocated from Carlisle Fund Limited		(407,730	)
Fund expenses
Liquidation expense		38,246
Preliminary expenses		35,893
Risk management fees	4,5	17,304
Administration fees	4	8,917
Other expenses		16,791
Total fund expenses		117,151
Net investment loss		(524,881	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency allocated from Carlisle Fund Limited
Net realised gain from non-commodity interest derivatives and foreign currency		897,530
Net realised gain from commodity interest derivatives		271,922
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		408,972
Net change in unrealised depreciation from commodity interest derivatives		(338,949	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency		1,239,475
Net increase in net assets resulting from operations		714,594

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

5

Carlisle Delaware Feeder LLC

(Liquidation basis)

Statement of changes in unitholders’ capital

For the period from 1 January 2016 to 17 November 2016

	Notes	2016 US$
Net assets at the beginning of the period		6,404,821
Changes in net assets resulting from operations
Net investment loss		(524,881	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency allocated from Carlisle Fund Limited
Net realised gain from non-commodity interest derivatives and foreign currency		897,530
Net realised gain from commodity interest derivatives		271,922
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		408,972
Net change in unrealised depreciation from commodity interest derivatives		(338,949	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency		1,239,475
Net increase in net assets resulting from operations		714,594
Change in net assets resulting from capital transactions
Issuance of Units	5	1,775,000
Redemptions of Units	5	(8,894,415	)
Net decrease in net assets resulting from capital transactions		(7,119,415	)
Net decrease in net assets		(6,404,821	)
Net assets at the end of the period		—

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

6

Carlisle Delaware Feeder LLC

(Liquidation basis)

Notes to the financial statements

For the period from 1 January 2016 to 17 November 2016

1.General

Carlisle Delaware Feeder LLC (the “Fund”) was organised as a Delaware limited liability company on 25 February 2015. The Fund commenced trading on 1 May 2015.

The investment objective of the Fund was to maximise the long-term total returns to the holders of the Fund’s units (the “Units”“). The Fund invested substantially all of its investible assets (to the extent not retained in cash) in, and conducted its investment program through, a “master-feeder structure” by investing into Carlisle Fund Limited, an exempted company with limited liability incorporated in the Cayman Islands under the provisions of the Companies Law (as amended) of the Cayman Islands (the “Master Fund”).

The most recent, applicable Confidential Offering Memorandum of the Fund (the “Offering Memorandum”) is dated 1 May 2015.

Transtrend B.V, a limited company incorporated in Netherlands, had been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). FRM Investment Management (USA) LLC, a Delaware limited liability company, had been appointed as the manager, risk manager and commodity pool operator of the Fund (the “Risk Manager”). The Risk Manager is registered as an investment advisor under the Advisors Act with the SEC, as a commodity pool operator and commodity trading advisor with the CFTC and is a member of the NFA in such capacities.

The financial statements of the Master Fund are attached and should be read in conjunction with the Fund’s financial statements.

The financial statements are prepared on liquidation basis. In the prior year, the financial statements were prepared on a going concern basis.

Liquidation basis

The Fund ceased trading and units were fully redeemed on 5 April 2016. The final Redemption payment was made on 17 November 2016. Management determined that the Fund would cease operations and it is anticipated that the Fund will be placed into liquidation in due course. As a result the Fund changed its basis of accounting from the going concern basis to the liquidation basis. All assets and liabilities were carried at amounts that materially equate to their realisable value as at 17 November 2016. Liquidation costs of US$33,061 have been accrued. These consisted of the liquidation fee charged by the auditor and administrator as at 17 November 2016.

2.Summary of significant accounting policies

These financial statements have been prepared in accordance with the United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Fund is an investment company in conformity with US GAAP. Therefore the Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

The Fund is exempted from preparing a statement of cash flow under ASC 946 as the Fund has no level 3 investments, does not hold any debt instruments and presents a statement of changes in unitholders’ capital.

a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in these financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

b)Investment in Master Fund

The Fund’s investment in the Master Fund was recorded at fair value, which was the Fund’s proportionate interest in the net assets of the Master Fund. The Fund records its proportionate share of the Master Fund’s income, expenses, and realised and unrealised gains and losses in the statement of operations.

Valuation of the investments held by the Master Fund including, but not limited to, the valuation techniques used and classification within the fair value hierarchy of instruments held by the Master Fund are discussed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

The investment in the Master Fund was carried at fair value. Under ASC 820, “Fair Value Measurements and Disclosures” fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a three-tier fair value hierarchy that prioritises the inputs to valuation techniques used to measure fair value.

The hierarchy gave the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (level 1 measurement) and lowest priority to unobservable inputs (level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below:

·Level 1 - Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

·Level 2 - Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;

·Level 3 - Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable.

7

Carlisle Delaware Feeder LLC

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

2.Summary of significant accounting policies (continued)

c)Foreign currency

Items included in the Fund’s financial statements are measured using the currency of the primary economic environment in which it operates which is US$ (the “Functional Currency”). These financial statements are presented in the Functional Currency, US$, reflecting the fact that transactions are denominated primarily in US$.

Transactions during the period denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and liabilities denominated in foreign currency were translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at the period denominated in foreign currency, the resulting gains or losses are included in the net realised gain and change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in the net realised gain and change in unrealised depreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

d)Cash and cash equivalents

Cash and cash equivalents include cash held at a bank maturing within three months of the period end date.

e)Recognition and allocation of income or loss

The Fund records subscriptions to and Redemptions from the Master Fund on the transaction date. The Fund records its weekly proportionate share of the Master Fund’s income, expenses and change in realised and unrealised gains and losses. In addition, the Fund accrues its own income and expenses. The Master Fund’s income and expense recognition and net gain/loss allocation policies are disclosed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

f)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a Redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amounts and number of Units are not fixed remain in capital until the net asset value used to determine the Redemption and unit amounts are determined. The Fund does not have any Redemptions payable as at the period end.

g)Offsetting

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the period end, no financial instruments of the Fund are being presented net within the statement of financial condition of the Fund.

h)Taxation

The Fund is classified as a partnership for United States Federal income tax purposes. Consequently, no provision has been made in these financial statements for United States federal or state income taxes as any tax liability arising from operations of the Fund is the responsibility of the unitholders and not the Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740 (“ASU 740-10”)” clarifies the accounting for uncertainty in income taxes recognised in the Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

Management has analysed the Fund’s tax positions from commencement of operations and has concluded that no provision, other than for Spanish capital gains tax as described below, for income tax is required in the Fund’s financial statements. Management’s assessment considered tax years subject to investigation. The Fund recognises interest and penalties, if any, related to unrecognised tax liability as income tax expense in the statement of operations. During the period from 1 January 2016 to 17 November 2016, the Fund did not incur any interest or penalties except in respect of Spanish capital gains tax as described below.

Spanish Capital gains tax

Spanish capital gains tax of US$164,665 was recognised in the statement of operations as tax expenses which includes interests and penalties during the period allocated from the Master Fund.

8

Carlisle Delaware Feeder LLC

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

2.Summary of significant accounting policies (continued)

i)Preliminary expenses

The Fund has borne its organisational expenses, including, without limitation, legal, accounting, filing and administration expenses associated with the organisation of the Fund and the offering of Units in the year in which they were incurred. For net asset value purposes the organisational costs are amortised over remaining period of trading of the Fund.

3.Financial risk management and associated risk

Since the Fund invested in the Master Fund, the Fund also bore the risks associated with the Master Fund, which are disclosed in the note 5 of Master Fund’s financial statements and in the Offering Memorandum.

4.Fees and expenses

Management fees

Pursuant to the Investment Management Agreement entered into between the Master Fund and the Investment Manager (“IMA”), the Master Fund paid management fee to the Investment Manager. Details of the IMA are disclosed in the note 6 of the Master Fund’s financial statements.

Incentive fees

Pursuant to the IMA, the Master Fund paid an incentive fee to the Investment Manager. Details of the IMA are disclosed in the note 6 of the Master Fund’s financial statements.

Risk management fees

Pursuant to the risk management agreement entered into by and among the Fund, the Master Fund and the Risk Manager (the “Management Agreement”), the Fund paid the Risk Manager a risk management fee equal to 0.50% per annum of the trading level of the Master Fund’s assets attributable to each series of the Fund, quarterly in arrears, and a pro rata share of any licensing fees for the use of any risk assessment tools provided by any third party which were used by the Risk Manager in providing services to the Fund pursuant to the Management Agreement.

Administration fees

The Fund paid the administrator of the Fund (the “Administrator”) an annual administration fee of US$21,500. The Administrator’s fees were subject to review from time to time to reflect changes in the operational cost of administering the Fund, as further set out in the administration agreement entered between the Administrator and the Fund. In addition, the Administrator received an additional administration fee from the Master Fund of up to 0.135% per annum of the net asset value of the Master Fund.

5.Related party transactions

The Risk Manager is a related party as it is the manager, risk manager and commodity pool operator of the Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund. Terms of incentive fees and management fees are disclosed in note 6 of the Master Fund’s financial statements.

Management is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisors and/or agents of other companies, including companies and other legal structures in which the Fund may have invested and/or which may have invested in the Fund.

The following transactions took place between the Fund and its related parties for the period ended 17 November 2016:

Related party	Type of fee	Total Fees US$	Fees payable US$
FRM Investment Management (USA) LLC	Risk management fees	17,304	—

6.Unitholders’ capital

The minimum initial capital contribution and the minimum additional contribution by a Unitholder was US$100,000. The Manager determined the current minimum subscription and/or such other amount in its sole discretion.

Unitholders may, subject to the restrictions set out in the Offering Memorandum, redeem their Units on each Monday (weekly dealing day) and/or the first dealing day of each month (monthly dealing day), (as applicable) (collectively “Redemption Day”). Redemptions were accepted on days other than the specified Redemption date, in the Manager’s sole discretion. Units would be considered to be redeemed on a “first purchased, first redeemed” basis.

9

Carlisle Delaware Feeder LLC

(Liquidation basis)

Notes to the financial statements

For the period from 1 January 2016 to 17 November 2016

6.Unitholders’ capital (continued)

The Units may have been issued as Series A Units and Series B Units as designated by the Manager. Series A Units and Series B Units had identical rights and privileges in all respects except that: (i) Series A Units were only available for subscription by Man Investors; and (ii) Series B Units were subject to the Reporting Fee (as defined in the Offering Memorandum). The Manager had the option to establish additional series, classes or tranches of Units in the future, which might have different and/or preferential terms to existing series, including among other things, the Incentive Fee, the Management Fee, minimum and additional subscription amounts, leverage levels, distribution policies, capacity rights, investor eligibility, voting rights, informational rights and other rights.

	Series A
	US$	Units
As at the beginning of the period		76,802
Subscribed	1,775,000	19,745
Redeemed	8,894,415	(96,547	)
As at the end of the period		—

7.Financial highlights

Per Unit operating performance:	Series A US$
Net asset value per unit at the beginning of the period	83.39
Change in net assets resulting from operations:
Net investment loss	(5.80	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency	14.54
Net increase in net assets per unit resulting from operations	8.74
Net asset value per unit at the end of the period(i)	92.13
Total Return(ii)
Total return before incentive fees	12.07	%
Incentive fees	(1.59	)%
Total return after incentive fees	10.48	%
Ratio to average net assets(iii)
Net investment loss before incentive fees	(15.18	)%
Incentive fees	(1.42	)%
Net investment loss after incentive fees	(16.60	)%
Total expenses before incentive fees	15.49	%
Incentive fees	1.42	%
Total expenses after incentive fees	16.91	%
Non trade expenses(iv)	16.05	%

(i)Net asset value at final Redemption of all Series A Units on 5 April 2016.

(ii)The Total Return as computed is not annualised.

10

Carlisle Delaware Feeder LLC

(Liquidation basis)

Notes to the financial statements

For the period from 1 January 2016 to 17 November 2016

7.Financial highlights (continued)

(iii)The financial highlights are calculated for a unit class or series taken as a whole. An individual unitholder’s financial highlights may vary from the above based on the timing of capital transactions and individual management and incentive fee arrangements. Ratios to average net assets are annualised, if related to a period of less than one year. Non-trade expenses are annualised when the period is less than one year.

(iv)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Fund in the course of normal trading, to the average net assets described above.

8.Indemnifications

In the normal course of business, the Fund entered into contracts that contained a variety of representations and warranties and which provided general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that might be made against the Fund that had not yet occurred. However, based on experience, management expects the risk of loss to be remote.

9.Subsequent events

In connection with the preparation of the accompanying financial statements as at 17 November 2016, management has evaluated the impact of all subsequent events on the Fund through 9 February 2017, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in these financial statements.

11

Ernst & Young Ltd.
62 Forum Lane
Camana Bay
P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Main tel: +1 345 949 8444 Fax: +1 345 949 8529
ey.com

Report of Independent Auditors

The Manager

Carlisle Delaware Feeder LLC (Liquidation basis)

We have audited the accompanying financial statements of Carlisle Delaware Feeder LLC (Liquidation basis) (the “Fund”), which comprise the statement of financial condition as of 17 November 2016, and the related statements of operations and changes in unitholders’ capital for the period from 1 January 2016 to 17 November 2016, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

A member firm of Ernst & Young Global Limited

12

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Carlisle Delaware Feeder LLC (Liquidation basis) at 17 November 2016, and the results of its operations and changes in its unitholders’ capital for the period from 1 January 2016 to 17 November 2016 in conformity with U.S. generally accepted accounting principles.

Liquidation Basis of Accounting

As described in Note 1 to the financial statements, the Manager of the Fund has decided to liquidate the Fund. As a result, the Fund changed its basis of accounting from the going concern basis to a liquidation basis. Our opinion is not modified with respect to this matter.

/s/ Ernst & Young Ltd.

9 February 2017

13

Carlisle Fund Limited

(Liquidation basis)

(A Cayman Islands exempted company)

Report and Financial Statements

For the period from 1 January 2016 to 17 November 2016

FRM Investment Management (USA) LLC, the risk manager and commodity pool operator (the “Risk Manager”) of Carlisle Fund Limited (the “Master Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Master Fund.

Carlisle Fund Limited

(Liquidation basis)

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Statement of operations	5
Statement of changes in net assets	6
Notes to the financial statements	7
Report of independent auditors	16

1

Carlisle Fund Limited

(Liquidation basis)

Directory

Board of Directors	Registered Office
Colin Ball (Appointed on 7 January 2016)	c/o Citco Trustees (Cayman) Limited
Ronan Daly (Resigned on 7 January 2016)	89 Nexus Way
John Renouf (Appointed on 7 January 2016)	Camana Bay
Jennifer Thomson	P.O. Box 31106
	Grand Cayman, KY1-1205
Investment Manager	Cayman Islands
Transtrend B.V.
Weena 723, unit C5.070	Legal Advisors
3013 AM Rotterdam	(as to Cayman Islands law)
The Netherlands	Maples and Calder
	P.O. Box 309
Risk Manager	Ugland House
FRM Investment Management (USA) LLC	Grand Cayman, KY1-1104
452 Fifth Avenue, 26th Floor	Cayman Islands
New York, NY 10018
U.S.A.	(as to US law)
	Sidley Austin LLP
Administrator	One South Dearborn
HSBC Securities Services (Ireland) DAC	Chicago, IL 60603
1 Grand Canal Square	U.S.A.
Grand Canal Harbour
Dublin 2	Auditors
Ireland	Ernst & Young Ltd.
	Suite 6401
Bank	62 Forum Lane
HSBC Bank plc	Camana Bay
8 Canada Square	Grand Cayman, KY1-1106
London, E14 5HQ	Cayman Islands
United Kingdom
	Company Secretary
	CSS Corporation Ltd.
	89 Nexus Way
	Camana Bay
	P.O. Box 31106
	Grand Cayman, KY1-1205
	Cayman Islands
	Prime Brokers
	UBS AG
	1/2 Finsbury Avenue
	London, EC2M 2PP
	United Kingdom
	Newedge UK Financial Limited
	10 Bishops Square
	London, E1 6EG
	United Kingdom

2

Carlisle Fund Limited

(Liquidation basis)

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in the financial statements of Carlisle Fund Limited for the period from 1 January 2016 to 17 November 2016 is accurate and complete.

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Carlisle Fund Limited

3

Carlisle Fund Limited

(Liquidation basis)

Statement of financial condition

As at 17 November 2016

	Notes	2016 US$
Assets
Cash and cash equivalents	3	208,240
Total assets		208,240
Liabilities
Tax payable		137,015
Liquidation fees payable	1	29,480
Accrued expenses	6,7	41,745
Total liabilities		208,240
Net assets		—

Approved and authorised for issue on behalf of the Board on 9 February 2017.

Jennifer Thomson	John Renouf
Director	Director

The accompanying notes form an integral part of the financial statements.

4

Carlisle Fund Limited

(Liquidation basis)

Statement of operations

For the period from 1 January 2016 to 17 November 2016

	Notes	2016 US$
Investment income
Interest income		19,958
Other income		551
Total investment income		20,509
Expenses
Tax expenses		441,600
Incentive fees	6,7	320,120
Management fees	6,7	94,596
Margin commission		81,938
Liquidation expenses	1	68,497
Administration fees	6	18,613
Legal expenses		6,125
Interest expense		5,346
Other expenses	7	76,435
Total expenses		1,113,270
Net investment loss		(1,092,761	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency
Net realised gain from non-commodity interest derivatives and foreign currency		2,392,436
Net realised gain from commodity interest derivatives		734,933
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		1,117,858
Net change in unrealised depreciation from commodity interest derivatives		(875,010	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency		3,370,217
Net increase in net assets resulting from operations		2,277,456

The accompanying notes form an integral part of the financial statements.

5

Carlisle Fund Limited

(Liquidation basis)

Statement of changes in net assets

For the period from 1 January 2016 to 17 November 2016

	Notes	2016 US$
Net assets at the beginning of the period		17,797,867
Changes in net assets resulting from operations
Net investment loss		(1,092,761	)
Net realised gain from non-commodity interest derivatives and foreign currency		2,392,436
Net realised gain from commodity interest derivatives		734,933
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		1,117,858
Net change in unrealised depreciation from commodity interest derivatives		(875,010	)
Net increase in net assets resulting from operations		2,277,456
Changes in net assets resulting from capital transactions
Issuance of Shares	8	3,530,000
Redemptions of Shares	8	(23,605,323	)
Net decrease in net assets resulting from capital transactions		(20,075,323	)
Net decrease in net assets		(17,797,867	)
Net assets at the end of the period		—

The accompanying notes form an integral part of the financial statements.

6

Carlisle Fund Limited

(Liquidation basis)

Notes to the financial statements

For the period from 1 January 2016 to 17 November 2016

1.General

Carlisle Fund Limited (the “Master Fund”) is an exempted company incorporated with limited liability in the Cayman Islands under the provisions of the Companies Law of the Cayman Islands (as amended). The Master Fund was incorporated in Bermuda as an exempted company on 20 October 2008 before being registered by way of continuation in the Cayman Islands on 2 April 2012. The Master Fund is an open-ended mutual fund registered with the Cayman Islands Monetary Authority and regulated under the Mutual Funds Law of the Cayman Islands (as amended).

The investment objective of the Master Fund was to maximise the long-term total returns to holders of the Fund’s non-voting redeemable participating shares (“the Shares”). The Master Fund had two separate feeder funds, Carlisle Cayman Feeder, an exempted company incorporated with limited liability in the Cayman Islands (the “Offshore Fund”), and Carlisle Delaware Feeder LLC, a Delaware limited liability company (the “Onshore Fund”; and, together with Offshore Fund, the “Feeder Funds”). The Feeder Funds invested substantially all of their assets (to the extent not retained in cash) in the Master Fund.

Transtrend B.V., a limited liability company incorporated in the Netherlands had been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). FRM Investment Management (USA) LLC, a Delaware limited liability company, has been appointed as the risk manager and commodity pool operator of the Master Fund (the “Risk Manager”). The Risk Manager is registered as an investment adviser under the Advisers Act with the SEC, as a commodity pool operator and commodity trading advisor with the CFTC and is a member of the NFA in such capacities.

The financial statements are prepared on liquidation basis. In the prior year, the financial statements were prepared on a going concern basis.

Liquidation basis

The Master Fund ceased trading and shares were fully redeemed on 5 April 2016. The final redemption payment was made on 17 November 2016. The Directors determined that the Master Fund would cease operations and it is anticipated that the Master Fund will be placed into liquidation in due course. As a result the Master Fund changed its basis of accounting from the going concern basis to the liquidation basis. All assets and liabilities are carried at amounts that materially equate to their realisable value as at 17 November 2016. Liquidation costs of US$29,480 have been accrued. These consisted of the liquidation fee charged by the auditor, administrator and other liquidation fees as at 17 November 2016.

2.Summary of significant accounting policies

The financial statements have been prepared in accordance with United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Master Fund is an investment company in conformity with US GAAP. Therefore the Master Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standard Board (“FASB”) Accounting Standard Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

The Master Fund is exempted from preparing a cash flow statement under ASC 946 as the Master Fund has no level 3 investments, does not hold any debt instruments and presents a statement of changes in net assets.

a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

b)Investments transactions and related investment income and expenses

Security transactions were recorded on a trade date basis. Realised gains and losses were computed using the first-in, first-out method. Interest income, interest expense and operating expenses were recorded on an accrual basis.

c)Fair value of financial instruments

Definition and hierarchy

Derivative contracts were carried at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

A fair value hierarchy that prioritises the inputs to valuation techniques was used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and lowest priority to unobservable inputs (Level 3 measurements).

7

Carlisle Fund Limited

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

2.Summary of significant accounting policies (continued)

c)Fair value of financial instruments (continued)

Definition and hierarchy (continued)

The three levels of the fair value hierarchy are described below:

·Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

·Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;

·Level 3 — Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable.

Valuation

Investments with values based on quoted market prices in active markets including active listed equities, were classified within Level 1. The Master Fund did not adjust the quoted price for such instruments, including in situations where the Master Fund held a large position and a sale could reasonably impact the quoted price.

Investments that traded in markets that were not considered to be active, but were valued based on quoted market prices for an identical instrument, dealer quotations or alternative pricing sources supported by observable inputs were classified within Level 2. As Level 2 investments included positions that were not traded in active markets and/or were subject to transfer restrictions, valuations might have been adjusted to reflect illiquidity and/or non—transferability, which were generally based on available market information.

Derivative Instruments could be exchange-traded or privately negotiated over-the-counter (“OTC”).

OTC derivatives were valued by the Master Fund using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. In instances where models were used, the value of an OTC derivative depended upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs.

d)Foreign currency

Items included in the Master Fund’s financial statements are measured using the currency of the primary economic environment in which it operates, which is US$ (the “Functional Currency”). The financial statements are presented in the Functional Currency and not the local currency of the Cayman Islands reflecting the fact that transactions are denominated primarily in US$.

Transactions during the period denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at period end denominated in foreign currency, the resulting gains or losses are included in the net realised gain and net change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

The Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in net realised gain and change in unrealised appreciation from non-commodity interest derivatives and foreign currency.

d)Cash and cash equivalents

Cash and cash equivalents include cash held at bank and prime brokers maturing within three months of the period end date.

e)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amount and number of shares are not fixed remain in capital until the net asset value used to determine the redemption and share amounts are determined. The Master Fund does not have any redemptions payable as at the period end.

8

Carlisle Fund Limited

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

2.Summary of significant accounting policies (continued)

f)Offsetting

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the period end no financial instruments of the Master Fund are being presented net within the statement of financial condition of the Master Fund.

g)Taxation

The Cayman Islands currently has no income, corporation or capital gains tax, no taxes by way of withholding and no estate duty, inheritance tax or gift tax. In addition, the Master Fund has applied for and received from the Governor-in-Cabinet of the Cayman Islands pursuant to The Tax Concessions Law (2011 Revision) of the Cayman Islands, an undertaking that, for a period of twenty years from the date of the undertaking, no law which is thereafter enacted in the Cayman Islands imposing any tax to be levied on profits, income, gains or appreciations shall apply to the Master Fund or its operations. In addition no tax on profits, income, gains or appreciation which is in the nature of estate duty or inheritance tax shall be payable on or in respect of the shares, debentures or other obligations of the Master Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740 (“ASU 740-10”) clarifies the accounting for uncertainty in income taxes recognised in the Master Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Master Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

Management has analysed the Master Fund’s tax positions from commencement of operations and has concluded that, other than for Spanish capital gains tax as described below, no provision for income tax is required in the Master Fund’s financial statements. Management’s assessment considered tax years subject to investigation. The Master Fund recognised interest and penalties, if any, related to unrecognised tax liability as tax expense in the statement of operations. During the period from 1 January 2016 to 17 November 2016, the Master Fund did not incur any interest or penalties except in respect of Spanish capital gains tax as described below.

Spanish Capital gains tax

Spanish capital gains tax of US$441,600 was recognised in the statement of operations as tax expenses which includes interests and penalties during the period and US$137,015 was payable as at 17 November 2016.

3.Cash and Cash equivalents

At the period end amounts disclosed as cash and cash equivalents were held at HSBC Bank plc.

There was no cash in foreign currencies included in the cash and cash equivalents as at 17 November 2016.

4.Derivatives

Typically, derivative contracts served as components of the Master Fund’s investment strategy and were utilised primarily to structure and hedge investments to enhance performance and reduce risk to the Master Fund. The derivative contracts that the Master Fund was a party to consist of forward contracts and futures contracts. As at 17 November 2016, the Master fund did not hold any derivative instruments.

The Master Fund recorded its derivative activities on a mark-to-market basis. Fair values were determined in accordance with the valuation principles set out in note 2.

For all OTC contracts, the Master Fund entered into master netting agreements with its counterparties, which might have allowed in certain circumstances netting of assets and liabilities. Assets and liabilities were only offset and the net amount reported in the statement of financial condition when there was a legally enforceable right to offset the recognised amounts and there was an intention to settle on a net basis or realise the assets and settle the liabilities simultaneously. As at 17 November 2016, no assets or liabilities were offset in the statement of financial condition.

9

Carlisle Fund Limited

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

4.Derivatives (continued)

The Master Fund did not enter into any new derivative contract after 5 April 2016. The weekly average notional values and volumes of derivatives which were representative of the trading during the period from 1 January 2016 to 5 April 2016 were as follows:

	Average number of contracts		Average notional value (US$)
	Long	Short	Long (US$)	Short (US$)
Bond price risk	13	4	98,137,272	(28,245,865	)
Bond futures
Commodity price risk
Commodity futures	22	98	5,238,484	(24,150,407	)
Equity price risk
Equity futures	44	87	2,556,352	(2,573,356	)
Index futures	15	28	11,422,321	(6,901,142	)
Interest rate risk
Interest rate futures	40	22	164,207,377	(109,056,295	)
Foreign exchange risk
Currency futures	16	18	20,526,985	(20,063,904	)
Forward currency contracts	142	143	25,825,132	(37,852,469	)

For non-exchange traded derivatives, under standard derivative agreements, the Master Fund might have been required to post collateral on derivatives if the Master Fund was in a net liability position with the counterparty exceeding certain amounts.

The effect of transactions in derivative instruments on the statement of operations for the period ended 17 November 2016 was as follows:

Derivative Type	Location of gain or loss in statement of operations	Amount of gain or loss recognised in statement of operations US$
Futures contracts (non-commodity interest)	Net realised gain from non-commodity interest derivatives and foreign currency	2,886,248
Futures contracts (commodity interest)	Net realised gain from commodity interest derivatives	734,933
Forward currency contracts	Net realised gain from non-commodity interest derivatives and foreign currency	(399,247	)
Total		3,221,934
Futures contracts (non-commodity interest)	Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency	629,174
Futures contracts (commodity interest)	Net change in unrealised depreciation from commodity interest derivatives	(875,010	)
Forward currency contracts	Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency	483,769
Total		237,933
Net realised loss and change in unrealised appreciation on foreign exchange		(89,650	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency		3,370,217

The primary difference in the risk associated with OTC contracts and exchange-traded contracts was credit risk. The Master Fund had credit risk from OTC contracts when two conditions were present (i) the OTC contracts had unrealised gains, net of any collateral and (ii) the counterparty of the contracts defaulted. The credit risk related to exchange-traded contracts was minimal because the exchange ensured that their contracts were always honoured.

10

Carlisle Fund Limited

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

4.Derivatives (continued)

Futures are contracts for delayed delivery of commodities, securities, equity indices or money market instruments in which the seller agrees to make delivery at a specified future date of a specified commodity or instrument, at a specified price or yield. Gains and losses on futures were recorded by the Master Fund based upon market fluctuations and were recorded as realised or unrealised gains or losses in the statement of operations.

Forward contracts entered into by the Master Fund represented a firm commitment to buy or sell an underlying asset, or currency at a specified value and point in time based upon an agreement or contracted quantity. The realised/unrealised gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date and is included in the statement of operations.

Derivative financial instruments are generally based on notional amounts which are not recorded in the financial statements. These notional amounts represent the theoretical principal value on which the cash flows of the derivative transactions are based.

5.Financial risk management and associated risk

Overall risk management

The Master Fund’s investment activities exposed it to the various types of risk which were associated with the financial instruments and markets in which it invested. The most important types of financial risks to which the Master Fund was exposed were market risk, credit risk and liquidity risk. Market risk included price risk, interest rate risk and currency risk. The Master Fund managed these risks on an aggregate basis along with the risks associated with its investing activities as part of its overall risk management policies.

The Master Fund had an agreement with FRM Investment Management (USA) LLC to act as risk manager. The Directors relied upon the Risk Manager to monitor that risks within the Master Fund were managed by the Investment Manager.

As a pre-requisite for investment, initial due diligence was performed by the Risk Manager to review the Investment Manager’s trading strategy, operational infrastructure and risk management environment. The Risk Manager then monitored the integrity of the Investment Manager’s operations on an ongoing basis.

The Risk Manager further monitored certain risk and performance measures of the Master Fund on a regular basis to seek to ensure that risks were managed by the Investment Manager and performance was in line with expectations and in accordance with any investment restrictions placed upon the Investment Manager. To this extent, the Risk Manager was given transparency on the positions and performance of the Investment Manager. Such measures included return breakouts, drawdowns, Value-at-Risk (“VaR”), volatility, risk factor sensitivities and stress test losses.

The Risk Manager performed regular reviews of certain performance based measures against the Master Fund’s history of such measures and against that of the Investment Manager’s funds which implement similar strategies. If necessary, the Risk Manager requested that corrective action be taken by the Investment Manager.

The nature and extent of the financial instruments outstanding at the date of the statement of financial condition and the risk management policies employed by the Master Fund are discussed below.

Market risk

Market risk is the risk that fair value or future cash flows of financial instruments will fluctuate due to changes in market variables such as interest rates, foreign exchange rates and equity prices.

Interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates.

The Master Fund is exposed to interest rate risk on cash and cash equivalents at bank.

Currency risk

Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. Although the majority of the Master Fund’s assets were denominated in US$, the Master Fund might have invested in financial instruments and held cash balances at its brokers that were denominated in currencies other than its reporting currency, the US$. Consequently, the Master Fund was exposed to risks that the exchange rate of the US$ relative to other currencies might have changed in a manner which had an adverse effect on the reported value of that portion of the Master Fund’s assets which were denominated in currencies other than the US$. At the period end there was no currency risk.

11

Carlisle Fund Limited

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

5Financial risk management and associated risk (continued)

Other price risk

Other price risk is the risk that the price of a financial instrument will fluctuate due to changes in market conditions influencing, directly or indirectly, the value of the financial instrument. The Master Fund was exposed to other price risk from its financial instruments. Due to the nature of the trading strategies followed by this Master Fund, no direct relationship between any market factors and the expected prices of the financial instruments could be reliably established. Other price risk was managed through the overall risk management processes described above.

Credit/Counterparty risk

Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered into with the Master Fund.

The Master Fund’s maximum exposure to credit risk (not taking into account the value of any collateral or other security held) in the event that the counterparties failed to perform their obligations as at 17 November 2016 in relation to each class of recognised financial assets, other than derivatives, was the carrying amount of those assets in the statement of financial condition.

With respect to derivative financial instruments, credit risk arose from the potential failure of counterparties to meet their obligations under the contract or arrangement.

The Risk Manager has centralised its due diligence and monitoring process of the prime brokerage and trading relationships through a dedicated prime brokerage and trading team employed by an affiliated company. Credit and counterparty risk is analysed by examining certain credit related criteria on a centralised basis across platforms by establishing risk tolerance levels in accordance with the overall risk profile of the prime broker/counterparty as determined by the Risk Manager. The credit quality of the Master Fund’s Bank, Brokers and any lenders at their parent companies level and subsidiaries when they were available was regularly monitored and factored into allocation decisions.

The exposure is to the Bank. As at the date of issuance of these financial statements, according to Moody’s Rating Agency, the credit rating of the Bank’s parent company, is A1.

In addition, netting agreements and collateral arrangements (including International Swaps and Derivatives Association Inc. (“ISDA”) Master Agreements for over-the-counter derivatives) were routinely put in place when appropriate to allow the counterparty risk mitigating benefits of close-out netting and payment netting.

Liquidity risk

Liquidity risk is the risk that the Master Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Shares were the main liquidity risk for the Master Fund.

The Shares were redeemable as outlined in note 8. The exposure to liquidity risk through redemption requests for Shares was managed by specifically setting the redemption notice period to accommodate the expected liquidity of the underlying investments as agreed by the Investment Manager. All Shares were redeemed as at 5 April 2016.

6Fees, commissions and other expenses

Management and incentive fees

Pursuant to the Investment Management Agreement entered into between the Master Fund and the Investment Manager (the “IMA”), the Master Fund paid the Investment Manager a management fee, payable monthly in arrears, calculated daily, equal to 1/365 of the Applicable Management Fee Rate of the Master Fund’s Adjusted Trading Level, adjusted for profits and losses. The “Applicable Management Fee Rate” was (a) 1% of that portion of the Trading Level that was less than US$50 million; and (b) 0.75% of that portion of the Trading Level that was equal to or greater than US$50 million. The Master Fund also pays incentive fees, payable bi-annually in arrears, equal to 22.5% of any net appreciation of the Master Fund during the six-month period; provided that no Incentive Fee was to be payable until losses in previous periods have been recouped. Incentive Fees generally crystallised upon a Master Fund shareholder making a redemption from the Master Fund to the extent Incentive Fees were accrued at the time of the redemption. In addition, redemptions generally reduced any then-accrued losses that must be recouped by the Investment Manager for it to be entitled to Incentive Fees.

Risk management fees

Pursuant to the Risk Management Agreement entered into between the Master Fund and the Risk Manager, the Risk Manager was responsible for monitoring the trading and investments of the Master Fund’s assets by the Investment Manager and its compliance with the investment objectives and strategies of the Master Fund. Risk management fees were paid by the Feeder Funds.

Administration fees

The Master Fund paid the administrator of the Master Fund an administration fee of up to 0.135% per annum of the net asset value of the Master Fund.

12

Carlisle Fund Limited

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

7.Related party transactions

Master Multi-Product Holdings II Ltd., a Bermuda exempted company, is a related party through its 100% holding of all the management shares of the Master Fund. The intermediate controlling party of the Master Fund is therefore Master Multi-Product Holdings II Ltd.

The Risk Manager is a related party as it is the risk manager and commodity pool operator of the Master Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund.

Each of the Directors is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Master Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Master Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisers and/or agents of other companies, including companies and other legal structures in which the Master Fund may have invested and/or which may have invested in the Master Fund.

The following transactions took place between the Master Fund and its related parties for the period ended 17 November 2016.

Related party	Type of fee	Total Fees US$	Fees payable US$
Transtrend B.V.	Management fees	94,596	—
Transtrend B.V.	Incentive fees	320,120	—
Directors	Directors’ fees	12,000	12,000

8.Share capital

The Master Fund has an authorised share capital of US$50,000 divided into 1,000 management shares (“Management Shares”) of a par value of US$1.00 each and 4,900,000 non-voting Shares of a par value of US$0.01 each, which may have been divided into different classes and/or series of Shares as the Directors may determine.

Management Shares of the Master Fund

The 100 issued Management Shares are held by Master Multi-Product Holdings II Ltd. which is wholly-owned by Codan Trust Company Limited as trustee of the Master Multi-Product Purpose Trust, a special purpose trust formed under the laws of Bermuda pursuant to a Deed of Trust made by Codan Trust Company Limited dated 14 December 2005.

Shares of the Master Fund

Holders of Shares were able, upon one business day’s written notice to the administrator of the Master Fund, redeem their Shares on a weekly dealing day (each Wednesday) and/or a monthly dealing day (first business day of each month) and/or such other days as the Directors may determine in their sole discretion. The Directors, in their sole discretion, could decline to sell Shares to any investor for any reason or for no reason.

Investors could subscribe for Shares on each weekly dealing day of the Master Fund.

Transactions in Shares for the period ended 17 November 2016 were as follows:

	Class A
	US$		No of Shares
Balance at the beginning of the period			210,233
Issue of Shares for period	3,530,000		38,939
Redemption of Shares for period	(23,605,323	)	(249,172	)
Balance at end of the period			—

In the event of a winding-up or dissolution of the Master Fund or upon the distribution of capital, the holders of the Shares were entitled, following a payment to the holders of paid-up Management Shares of the par value thereof, to the return of the assets of the Master Fund held in respect of that class and, thereafter, to share pro rata in the assets, if any, of the Master Fund which were not held in respect of any class of shares.

13

Carlisle Fund Limited

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

8.Share capital (continued)

Capital management

The Master Fund’s objectives for managing capital might have included:

·investing the capital in investments meeting the description, risk exposure and expected return indicated in the Feeder Funds’ offering documents;

·achieving consistent returns while safeguarding capital by investing in a diversified portfolio, by participating in derivative and other advanced capital markets and by using various investment strategies and hedging techniques;

·maintaining sufficient liquidity to meet the expenses of the Master Fund, and to meet redemption requests as they arise; and

·maintaining sufficient size to make the operation of the Master Fund cost-efficient.

Refer to note 5, ‘Financial risk management and associated risk’, for the policies and processes applied by the Master Fund in managing its capital.

9.Financial highlights

	Class A
Per Share operating performance:	US$
Net asset value per share at the beginning of the period	84.66
Change in net assets resulting from operations:
Net investment loss	(4.55	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency	14.67
Net increase in net assets per share resulting from operations	10.12
Net asset value per share at end of the period (i)	94.78
Total Return (ii)
Total return before incentive fees	13.53	%
Incentive fees	(1.58	)%
Total return after incentive fees	11.95	%
Ratio to average net assets (iii)
Net investment loss before incentive fees	(11.41	)%
Incentive fees	(1.40	)%
Net investment loss after incentive fees	(12.81	)%
Total expenses before incentive fees	11.71	%
Incentive fees	1.40	%
Total expenses after incentive fees	13.11	%
Non trade expenses (iii) (iv)	11.84	%

(i)Net asset value at final redemption of all Class A Shares on 5 April 2016.

(ii)The Total Return as computed is not annualised.

(iii)The financial highlights are calculated for the share class taken as a whole. An individual shareholder’s financial highlights may vary from the above based on the timing of capital transactions and individual management and incentive fee arrangements. Ratios to average net asset are annualised, if related to a period of less than one year. Non-trade expenses are annualised when the period is less than one year.

(iv)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Master Fund in the course of normal trading, to the average net assets described above.

14

Carlisle Fund Limited

(Liquidation basis)

Notes to the financial statements (continued)

For the period from 1 January 2016 to 17 November 2016

10.Indemnifications

In the normal course of business, the Master Fund entered into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote.

11.Subsequent events

In connection with the preparation of the financial statements as at 17 November 2016, management has evaluated the impact of all subsequent events on the Master Fund through 9 February 2017, the date the financial statements were available to be issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

15

Ernst & Young Ltd.
62 Forum Lane
Camana Bay
P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Main tel: +1 345 949 8444 Fax: +1 345 949 8529
ey.com

Report of Independent Auditors

The Board of Directors

Carlisle Fund Limited (Liquidation basis)

We have audited the accompanying financial statements of Carlisle Fund Limited (Liquidation basis) (the “Master Fund”), which comprise the statement of financial condition as of 17 November 2016, and the related statements of operations and changes in net assets for the period from 1 January 2016 to 17 November 2016, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

A member firm of Ernst & Young Global Limited

16

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Carlisle Fund Limited (Liquidation basis) at 17 November 2016, and the results of its operations and changes in its net assets for the period from 1 January 2016 to 17 November 2016 in conformity with U.S. generally accepted accounting principles.

Liquidation Basis of Accounting

As described in Note 1 to the financial statements, the Master Fund ceased trading and shares were fully redeemed on 5 April 2016. The Board of Directors determined that the Master Fund would cease operations and it is anticipated that the Master Fund will be placed into liquidation in due course. As a result, the Master Fund changed its basis of accounting from the going concern basis to a liquidation basis. Our opinion is not modified with respect to this matter.

/s/ Ernst & Young Ltd.

9 February 2017

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EX-13.05

Exhibit 13.05

Quantica MF Delaware Feeder LLC (A Delaware limited liability company) Report and Financial Statements For the period from 25 February 2015 (date of formation) to 31 December 2015 Each investor must represent that it is both a ‘‘qualified eligible person’’ and a non-‘‘Non-United States person’’ within the meaning of US Commodity Futures Trading Commission (“CFTC”) Regulation 4.7 as well as a an “accredited investor” under Regulation D promulgated under the U.S. Securities Act of 1933, as amended (the “Securities Act”), and a “U.S. Person” under Regulation S promulgated under the Securities Act. FRM Investment Management (USA) LLC is the manager (the ‘‘Manager’’) of Quantica MF Delaware Feeder LLC (the ‘‘Fund’’), and is registered as a commodity pool operator and a commodity trading advisor under the Commodity Exchange Act. A claim of exemption pursuant to the CFTC Rule 4.7 has been made by the Manager in its capacity as commodity pool operator of the Fund. The exemption relieves the Fund of certain disclosure and reporting obligations under the commodity pool rules of the CFTC.

Quantica MF Table of contents Delaware Feeder LLC Page 2 Table of contents Directory 3 Affirmation of the Commodity Pool Operator 4 Statement of Financial Condition 5 Statement of Operations 6 Statement of Changes in Unitholders’ Capital 7 Notes to the Financial Statements 8 Independent Auditors’ Report 13 Appendix: Audited financial statements of Quantica MF Cayman Fund Limited 2

Quantica MF Delaware Feeder Directory LLC Manager, Risk Manager and Commodity Pool Operator to the Fund Auditor Ernst & Young Ltd. Suite 6401 62 Forum Lane Camana Bay Grand Cayman, KY1-1106 Cayman Islands FRM Investment Management (USA) LLC 452 Fifth Ave., 26th Floor New York, NY 10018 United States of America Master Fund Quantica MF Cayman Fund Limited c/o Citco Trustees (Cayman) Limited 89 Nexus Way, Camana Bay P.O. Box 31106 Grand Cayman, KY1-1205 Cayman Islands U.S. Legal Counsel to the Fund and the Master Fund (as to U.S law) Sidley Austin LLP One South Dearborn Chicago, IL 60603 United States of America Investment Manager to the Master Fund Quantica Capital AG Freier Platz 10 CH-8200, Scfaffhausen Switzerland Cayman Islands Legal Counsel to the Master Fund (as to Cayman Islands law) Maples and Calder P.O. Box 309 Ugland House Grand Cayman, KY1-1104 Cayman Islands Administrator HSBC Securities Services (Ireland) Limited 1 Grand Canal Square Grand Canal Harbour Dublin 2 Ireland 3

Quantica MF Delaware Feeder LLC Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the financial statements of Quantica MF Delaware Feeder LLC for the period from 25 February 2015 (date of formation) to 31 December 2015 is accurate and complete. b Principal Financial Officer FRM Investment Management (USA) LLC, the Commodity Pool Operator of Quantica MF Delaware Feeder LLC 4

Quantica MF Delaware Feeder Statement of Financial Condition As at 31 December 2015 LLC 2015 US$ Notes Assets Investment in Quantica MF Cayman Fund Limited, at fair value Redemptions receivable from Quantica MF Cayman Fund Limited Other assets 3 17,194,437 330,000 36,476 Total assets 17,560,913 Liabilities Redemptions payable Risk management fees payable Audit fees payable Accrued expenses and other liabilities 330,000 51,211 13,250 50,081 4,5 4,5 Total liabilities 444,542 Net assets 17,116,371 Which are represented by: Restricted series 18,746 Series A Units with a Net Asset Value per unit of US$913.08 6 17,116,371 17,116,371 Approved and authorised for issue on behalf of the Manager of Quantica MF Delaware Feeder LLC on 17 March 2016. Linzie Steinbach FRM Investment Management (USA) LLC The accompanying notes form an integral part of the financial statements. The financial statements of Quantica MF Cayman Fund Limited (the “Master Fund”) form an integral part of these financial statements. 5

Quantica MF Delaware Feeder LLC Statement of Operations For the period from 25 February 2015 (date of formation) to 31 December 2015 2015 US$ Notes Net investment income allocated from Quantica MF Cayman Fund Limited Interest income 3,445 Total investment income 3,445 Expenses Management fees Interest expense Margin commission Administration fees Incentive fees Professional fees and general expenses 4,5 201,267 74,850 37,223 16,533 1,513 23,994 4 4,5 Total expenses 355,380 Net investment loss allocated from Quantica MF Cayman Fund Limited (351,935) Fund expenses Risk management fees Administration fees Audit fees Preliminary expenses Professional fees and general expenses 4,5 4 147,040 15,500 13,250 6,639 48,445 Total fund expenses 230,874 Net investment loss (582,809) Net realised loss and change in unrealised appreciation from derivatives and foreign currency allocated from Quantica MF Cayman Fund Limited Net realised loss from non-commodity interest derivatives and foreign currency Net realised loss from commodity interest derivatives Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency Net change in unrealised depreciation from commodity interest derivatives position (5,513,813) (1,588,183) 402,403 (341,227) Net realised loss and change in unrealised appreciation from derivatives and foreign currency (7,040,820) Net decrease in net assets resulting from operations (7,623,629) The accompanying notes form an integral part of the financial statements. The financial statements of Quantica MF Cayman Fund Limited (the “Master Fund”) form an integral part of these financial statements. 6

Quantica MF Delaware Feeder LLC Statement of Changes in Unitholders’ Capital For the period from 25 February 2015 (date of formation) to 31 December 2015 2015 US$ Notes Net assets at beginning of period - Decrease in net assets from operations Net investment loss Net realised loss and change in unrealised appreciation from derivatives and foreign currency allocated from Quantica MF Cayman Fund Limited Net realised loss from non-commodity interest derivatives and foreign currency Net realised loss from commodity interest derivatives Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency Net change in unrealised depreciation from commodity interest derivatives position (582,809) (5,513,813) (1,588,183) 402,403 (341,227) Net realised loss and change in unrealised appreciation from derivatives and foreign currency (7,040,820) Net decrease in net assets resulting from operations (7,623,629) Increase in net assets resulting from capital transactions 6 6 Issuance of Series A Units Redemption of Series A Units Net increase in net assets resulting from capital transactions 34,095,000 (9,355,000) 24,740,000 Total increase in net assets 17,116,371 Net assets at the end of the period 17,116,371 The accompanying notes form an integral part of the financial statements. The financial statements of Quantica MF Cayman Fund Limited (the “Master Fund”) form an integral part of these financial statements. 7

Quantica MF Delaware Feeder LLC Notes to the Financial Statements For the period from 25 February 2015 (date of formation) to 31 December 2015 8 1. General Quantica MF Delaware Feeder LLC (the "Fund") was organised as a Delaware limited liability Company on 25 February 2015. The Fund commenced trading on 1 May 2015. The investment objective of the Fund is to maximize the long-term total returns to the Unitholders. The Fund invests substantially all of its investible assets in, and conducts its investment program through; a "master-feeder" structure. The Fund is a “Feeder” fund which invests into Quantica MF Cayman Fund Limited (the "Master Fund"), an exempted company with limited liability registered in the Cayman Islands under the provisions of the Companies Law (as amended) of the Cayman Islands. At 31 December 2015, the Fund held 30.97% of the Master Fund. The most recent, applicable Confidential Offering Memorandum of the Fund is dated 1 May 2015 (the “Offering Memorandum”) and there is a Supplement dated 3 August 2015. Quantica Capital AG (the “Investment Manager”) has been appointed to serve as the Investment Manager of the Master Fund. FRM Investment Management (USA) LLC is the Commodity Pool Operator of the Fund and the Master Fund and the Manager and the Risk Manager of the Fund. FRM Investment Management (USA) LLC is registered with the Commodity Futures Trading Commission (the “CFTC”) as a Commodity Pool Operator and Commodity Trading Advisor and is a member of the U.S. National Futures Association in such capacities. The financial statements of the Master Fund are attached and should be read in conjunction with the Fund’s financial statements. 2. Summary of significant accounting policies The accompanying financial statements have been prepared in accordance with United States Generally Accepted Accounting Principles (“US GAAP”) and are stated in U.S. Dollars. Management has determined that the Fund is an investment company in conformity with US GAAP. Therefore the Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standard Board (“FASB”) ASC946, Financial Services – Investment Companies (“ASC 946”). The Fund is exempted from preparing a cash flow statement under ASC 946 as the Fund has no level 3 investments, does not hold any debt instruments and presents a Statement of Changes in Unitholders’ Capital. a) Use of accounting estimates The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates. b) Recent Accounting Pronouncement In August 2014, the FASB issued ASU 2014-15, Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern (ASU 2014-15), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. At period end, management has not chosen to adopt this ASU and is evaluating its impact of this ASU; however management does not expect this change to impact the financial statements. c) Investment in Master Fund The Fund’s investment in the Master Fund is recorded at fair value, which is the Fund’s proportionate interest in the net assets of the Master Fund. The Fund records its proportionate share of the Master Fund’s income, expenses, and realised and unrealised gains and losses in the Statement of Operations. Valuation of the investments held by the Master Fund including, but not limited to, the valuation techniques used and classification within the fair value hierarchy of instruments held by the Master Fund are discussed in the notes to the Master Fund’s financial statements which are attached to these financial statements. The investment in the Master Fund is carried at fair value. Under ASC 820, “Fair Value Measurements and Disclosures”, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a three - tier fair value hierarchy that prioritises the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (level 1 measurement) and lowest priority to unobservable inputs (level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below: · Level 1 - Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; · Level 2 - Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; · Level 3 - Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable.

Quantica MF Delaware Feeder LLC Notes to the Financial Statements (continued) For the period from 25 February 2015 (date of formation) to 31 December 2015 2. Summary of significant accounting policies (continued) d) Foreign currency Items included in the Fund’s financial statements are measured using the currency of the primary economic environment in which it operates (the “Functional Currency”). The financial statements are presented in the Functional Currency, US Dollars (US$), reflecting the fact that transactions are denominated primarily in US Dollars. Transactions during the period denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and Liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the Statement of Financial Condition. For investment transactions and investments held at the period end denominated in foreign currency, the resulting gains or losses are included in the net realised loss and change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the Statement of Operations. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities. Such fluctuations are included in net change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the Statement of Operations. e) Cash and cash equivalents Cash and cash equivalents include cash held at bank maturing within three months of the period end date. f) Recognition and allocation of income or loss The Fund records subscriptions and redemptions in the Master Fund on the transaction date. The Fund records its weekly proportionate share of the Master Fund's income, expenses and change in realised and unrealised gains and losses. In addition, the Fund accrues its own income and expenses. The Master Fund’s income and expense recognition and net gain/(loss) allocation policies are disclosed in the notes to the Master Fund’s financial statements which are attached to these financial statements. The Fund allocates weekly income or loss between series of Units of the Fund after consideration of any prior day accruals for operating expenses and management fees in the Fund. g) Redemptions payable In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP, financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined. Redemption notices received for which the US$ and unit amounts are not fixed remain in capital until the net asset value used to determine the redemption and unit amounts are determined. All of this amount relates to redemptions due to be paid on the first dealing day of 2016 which under the terms of Accounting for Certain Financial Instruments with characteristics of both Liabilities and Equity are mandatorily redeemable financial instruments and consequently a liability of the Fund and not part of equity. h) Offsetting Financial assets and liabilities are offset and the net amount is reported in the Statement of Financial Condition when the Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the period end, no financial instruments of the Fund are being presented net within the Statement of Financial Condition of the Fund. i) Taxation ASC 740-10 “Accounting for Uncertainty in Income Taxes – an interpretation of ASC 740 (“ASU 740-10”)” clarifies the accounting for uncertainty in income taxes recognised in the Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes”. ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return. Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realized on ultimate settlement, using the facts, circumstances and information at the reporting date. Management has analysed the Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund recognises interest and penalties, if any, related to unrecognised tax liability as income tax expense in the statement of operations. During the period ended 31 December 2015, the Fund did not incur any interest or penalties. The Fund is classified as a partnership for United States Federal income tax purposes. Consequently, no provision has been made in the financial statements for United States federal or state income taxes as any tax liability arising from operations of the Fund is the responsibility of the Unitholders and not the Fund. j) Preliminary expenses The Fund has borne its organisational expenses, including, without limitation, legal, accounting, filing and administration expenses associated with the organisation of the Fund and the offering of Units. For NAV purposes the organisational costs are amortised over the first three years of trading of the Fund. 9

Quantica MF Delaware Feeder LLC Notes to the Financial Statements (continued) For the period from 25 February 2015 (date of formation) to 31 December 2015 3. Fair value of financial instruments The Fund’s assets and liabilities carried at fair value have been categorised based up on the fair value hierarchy based on valuation policy described earlier. The following table shows the Fund’s investment within the valuation hierarchy as at 31 December 2015: Level 1 US$ Level 2 US$ Level 3 US$ Total US$ Assets Quantica MF Cayman Fund Limited Total investments - 17,194,437 - 17,194,437 - 17,194,437 - 17,194,437 The Fund invests in the Master Fund as part of a master-feeder structure as disclosed in note 1. The investment objective of the Master Fund is disclosed in the financial statements of the Master Fund which are attached to these financial statements. The redemption policy of the Master Fund is managed in accordance with the redemption policy of the Fund as disclosed in note 6 of the financial statements. The fair value of the Fund’s assets and liabilities which qualify as financial instruments under Disclosure about Fair Value of Financial Instruments approximates the carrying amounts presented in the Statement of Financial Condition. 4. Fees and expenses Management fees Pursuant to the Investment Management Agreement, the Master Fund pays a management fee to the Investment Manager. Details of the Investment Management agreement are disclosed in the note 8 of the Master Fund’s financial statements. Incentive fee Pursuant to the Investment Management Agreement, the Master Fund pays an incentive fee to the Investment Manager. Details of the Investment Management agreement are disclosed in the note 8 of the Master Fund’s financial statements. Risk management fees Pursuant to the Management Agreement, the Fund pays the Risk Manager a risk management fee equal to 0.50% per annum of the Trading Level of the Master Fund assets attributable to each series of the Fund, quarterly in arrears, and a pro rata share of any licensing fees for the use of any risk assessment tools provided by any third party which are used by the Risk Manager in providing services to the Fund pursuant to the Management Agreement. Administration fees The Fund pays the Administrator an annual administration fee of US$21,500. In addition, the Administrator receives an additional administration fee from the Master Fund of up to 0.135% per annum of the Net Asset Value of the Master Fund. The Administrator’s fees are subject to review from time to time to reflect changes in the operational cost of administering the Fund. 5. Related party transactions FRM Investment Management (USA) LLC is a related party as it is the Manager, Commodity Pool Operator and Risk Manager of the Fund. FRM Investment Management (USA) LLC is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties. Quantica Capital AG is a related party as it is the Investment Manager of the Master Fund. Terms of incentive fees and management fees are disclosed in note 8 of the Master Fund’s financial statements. 10

Quantica MF Delaware Feeder LLC Notes to the Financial Statements (continued) For the period from 25 February 2015 (date of formation) to 31 December 2015 11 5. Related party transactions (continued) Management is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Fund or structures that may be related to Man Group plc sponsored investment funds), purchases and sales of securities and other investments, investment and management counselling and serving as directors, advisers and/or agents of other companies, including company and legal structures in which the Fund may invest and/or which may invest in the Fund. The following transactions took place between the Fund and its related parties: For the period ended 31 December 2015 Related party Type of fee Total Fees US$ Fees payable at 31 December 2015 US$ FRM Investment Management (USA) LLC Risk management fees 147,040 51,211 As at 31 December 2015, 100% of all outstanding Units were owned by entities affiliated with Man Group plc. 6. Unitholders’ capital The minimum initial capital contribution and the minimum additional contribution by a Unitholder is US$100,000. The Manager may determine the current minimum subscription and/or such other amount in its sole discretion. Unitholders may, subject to the restrictions set out in the Memorandum, redeem their Units on each Monday (weekly dealing day) and/or the first dealing day of each month (monthly dealing day), (as applicable) (collectively “Redemption Day”). Redemptions may be accepted on days other than the specified Redemption Day, in the Manager’s sole discretion. Units will be considered to be redeemed on a “first purchased, first redeemed” basis. The Units shall be issued as Series A Units or Series B Units as designated by the Manager. Series A Units and Series B Units have identical rights and privileges in all respects except that: (i) Series A Units are only available for subscription by Man Investors (as defined in the Memorandum); and (ii) Series B Units are subject to the Reporting Fee (as defined in the Memorandum). The Manager may establish additional series, classes or tranches of Units in the future, which may have different and/or preferential terms to existing series, including among other things, the Incentive Fee, the Management Fee, minimum and additional subscription amounts, leverage levels, distribution policies, capacity rights, investor eligibility, voting rights, informational rights and other rights. Each Unitholder contribution by each Unitholder to the Fund will be credited to a separate Unitholder account (each, a “Unitholder Account") (i.e., a Unitholders may hold more than one Interest, each of which will have a separate Unitholder Account), and a Unitholder Account will also be established for the Unitholder. Units Series A Restricted US$ As at beginning of the period - Contributions* 26,666 34,095,000 Redemptions (7,920) (9,355,000) As at end of the period 18,746 This includes Contributions of US$ 10,000 (7 Units) made by FRM Investment Management (USA) LLC.

Quantica MF Delaware Feeder LLC Notes to the Financial Statements (continued) For the period from 25 February 2015 (date of formation) to 31 December 2015 7. Financial highlights The financial highlights disclosed below are for the period ended 31 December 2015: Series A US$ Per Unit Operation Performance: Net asset value per unit at which Units were initially subscribed Change in net assets resulting from operations: 1,375.68 Net investment loss (33.67) Net realised loss and change in unrealised appreciation from derivatives and foreign currency (428.93) Net decrease in net assets resulting from operations (462.60) Net asset value per unit at end of the period 913.08 Return (i) Total return before incentive fees Incentive fees Total return after incentive fees (33.63%) - (33.63%) Ratio to average net assets(ii) Net investment loss before incentive fees Incentive fees Net investment loss after incentive fees (4.59%) (0.01%) (4.60%) Total expenses before incentive fees Incentive fees Total expenses after incentive fees (4.61%) (0.01%) (4.62%) Non trade expenses(iii) (3.74%) (i) The Total Return as computed is not annualised. Ratios to average net assets as computed are annualised. (ii) The financial highlights are calculated for a unit class taken as a whole. An individual Unitholder’s financial highlights may vary from the above on the timing of capital transactions and individual management and incentive fee arrangements. Ratios to average net asset computed are annualised, as it is related to a period of less than one year. (iii) This ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Fund and the Master Fund in the course of normal trading, to the average net assets described above. 8. Indemnifications In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote. 9. Subsequent events Subsequent to 31 December 2015, Unit holders subscribed US$790,000 and redeemed US$3,800,000. In connection with the preparation of the accompanying financial statements as of 31 December 2015, management has evaluated the impact of all subsequent events on the Fund through 17 March 2016, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in the financial statements 12

Ernst & Young Ltd. 62 Forum Lane Camana Bay P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Main tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com Independent Auditors’ Report The Manager Quantica MF Delaware Feeder LLC We have audited the accompanying financial statements of Quantica MF Delaware Feeder LLC (the “Fund”) which comprise the statement of financial condition as of 31 December 2015 and the related statements of operations and the statement of change in unitholders’ capital for the period from 25 February 2015 (date of formation) to 31 December 2015, and a summary of significant accounting policies and other explanatory information. This report is made solely to the Manager as a body. Our audit work has been undertaken so that we might state to the Manager those matters we are required to state to them in an auditors’ report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Fund and the Manager as a body, for our audit work, for this report, or for the opinions we have formed. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with U.S. generally accepted accounting principles, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors’ Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. 13 A member firm of Ernst & Young Gllobal Liimiited

An audit involves performing procedures to obtain audit evidence about the disclosures in the financial statements. The procedures selected depend on judgment, including the assessment of the risks of material misstatement of amounts and the auditors’ the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the accompanying financial statements referred to above present fairly, in all material respects, the financial position of Quantica MF Delaware Feeder LLC at 31 December 2015, and the results of its statement of operations and changes in its unitholders’ capital for the period from 25 February 2015 (date of formation) to 31 December 2015 in conformity with U.S. generally accepted accounting principles. 17 March 2016 14

Quantica MF Cayman Fund (A Cayman Islands exempted company) Limited Report and Financial Statements For the year ended 31 December 2015 FRM Investment Management (USA) LLC is the manager (the “Manager”) of Quantica MF Cayman Fund Limited (the “Master Fund”), and is registered as a commodity pool operator and a commodity trading advisor under the Commodity Exchange Act. A claim of exemption pursuant to Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Manager in its capacity as commodity pool operator of the Master Fund. The exemption relieves the Master Fund of certain disclosure and reporting obligations under the commodity pool rules of the CFTC.

Quantica MF Table of contents Cayman Fund Limited Page 2 Table of Contents Directory 3 Affirmation of the Commodity Pool Operator 4 Statement of Financial Condition 5 Condensed Schedule of Investments 6 Statement of Operations 8 Statement of Changes in Net Assets 9 Notes to the Financial Statements 10 Independent Auditors’ Report 23 2

Quantica MF Cayman Directory Fund Limited Board of Directors Colin Ball (Appointed on 7 January 2016) Ronan Daly (Resigned on 7 January 2016) John Renouf (Appointed on 7 January 2016) Jennifer Thomson John Walley (Ceased being a Director on 1 December 2015) Registered Office c/o Citco Trustees (Cayman) Limited 89 Nexus Way Camana Bay P.O. Box 31106 Grand Cayman, KY1-1205 Cayman Islands Investment Manager Quantica Capital AG Freier Platz 10 CH-8200 Scfaffhausen Switzerland Legal Advisers (as to Cayman Islands law) Maples and Calder P.O. Box 309 Ugland House Grand Cayman, KY1-1104 Cayman Islands Risk Manager (to 30 April 2015) FRM Investment Management Limited Royal Chambers St. Julian’s Avenue St Peter Port Guernsey, GY1 4HG Channel Islands (as to US law) Sidley Austin LLP One South Dearborn Chicago, IL 60603 United States of America Risk Manager and Commodity Pool Operator (from 1 May 2015) FRM Investment Management (USA) LLC 452 Fifth Ave., 26th Floor New York, NY 10018 United States of America Auditor Ernst & Young Ltd. Suite 6401 62 Forum Lane Camana Bay Grand Cayman, KY1-1106 Cayman Islands Risk Advisor (up to 30 April 2015) Man Investments (CH) AG Huobstrasse 3 8808 Pfäffikon SZ Switzerland Company Secretary CSS Corporation Ltd. 89 Nexus Way Camana Bay P.O. Box 31106 Grand Cayman, KY1-1205 Cayman Islands Administrator HSBC Securities Services (Ireland) Limited 1 Grand Canal Square Grand Canal Harbour Dublin 2 Ireland Prime Brokers JP Morgan Securities Plc 25 Bank Street Canary Wharf London E14 5JP United Kingdom Bank HSBC Bank plc 8 Canada Square London, E14 5HQ United Kingdom Morgan Stanley & Co International Plc 25 Cabot Square Canary Wharf London E14 4QA United Kingdom 3

Quantica MF Cayman Fund Limited Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the financial statements of Quantica MF Cayman Fund Limited for the year ended 31 December 2015 is accurate and complete. Linzie Steinbach Principal Financial Officer FRM Investment Management (USA) LLC, the Commodity Pool Operator of Quantica MF Cayman Fund Limited 4

Quantica MF Cayman Statement of Financial Condition As at 31 December 2015 Fund Limited 2015 US$ Notes Assets Derivatives, at fair value Cash and cash equivalents Balances with brokers Other assets 2,303,841 24,317,440 46,655,030 9,268 4,5 3 3 73,285,579 Total assets Liabilities Derivatives, at fair value Balances due to brokers Redemptions payable Management fees payable Interest payable Accrued expenses 3,776,440 13,386,522 465,000 70,912 29,703 43,059 4,5 3 8,9 8,9 17,771,636 Total liabilities 55,513,943 Net assets Which are represented by: 60,044 Class A Redeemable Participating Shares with a Net Asset Value per Redeemable Participating Share of US$924.56 55,513,943 Approved and authorised for issue on behalf of the Board on 17 March 2016. Jennifer Thomson Director John Renouf Director The accompanying notes form an integral part of these financial statements. 5

Quantica MF Cayman Fund Condensed Schedule of Investments As at 31 December 2015 Limited Fair Value US$ % of Net Assets Derivatives contracts – long exposure Futures contracts Australia Index Futures Interest Rate Futures Total Australia 56,344 0.10 7,037 0.01 63,381 0.11 Canada Bond Futures Commodity Futures Index Futures Total Canada 423,012 897 0.76 - 25,740 0.05 449,649 0.81 France Index Futures Total France 57,298 0.10 57,298 0.10 Germany Bond Futures Index Futures Total Germany (760,735) (1.37) 147,601 0.27 (613,134) (1.10) Japan Bond Futures Index Futures Total Japan 449,248 0.81 (277,728) (0.50) 171,520 0.31 Taiwan Index Futures Total Taiwan (30,740) (0.06) (30,740) (0.06) United Kingdom Bond Futures Index Futures Interest Rate Futures Total United Kingdom (179,043) 292,903 (125,191) (0.32) 0.53 (0.23) (11,331) (0.02) United States Bond Futures Commodity Futures Index Futures Interest Rate Futures Total United States (322,589) (733,759) 188,541 (0.58) (1.32) 0.34 (59,201) (0.11) (927,008) (1.67) Total futures contracts (cost: US$nil) (840,365) (1.51) Forward Foreign Currency Contracts Forward Foreign Currency Contracts (320,140) (0.58) Total Forward Foreign Currency Contracts (cost: US$nil) (320,140) (0.58) Total Derivative Contracts, at fair value (cost: US$nil) (1,160,505) (2.09) The accompanying notes form an integral part of these financial statements. 6

Quantica MF Cayman Fund Condensed Schedule of Investments As at 31 December 2015 Limited Fair Value US$ % of Net Assets Derivative contracts – short exposure Futures contracts United Kingdom Commodity Futures Total United Kingdom (16,680) (0.03) (16,680) (0.03) United States Commodity Futures Currency Futures Total United States (434,484) (0.79) 197,684 0.36 (236,800) (0.43) Total futures contracts (proceeds:US$nil) (253,480) (0.46) Forward Foreign Currency Contracts Forward Foreign Currency Contracts (58,614) (0.10) Total Forward Foreign Currency Contracts (proceeds: US$nil) (58,614) (0.10) Total Derivative Contracts, at fair value (proceeds: US$nil) (312,094) (0.56) The accompanying notes form an integral part of these financial statements. 7

Quantica MF Cayman Fund Statement of Operations For the year ended 31 December 2015 Limited 2015 US$ Notes Investment income Interest income Total investment income 19,934 19,934 Expenses Management fees Interest expense Risk management fees Margin commission Incentive fees Administration fees Other expenses Total expenses 8,9 968,049 381,560 200,863 151,013 109,962 77,749 103,153 8,9 8,9 8 9 1,992,349 Net investment loss (1,972,415) Net realised loss and change in unrealised depreciation from derivatives and foreign currency Net realised loss from non-commodity interest derivatives and foreign currency Net realised loss from commodity interest derivatives Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency Net change in unrealised depreciation from commodity interest derivatives (10,288,530) (6,088,715) (3,978,090) (2,492,686) Net realised loss and change in unrealised depreciation from derivatives and foreign currency (22,848,021) Net decrease in net assets resulting from operations (24,820,436) The accompanying notes form an integral part of these financial statements. 8

Quantica MF Cayman Fund Statement of Changes in Net Assets For the year ended 31 December 2015 Limited 2015 US$ Notes Changes in net assets resulting from operations Net assets at beginning of year 52,294,052 Net investment loss (1,972,415) Net realised loss from non-commodity interest derivatives and foreign currency (10,288,530) Net realised loss from commodity interest derivatives (6,088,715) Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency (3,978,090) Net change in unrealised depreciation from commodity interest derivatives position (2,492,686) Net decrease in net assets resulting from operations (24,820,436) Changes in net assets resulting from capital transactions Issuance of Redeemable Participating Shares 10 72,310,000 Redemptions of Redeemable Participating Shares 10 (44,269,673) Net increase in net assets resulting from capital transactions 28,040,327 Net assets at end of year 55,513,943 Reconciliation of net assets at the beginning of the year reported under IFRS to US GAAP* Net assets at the beginning of the year under IFRS 53,041,860 ASC 480 redemptions payable (747,808) Net assets at the beginning of the year under US GAAP 52,294,052 *US GAAP standard ASC 480 Distinguishing liabilities from equity requires gross redemptions with a dealing date of 1 January 2015 (based on the Net Asset Value per Share at 31 December 2014) to be recorded in the financial statements at 31 December 2014 as ‘Redemptions payable’. The accompanying notes form an integral part of these financial statements. 9

Quantica MF Cayman Fund Limited Notes to the financial statements For the year ended 31 December 2015 1. General Quantica MF Cayman Fund Limited (the “Master Fund”) is an exempted company with limited liability registered in the Cayman Islands under the provisions of the Companies Law of the Cayman Islands (as amended). The Master Fund was incorporated in the Cayman Islands on 12 April 2013. The Master Fund is an open-ended mutual fund registered with the Cayman Islands Monetary Authority and regulated under the Mutual Funds Law of the Cayman Islands (as amended). On 5 March 2015, the Directors resolved to restructure the Master Fund as a master fund with two separate feeder funds, Quantica MF Cayman Feeder (the “Offshore Fund”), a company incorporated in the Cayman Islands as an exempted company and Quantica MF Delaware Feeder LLC (the “Onshore Fund”), a Delaware limited liability company (together, the "Feeder Funds"). The Feeder Funds will invest all of their assets (to the extent not retained in cash) in the Master Fund. On 1 May 2015, investors in the Master Fund transferred their Redeemable Participating Shares in the Master Fund to the Offshore Fund in consideration for Redeemable Participating Shares in the Offshore Fund. This transaction had no impact on the value of the investors’ capital. The investment objective of the Master Fund is to maximise the long-term total returns by investing in a fully quantitative and systematic medium to long-term trend following strategy. No assurance can be given that the Master Fund’s investment objective will be achieved and investment results for the Master Fund may vary substantially over time. Quantica Capital AG (the “Investment Manager”), a company incorporated with limited liability, in Switzerland has been appointed to serve as the Investment Manager of the Master Fund. FRM Investment Management (USA) LLC is the Commodity Pool Operator of the Master Fund. FRM Investment Management (USA) LLC is registered with the Commodity Futures Trading Commission (the “CFTC”) as a Commodity Pool Operator and Commodity Trading Advisor and is a member of the U.S. National Futures Association in such capacities. Further feeder funds may be created to invest in the Master Fund. At 31 December 2015, the Offshore Fund and Onshore Fund held 69.03% and 30.97% respectively of the Master Fund. 2. Summary of significant accounting policies The financial statements for the year ended 31 December 2014 were prepared in accordance with International Financial Reporting Standards (“IFRS”) issued by the International Accounting Standards Board (“IASB”). Management has assessed that there are no material differences between IFRS and United States Generally Accepted Accounting Principles (“US GAAP”) and has concluded that US GAAP is more appropriate for the Master Fund preparing the financial statements for the year ended 31 December 2015 and going forward. These financial statements are therefore prepared in conformity with US GAAP. US GAAP standard, Accounting Standards Codification (“ASC”) 480, Distinguishing Liabilities from Equity requires gross redemptions with a dealing date of 1 January 2015 (based on the net asset value per share at 31 December 2014) to be recorded in the financial statements at 31 December 2014 as ‘Redemptions payable’. As a result, redemptions effected after 31 December 2014, but based upon year end net asset value, of US$747,808 are reflected as redemptions payable in Statement of Financial Condition. Reconciliation of opening net assets under IFRS to US GAAP is disclosed in Statement of Changes in Net Assets. Management has determined that the Master Fund is an investment company in conformity with US GAAP. Therefore the Master Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standard Board (“FASB”) ASC946, Financial Services – Investment Companies (“ASC 946”). The Master Fund is exempted from preparing a cash flow statement under ASC 946 as the Master Fund has no level 3 investments, does not hold any debt instruments and presents a Statement of Changes in Net Assets. The financial statements are stated in US Dollars (“US$”). a) Use of accounting estimates The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates. b) Recent Accounting Pronouncement In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. At year end, management is evaluating the impact of this ASU; however management does not expect this change to impact the financial statements. 10

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 2. Summary of significant accounting policies (continued) c) Investments transactions and related investment income and expenses Security transactions are recorded on a trade date basis. Realised gains and losses are computed using the first-in, first-out method. Interest income, interest expense and operating expenses are recorded on an accrual basis. Dividend income, net of applicable withholding taxes and dividend expenses on securities sold short, are recorded on the ex-dividend date. d) Fair value of financial instruments Definition and hierarchy Derivative contracts are carried at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value hierarchy that prioritises the inputs to valuation techniques is used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below: • Level 1 – Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2 – Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; Level 3 – Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable. • • Valuation Investments whose values are based on quoted market prices in active markets, and are therefore classified within Level 1, include active listed equities. The Master Fund does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price. Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices for an identical instrument, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non–transferability, which are generally based on available market information. Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include private placements. When observable prices are not available for these securities, the Investment Manager uses one or more valuation techniques e.g., the market approach or the income approach for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and /or other risk factors. The inputs used by the Investment Manager in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalisations and other transactions across the capital structure, offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and /or non-transferability, with the amount of such discount estimated by the Investment Manager in the absence of market information. The fair value measurement of Level 3 investments does not include transaction costs that may have been capitalised as part of the security’s cost basis. Assumptions used by the Investment Manager due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Fund’s results of operations. Derivative Instruments can be exchange-traded or privately negotiated over-the-counter (“OTC”). OTC derivatives are valued by the Master Fund using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. These OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilise some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Investment Manager updates the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs. 11

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 2. Summary of significant accounting policies (continued) e) Foreign currency Items included in the Master Fund’s financial statements are measured using the currency of the primary economic environment in which it operates (the “Functional Currency”). The financial statements are presented in the Functional Currency, US Dollars (“US$”) and not the local currency of the Cayman Islands reflecting the fact that transactions are denominated primarily in US Dollars. Transactions during the year denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and Liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the Statement of Financial Condition. For investment transactions and investments held at the year-end denominated in foreign currency, the resulting gains or losses are included in the net realised loss and change in unrealised depreciation from non-commodity interest derivatives and foreign currency in the Statement of Operations. The Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities. Such fluctuations are included in net realised loss and change in unrealised depreciation from derivatives and foreign currency. f) Cash and cash equivalents Cash and cash equivalents include cash held at bank and prime brokers maturing within three months of the year end date. g) Redemptions payable In accordance with the authoritative guidance on ASC480 “Distinguishing Liabilities from Equity”, Accounting for Certain financial instruments with Characteristics of both Liabilities and Equity under US GAAP, financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined. Redemption notices received for which the US$ and share amounts are not fixed remain in capital until the net asset value used to determine the redemption and share amounts are determined. Accordingly, the Statement of Financial Condition and the Statement of Changes in Net Assets include redemptions payable of US$465,000. This relates to redemptions due to be paid on the first dealing day of 2016, which under the terms of Accounting for Certain financial instruments with Characteristics of Both Liabilities and Equity are mandatorily redeemable financial instruments and consequently a liability of the Master Fund and not part of equity. h) Offsetting Financial assets and liabilities are offset and the net amount is reported in the Statement of Financial Condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the year end no financial instruments of the Master Fund are being presented net within the Statement of Financial Condition of the Master Fund. Please refer to note 6. i) Taxation The Cayman Islands currently has no income, corporation or capital gains tax, no taxes by way of withholding and no estate duty, inheritance tax or gift tax. In addition, the Master Fund has applied for and received from the Governor-in Cabinet of the Cayman Islands pursuant to The Tax Concessions Law (1999 Revision) of the Cayman Islands, an undertaking that, for a period of twenty years from the date of the undertaking, no law which is thereafter enacted in the Cayman Islands imposing any tax to be levied on profits, income, gains or appreciations shall apply to the Master Fund or its operations. In addition no tax is to be levied on profits, income, gains or appreciation which is in the nature of estate duty or inheritance tax shall be payable on or in respect of the shares, debentures or other obligations of the Master Fund. Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Master Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realized on ultimate settlement, using the facts, circumstances and information at the reporting date. ASC 740-10 “Accounting for Uncertainty in Income Taxes – an interpretation of ASC 740 (“ASU 740-10”) clarifies the accounting for uncertainty in income taxes recognised in the Master Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return. Management has analysed the Master Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Master Fund’s financial statements. Management’s assessment considers tax years subject to investigation. The Master Fund recognises interest and penalties, if any, related to unrecognised tax liability as income tax expense in the Statement of Operations. During the year ended 31 December 2015, the Master Fund did not incur any interest or penalties. 12

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 3. Cash and Cash equivalents and balances with/and due to brokers At the year end amounts disclosed as cash and cash equivalents, balances with brokers and balances due to brokers were held at HSBC Bank plc, JP Morgan Securities Plc and Morgan Stanley & Co International Plc. These include amounts transferred as collateral (which is subject to a security interest) against open derivatives. To the extent that the securities are purchased on margin, the margin debt may be secured on the related securities. The portion of balances with brokers represented by collateral at 31 December 2015 was US$15,442,271. Included in the cash and cash equivalents balances at 31 December 2015 is cash in foreign currencies with a fair value of US$(4,731,044) (Cost US$(5,517,771)). 4. Fair value measurements The Master Fund’s assets and liabilities carried at fair value have been categorised based upon the fair value hierarchy set out in note 2. The following is a summary of the Master Fund’s financial instruments carried at fair value as of 31 December 2015: Level 1 US$ Level 2 US$ Level 3 US$ Total US$ Derivatives Assets, at fair value Derivatives Bond futures Commodity futures Currency futures Index futures Interest rate futures Forward currency contracts Total Derivatives 872,259 107,095 310,184 768,428 7,037 - - - - - - 238,838 - - - - - - 872,259 107,095 310,184 768,428 7,037 238,838 2,065,003 238,838 - 2,303,841 Total Derivatives Assets, at fair value Derivatives Liabilities, at fair value Derivatives Bond futures Commodity futures Currency futures Index futures Interest rate futures Forward currency contracts Total Derivatives 2,065,003 238,838 - 2,303,841 1,262,367 1,291,121 112,500 308,468 184,392 - - - - - - 1,262,367 1,291,121 112,500 308,468 184,392 - - - - - 617,592 - 617,592 3,158,848 617,592 - 3,776,440 Total Derivatives Liabilities, at fair value 3,158,848 617,592 - 3,776,440 The Master Fund did not hold any level 3 investments during the year. Investments are reviewed at each financial reporting point to ensure that they are correctly classified between level 1, 2 and 3 in accordance with the fair value hierarchy outlined above. Where an investment’s characteristics change during the year and investments no longer meet the criteria of a given level, they are transferred into a more appropriate level at the end of relevant financial reporting year. There were no transfers between levels during the year ended 31 December 2015. 5. Derivatives Typically, derivative contracts serve as components of the Master Fund’s investment strategy. The derivative contracts that the Master Fund is a party to are forward contracts and futures contracts. As of 31 December 2015, the derivative contracts were included in the Master Fund’s Statement of Financial Condition at fair value. The Master Fund records its derivative activities on a mark-to-market basis. Fair values are determined in accordance with the valuation principles set out in note 2. For all OTC contracts, the Master Fund enters into master netting agreements with its counterparties, which may allow in certain circumstances netting of assets and liabilities. Assets and liabilities are only offset and the net amount reported in the Statement of Financial Condition when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the assets and settle the liabilities simultaneously. As at 31 December 2015 no assets or liabilities are offset in the Statement of Financial Condition. As at 31 December 2015 all futures contracts were exchange traded and forward foreign currency contracts were OTC contracts. As at 31 December 2015 master netting arrangements were related to forward currency contracts held by the Master Fund. The Master Fund has not designated any derivative instruments as hedging instruments under ASC 815 “Derivatives and hedging” (“ASC 815”). The Condensed Schedule of Investments details information regarding derivative types and their fair value at 31 December 2015. 13

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 5. Derivatives (continued) As at 31 December 2015, open derivative instruments are included in the Statement of Financial Condition under the heading ‘Derivatives, at fair value’: US$ Prime Underlying Risk Assets Bond price risk Bond futures 872,259 Equity price risk Index futures 768,428 Commodity price risk Commodity futures 107,095 Interest rate risk Interest rate futures 7,037 Foreign exchange risk Currency futures Forward currency contracts 310,184 238,838 2,303,841 US$ Prime Underlying Risk Liabilities Bond price risk Bond futures 1,262,367 Equity price risk Index futures 308,468 Commodity price risk Commodity futures 1,291,121 Interest rate risk Interest rate futures 184,392 Foreign exchange risk Currency futures Forward currency contracts 112,500 617,592 3,776,440 14

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 5. Derivatives (continued) As at 31 December 2015, the notional value of derivative instrument activities and average notional value of derivative trading during the year were as follows: Notional value US$ As at 31 December 2015 Average notional value (US$) Long (US$) Short (US$) Long (US$) Short (US) Equity price risk Index futures 57,783,364 - 60,233,693 (2,698,664) Commodity price risk Commodity futures 57,167,127 (20,510,580) 22,459,282 (16,200,473) Bond price risk Bond futures 480,875,796 - 330,240,132 - Interest rate risk Interest rate futures 355,864,224 - 207,280,671 (19,664,721) Foreign exchange risk Currency futures Forward currency contracts - 12,407,369 (32,016,970) (36,097,771) 13,771,708 35,398,072 (24,718,399) (39,293,710) As at 31 December 2015, the year-end open derivative position and average derivative volume during the year were as follows: Prime Underlying Risk Number of contracts As at 31 December 2015 Average volume Long Short Long Short Equity price risk Index futures 13 - 12 2 Commodity price risk Commodity futures 6 6 6 6 Bond price risk Bond futures 10 - 10 - Interest rate risk Interest rate futures 4 - 4 - Foreign exchange risk Currency futures Forward currency contracts - 19 4 32 2 38 3 38 For non-exchange traded derivatives, under standard derivatives agreements, the Master Fund may be required to post collateral on derivatives if the Master Fund is in a net liability position with the counterparty exceeding certain amounts. 15

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 5. Derivatives (continued) The effect of transactions in derivative instruments on the Statement of Operations for the year ended 31 December 2015 was as follows. Amount of gain or (loss) recognised in Statement of Operations US$ Derivative Type Location of gain or (loss) in Statement of Operations Futures contracts (non-commodity interest) Futures contracts (commodity interest) Forward currency contracts Total Net realised loss from non-commodity interest derivatives and foreign currency (7,740,258) Net realised loss from commodity interest derivatives Net realised loss from non-commodity interest derivatives and foreign currency (6,088,715) (2,323,761) (16,152,734) Futures contracts (non-commodity interest) Futures contracts (commodity interest) Forward currency contracts Net change in unrealised depreciation on non-commodity interest derivatives and foreign currency (4,157,539) Net change in unrealised depreciation on commodity interest derivatives Net change in unrealised depreciation on non-commodity interest derivatives and foreign currency (2,492,686) (250,558) Total (6,900,783) The primary difference in the risk associated with OTC contracts and exchange-traded contracts is credit risk. The Master Fund has credit risk from OTC contracts when two conditions are present (i) the OTC contracts have unrealised gains, net of any collateral and (ii) the counterparty of the contracts default. The credit risk related to exchange-traded contracts is minimal because the exchange ensures that their contracts are always honoured. Futures are contracts for delayed delivery of commodities, securities, equity indices or money market instruments in which the seller agrees to make delivery at a specified future date of a specified commodity or instrument, at a specified price or yield. Gains and losses on futures are recorded by the Master Fund based upon market fluctuations and are recorded as realised or unrealised gains or losses in the Statement of Operations. Forward contracts entered into by the Master Fund represent a firm commitment to buy or sell an underlying asset, or currency at a specified value and point in time based upon an agreement or contracted quantity. The realised/unrealised gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date/year-end date and is included in the Statement of Operations. Derivative financial instruments are generally based on notional amounts which are not recorded in the financial statements. These notional amounts represent the theoretical principal value on which the cash flows of the derivative transactions are based. Unrealised gains or losses, rather than notional amounts, or the exchange-traded derivatives traded by the Master Fund are included in the Statement of Financial Condition. 16

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 6. Offsetting of assets and liabilities As at 31 December 2015, no financial instruments of the Master Fund are being presented net within the Statement of Financial Condition. The following tables provide information on the financial impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement in the event of default as defined under such agreements. Derivatives Assets and Collateral held by Counterparty (ii) Impact of master netting arrangements not offset in the Statement of Financial Condition Gross amounts not offset in the Statement of Financial Condition (i) Gross amounts of assets presented in the Statement of Financial Condition US$ (iii)=(i)+(ii) Financial Instruments US$ Cash collateral received US$ Net amount US$ Description JP Morgan Securities Plc. Morgan Stanley & Co International Plc Total 238,837 2,065,004 (238,837) (2,065,004) - - - - 2,303,841 (2,303,841) - - Derivatives Liabilities and Collateral held by Counterparty (ii) Impact of master netting arrangements not offset in the Statement of Financial Condition Gross amounts not offset in the Statement of Financial Condition (i) Gross amounts of liabilities presented in the Statement of Financial Condition US$ (iii)=(i)+(ii) Financial Instruments US$ Cash collateral pledged US$ Net amount US$ Description JP Morgan Securities Plc. Morgan Stanley & Co International Plc Total 617,591 3,158,849 (238,837) (2,065,004) (378,754) - - 1,093,845 3,776,440 (2,303,841) (378,754) 1,093,845 7. Financial risk management and associated risk Overall risk management The Master Fund’s investment activities expose it to the various types of risk which are associated with the financial instruments and markets in which it invests. The most important types of financial risks to which the Master Fund is exposed are market risk, credit risk and liquidity risk. Market risk includes price risk, interest rate risk and currency risk. The Master Fund manages these risks on an aggregate basis along with the risks associated with its investing activities as part of its overall risk management policies. The Master Fund has an agreement with FRM Investment Management (USA) LLC (up to 30 April 2015, FRM Investment Management Limited) to act as Risk Manager. The Directors rely upon the Risk Manager to ensure that risks within the Master Fund are adequately controlled by the Investment Manager. As a pre-requisite for investment, initial due diligence is performed by the Risk Manager to ensure that the Investment Manager has a sound trading strategy, a robust operational infrastructure and a suitable risk management environment. The Risk Manager then monitors the integrity of the Investment Manager’s operations on an ongoing basis. The Risk Manager further monitors certain risk and performance measures of the Master Fund on a regular basis to ensure that risks are effectively controlled and performance is in line with expectations and in accordance with any investment restrictions placed upon the Investment Manager. To this extent, the Risk Manager is given transparency on the positions and performance of the Investment Manager. Such measures include return breakouts, drawdowns, Value-at-Risk (“VaR”), volatility, risk factor sensitivities and stress test losses. 17

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 7. Financial risk management and associated risk (continued) Overall risk management (continued) The Risk Manager performs regular reviews of certain performance based measures against the Master Fund’s history of such measures and against that of the Investment Manager’s comparator funds. If necessary the Risk Manager requests that corrective action be taken. The nature and extent of the financial instruments outstanding at the date of the Statement of Financial Condition and the risk management policies employed by the Master Fund are discussed below. Market risk Market risk is the risk that fair value or future cash flows of financial instruments will fluctuate due to changes in market variables such as interest rates, foreign exchange rates and equity prices. Interest rate risk Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates. The Master Fund is exposed to interest rate risk on cash at bank, balances with brokers, balances due to brokers and certain derivative contracts. Currency risk Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. Although the majority of the Master Fund’s assets are denominated in US$, the Master Fund may invest in securities and hold cash balances at its brokers that are denominated in currencies other than its reporting currency, the US$. Consequently, the Master Fund is exposed to risks that the exchange rate of the US$ relative to other currencies may change in a manner which has an adverse effect on the reported value of that portion of the Master Fund’s assets which are denominated in currencies other than the US$. Other price risk Other price risk is the risk that the price of a financial instrument will fluctuate due to changes in market conditions influencing, directly or indirectly, the value of the financial instrument. The Master Fund is exposed to other price risk from its financial instruments. Due to the nature of the trading strategies followed by this Master Fund, no direct relationship between any market factors and the expected prices of the financial instruments can be reliably established. Other price risk is managed through the overall risk management processes described above. Credit/Counterparty risk Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered into with the Master Fund. The Master Fund's maximum exposure to credit risk (not taking into account the value of any collateral or other security held) in the event that the counterparties fail to perform their obligations as of 31 December 2015 in relation to each class of recognised financial assets, other than derivatives, is the carrying amount of those assets in the Statement of Financial Condition. With respect to derivative financial instruments, credit risk arises from the potential failure of counterparties to meet their obligations under the contract or arrangement. The Risk Manager has centralised its due diligence and monitoring process of the prime brokerage and trading relationships through a dedicated prime brokerage and trading team utilized by an affiliated company. Credit and counterparty risk is analysed by examining certain credit related criteria on a centralised basis across platforms by establishing risk tolerance levels in accordance with the overall risk profile of the prime broker/counterparty as determined by the Risk Manager. The credit quality of the Master Fund’s Bank, Brokers and any lenders at their parent companies level and subsidiaries when they are available is regularly monitored and factored into allocation decisions. The exposures are to HSBC Bank Plc (the “Bank”), Morgan Stanley & Co International Plc and JP Morgan Securities Plc (collectively, the “Prime Brokers”). As of the date of issuance of the financial statements, according to Moody’s Rating Agency, the credit rating of HSBC Bank Plc’s parent company, HSBC Holdings Plc, is A1, the credit rating of JP Morgan Securities Plc is Aa2 and the credit rating of Morgan Stanley & Co International Plc, is A1. In addition, netting agreements and collateral arrangements (including International Swaps and Derivatives Association Inc. (“ISDA”) Master Agreements for over-the-counter derivatives) are routinely put in place when appropriate to allow the counterparty risk mitigating benefits of close-out netting and payment netting (as applicable). 18

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 7. Financial risk management and associated risk (continued) Liquidity risk Liquidity risk is the risk that the Master Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redeemable Participating Shareholder redemption requests are the main liquidity risk for the Master Fund. The Master Fund’s Redeemable Participating Shares are redeemable as outlined in note 10. The exposure to liquidity risk through Redeemable Participating Shareholder redemption requests is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the underlying investments as agreed by the Investment Manager. The majority of the Master Fund’s financial instruments are Level 1 financial instruments which are considered readily realisable as they are all listed on major recognised exchanges. The Master Fund’s financial instruments also include investments in Level 2 financial instruments, which are not quoted in an active public market and which generally may be illiquid. As a result, the Master Fund may not be able to liquidate quickly some of its investments in these instruments at an amount close to their fair value in order to meet its liquidity requirements. 8. Fees, commissions and other expenses Management and incentive fees Pursuant to the Investment Management Agreement (the “IMA”), effective from 1 August 2015, the Master Fund will pay the Investment Manager (i) the Management Fee, payable monthly in arrears, calculated daily, equal to 1/365 of the Applicable Management Fee Rate of the Master Fund’s Adjusted Trading Level, adjusted for profits and losses. The “Applicable Management Fee Rate” shall be (a) 0.50% where the Trading Level is less than US$50 million; (b) 0.75% where the Trading Level is equal to or greater than US$50 million and (ii) the Incentive Fee, effective from 1 August 2015, payable on a biannual basis in arrears, equal to the Applicable Incentive Fee Rate of any net appreciation during the six-month period. The “Applicable Incentive Fee Rate” shall be (a) 10% of any net appreciation where the Trading Level is less than US$50 million; and (b) 12% of any net appreciation where the Trading Level is equal to or greater than US$50 million; provided that no Incentive Fee shall be payable until losses in previous periods have been recouped. Incentive Fees generally crystallise upon a Redeemable Participating Shareholder making a redemption from the Master Fund to the extent Incentive Fees are allocable at the time of the redemption. In addition, redemptions generally reduce any then-allocable losses that must be recouped by the Investment Manager for it to be entitled to Incentive Fees. Prior to 1 August 2015, the “Applicable Management Fee Rate” was (i) 1% where the Trading Level was less than US$50 million; (ii) 0.90% where the Trading Level was equal to or greater than US$50 million but less than or equal to US$100 million; and (iii) 0.75% where the Trading Level was greater than US$100 million and the “Applicable Incentive Fee Rate” was (i) 15% of any net appreciation where the Trading Level was less than US$50 million; and (ii) 12% of any net appreciation where the Trading Level was equal to or greater than US$50 million. Risk management fees Under the risk management agreement, up to 30 April 2015, FRM Investment Management Limited was responsible for monitoring the trading and investments of the Investment Manager to ensure compliance with the investment objectives and strategies of the Master Fund. As compensation for its duties as Risk Manager, FRM Investment Management Limited was paid risk management fees by the Master Fund equal to 0.5% per annum of the Trading Level, as defined in the IMA, quarterly in arrears. From 1 May 2015, FRM Investment Management (USA) LLC provides the same services but receives no separate remuneration from the Master Fund. Risk management fees are paid by the Feeder Funds. Administration fees The Master Fund pays the Administrator an administration fee of up to 0.135% per annum of the net asset value of the Master Fund. 9. Related party transactions Master Multi-Product Holdings II Ltd, a Bermuda incorporated company, is a related party through its 100% holding of all the Management Shares in the Master Fund. Master Multi-Product Holdings II Ltd also shared a Director in common with the Master Fund until 1 December 2015. The intermediate controlling party of the Master Fund is therefore Master Multi-Product Holdings II Ltd. FRM Investment Management (USA) LLC (up to 30 April 2015, FRM Investment Management Limited) is a related party as it is the Risk Manager. FRM Investment Management (USA) LLC is also the Commodity Pool Operator of the Master Fund. FRM Investment Management Limited and FRM Investment Management (USA) LLC are indirect wholly-owned subsidiaries of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties. Quantica Capital AG is a related party as it is the Investment Manager of the Master Fund. On 1 May 2015, investors in the Master Fund transferred their Redeemable Participating Shares in the Master Fund to the Offshore Fund in consideration for Redeemable Participating Shares in the Offshore Fund. This transaction had no impact on the value of the investors’ capital. Each of the Directors is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Master Fund. 19

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 9. Related party transactions (continued) These activities include management or administration of other companies (including those with investment objectives similar to those of the Master Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of securities and other investments, investment and management counselling and serving as directors, advisers and/or agents of other companies, including companies and legal structures in which the Master Fund may invest and/or which may invest into the Master Fund. John Renouf was appointed as a director of the Master Fund on 7 January 2016; until 31 March 2015, John Renouf was a director of FRM Investment Management Limited, an indirect subsidiary of Man Group plc and the Risk Manager until 30 April 2015. The following transactions took place between the Master Fund and its related parties. Total Fees US$ Fees payable at 31 December 2015 US$ For the year ended 31 December 2015 Related party Type of fee Management fees Risk management fees Incentive fees Directors’ fees 70,912 - - - Quantica Capital AG FRM Investment Management Limited Quantica Capital AG Directors 968,049 200,863 109,962 12,000 As at 31 December 2015, 100% of all outstanding Redeemable Participating Shares were owned by the Feeder Funds, which are entities affiliated with Man Group plc. 10. Share capital The Master Fund has an authorised share capital of US$50,000 divided into 1,000 Management Shares (“Management Shares”) of a par value of US$1.00 each and 4,900,000 non-voting Redeemable Participating Shares (“Redeemable Participating Shares”) of a par value of US$0.01 each, which may be divided into different classes and/or series of Redeemable Participating Shares as the Directors may determine. Management Shares of the Master Fund The Management Shares are held by Master Multi-Product Holdings II Ltd. which is wholly-owned by Codan Trust Company Limited as trustee of the Master Multi-Product Purpose Trust, a special purpose trust formed under the laws of Bermuda pursuant to a Deed of Trust made by Codan Trust Company Limited dated 14 December 2005. At 31 December 2015, these shares remained uncalled and no amounts were paid or payable to the Master Fund. Redeemable Participating Shares Holders of Redeemable Participating Shares may, upon one business day’s written notice to the Administrator, redeem their redeemable Participating Shares on a weekly dealing day (each Monday) and/or a monthly dealing day (first business day of each month) and/or such other days as the Directors may determine in their sole discretion. The Board of Directors, in its sole discretion, may decline to sell shares to any investor for any reason or for no reason. Investors may subscribe for Redeemable Participating Shares on each Weekly and/or Monthly dealing day. Class A Redeemable Participating Shares are only available for subscription by Man Investors. Transactions in Redeemable Participating Shares for the year ended 31 December 2015 were as follows: Class A US$ No of Shares Balance at the beginning of the year Issue of Redeemable Participating Shares for year Redemption of Redeemable Participating Shares for year Balance at end of the year 37,345 58,402 (35,703) 72,310,000 (44,269,673) 60,044 In the event of a winding-up or dissolution of the Master Fund or upon the distribution of capital, the holders of the Redeemable Participating Shares shall be entitled, following a payment to the holders of paid-up Management Shares of the par value thereof, to the return of the assets of the Master Fund held in respect of that class and, thereafter, to share pro rata in the assets, if any, of the Master Fund which are not held in respect of any class of shares. Capital management As a result of the ability to issue and redeem Redeemable Participating Shares, the capital of the Master Fund can vary depending on the demand for redemptions from and subscriptions to the Master Fund. The Master Fund is not subject to externally imposed capital requirements and has no restrictions on the issue and redemption of Redeemable Participating Shares other than those set out in the Feeder Funds’ offering documents and Cayman Islands law. 20

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 10. Share Capital (continued) Capital Management (continued) The Master Fund’s objectives for managing capital may include: • investing the capital in investments meeting the description, risk exposure and expected return indicated in the Feeder Funds’ offering documents; achieving consistent returns while safeguarding capital by investing in a diversified portfolio, by participating in derivative and other advanced capital markets and by using various investment strategies and hedging techniques; maintaining sufficient liquidity to meet the expenses of the Master Fund, and to meet redemption requests as they arise; and maintaining sufficient size to make the operation of the Master Fund cost-efficient. • • • Refer to note 7, ‘Financial risk management and associated risk’, for the policies and processes applied by the Master Fund in managing its capital. 11.Financial highlights US$ Class A Per Share operation performance: Net asset value per share at beginning of the year Change in net assets resulting from operations: Net investment loss Net realised loss and change in unrealised depreciation from investments, derivatives and foreign currency Net decrease in net assets resulting from operations 1,400.31 (43.38) (432.37) (475.75) Net asset value per share at end of the year 924.56 Total Return Total return before incentive fees Incentive fees Total return after incentive fees Ratio to average net assets (i) Net investment loss before incentive fees Incentive fees Net investment loss after incentive fees (33.79%) (0.18%) (33.97%) (3.15%) (0.19%) (3.34%) Total expenses before incentive fees Incentive fees Total expenses after incentive fees (3.19%) (0.19%) (3.38%) Non trade expenses(ii) (2.48%) (i) The financial highlights are calculated for the share class taken as a whole. An individual Redeemable Participating Shareholder's financial highlights may vary from the above based on the timing of capital transactions and individual management and performance fee arrangements. The ratio details the total expenses less trading costs (including interest rate, dividend costs and transaction and brokerage costs) incurred by the Master Fund in the course of normal trading, to the average net assets described above. (ii) 12. Indemnifications In the normal course of business, the Master Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Master Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote. 21

Quantica MF Cayman Fund Limited Notes to the financial statements (continued) For the year ended 31 December 2015 13. Subsequent events Ronan Daly resigned as a director of the Master Fund on 7 January 2016. Colin Ball and John Renouf were appointed as directors of the Master Fund on 7 January 2016. Subsequent to 31 December 2015, Redeemable Participating Shareholders subscribed for Redeemable Participating Shares having an aggregate Net Asset Value of US$3,095,000 and redeemed Redeemable Participating Shares having an aggregate Net Asset Value of US$22,474,778. In connection with the preparation of the financial statements as of 31 December 2015, management has evaluated the impact of all subsequent events on the Master Fund through 17 March 2016, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in the financial statements. 22

Ernst & Young Ltd. 62 Forum Lane Camana Bay P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Main tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com Independent Auditors’ Report The Board of Directors Quantica MF Cayman Fund Limited We have audited the accompanying financial statements of Quantica MF Cayman Fund Limited (the “Master Fund”) which comprise the statement of financial condition, including the condensed schedule of investments, as of 31 December 2015, and the related statements of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory information. This report is made solely to the directors, as a body. Our audit work has been undertaken so that we might state to the directors those matters we are required to state to them in an auditors’ report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Master Fund and the directors as a body, for our audit work, for this report, or for the opinions we have formed. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with U.S. generally accepted accounting principles, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors’ Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. 23 A member firm of Ernst & Young Global Limited

An audit involves performing procedures to obtain audit evidence about the disclosures in the financial statements. The procedures selected depend on judgment, including the assessment of the risks of material misstatement of amounts and the auditors’ the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the accompanying financial statements referred to above present fairly, in all material respects, the financial position of Quantica MF Cayman Fund Limited at 31 December 2015 and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles. 17 March 2016 24

Quantica MF Delaware Feeder LLC

(A Delaware limited liability company)

Report and Financial Statements

For the year ended 31 December 2016

FRM Investment Management (USA) LLC, the risk manager and commodity pool operator (the “Risk Manager”) of Quantica MF Delaware Feeder LLC (the “Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Fund.

Quantica MF Delaware Feeder LLC

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Statement of operations	5
Statement of changes in unitholders’ capital	6
Notes to the financial statements	7
Report of independent auditors	12
Appendix: Audited Financial Statements of Quantica MF Cayman Fund Limited

1

Quantica MF Delaware Feeder LLC

Directory

Board of Directors of the Master Fund	Registered office of the Master Fund
Colin Ball (Appointed on 7 January 2016)	c/o Citco Trustees (Cayman) Limited
Ronan Daly (Resigned on 7 January 2016)	89 Nexus Way
John Renouf (Appointed on 7 January 2016)	Camana Bay
Jennifer Thomson	P.O. Box 31106
	Grand Cayman, KY1-1205
Master Fund	Cayman Islands
Quantica MF Cayman Fund Limited
c/o Citco Trustees (Cayman) Limited	Legal Advisors to the Master Fund
89 Nexus Way	(as to Cayman Islands law)
Camana Bay	Maples and Calder
P.O. Box 31106	P.O. Box 309
Grand Cayman, KY1-1205	Ugland House
Cayman Islands	Grand Cayman, KY1-1104
	Cayman Islands
Manager and Risk Manager of the Fund; Risk Manager of the Master Fund	Legal Advisors to the Fund and the Master Fund (as to U.S. law)
FRM Investment Management (USA) LLC	Sidley Austin LLP
452 Fifth Avenue, 26th Floor	One South Dearborn
New York, NY 10018	Chicago, IL 60603
U.S.A.	U.S.A.
Investment Manager of the Master Fund	Auditors
Quantica Capital AG	Ernst & Young Ltd.
Freier Platz 10	Suite 6401
CH-8200, Scfaffhausen	62 Forum Lane
Switzerland	Camana Bay
	Grand Cayman, KY1-1106
Administrator	Cayman Islands
HSBC Securities Services (Ireland) DAC
1 Grand Canal Square
Grand Canal Harbour
Dublin 2
Ireland
Bank
HSBC Bank plc
8 Canada Square
London, E14 5HQ
United Kingdom

2

Quantica MF Delaware Feeder LLC

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in these financial statements of Quantica MF Delaware Feeder LLC for the year ended 31 December 2016 is accurate and complete.

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Quantica MF Delaware Feeder LLC

3

Quantica MF Delaware Feeder LLC

Statement of financial condition

As at 31 December 2016

	Notes	2016 US$
Assets
Investment in Quantica MF Cayman Fund Limited, at fair value	3	9,797,507
Redemptions receivable from Quantica MF Cayman Fund Limited		250,000
Other assets		22,144
Total assets		10,069,651
Liabilities
Redemptions payable	2	250,000
Risk management fees payable	5,6	27,028
Accrued expenses		100,595
Total liabilities		377,623
Net assets		9,692,028
Which are represented by:
Series A Units
9,738 Series A Units with a net asset value per Unit of US$995.28	7	9,692,028
		9,692,028

Approved and authorised for issue on behalf of the manager of Quantica MF Delaware Feeder LLC on 23 March 2017.

Linzie Steinbach

FRM Investment Management (USA) LLC

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

4

Quantica MF Delaware Feeder LLC

Statement of operations

For the year ended 31 December 2016

	Notes	2016 US$
Investment income allocated from Quantica MF Cayman Fund Limited
Interest income		10,948
Total investment income		10,948
Expenses allocated from Quantica MF Cayman Fund Limited
Management fees	5	143,793
Margin commission		38,174
Administration fees	5	18,606
Interest expense		46,428
Other expenses		40,809
Total expenses		287,810
Net investment loss allocated from Quantica MF Cayman Fund Limited		(276,862	)
Fund expenses
Risk management fees	5,6	123,340
Administration fees	5	21,500
Preliminary expenses		14,333
Other expenses		70,937
Total fund expenses		230,110
Net investment loss		(506,972	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency allocated from Quantica MF Cayman Fund Limited
Net realised gain from non-commodity interest derivatives and foreign currency		2,455,423
Net realised loss from commodity interest derivatives		(589,042	)
Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency		(346,753	)
Net change in unrealised appreciation from commodity interest derivatives		498,001
Net realised gain and change in unrealised appreciation from derivatives and foreign currency		2,017,629
Net increase in net assets resulting from operations		1,510,657

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

5

Quantica MF Delaware Feeder LLC

Statement of changes in unitholders’ capital

For the year ended 31 December 2016

	Notes	2016 US$
Net assets at the beginning of the year		17,116,371
Changes in net assets resulting from operations
Net investment loss		(506,972	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency allocated from Quantica MF Cayman Fund Limited
Net realised gain from non-commodity interest derivatives and foreign currency		2,455,423
Net realised loss from commodity interest derivatives		(589,042	)
Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency		(346,753	)
Net change in unrealised appreciation from commodity interest derivatives		498,001
Net realised gain and change in unrealised appreciation from derivatives and foreign currency		2,017,629
Net increase in net assets resulting from operations		1,510,657
Change in net assets resulting from capital transactions
Issuance of Units	7	5,380,000
Redemptions of Units	7	(14,315,000	)
Net decrease in net assets resulting from capital transactions		(8,935,000	)
Net decrease in net assets		(7,424,343	)
Net assets at the end of the year		9,692,028

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

6

Quantica MF Delaware Feeder LLC

Notes to the financial statements

For the year ended 31 December 2016

1.General

Quantica MF Delaware Feeder LLC (the “Fund”) was organised as a Delaware limited liability company on 25 February 2015. The Fund commenced trading on 1 May 2015.

The investment objective of the Fund is to maximise the long-term total returns to the holders of the Fund’s units (the “Units”“). The Fund invests substantially all of its investible assets (to the extent not retained in cash) in, and conducts its investment program through, a “master-feeder structure” by investing into Quantica MF Cayman Fund Limited, an exempted company with limited liability incorporated in the Cayman Islands under the provisions of the Companies Law (as amended) of the Cayman Islands (the “Master Fund”). As at 31 December 2016, the Fund held 34.93% of the Master Fund.

The most recent, applicable Confidential Offering Memorandum of the Fund (the “Offering Memorandum”) is dated 1 May 2015 and there is a supplement dated August 2016.

Quantica Capital AG, a limited company incorporated in Switzerland, has been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). The Investment Manager is registered as a commodity trading advisor with the U.S. Commodity Futures Trading Commission (the “CFTC”), and is a member of the U.S. National Futures Association (the “NFA”) in such capacity. FRM Investment Management (USA) LLC, a Delaware limited liability company, has been appointed as the manager, risk manager and commodity pool operator of the Fund (the “Risk Manager”). The Risk Manager is registered as an investment advisor under the Advisors Act with the U.S. Securities and Exchange Commission (the “SEC”), as a commodity pool operator and commodity trading advisor with the CFTC and is a member of the NFA in such capacities.

The financial statements of the Master Fund are attached and should be read in conjunction with the Fund’s financial statements.

2.Summary of significant accounting policies

These financial statements have been prepared in accordance with United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Fund is an investment company in conformity with US GAAP. Therefore the Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

Management has made an assessment of the Fund’s ability to continue as a going concern and is satisfied that the Fund has resources to continue in business for the foreseeable future. Furthermore, management is not aware of any material uncertainties that may cast significant doubt upon the Fund’s ability to continue as a going concern; therefore, these financial statements continue to be prepared on a going concern basis.

The Fund is exempted from preparing a statement of cash flow under ASC 946 as the Fund has no level 3 investments, does not hold any debt instruments and presents a statement of changes in unitholders’ capital.

a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in these financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

b)Recent accounting pronouncements

In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. The Fund adopted this ASU during the year, which had no significant impact on the financial statements.

c)Investment in Master Fund

The Fund’s investment in the Master Fund is recorded at fair value, which is the Fund’s proportionate interest in the net assets of the Master Fund. The Fund records its proportionate share of the Master Fund’s income, expenses, and realised and unrealised gains and losses in the statement of operations.

Valuation of the investments held by the Master Fund including, but not limited to, the valuation techniques used and classification within the fair value hierarchy of instruments held by the Master Fund are discussed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

7

Quantica MF Delaware Feeder LLC

Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Summary of significant accounting policies (continued)

d)Foreign currency

Items included in the Fund’s financial statements are measured using the currency of the primary economic environment in which it operates which is US$ (the “Functional Currency”). These financial statements are presented in the Functional Currency, US$, reflecting the fact that transactions are denominated primarily in US$.

Transactions during the year denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at the year-end denominated in foreign currency, the resulting gains or losses are included in the net realised gain and change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in the net realised gain and change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

e)Cash and cash equivalents

Cash and cash equivalents include cash held at a bank maturing within three months of the year end date.

f)Recognition and allocation of income or loss

The Fund records subscriptions to and redemptions from the Master Fund on the transaction date. The Fund records its proportionate share of the Master Fund’s income, expenses and change in realised and unrealised gains and losses. In addition, the Fund accrues its own income and expenses. The Master Fund’s income and expense recognition and net gain/(loss) allocation policies are disclosed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

g)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amounts and number of Units are not fixed remain in capital until the net asset value used to determine the redemption and unit amounts are determined. Accordingly, the statement of financial condition and the statement of changes in net assets include redemptions payable of US$250,000. This amount relates to redemptions due to be paid on the first dealing day of 2017, which under the terms of ASC 480-10 are mandatorily redeemable financial instruments and consequently a liability of the Fund and not part of equity.

h)Offsetting

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the year end no financial instruments of the Fund are being presented net within the statement of financial condition of the Fund.

i)Taxation

The Fund is classified as a partnership for United States Federal income tax purposes. Consequently, no provision has been made in these financial statements for United States federal or state income taxes as any tax liability arising from operations of the Fund is the responsibility of the Unitholders and not the Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740 (“ASU 740-10”)” clarifies the accounting for uncertainty in income taxes recognised in the Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

Management has analysed the Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Fund’s financial statements. Management’s assessment considers tax years subject to investigation. The Fund recognises interest and penalties, if any, related to unrecognised tax liability as income tax expense in the statement of operations. During the year ended 31 December 2016, the Fund did not incur any interest or penalties.

8

Quantica MF Delaware Feeder LLC

Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Summary of significant accounting policies (continued)

i)Preliminary expenses

The Fund has borne its organisational expenses, including, without limitation, legal, accounting, filing and administration expenses associated with the organisation of the Fund and the offering of Units. For financial statement and net asset value purposes the organisational costs are amortised over the first 36 months of trading of the Fund.

3.Fair value of financial instruments

The Fund invests in the Master Fund as part of a “master-feeder” structure as disclosed in note 1. The investment objective of the Master Fund is disclosed in the financial statements of the Master Fund which are attached to these financial statements. The redemption terms of the Master Fund are in accordance with the redemption terms of the Fund as disclosed in note 7 of these financial statements.

The fair value of the Fund’s assets and liabilities which qualify as financial instruments under disclosure about Fair Value of Financial Instruments approximates the carrying amounts presented in the statement of financial condition.

4.Financial risk management and associated risk

Since the Fund invests in the Master Fund, the Fund will also bear the risks associated with the Master Fund, which are disclosed in the note 7 of Master Fund’s financial statements and in the Offering Memorandum.

5.Fees and expenses

Management fees

Pursuant to the Investment Management Agreement entered into between the Master Fund and the Investment Manager (“IMA”), the Master Fund pays a management fee to the Investment Manager. Details of the IMA are disclosed in the note 8 of the Master Fund’s financial statements.

Incentive fees

Pursuant to the IMA, the Master Fund pays an incentive fee to the Investment Manager. Details of the IMA are disclosed in the note 8 of the Master Fund’s financial statements.

Risk management fees

Pursuant to the risk management agreement entered into by and among the Fund, the Master Fund and the Risk Manager (the “Management Agreement”), the Fund pays the Risk Manager a risk management fee equal to 0.50% per annum of the trading level of the Master Fund’s assets attributable to each series of the Fund, quarterly in arrears, and a pro rata share of any licensing fees for the use of any risk assessment tools provided by any third party which are used by the Risk Manager in providing services to the Fund pursuant to the Management Agreement.

Administration fees

The Fund pays the administrator of the Fund (the “Administrator”) an annual administration fee of US$21,500. The Administrator’s fees are subject to review from time to time to reflect changes in the operational cost of administering the Fund, as further set out in the administration agreement entered into between the Administrator and the Fund. In addition, the Administrator receives an additional administration fee from the Master Fund of up to 0.135% per annum of the net asset value of the Master Fund.

9

Quantica MF Delaware Feeder LLC

Notes to the financial statements (continued)

For the year ended 31 December 2016

6.Related party transactions

The Risk Manager is a related party as it is the manager, risk manager and commodity pool operator of the Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund. Terms of incentive fees and management fees are disclosed in note 8 of the Master Fund’s financial statements.

Management is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisors and/or agents of other companies, including companies and other legal structures in which the Fund may invest and/or which may invest in the Fund.

The following transactions took place between the Fund and its related parties for the year ended 31 December 2016:

Related party	Type of fee	Total Fees US$	Fees payable US$
FRM Investment Management (USA) LLC	Risk management fees	123,340	27,028

As at 31 December 2016, 100% of the outstanding Units were owned by entities affiliated with Man Group plc (refer to note 7).

7.Unitholders’ capital

The minimum initial capital contribution and the minimum additional contribution by a Unitholder is US$100,000. The Manager may determine the current minimum subscription and/or such other amount in its sole discretion.

Unitholders may, subject to the restrictions set out in the Offering Memorandum, redeem their Units on each weekly or monthly dealing day of the Fund. Redemptions may be accepted on days other than the specified redemption date, in the Manager’s sole discretion. Units will be considered to be redeemed on a “first purchased, first redeemed” basis.

The Units shall be issued as Series A Units or Series B Units as designated by the Manager. Series A Units and Series B Units have identical rights and privileges in all respects except that: (i) Series A Units are only available for subscription by Man Investors (as defined in the Offering Memorandum); and (ii) Series B Units are subject to the Reporting Fee (as defined in the Offering Memorandum). The Manager may establish additional series, classes or tranches of Units in the future, which may have different and/or preferential terms to existing series, including among other things, the Incentive Fee, the Management Fee, minimum and additional subscription amounts, leverage levels, distribution policies, capacity rights, investor eligibility, voting rights, informational rights and other rights. During the year ended 31 December 2016, Series B Units were not in issue.

	Series A
	US$		Units
As at the beginning of the year			18,746
Contributions	5,380,000		5,200
Redemptions	(14,315,000	)	(14,208	)
As at the end of the year			9,738

In the event of a winding-up or dissolution of the Fund or upon the distribution of capital, the unitholders shall be entitled to the return of the assets of the Fund held in respect of that Series and, thereafter, to share pro rata in the assets, if any, of the Fund which are not held in respect of any series of Units.

10

Quantica MF Delaware Feeder LLC

Notes to the financial statements (continued)

For the year ended 31 December 2016

8.Financial highlights

Per Unit operating performance:	Series A US$
Net asset value per Unit at the beginning of the year	913.08
Change in net assets resulting from operations:
Net investment loss	(42.84	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency	125.04
Net increase in net assets resulting from operations	82.20
Net asset value per Unit at the end of the year	995.28
Total Return
Total return before incentive fees	9.00	%
Incentive fees	—
Total return after incentive fees	9.00	%
Ratio to average net assets(i)
Net investment loss before incentive fees	(4.33	)%
Incentive fees	—
Net investment loss after incentive fees	(4.33	)%
Total expenses before incentive fees	4.42	%
Incentive fees	—
Total expenses after incentive fees	4.42	%
Non trade expenses(ii)	3.70	%

(i)The financial highlights are calculated for a Unit class or series taken as a whole. An individual unitholder’s financial highlights may vary from the above on the timing of capital transactions and individual management and incentive fee arrangements.

(ii)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Fund in the course of normal trading, to the average net assets described above.

9.Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote.

10.Subsequent events

Subsequent to 31 December 2016, investors subscribed for Series A Units having an aggregate net asset value of US$Nil and redeemed Series A Units having an aggregate net asset value of US$1,590,000.

In connection with the preparation of the accompanying financial statements as at 31 December 2016, management has evaluated the impact of all subsequent events on the Fund through 23 March 2017, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in these financial statements.

11

Ernst & Young Ltd. 62 Forum Lane
Camana Bay
P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com

Report of Independent Auditors

The Managing Member

Quantica MF Delaware Feeder LLC

We have audited the accompanying financial statements of Quantica MF Delaware Feeder LLC (the “Fund”), which comprise the statement of financial condition, as of 31 December 2016, and the related statements of operations and changes in unitholders’ capital for the  year ended 31 December 2016, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

A member firm of Ernst & Young Global Limited

12

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Quantica MF Delaware Feeder LLC at 31 December 2016, and the results of its operations and changes in its unitholders’ capital for the year then ended in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young Ltd.

23 March 2017

13

Quantica MF Cayman Fund Limited

(A Cayman Islands exempted company)

Report and Financial Statements

For the year ended 31 December 2016

FRM Investment Management (USA) LLC, the risk manager and commodity pool operator (the “Risk Manager”) of Quantica MF Cayman Fund Limited (the “Master Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Master Fund.

Quantica MF Cayman Fund Limited

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Condensed schedule of investments	5
Statement of operations	7
Statement of changes in net assets	8
Notes to the financial statements	9
Report of independent auditors	20

1

Quantica MF Cayman Fund Limited

Directory

Board of Directors	Registered Office
Colin Ball (Appointed on 7 January 2016)	c/o Citco Trustees (Cayman) Limited
Ronan Daly (Resigned on 7 January 2016)	89 Nexus Way
John Renouf (Appointed on 7 January 2016)	Camana Bay
Jennifer Thomson	P.O. Box 31106
	Grand Cayman, KY1-1205
Investment Manager	Cayman Islands
Quantica Capital AG
Freier Platz 10	Legal Advisors
CH-8200 Scfaffhausen	(as to Cayman Islands law)
Switzerland	Maples and Calder
	P.O. Box 309
Risk Manager	Ugland House
FRM Investment Management (USA) LLC	Grand Cayman, KY1-1104
452 Fifth Avenue, 26th Floor	Cayman Islands
New York, NY 10018
U.S.A.	(as to US law)
	Sidley Austin LLP
Administrator	One South Dearborn
HSBC Securities Services (Ireland) DAC	Chicago, IL 60603
1 Grand Canal Square	U.S.A.
Grand Canal Harbour
Dublin 2	Auditors
Ireland	Ernst & Young Ltd.
	Suite 6401
Bank	62 Forum Lane
HSBC Bank plc	Camana Bay
8 Canada Square	Grand Cayman, KY1-1106
London, E14 5HQ	Cayman Islands
United Kingdom
	Company Secretary
	CSS Corporation Ltd.
	89 Nexus Way
	Camana Bay
	P.O. Box 31106
	Grand Cayman, KY1-1205
	Cayman Islands
	Prime Brokers
	JP Morgan Securities Plc
	25 Bank Street
	Canary Wharf
	London, E14 5JP
	United Kingdom
	Morgan Stanley & Co International Plc
	25 Cabot Square
	Canary Wharf
	London, E14 4QA
	United Kingdom

2

Quantica MF Cayman Fund Limited

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in the financial statements of Quantica MF Cayman Fund Limited for the year ended 31 December 2016 is accurate and complete.

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Quantica MF Cayman Fund Limited

3

Quantica MF Cayman Fund Limited

Statement of financial condition

As at 31 December 2016

	Notes	2016 US$
Assets
Derivatives, at fair value	4,5	1,479,956
Cash and cash equivalents	3	8,846,215
Balances with brokers	3	19,329,186
Other assets		10,228
Total assets		29,665,585
Liabilities
Derivatives, at fair value	4,5	871,111
Balances due to brokers	3	220,091
Redemptions payable	2	450,000
Management fees payable	8,9	28,636
Accrued expenses	8,9	47,305
Total liabilities		1,617,143
Net assets		28,048,442
Which are represented by:
27,288 Class A Shares with a Net Asset Value per Share of US$1,027.87		28,048,442

Approved and authorised for issue on behalf of the Board on 23 March 2017.

Jennifer A Thomson	John Renouf
Director	Director

The accompanying notes form an integral part of these financial statements.

4

Quantica MF Cayman Fund Limited

Condensed schedule of investments

As at 31 December 2016

	Fair Value		% of
	US$		Net Assets
Derivative contracts — long exposure contracts
Futures contracts
Australia
Index futures	21,151		0.08
Total Australia	21,151		0.08
Canada
Commodity futures	(23,846	)	(0.09	)
Index futures	(18,087	)	(0.06	)
Total Canada	(41,933	)	(0.15	)
France
Index futures	88,673		0.32
Total France	88,673		0.32
Germany
Bond futures	112,971		0.40
Index futures	77,388		0.28
Total Germany	190,359		0.68
Japan
Bond futures	2,056		0.01
Index futures	250,839		0.89
Total Japan	252,895		0.90
Taiwan
Index futures	30,740		0.10
Total Taiwan	30,740		0.10
United Kingdom
Commodity futures	8,330		0.03
Index futures	137,705		0.49
Interest rate futures	(24,864	)	(0.09	)
Total United Kingdom	121,171		0.43
United States
Commodity futures	(115,055	)	(0.41	)
Index futures	(253,755	)	(0.90	)
Interest rate futures	(5,475	)	(0.02	)
Total United States	(374,285	)	(1.33	)
Hong Kong
Index futures	46,552		0.17
Total Hong Kong	46,552		0.17
Total futures contracts (cost: US$nil)	335,323		1.20
Forward foreign currency contracts
Forward foreign currency contracts	206,126		0.73
Total Forward foreign currency contracts (cost: US$nil)	206,126		0.73
Total Derivative contracts - long exposure, at fair value (cost: US$nil)	541,449		1.93

The accompanying notes form an integral part of these financial statements.

5

Quantica MF Cayman Fund Limited

Condensed schedule of investments (continued)

As at 31 December 2016

	Fair Value		% of
	US$		Net Assets
Derivative contracts — short exposure contracts
Futures contracts
Australia
Interest rate futures	(5,613	)	(0.02	)
Total Australia	(5,613	)	(0.02	)
Canada
Bond futures	(14,078	)	(0.05	)
Total Canada	(14,078	)	(0.05	)
United Kingdom
Bond futures	(3,446	)	(0.01	)
Total United Kingdom	(3,446	)	(0.01	)
United States
Commodity futures	22,272		0.08
Bond futures	(110,733	)	(0.39	)
Currency futures	298,485		1.06
Total United States	210,024		0.75
Total futures contracts (proceeds:US$nil)	186,887		0.67
Forward foreign currency contracts	(119,491	)	(0.43	)
Total Forward foreign currency contracts (proceeds: US$nil)	(119,491	)	(0.43	)
Total Derivative contracts - short exposure, at fair value (proceeds: US$nil)	67,396		0.24

	Fair Value
Reconciliation of long and short derivatives (note 4)	US$
Derivative Assets at fair value
Total fair value of long derivative assets	1,122,360
Total fair value of short derivative assets	357,596
Total Derivative Assets at fair value	1,479,956
	US$
Derivative Liabilities at fair value
Total fair value of long derivative liabilities	(580,911	)
Total fair value of short derivative liabilities	(290,200	)
Total Derivative Liabilities at fair value	(871,111	)

The accompanying notes form an integral part of these financial statements.

6

Quantica MF Cayman Fund Limited

Statement of operations

For the year ended 31 December 2016

	Notes	2016 US$
Investment income
Interest income		32,641
Total investment income		32,641
Expenses
Management fees	8,9	427,224
Margin commission		110,602
Administration fees	8	55,275
Interest expense		136,340
Other expenses	9	120,529
Total expenses		849,970
Net investment loss		(817,329	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency
Net realised gain from non-commodity interest derivatives and foreign currency		6,589,887
Net realised loss from commodity interest derivatives		(1,321,232	)
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		137,586
Net change in unrealised appreciation from commodity interest derivatives		1,075,727
Net realised gain and change in unrealised appreciation from derivatives and foreign currency		6,481,968
Net increase in net assets resulting from operations		5,664,639

The accompanying notes form an integral part of these financial statements.

7

Quantica MF Cayman Fund Limited

Statement of changes in net assets

For the year ended 31 December 2016

	Notes	2016 US$
Net assets at the beginning of the year		55,513,943
Changes in net assets resulting from operations
Net investment loss		(817,329	)
Net realised gain from non-commodity interest derivatives and foreign currency		6,589,887
Net realised loss from commodity interest derivatives		(1,321,232	)
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		137,586
Net change in unrealised appreciation from commodity interest derivatives		1,075,727
Net increase in net assets resulting from operations		5,664,639
Changes in net assets resulting from capital transactions
Issuance of Shares	10	14,590,000
Redemptions of Shares	10	(47,720,140	)
Net decrease in net assets resulting from capital transactions		(33,130,140	)
Net decrease in net assets		(27,465,501	)
Net assets at the end of the year		28,048,442

The accompanying notes form an integral part of these financial statements.

8

Quantica MF Cayman Fund Limited

Notes to the financial statements

For the year ended 31 December 2016

1.General

Quantica MF Cayman Fund Limited (the “Master Fund”) is an exempted company incorporated with limited liability in the Cayman Islands under the provisions of the Companies Law of the Cayman Islands (as amended). The Master Fund was incorporated in the Cayman Islands on 12 April 2013. The Master Fund is an open-ended mutual fund registered with the Cayman Islands Monetary Authority and regulated under the Mutual Funds Law of the Cayman Islands (as amended).

The investment objective of the Master Fund is to maximise the long-term total returns to the holders of the Master fund’s redeemable participating shares (the “Shares”) by investing in a fully quantitative and systematic medium to long-term trend following strategy. The Master Fund has two separate feeder funds, Quantica MF Cayman Feeder, an exempted company incorporated with limited liability in the Cayman Islands (the “Offshore Fund”), and Quantica MF Delaware Feeder LLC, a Delaware limited liability company (the “Onshore Fund”; and, together with the Offshore Fund, the “Feeder Funds”). The Feeder Funds invest substantially all of their assets (to the extent not retained in cash) in the Master Fund.

Further feeder funds may be created to invest in the Master Fund. As at 31 December 2016, the Offshore Fund and the Onshore Fund held 65.07% and 34.93 % respectively of the Master Fund.

Quantica Capital AG, a company incorporated with limited liability in Switzerland, has been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). It is  subject to prudential supervision by the Swiss Financial Market Supervisory Authority FINMA (“FINMA”) as asset manager of collective investment schemes pursuant to Swiss Federal Act on Collective Investment Schemes (“CISA”).The Investment Manager also is registered as a commodity trading advisor with the U.S. Commodity Futures Trading Commission and is a member of the U.S. National Futures Association (the “NFA”) in such capacity. FRM Investment Management (USA) LLC, a Delaware limited liability company, has been appointed as the risk manager and commodity pool operator of the Master Fund (the “Risk Manager”). The Risk Manager is registered as an investment advisor under the Advisors Act with the U.S. Securities and Exchange Commission (the “SEC”), as a commodity pool operator and commodity trading advisor with the CFTC, and is a member of the NFA in such capacities.

2.Significant accounting policies

The financial statements have been prepared in accordance with United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Master Fund is an investment company in conformity with US GAAP. Therefore the Master Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standard Board (“FASB”) Accounting Standard Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

Management has made an assessment of the Master Fund’s ability to continue as a going concern and is satisfied that the Master Fund has resources to continue in business for the foreseeable future. Furthermore, management is not aware of any material uncertainties that may cast significant doubt upon the Master Fund’s ability to continue as a going concern; therefore, the financial statements continue to be prepared on a going concern basis.

The Master Fund is exempted from preparing a statement of cash flow under ASC 946 as the Master Fund has no level 3 investments, does not hold any debt instruments and presents a statement of changes in net assets.

a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

b)Recent accounting pronouncements

In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. The Master Fund adopted this ASU during the year, which has had no significant impact on the financial statements.

c)Investments transactions and related investment income and expenses

Security transactions are recorded on a trade date basis. Realised gains and losses are computed using the first-in, first-out method. Interest income, interest expense and operating expenses are recorded on an accrual basis. Dividend income, net of applicable withholding taxes and dividend expenses on financial instruments sold short, are recorded on the ex-dividend date.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Significant accounting policies (continued)

d)Fair value of financial instruments

Definition and hierarchy

Derivative contracts are carried at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

A fair value hierarchy that prioritises the inputs to valuation techniques is used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:

·Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

·Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;

·Level 3 — Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable.

Valuation

Investments with values based on quoted market prices in active markets including active listed equities, are classified within Level 1. The Master Fund does not adjust the quoted price for such instruments, including in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices for an identical instrument, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non—transferability, which are generally based on available market information.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include private placements. When observable prices are not available for these financial instruments, the Investment Manager uses one or more valuation techniques e.g., the market approach or the income approach, for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors.

The inputs used by the Investment Manager in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalisations and other transactions across the capital structure, offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and /or non-transferability, with the amount of such discount estimated by the Investment Manager in the absence of market information. The fair value measurement of Level 3 investments does not include transaction costs that may have been capitalised as part of the financial instrument’s cost basis. Assumptions used by the Investment Manager due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Fund’s results of operations.

Derivative Instruments can be exchange-traded or privately negotiated over-the-counter (“OTC”).

OTC derivatives are valued by the Master Fund using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs.

These OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilise some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Investment Manager updates the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

e)Foreign currency

Items included in the Master Fund’s financial statements are measured using the currency of the primary economic environment in which it operates, which is US$ (the “Functional Currency”). The financial statements are presented in the Functional Currency and not the local currency of the Cayman Islands reflecting the fact that transactions are denominated primarily in US$.

Transactions during the year denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at the year-end denominated in foreign currency, the resulting gains or losses are included in the net realised gain and change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Significant accounting policies (continued)

e)Foreign currency

The Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in net realised gains and change in unrealised appreciation from derivatives and foreign currency.

f)Cash and cash equivalents

Cash and cash equivalents include cash held at a bank and prime brokers maturing within three months of the year end date.

g)Allocation of income or loss

Income, expenses, realised and change in unrealised gains or losses on investments are allocated pro-rata to each share class based on the respective net asset value.

h)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amount and number of shares are not fixed remain in capital until the net asset value used to determine the redemption and share amounts are determined. Accordingly, the statement of financial condition and the statement of changes in net assets include redemptions payable of US$450,000. This relates to redemptions due to be paid on the first dealing day of 2017, which under the terms of ASC 480-10 are mandatorily redeemable financial instruments and consequently a liability of the Master Fund and not part of equity.

i)Offsetting

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the year end no financial instruments of the Master Fund are being presented net within the statement of financial condition of the Master Fund.

j)Taxation

The Cayman Islands currently has no income, corporation or capital gains tax, no taxes by way of withholding and no estate duty, inheritance tax or gift tax. In addition, the Master Fund has applied for and received from the Governor-in-Cabinet of the Cayman Islands pursuant to The Tax Concessions Law (as amended) of the Cayman Islands, an undertaking that, for a period of twenty years from the date of the undertaking, no law which is thereafter enacted in the Cayman Islands imposing any tax to be levied on profits, income, gains or appreciations shall apply to the Master Fund or its operations. In addition no tax on profits, income, gains or appreciation which is in the nature of estate duty or inheritance tax shall be payable on or in respect of the shares, debentures or other obligations of the Master Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740 (“ASU 740-10”) clarifies the accounting for uncertainty in income taxes recognised in the Master Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Master Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

Management has analysed the Master Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Master Fund’s financial statements. Management’s assessment considers tax years subject to investigation. The Master Fund recognises interest and penalties, if any, related to unrecognised tax liability as income tax expense in the statement of operations. During the year ended 31 December 2016, the Master Fund did not incur any interest or penalties.

3.Cash and Cash equivalents and balances with/and due to brokers

At the year end amounts disclosed as cash and cash equivalents, balances with brokers and balances due to brokers were held at HSBC Bank plc (the “Bank”) and JP Morgan Securities Plc and Morgan Stanley & Co International Plc (collectively, the “Prime Brokers”). Balances with brokers and balances due to brokers represent the margin account balances held in the broker and balances payable to broker as at the year end. Due from brokers and to brokers represent receivables for financial instruments sold and payables for financial instruments purchased that have been contracted for but not yet settled or delivered on the statement of financial position date respectively. These include amounts transferred as collateral (which is subject to a security interest) against open derivatives, short positions or financial instruments purchased on margin.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

3.Cash and Cash equivalents and balances with/and due to brokers (continued)

Amounts receivable from short sales and collateral may be restricted in whole or part until the related financial instruments are purchased. To the extent that the financial instruments are purchased on margin, the margin debt may be secured on the related financial instruments. The portion of balances with brokers represented by collateral as at 31 December 2016 was US$19,106,037.

Included in the cash and cash equivalents balances as at 31 December 2016 is cash in foreign currencies with a fair value of US$3,009,807 (cost: US$3,091,385).

4.Fair value measurements

The Master Fund’s assets and liabilities carried at fair value have been categorised based upon the fair value hierarchy set out in note 2. The following is a summary of the Master Fund’s financial instruments carried at fair value as at 31 December 2016:

	Level 1 US$	Level 2 US$	Level 3 US$	Total US$
Derivative Assets, at fair value
Derivatives
Bond futures	148,098	—	—	148,098
Commodity futures	174,199	—	—	174,199
Currency futures	298,485	—	—	298,485
Index futures	653,048	—	—	653,048
Forward currency contracts	—	206,126		206,126
Total Derivatives	1,273,830	206,126	—	1,479,956
Total Derivative Assets, at fair value	1,273,830	206,126	—	1,479,956
Derivative Liabilities, at fair value
Derivatives
Bond futures	161,328	—	—	161,328
Commodity futures	282,498	—	—	282,498
Index futures	271,842	—	—	271,842
Interest rate futures	35,952	—	—	35,952
Forward currency contracts	—	119,491	—	119,491
Total Derivatives	751,620	119,491	—	871,111
Total Derivatives Liabilities, at fair value	751,620	119,491	—	871,111

There were no significant transfers between levels 1 and 2 during the year ended 31 December 2016.

The Master Fund did not hold any level 3 investments during the year.

Investments are reviewed at each financial reporting point to ensure that they are correctly classified between level 1, 2 and 3 in accordance with the fair value hierarchy outlined above. Where an investment’s characteristics change during the year and investments no longer meet the criteria of a given level, they are transferred into a more appropriate level at the end of relevant financial reporting year.

5.Derivatives

Typically, derivative contracts serve as components of the Master Fund’s investment strategy and are utilised primarily to structure and hedge investments to enhance performance and reduce risk to the Master Fund. The derivative contracts that the Master Fund is a party to consist of forward contracts and futures contracts. As at 31 December 2016, the derivative contracts were included in the Master Fund’s statement of financial condition at fair value.

The Master Fund records its derivative activities on a mark-to-market basis. Fair values are determined in accordance with the valuation principles set out in note 2.

For all OTC contracts, the Master Fund enters into master netting agreements with its counterparties, which may allow in certain circumstances netting of assets and liabilities. Assets and liabilities are only offset and the net amount reported in the statement of financial condition when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the assets and settle the liabilities simultaneously. As at 31 December 2016 no assets or liabilities are offset in the statement of financial condition.

As at 31 December 2016 all futures contracts were exchange traded and forward foreign currency contracts were OTC contracts. As at 31 December 2016 master netting arrangements were related to forward currency contracts held by the Master Fund.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

5.Derivatives (continued)

The Master Fund has not designated any derivative instruments as hedging instruments under ASC 815 “Derivatives and hedging” (“ASC 815”). The Condensed Schedule of Investments details information regarding derivative types and their fair value as at 31 December 2016.

As at 31 December 2016, open derivative instruments are included in the statement of financial condition under the heading ‘Derivatives, at fair value’:

	2016 US$
Assets
Bond futures	148,098
Commodity futures	174,199
Currency futures	298,485
Index futures	653,048
Forward currency contracts	206,126
	1,479,956

	US$
Liabilities
Bond futures	161,328
Commodity futures	282,498
Index futures	271,842
Interest rate futures	35,952
Forward currency contracts	119,491
	871,111

As at 31 December 2016, the notional value of derivative instrument activity is representative of the volume of derivative activity during the year was as follows:

	Notional value US$
	As at 31 December 2016
	Long (US$)	Short (US$)
Bond price risk
Bond futures	62,477,306	(42,991,286	)
Equity price risk
Index futures	75,910,029	—
Commodity price risk
Commodity futures	66,875,612	(794,595	)
Interest rate risk
Interest rate futures	35,682,724	(38,136,249	)
Foreign exchange risk
Currency futures	—	(36,526,773	)
Forward currency contracts	12,718,515	(6,941,654	)

Derivative financial instruments are generally based on notional amounts which are not recorded in the financial statements. These notional amounts represent the theoretical principal value on which the cash flows of the derivative transactions are based. Unrealised gains or losses, rather than notional amounts, or the exchange-traded derivatives traded by the Master Fund are included in the statement of financial condition.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

5.Derivatives (continued)

For non-exchange traded derivatives, under standard derivative agreements, the Master Fund may be required to post collateral on derivatives if the Master Fund is in a net liability position with the counterparty exceeding certain amounts.

The effect of transactions in derivative instruments on the statement of operations for the year ended 31 December 2016 was as follows:

		Amount of gain or loss
		recognised in
		statement of operations
Derivative Type	Location of gain or loss in statement of operations	US$
Futures contracts (non-commodity interest)	Net realised gain from non-commodity interest derivatives and foreign currency	5,471,367
Futures contracts (commodity interest)	Net realised loss from commodity interest derivatives	(1,321,232	)
Forward currency contracts	Net realised gain from non-commodity interest derivatives and foreign currency	275,954
Total		4,426,089
Futures contracts (non-commodity interest)	Net change in unrealised appreciation on non-commodity interest derivatives and foreign currency	540,328
Futures contracts (commodity interest)	Net change in unrealised appreciation on commodity interest derivatives	1,075,727
Forward currency contracts	Net change in unrealised appreciation on non-commodity interest derivatives and foreign currency	465,389
Total		2,081,444
Net realised gain and change in unrealised depreciation on foreign exchange		(25,565	)
Net realised gain and change in unrealised appreciation from derivatives and foreign exchange		6,481,968

The primary difference in the risk associated with OTC contracts and exchange-traded contracts is credit risk. The Master Fund has credit risk from OTC contracts when two conditions are present (i) the OTC contracts have unrealised gains, net of any collateral and (ii) the counterparty of the contracts default. The credit risk related to exchange-traded contracts is minimal because the exchange ensures that their contracts are always honoured. As at 31 December 2016, all future contracts were exchange traded all other derivatives were OTC contracts.

Futures are contracts for delayed delivery of commodities, securities, equity indices or money market instruments in which the seller agrees to make delivery at a specified future date of a specified commodity or instrument, at a specified price or yield. Gains and losses on futures are recorded by the Master Fund based upon market fluctuations and are recorded as realised or unrealised gains or losses in the statement of operations.

Forward contracts entered into by the Master Fund represent a firm commitment to buy or sell an underlying asset, or currency at a specified value and point in time based upon an agreement or contracted quantity. The realised/unrealised gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement year-end date and is included in the statement of operations.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

6.Offsetting of assets and liabilities

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously.

As at 31 December 2016, no financial instruments of the Master Fund are being presented net within the statement of financial condition.

The following tables provide information on the financial impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement in the event of default as defined under such agreements.

Derivative Assets and Collateral held by counterparty

		(ii)
	(i)	Impact of master netting arrangements not offset in the statement of financial condition			(iii)=(i)+(ii)
	Gross amounts of assets presented in the	Gross amounts not offset in the statement of financial condition
	statement of financial condition	Financial Instruments		Cash collateral received	Net amount
Counterparty	US$	US$		US$	US$
Morgan Stanley & Co. Inc.	1,273,830	(751,620	)	—	522,210
JP Morgan Securities Inc	206,126	(119,491	)	—	86,635
Total	1,479,956	(871,111	)	—	608,845

Derivative Liabilities and Collateral pledged by counterparty

		(ii)
	(i)	Impact of master netting arrangements not offset in the statement of financial condition			(iii)=(i)+(ii)
	Gross amounts of liabilities presented in	Gross amounts not offset in the statement of financial condition
	the statement of financial condition	Financial Instruments		Cash collateral pledged	Net amount
Counterparty	US$	US$		US$	US$
Morgan Stanley & Co. Inc.	751,620	(751,620	)	—	—
JP Morgan Securities Inc	119,491	(119,491	)	—	—
Total	871,111	(871,111	)	—	—

As at 31 December 2016 excess collateral pledged over fair value of financial liabilities was US$19,106,037.

7.Financial risk management and associated risk

Overall risk management

The Master Fund’s investment activities expose it to the various types of risk which are associated with the financial instruments and markets in which it invests. The most important types of financial risks to which the Master Fund is exposed are market risk, credit risk and liquidity risk. Market risk includes price risk, interest rate risk and currency risk. The Master Fund manages these risks on an aggregate basis along with the risks associated with its investing activities as part of its overall risk management policies.

The Master Fund has an agreement with FRM Investment Management (USA) LLC to act as risk manager. The Directors rely upon the Risk Manager to ensure that risks within the Master Fund are managed by the Investment Manager.

As a pre-requisite for investment, initial due diligence is performed by the Risk Manager to review the Investment Manager’s trading strategy, operational infrastructure and risk management environment. The Risk Manager then monitors the integrity of the Investment Manager’s operations on an ongoing basis.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

7.Financial risk management and associated risk (continued)

Overall risk management (continued)

The Risk Manager further monitors certain risk and performance measures of the Master Fund on a regular basis to seek to ensure that risks are managed by the Investment Manager and performance is in line with expectations and in accordance with any investment restrictions placed upon the Investment Manager. To this extent, the Risk Manager is given transparency on the positions and performance of the Investment Manager through trade files. Such measures include return breakouts, drawdowns, Value-at-Risk (“VaR”), risk factor sensitivities and stress test losses.

The Risk Manager performs regular reviews of certain performance based measures against the Master Fund’s history of such measures and against that of the Investment Manager’s funds which implement similar strategies. If necessary, the Risk Manager requests that corrective action be taken by the Investment Manager.

The nature and extent of the financial instruments outstanding at the date of the statement of financial condition and the risk management policies employed by the Master Fund are discussed below.

Market risk

Market risk is the risk that fair value or future cash flows of financial instruments will fluctuate due to changes in market variables such as interest rates, foreign exchange rates and equity prices.

Interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates.

The Master Fund is exposed to interest rate risk on cash at a bank, balances with brokers, balances due to brokers and certain derivative contracts.

Currency risk

Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. Although the majority of the Master Fund’s assets are denominated in US$, the Master Fund may invest in financial instruments and hold cash balances at its brokers that are denominated in currencies other than its reporting currency, the US$. Consequently, the Master Fund is exposed to risks that the exchange rate of the US$ relative to other currencies may change in a manner which has an adverse effect on the reported value of that portion of the Master Fund’s assets which are denominated in currencies other than the US$.

Other price risk

Other price risk is the risk that the price of a financial instrument will fluctuate due to changes in market conditions influencing, directly or indirectly, the value of the financial instrument. The Master Fund is exposed to other price risk from its financial instruments. Due to the nature of the trading strategies followed by this Master Fund, no direct relationship between any market factors and the expected prices of the financial instruments can be reliably established. Other price risk is managed through the overall risk management processes described above.

Credit/Counterparty risk

Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered into with the Master Fund.

The Master Fund’s maximum exposure to credit risk (not taking into account the value of any collateral or other security held) in the event that the counterparties fail to perform their obligations as at 31 December 2016 in relation to each class of recognised financial assets, other than derivatives, is the carrying amount of those assets in the statement of financial condition.

With respect to derivative financial instruments, credit risk arises from the potential failure of counterparties to meet their obligations under the contract or arrangement.

The Risk Manager has centralised its due diligence and monitoring process of prime brokerage and trading relationships through a dedicated prime brokerage and trading team employed by an affiliated company. Credit and counterparty risk is analysed by examining certain credit related criteria on a centralised basis across platforms by establishing risk tolerance levels in accordance with the overall risk profile of the prime broker/counterparty as determined by the Risk Manager. The credit quality of the Master Fund’s Bank, Brokers and any lenders at their parent companies level and subsidiaries when they are available is regularly monitored and factored into allocation decisions.

The exposures are to the Bank and to the Prime Brokers. As at the date of issuance of these financial statements, according to Moody’s Rating Agency, the credit rating of the Bank’s parent company HSBC Bank plc, is A1 and the credit rating of JP Morgan Securities Plc is A3. The credit rating of Morgan Stanley & Co International Plc is A1 per S&P.

In addition, netting agreements and collateral arrangements (including International Swaps and Derivatives Association Inc. (“ISDA”) Master Agreements for over-the-counter derivatives) are routinely put in place when appropriate to allow the counterparty risk mitigating benefits of close-out netting and payment netting.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

7.Financial risk management and associated risk (continued)

Liquidity risk

Liquidity risk is the risk that the Master Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Shares are the main liquidity risk for the Master Fund.

The Shares are redeemable as outlined in note 10. The exposure to liquidity risk through redemption requests for Shares is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the underlying investments as agreed by the Investment Manager.

The majority of the Master Fund’s financial instruments are Level 1 financial instruments which are considered readily realisable as they are all listed on major recognised exchanges.

The Master Fund’s financial instruments also include investments in Level 2 financial instruments, which are not quoted in an active public market and which generally may be illiquid. As a result, the Master Fund may not be able to liquidate quickly some of its investments in these instruments at an amount close to their fair value in order to meet its liquidity requirements.

8.Fees, commissions and other expenses

Management and incentive fees

Pursuant to the Investment Management Agreement entered into between the Master Fund and the Investment Manager (the “IMA”), the Master Fund pays the Investment Manager (i) the Management Fee, payable monthly in arrears, calculated daily, equal to 1/365 of the Applicable Management Fee Rate of the Master Fund’s Adjusted Trading Level, adjusted for profits and losses. The “Applicable Management Fee Rate” shall be (a) 0.50% where the Trading Level is less than US$50 million; (b) 0.75% where the Trading Level is equal to or greater than US$50 million and (ii) the Incentive Fee, payable on a biannual basis in arrears, equal to the Applicable Incentive Fee Rate of any net appreciation during the six-month period. The “Applicable Incentive Fee Rate” shall be (a) 10% of any net appreciation where the Trading Level is less than US$50 million; and (b) 12% of any net appreciation where the Trading Level is equal to or greater than US$50 million; provided that no Incentive Fee shall be payable until losses in previous periods have been recouped. Incentive Fees generally crystallise upon a Redeemable Participating Shareholder making a redemption from the Master Fund to the extent Incentive Fees are allocable at the time of the redemption. In addition, redemptions generally reduce any then-allocable losses that must be recouped by the Investment Manager for it to be entitled to Incentive Fees.

Risk management fees

Pursuant to the Risk Management Agreement entered into between the Master Fund and the Risk Manager, the Risk Manager is responsible for monitoring the trading and investments of the Master Fund’s assets by the Investment Manager and its compliance with the investment objectives and strategies of the Master Fund. Risk management fees are paid by the Feeder Funds.

Administration fees

The Master Fund pays the administrator of the Master Fund an administration fee of up to 0.135% per annum of the net asset value of the Master Fund.

9.Related party transactions

Master Multi-Product Holdings II Ltd., a Bermuda exempted company, is a related party through its 100% holding of all the management shares of the Master Fund. The intermediate controlling party of the Master Fund is therefore Master Multi-Product Holdings II Ltd.

The Risk Manager is a related party as it is the risk manager and commodity pool operator of the Master Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund.

Each of the Directors is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Master Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Master Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisors and/or agents of other companies, including companies and other legal structures in which the Master Fund may invest and/or which may invest in the Master Fund.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

9.Related party transactions (continued)

The following transactions took place between the Master Fund and its related parties for the year ended 31 December 2016.

Related party	Type of fee	Total Fees US$	Fees payable US$
Directors	Directors’ fees	12,000	—
Quantica Capital AG	Management fee	427,224	28,636

As at 31 December 2016, 100% of all outstanding Shares were owned by the Feeder Funds, which are entities affiliated with Man Group plc (refer to note 10).

10.Share capital

The Master Fund has an authorised share capital of US$50,000 divided into 1,000 management shares (“Management Shares”) of a par value of US$1.00 each and 4,900,000 non-voting Shares of a par value of US$0.01 each, which may be divided into different classes and/or series of Shares as the Directors may determine.

Management Shares of the Master Fund

The Management Shares are held by Master Multi-Product Holdings II Ltd. which is wholly-owned by Codan Trust Company Limited as trustee of the Master Multi-Product Purpose Trust, a special purpose trust formed under the laws of Bermuda pursuant to a Deed of Trust made by Codan Trust Company Limited dated 14 December 2005. As at 31 December 2016, these shares remained uncalled and no amounts were paid or payable to the Master Fund.

Shares of the Master Fund

Holders of Shares may, upon one business days’ written notice to the administrator of the Master Fund, redeem their Shares on a weekly dealing day (each Monday) and/or a monthly dealing day (first business day of each month), and/or such other days as the Directors may determine in their sole discretion. The Directors, in their sole discretion, may decline to sell Shares to any investor for any reason or for no reason.

Investors may subscribe for Shares on each weekly and/or monthly dealing day of the Master Fund.

Transactions in Shares for the year ended 31 December 2016 were as follows:

	Class A
	US$		No of Shares
Balance at the beginning of the year			60,044
Issue of Shares for the year	14,590,000		13,952
Redemption of Shares for the year	(47,720,140	)	(46,708	)
Balance at the end of the year			27,288

In the event of a winding-up or dissolution of the Master Fund or upon the distribution of capital, the holders of the Shares shall be entitled, following a payment to the holders of paid-up Management Shares of the par value thereof, to the return of the assets of the Master Fund held in respect of that class and, thereafter, to share pro rata in the assets, if any, of the Master Fund which are not held in respect of any class of shares.

Shares of the Master Fund

The Master Fund’s objectives for managing capital may include:

·investing the capital in investments meeting the description, risk exposure and expected return indicated in the Feeder Funds’ offering documents;

·achieving consistent returns while safeguarding capital by investing in a diversified portfolio, by participating in derivative and other advanced capital markets and by using various investment strategies and hedging techniques;

·maintaining sufficient liquidity to meet the expenses of the Master Fund, and to meet redemption requests as they arise; and

·maintaining sufficient size to make the operation of the Master Fund cost-efficient.

Refer to note 7, ‘Financial risk management and associated risk’, for the policies and processes applied by the Master Fund in managing its capital.

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Quantica MF Cayman Fund Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

10.Financial highlights

Per Share operating performance:	Class A US$
Net asset value per share at the beginning of the year	924.56
Change in net assets resulting from operations:
Net investment loss	(23.02	)
Net realised gain and change in unrealised appreciation from derivatives and foreign currency	126.33
Net increase in net assets resulting from operations	103.31
Net asset value per share at the end of the year	1,027.87
Total Return
Total return before incentive fees	11.17	%
Incentive fees	—
Total return after incentive fees	11.17	%
Ratio to average net assets (i)
Net investment loss before incentive fees	(2.34	)%
Incentive fees	—
Net investment loss after incentive fees	(2.34	)%
Total expenses before incentive fees	2.44	%
Incentive fees	—
Total expenses after incentive fees	2.44	%
Non-trade expenses (ii)	1.73	%

(i)The financial highlights are calculated for a share class taken as a whole. An individual shareholder’s financial highlights may vary from the above on the timing of capital transactions and individual management and incentive fee arrangements.

(ii)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Master Fund in the course of normal trading, to the average net assets described above.

12.Indemnifications

In the normal course of business, the Master Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote.

13.Subsequent events

Subsequent to 31 December 2016, investors subscribed for Shares having an aggregate net asset value of US$150,000 and redeemed Shares having an aggregate net asset value of US$6,915,281.

In connection with the preparation of the financial statements as at 31 December 2016, management has evaluated the impact of all subsequent events on the Master Fund through 23 March 2017, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in the financial statements.

19

Ernst & Young Ltd. 62 Forum Lane
Camana Bay
P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com

Report of Independent Auditors

The Board of Directors

Quantica MF Cayman Fund Limited

We have audited the accompanying financial statements of Quantica MF Cayman Fund Limited (the “Master Fund”), which comprise the statement of financial condition, including the condensed schedule of investments, as of 31 December 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

A member firm of Ernst & Young Global Limited

20

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Quantica MF Cayman Fund Limited at 31 December 2016, and the results of its operations and changes in its net assets and for the year then ended in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young Ltd.

23 March 2017

21

EX-13.06

Exhibit 13.06

Silver Delaware Feeder LLC (A Delaware limited liability company) Report and Financial Statements For the period from 25 February 2015 (date of formation) to 31 December 2015 Each investor must represent that it is both a ‘‘qualified eligible person’’ and a non-‘‘Non-United States person’’ within the meaning of US Commodity Futures Trading Commission (“CFTC”) Regulation 4.7 as well as a an “accredited investor” under Regulation D promulgated under the U.S. Securities Act of 1933, as amended (the “Securities Act”), and a “U.S. Person” under Regulation S promulgated under the Securities Act. FRM Investment Management (USA) LLC is the manager (the ‘‘Manager’’), of Silver Delaware Feeder LLC (the ‘‘Fund’’), and is registered as a commodity pool operator and a commodity trading advisor under the Commodity Exchange Act. A claim of exemption pursuant to CFTC Rule 4.7 has been made by the Manager in its capacity as commodity pool operator of the Fund. The exemption relieves the Fund of certain disclosure and reporting obligations under the commodity pool rules of the CFTC.

Silver Delaware Table of contents Feeder LLC Page 2 Table of contents Directory 3 Affirmation of the Commodity Pool Operator 4 Statement of Financial Condition 5 Statement of Operations 6 Statement of Changes in Unitholders’ Capital 7 Notes to the Financial Statements 8 Independent Auditors’ Report 13 Appendix: Audited Financial Statements of Silver MAC Limited 2

Silver Delaware Feeder LLC Directory Manager, Risk Manager and Commodity Pool Operator to the Fund FRM Investment Management (USA) LLC 452 Fifth Ave., 26th Floor New York, NY 10018 United States of America U.S. Legal Counsel to the Fund and Master Fund (as to U.S law) Sidley Austin LLP One South Dearborn Chicago, IL 60603 United States of America Master Fund Silver MAC Limited c/o Citco Trustees (Cayman) Limited 89 Nexus Way Camana Bay P.O. Box 31106 Grand Cayman, KY1-1205 Cayman Islands Cayman Islands Legal Counsel to the Fund and Master Fund (as to Cayman Islands law) Maples and Calder P.O. Box 309 Ugland House Grand Cayman, KY1-1104 Cayman Islands Administrator HSBC Securities Services (Ireland) Limited 1 Grand Canal Square Grand Canal Harbour Dublin 2 Ireland Auditor Ernst & Young Ltd. Suite 6401 62 Forum Lane Camana Bay Grand Cayman, KY1-1106 Cayman Islands Investment Manager to the Master Fund Lynx Asset Management AB Norrmalmstorg 12 P.O.Box 7060, SE-103 86 Stockholm Sweden 3

Silver Delaware Feeder LLC Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the infonnation contained in the financial statements of Silver Delaware Feeder LLC for the period from 25 February 2015 (date of formation) to 31 December 2015 is accurate and complete. Linzie S inbach Principal Financial Officer FRM Investment Management (USA) LLC, the Commodity Pool Operator of Silver Delaware Feeder LLC 4

Silver Delaware Feeder Statement of Financial Condition As at 31 December 2015 LLC 2015 US$ Notes Assets Investment in Silver MAC Limited, at fair value Redemption receivable from Silver MAC Limited Other assets 3 10,858,856 782,180 35,868 Total assets 11,676,904 Liabilities Redemptions payable Risk management fees payable Audit fees payable Accrued expenses and other liabilities 782,180 38,300 13,250 50,081 4,5 Total liabilities 883,811 Net assets 10,793,093 Which are represented by: Restricted series 9,140 Series A Units with a Net Asset Value per unit of US$1,180.86 6 10,793,093 10,793,093 Approved and authorised for issue on behalf of the Manager of Silver Delaware Feeder LLC on 17 March 2016. Linzie Steinbach FRM Investment Management (USA) LLC The accompanying notes form an integral part of the financial statements. The financial statements of the Master Fund form an integral part of these financial statements. 5

Silver Delaware Feeder LLC Statement of Operations For the period from 25 February 2015 (date of formation) to 31 December 2015 2015 US$ Notes Net investment income allocated from Silver MAC Limited Interest income Total investment income 369 369 Expenses Management fees Margin commission Administration fees Interest expense Professional fees and general expenses Total expenses 4,5 123,705 80,447 15,610 3,699 12,419 4 235,880 Net investment loss allocated from Silver MAC Limited (235,511) Fund expenses Risk management fees Administration fees Audit fees Preliminary expenses Professional fees and general expenses Total fund expenses 4,5 4 124,949 15,500 13,250 7,072 45,501 206,272 Net investment loss (441,783) Net realised loss and change in unrealised appreciation from derivatives and foreign currency allocated from Silver MAC Limited Net realised loss from non-commodity interest derivatives and foreign currency Net realised loss from commodity interest derivatives Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency Net change in unrealised depreciation from commodity interest derivatives position Net realised loss and change in unrealised appreciation from derivatives and foreign currency (5,421,987) (86,135) 1,487,310 (87,132) (4,107,944) Net decrease in net assets resulting from operations (4,549,727) The accompanying notes form an integral part of the financial statements. The financial statements of the Master Fund form an integral part of these financial statements. 6

Silver Delaware Feeder LLC Statement of Changes in Unitholders’ Capital For the period from 25 February 2015 (date of formation) to 31 December 2015 2015 US$ Notes Net assets at beginning of period - Decrease in net assets from operations (441,783) Net investment loss Net realised loss and change in unrealised appreciation from derivatives and foreign currency allocated from Silver MAC Limited Net realised loss from investments in non-commodity interest derivatives and foreign currency Net realised loss from commodity interest derivatives Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency Net change in unrealised net depreciation on commodity interest derivatives position (5,421,987) (86,135) 1,487,310 (87,132) Net realised loss and change in unrealised appreciation from derivatives and foreign currency (4,107,944) Net decrease in net assets resulting from operations (4,549,727) Increase in net assets resulting from capital transactions Issuance of Series A Units Redemptions of Series A Units Net increase in net assets resulting from capital transactions 6 6 31,615,000 (16,272,180) 15,342,820 Total increase in net assets 10,793,093 Net assets at the end of the period 10,793,093 The accompanying notes form an integral part of the financial statements. The financial statements of the Master Fund form an integral part of these financial statements. 7

Silver Delaware Feeder LLC Notes to the Financial Statements For the period from 25 February 2015 (date of formation) to 31 December 2015 1. General Silver Delaware Feeder LLC (the "Fund") was organised as a Delaware limited liability company on 25 February 2015. The Fund commenced trading on 1 May 2015. The investment objective of the Fund is to maximize the long-term total returns to its investors. The Fund invests substantially all of its investible assets in, and conducts its investment program through a "master-feeder" structure. The Fund is a “Feeder” fund which invests into Silver MAC Limited (the "Master Fund"), an exempted company with limited liability registered in the Cayman Islands under the provisions of the Companies Law (as amended) of the Cayman Islands. At 31 December 2015, the Fund held 15.79% of the Master Fund. The most recent, applicable Confidential Offering Memorandum of the Fund is dated May 2015 (the “Offering Memorandum”). Lynx Asset Management AB (the “Investment Manager”), a company formed in Sweden, has been appointed to serve as the Investment Manager of the Master Fund. FRM Investment Management (USA) LLC is the Commodity Pool Operator of the Fund and the Master Fund and the Manager and the Risk Manager of the Fund. FRM Investment Management (USA) LLC is registered with the Commodity Futures Trading Commission (the “CFTC”) as a Commodity Pool Operator and Commodity Trading Advisor and is a member of the U.S. National Futures Association in such capacities. The financial statements of the Master Fund are attached and should be read in conjunction with the Fund’s financial statements. 2. Summary of significant accounting policies The accompanying financial statements have been prepared in accordance with United States Generally Accepted Accounting Principles (“US GAAP”) and are stated in U.S. Dollars. Management has determined that the Fund is an investment company in conformity with US GAAP. Therefore the Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standard Board (“FASB”) ASC946, Financial Services – Investment Companies (“ASC 946”). The Fund is exempted from preparing a cash flow statement under ASC 946 as the Fund has no level 3 investments, does not hold any debt instruments and presents Statement of Changes in Unitholders’ Capital. a) Use of accounting estimates The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates. b) Recent Accounting Pronouncement In August 2014, the FASB issued ASU 2014-15, ”Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. At the period end, management has not chosen to adopt this ASU and is evaluating its impact of this ASU however management does not expect this change to impact the financial statements. c) Investment in Master Fund The Fund’s investment in the Master Fund is recorded at fair value, which is the Fund’s proportionate interest in the net assets of the Master Fund. The Fund records its proportionate share of the Master Fund’s income, expenses, and realised and unrealised gains and losses in the Statement of Operations. Valuation of the investments held by the Master Fund including, but not limited to, the valuation techniques used and classification within the fair value hierarchy of instruments held by the Master Fund are discussed in the notes to the Master Fund’s financial statements which are attached to these financial statements. The investment in the Master Fund is carried at fair value. Under ASC 820, “Fair Value Measurements and Disclosures” fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a three - tier fair value hierarchy that prioritises the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (level 1 measurement) and lowest priority to unobservable inputs (level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below: • Level 1 – Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2 – Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; Level 3 – Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable. • • 8

Silver Delaware Feeder LLC Notes to the Financial Statements (continued) For the period from 25 February 2015 (date of formation) to 31 December 2015 2. d) Summary of significant accounting policies (continued) Foreign currency Items included in the Fund’s financial statements are measured using the currency of the primary economic environment in which it operates (the “Functional Currency”). The financial statements are presented in the Functional Currency, US Dollars (US$), reflecting the fact that transactions are denominated primarily in US Dollars. Transactions during the period denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and Liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the Statement of Financial Condition. For investment transactions and investments held at the period-end denominated in foreign currency, the resulting gains or losses are included in the net realised loss and change in unrealised appreciation on non-commodity interest derivatives and foreign currency in the Statement of Operations. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities. Such fluctuations are included in the net realised loss and change in unrealised appreciation from derivatives and foreign currency in the Statement of Operations. e) Cash and cash equivalents Cash and cash equivalents include cash held at bank maturing within three months of the period end date. f) Recognition and allocation of income or loss The Fund records subscriptions and redemptions in the Master Fund on the transaction date. The Fund records its weekly proportionate share of the Master Fund's income, expenses and change in realised and unrealised gains and losses. In addition, the Fund accrues its own income and expenses. The Master Fund’s income and expense recognition and net gain/(loss) allocation policies are disclosed in the notes to the Master Fund’s financial statements which are attached to these financial statements. The Fund allocates weekly income or loss between series of Units of the Fund after consideration of any prior day accruals for operating expenses and management fees in the Fund. g) Redemptions payable In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP, financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined. Redemption notices received for which the US$ and unit amounts are not fixed remain in capital until the net asset value used to determine the redemption and unit amounts are determined. All of this amount relates to redemptions due to be paid on the first dealing day of 2016 which under the terms of Accounting for Certain Financial Instruments with characteristics of both Liabilities and Equity are mandatorily redeemable financial instruments and consequently a liability of the Fund and not part of equity. h) Offsetting Financial assets and liabilities are offset and the net amount is reported in the Statement of Financial Condition when the Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the period end, no financial instruments of the Fund are being presented net within the Statement of Financial Condition of the Fund. i) Taxation ASC 740-10 “Accounting for Uncertainty in Income Taxes – an interpretation of ASC 740 (“ASU 740-10”)” clarifies the accounting for uncertainty in income taxes recognised in the Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes”. ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return. Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realized on ultimate settlement, using the facts, circumstances and information at the reporting date. Management has analysed the Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund recognises interest and penalties, if any, related to unrecognised tax liability as income tax expense in the statement of operations. During the period ended 31 December 2015, the Fund did not incur any interest or penalties. The Fund is classified as a partnership for United States Federal income tax purposes. Consequently, no provision has been made in the financial statements for United States federal or state income taxes as any tax liability arising from operations of the Fund is the responsibility of the Unitholders and not the Fund. j) Preliminary expenses The Fund has borne its organisational expenses, including, without limitation, legal, accounting, filing and administration expenses associated with the organisation of the Fund and the offering of Units. For NAV purposes the organisational costs are amortised over the first three years of trading of the Fund. 9

Silver Delaware Feeder LLC Notes to the Financial Statements For the period from 25 February 2015 (date of formation) to 31 December 2015 3. Fair value of financial instruments The Fund’s assets and liabilities carried at fair value have been categorised based up on the fair value hierarchy based on valuation policy described earlier. The following table shows the Fund’s investment within the valuation hierarchy as at 31 December 2015: Level 1 US$ Level 2 US$ Level 3 US$ Total US$ Assets Investment in Silver MAC Limited Total investments - 10,858,856 - 10,858,856 - 10,858,856 - 10,858,856 The Fund invests in the Master Fund as part of a master-feeder structure as disclosed in note 1. The investment objective of the Master Fund is disclosed in the financial statements of the Master Fund which are attached to these financial statements. The redemption policy of the Master Fund is managed in accordance with the redemption policy of the Fund as disclosed in note 6 of the financial statements. The fair value of the Fund’s assets and liabilities which qualify as financial instruments under disclosure about Fair Value of Financial Instruments approximates the carrying amounts presented in the Statement of Financial Condition. 4. Fees and expenses Management fees Pursuant to the Investment Management Agreement, the Master Fund pays a management fee to the Investment Manager. Details of the Investment Management agreement are disclosed in the note 8 of the Master Fund’s financial statements. Incentive fee Pursuant to the Investment Management Agreement, the Master Fund pays an incentive fee to the Investment Manager. Details of the Investment Management agreement are disclosed in the note 8 of the Master Fund’s financial statements. Risk management fees Pursuant to the Management Agreement, the Fund pays the Risk Manager a risk management fee equal to 0.50% per annum of the Trading Level of the Master Fund assets attributable to each series of the Fund, quarterly in arrears, and a pro rata share of any licensing fees for the use of any risk assessment tools provided by any third party which are used by the Risk Manager in providing services to the Fund pursuant to the Management Agreement. Administration fees The Fund pays the Administrator an annual administration fee of US$21,500. In addition, the Administrator receives an additional administration fee from the Master Fund of up to 0.135% per annum of the Net Asset Value of the Master Fund. The Administrator’s fees are subject to review from time to time to reflect changes in the operational cost of administering the Fund. 5. Related party transactions FRM Investment Management (USA) LLC is a related party as it is the Manager, Commodity Pool Operator and Risk Manager of the Fund. FRM Investment Management (USA) LLC is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties. Lynx Asset Management AB is a related party as it is the Investment Manager of the Master Fund. Terms of incentive fees and management fees are disclosed in note 8 of the Master Fund’s financial statements. Management is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Fund or structures that may be related to Man Group plc sponsored investment funds), purchases and sales of securities and other investments, investment and management counselling and serving as directors, advisers and/or agents of other companies, including company and legal structures in which the Fund may invest and/or which may invest in the Fund. The following transactions took place between the Fund and its related parties: Fees payable at 31 December 2015 US$ Total Fees US$ For the period ended 31 December 2015 Related party Type of fee FRM Investment Management (USA) LLC Risk management fees 124,949 38,300 As at 31 December 2015, 100% of all outstanding Units were owned by entities affiliated with Man Group plc. 10

Silver Delaware Feeder LLC Notes to the Financial Statements (continued) For the period from 25 February 2015 (date of formation) to 31 December 2015 6. Unitholders’ capital The minimum initial capital contribution and the minimum additional contribution by a Unitholder is US$100,000. The Manager may determine the current minimum subscription and/or such other amount in its sole discretion. Unitholders may, subject to the restrictions set out in the Memorandum, redeem their Units on each Monday (weekly dealing day) and/or the first dealing day of each month (monthly dealing day), (as applicable) (collectively “Redemption Day”). Redemptions may be accepted on days other than the specified Redemption Day, in the Manager’s sole discretion. Units will be considered to be redeemed on a “first purchased, first redeemed” basis. The Units shall be issued as Series A Units or Series B Units as designated by the Manager. Series A Units and Series B Units have identical rights and privileges in all respects except that: (i) Series A Units are only available for subscription by Man Investors (as defined in the Memorandum); and (ii) Series B Units are subject to the Reporting Fee (as defined in the Memorandum). The Manager may establish additional series, classes or tranches of Units in the future, which may have different and/or preferential terms to existing series, including among other things, the Incentive Fee, the Management Fee, minimum and additional subscription amounts, leverage levels, distribution policies, capacity rights, investor eligibility, voting rights, informational rights and other rights . Each Unitholder contribution by each Unitholder to the Fund will be credited to a separate Unitholder account (each, a "Unitholder Account") (i.e., a Unitholders may hold more than one Interest, each of which will have a separate Unitholder Account), and a Unitholder Account will also be established for the Unitholder. Series A Restricted US$ Units - 21,364 (12,224) As at beginning of the period Contributions* Redemptions As at end of the period 31,615,000 (16,272,180) 9,140 *Includes contribution of US$10,000 (7 units) made by FRM Investment Management (USA) LLC. 11

Silver Delaware Feeder LLC Notes to the Financial Statements (continued) For the period from 25 February 2015 (date of formation) to 31 December 2015 7. Financial highlights The financial highlights disclosed below are for the period ended 31 December 2015: Series A US$ Per Unit operation performance: Net asset value per unit at which Units were initially subscribed 1,506.23 Change in net assets resulting from operations: Net investment loss (31.87) Net realised loss and change in unrealised appreciation from derivatives and foreign currency Net decrease in net assets resulting from operations (293.50) (325.37) Net asset value per unit at end of the period 1,180.86 Return(i) Total return before incentive fees Incentive fees Total return after incentive fees (21.60%) - (21.60%) (ii) Ratio to average net assets Net investment loss before incentive fees Incentive fees Net investment loss after incentive fees (3.60%) - (3. 60%) Total expenses before incentive fees Incentive fees Total expenses after incentive fees (3.61%) - (3.61%) Non trade expenses(iii) 1.96% (i) The Total Return as computed is not annualised. Ratios to average net assets as computed are annualised. (ii) The financial highlights are calculated for a unit class taken as a whole. An individual Unitholders’ financial highlights may vary from the above on the timing of capital transactions and individual management and incentive fee arrangements. Ratios to average net asset computed are annualised, as it is related to a period of less than one year. (iii) This ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Fund and the Master Fund in the course of normal trading, to the average net assets described above. 8. Indemnifications In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote. 9. Subsequent events Subsequent to 31 December 2015, Unitholders subscribed US$1,430,000 and redeemed US$350,000. In connection with the preparation of the financial statements as of 31 December 2015, management has evaluated the impact of all subsequent events on the Fund through 17 March 2016, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in the financial statements. 12

Ernst & Young Ltd. 62 Forum Lane Camana Bay P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Main tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com Independent Auditors’ Report The Manager Silver Delaware Feeder LLC We have audited the accompanying financial statements of Silver Delaware Feeder LLC (the “Fund”) which comprise the statement of financial condition as of 31 December 2015 and the related statements of operations and changes in unitholders’ capital for the period from 25 February 2015 (date of formation) to 31 December 2015, and a summary of significant accounting policies and other explanatory information. This report is made solely to the Manager, as a body. Our audit work has been undertaken so that we might state to the Manager those matters we are required to state to them in an auditors’ report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Fund and the Manager as a body, for our audit work, for this report, or for the opinions we have formed. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with U.S. generally accepted accounting principles, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors’ Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. 13 A member firm of Ernst & Young Global Liimiited

An audit involves performing procedures to obtain audit evidence about the disclosures in the financial statements. The procedures selected depend on judgment, including the assessment of the risks of material misstatement of amounts and the auditors’ the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the accompanying financial statements referred to above present fairly, in all material respects, the financial position of Silver Delaware Feeder LLC at 31 December 2015, and the results of its operations and changes in its unitholders’ capital for the period from 25 February 2015 (date of formation) accepted accounting principles. to 31 December 2015 in conformity with U.S. generally 17 March 2016 14

Silver MAC Limited (A Cayman Islands exempted company) Report and Financial Statements For the year ended 31 December 2015 FRM Investment Management (USA) LLC is the manager (the “Manager”) of Silver MAC Limited (the “Master Fund”), and is registered as a commodity pool operator and a commodity trading advisor under the Commodity Exchange Act. A claim of exemption pursuant to Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Manager in its capacity as commodity pool operator of the Master Fund. The exemption relieves the Master Fund of certain disclosure and reporting obligations under the commodity pool rules of the CFTC.

Silver MAC Table of contents Limited Page 2 Table of Contents Directory 3 Affirmation of the Commodity Pool Operator 4 Statement of Financial Condition 5 Condensed Schedule of Investments 6 Statement of Operations 8 Statement of Changes in Net Assets 9 Notes to the Financial Statements 10 Independent Auditors’ Report 22 2

Silver MAC Limited Directory Board of Directors Colin Ball (Appointed on 7 January 2016) Ronan Daly (Resigned on 7 January 2016) John Renouf (Appointed on 7 January 2016) Jennifer Thomson John Walley (Ceased being a Director on 1 December 2015) Registered Office c/o Citco Trustees (Cayman) Limited 89 Nexus Way Camana Bay P.O. Box 31106 Grand Cayman, KY1-1205 Cayman Islands Investment Manager Lynx Asset Management AB Norrmalmstorg 12 P.O. Box 7060, SE – 103 86 Stockholm Sweden Legal Advisers (as to Cayman Islands law) Maples and Calder P.O. Box 309 Ugland House Grand Cayman, KY1-1104 Cayman Islands Risk Manager (up to 30 April 2015) FRM Investment Management Limited Royal Chambers St. Julian’s Avenue St Peter Port Guernsey, GY1 4HG Channel Islands (as to US law) Sidley Austin LLP One South Dearborn Chicago, IL 60603 United States of America Auditor Ernst & Young Ltd. Suite 6401 62 Forum Lane Camana Bay Grand Cayman, KY1-1106 Cayman Islands Risk Manager and Commodity Pool Operator (from 1 May 2015) FRM Investment Management (USA) LLC 452 Fifth Ave., 26th Floor New York, NY 10018 United States of America Risk Advisor (up to 30 April 2015) Man Investments (CH) AG Huobstrasse 3 8808 Pfäffikon SZ Switzerland Company Secretary CSS Corporation Ltd. 89 Nexus Way Camana Bay P.O. Box 31106 Grand Cayman, KY1-1205 Cayman Islands Administrator HSBC Securities Services (Ireland) Limited 1 Grand Canal Square Grand Canal Harbour Dublin 2 Ireland Prime Brokers JP Morgan Securities Plc 125 London Wall London, EC2Y 5AJ United Kingdom Bank HSBC Bank plc 8 Canada Square London, E14 5HQ United Kingdom UBS Warburg Ltd 100 Liverpool Street London, EC2M 2RH United Kingdom UBS AG 1/2 Finsbury Avenue London, EC2M 2PP United Kingdom 3

Silver MAC Limited Affirmation of the Commodity Pool Operator To the best of the knowledge and belief of the undersigned, the information contained in the financial statements of Silver MAC Limited for the year ended 31 December 2015 is accurate and complete. Principal Financial Officer FRM Investment Management (USA) LLC, the Commodity Pool Operator of Silver MAC Limited 4

Silver MAC Limited Statement of Financial Condition As at 31 December 2015 2015 US$ Notes Assets Derivatives, at fair value Cash and cash equivalents Balances with brokers Other assets 4,5 3 3 3,430,464 34,166,454 40,467,570 9,268 78,073,756 Total assets Liabilities Derivatives, at fair value Balances due to brokers Redemptions payable Management fees payable Accrued expenses 5,526,705 2,873,165 782,180 61,574 44,159 4,5 3 8,9 8,9 9,287,783 Total liabilities 68,785,973 Net assets Which are represented by: 57,562 Class A Redeemable Participating Shares with a Net Asset Value per Redeemable Participating Share of US$1,194.98 68,785,973 Approved and authorised for issue on behalf of the Board on 17 March 2016. Jennifer Thomson Director John Renouf Director The accompanying notes are an integral part of the financial statements 5

Silver MAC Limited Condensed Schedule of Investments As at 31 December 2015 Fair Value US$ % of Net Assets Derivatives contracts – long exposure Futures contracts Canada Bond Futures Interest Rate Futures Total Canada 115,393 (81) 0.17 - 115,312 0.17 France Index Futures Total France (16,620) (0.02) (16,620) (0.02) Germany Bond Futures Index Futures Total Germany (324,882) 8,468 (0.47) 0.01 (316,414) (0.46) Italy Index Futures Total Italy (17,690) (0.03) (17,690) (0.03) Japan Bond Futures Index Futures Total Japan 261,022 0.38 (162,161) (0.24) 98,861 0.14 Netherlands Index Futures Total Netherlands 1,303 - 1,303 - United Kingdom Bond Futures Commodity Futures Index Futures Interest Rate Futures Total United Kingdom (123,156) (597) (12,984) (94,804) (0.18) - (0.02) (0.14) (231,541) (0.34) United States Bond Futures Commodity Futures Currency Futures Index Futures Interest Rate Futures Total United Kingdom (183,969) (49,634) (57,213) (172,106) (122,463) (0.27) (0.07) (0.08) (0.25) (0.18) (585,385) (0.85) Total Futures Contracts (cost: US$nil) (952,174) (1.39) Total Derivative Contracts, at fair value (cost: US$nil) (952,174) (1.39) The accompanying notes are an integral part of the financial statements 6

Silver MAC Limited Condensed Schedule of Investments (continued) As at 31 December 2015 Fair Value US$ % of Net Assets Derivative contracts – short exposure Futures contracts Australia Bond Futures Index Futures Interest Rate Futures Total Australia (38,871) (324,782) (23,795) (0.06) (0.47) (0.03) (387,448) (0.56) Canada Commodity Futures Index Futures Interest Rate Futures Total Canada (2,874) (125,511) (6,218) - (0.19) (0.01) (134,603) (0.20) Hong Kong Index Futures Total Hong Kong 90,684 0.13 90,684 0.13 Japan Index Futures Total Japan (998) - (998) - Sweden Index Futures Total Sweden (9,016) (0.01) (9,016) (0.01) Taiwan, Province of China Index Futures Total Taiwan, Province of China 24,810 0.04 24,810 0.04 United Kingdom Commodity Futures Index Futures Interest Rate Futures Total United Kingdom 649,730 (209,138) 94,962 0.94 (0.30) 0.14 535,554 0.78 United States Bond Futures Commodity Futures Currency Futures Interest Rate Futures Total United States 16,797 (1,929,072) 468,464 29,013 0.02 (2.80) 0.68 0.04 (1,414,798) (2.06) Total Futures Contracts (proceeds: US$nil) (1,295,815) (1.88) Forward Foreign Currency Contracts Forward Foreign Currency Contracts 151,748 0.22 Total Forward Foreign Currency Contracts (proceeds: US$nil) 151,748 0.22 Total Derivative Contracts, at fair value (proceeds: US$nil) (1,144,067) (1.66) The accompanying notes are an integral part of the financial statements 7

Silver MAC Limited Statement of Operations For the year ended 31 December 2015 2015 US$ Notes Investment income Interest income Total investment income 5,324 5,324 Expenses Incentive fees Management fees Margin commission Risk management fees Administration fees Interest expense Other expenses Total expenses 3,709,137 836,925 558,891 220,908 107,186 35,853 77,910 8,9 8,9 8,9 8 9 5,546,810 Net investment loss (5,541,486) Net realised loss and change in unrealised depreciation from derivatives and foreign currency Net realised loss from non-commodity interest derivatives and foreign currency Net realised loss from commodity interest derivatives Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency Net change in unrealised depreciation from commodity interest derivatives position (7,504,847) (1,358,594) (4,402,684) (3,084,562) Net realised loss and change in unrealised depreciation from derivatives and foreign currency (16,350,687) Net decrease in net assets resulting from operations (21,892,173) The accompanying notes are an integral part of the financial statements 8

Silver MAC Limited Statement of Changes in Net Assets For the year ended 31 December 2015 2015 US$ Notes Changes in net assets resulting from operations Net assets at beginning of year 55,513,745 Net investment loss (5,541,486) Net realised loss from non-commodity interest derivatives and foreign currency (7,504,847) Net realised loss from commodity interest derivatives (1,358,594) Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency (4,402,684) Net change in unrealised depreciation on commodity interest derivatives position (3,084,562) Net decrease in net assets resulting from operations (21,892,173) Changes in net assets resulting from capital transactions Issuance of Redeemable Participating Shares 10 97,150,000 Redemption of Redeemable Participating Shares 10 (61,985,599) Net increase in net assets resulting from capital transactions 35,164,401 Net assets at end of year 68,785,973 Reconciliation of net assets at the beginning of the year reported under IFRS to US GAAP* Net assets at the beginning of the year under IFRS 55,513,745 ASC 480 redemptions payable - Net assets at the beginning of the year under US GAAP 55,513,745 *US GAAP standard ASC 480 Distinguishing liabilities from equity requires gross redemptions with a dealing date of 1 January 2015 (based on the Net Asset Value per Share at 31 December 2014) to be recorded in the financial statements at 31 December 2014 as ‘Redemptions payable’. The accompanying notes are an integral part of the financial statements 9

Silver MAC Limited Notes to the Financial Statements For the year ended 31 December 2015 1. General Silver MAC Limited (the "Master Fund”) is an exempted company with limited liability registered in the Cayman Islands under the provisions of the Companies Law of the Cayman Islands (as amended). The Master Fund was incorporated in the Cayman Islands on 28 October 2008. The Master Fund is an open-ended mutual fund registered with the Cayman Islands Monetary Authority and regulated under the Mutual Funds Law of the Cayman Islands (as amended). On 5 March 2015, the Directors resolved to restructure the Master Fund as a master fund with two separate feeder funds; Silver Cayman Feeder (the “Offshore Fund”), a company incorporated in the Cayman Islands as an exempted company and Silver Delaware Feeder LLC (the “Onshore Fund”), a Delaware limited liability company (together, the “Feeder Funds”). The Feeder Funds will invest all of their assets (to the extent not retained in cash) in the Master Fund. On 1 May 2015, investors in the Master Fund transferred their Redeemable Participating Shares in the Master Fund to the Offshore Fund in consideration for Redeemable Participating Shares in the Offshore Fund. This transaction had no impact on the value of the investors’ capital. The investment objective of the Master Fund is to maximise returns by investing in a broad range of futures markets. No assurance can be given that the Master Fund’s investment objective will be achieved and investment results for the Master Fund may vary substantially over time. Lynx Asset Management AB (the “Investment Manager”), a company incorporated with limited liability in Sweden, has been appointed to serve as the Investment Manager of the Master Fund. FRM Investment Management (USA) LLC is the Commodity Pool Operator of the Master Fund. FRM Investment Management (USA) LLC is registered with the Commodity Futures Trading Commission (the “CFTC”) as a Commodity Pool Operator and Commodity Trading Advisor and is a member of the U.S. National Futures Association in such capacities. Further feeder funds may be created to invest in the Master Fund. At 31 December 2015, the Offshore Fund and Onshore Fund held 84.21% and 15.79% respectively of the Master Fund. 2. Summary of significant accounting policies The financial statements for the year ended 31 December 2014 were prepared in accordance with International Financial Reporting Standards (“IFRS”) issued by the International Accounting Standards Board (“IASB”). Management has assessed that there are no material differences between IFRS and United States Generally Accepted Accounting Principles (“US GAAP”) and has concluded that US GAAP is more appropriate for the Master Fund in preparing the financial statements for the year ended 31 December 2015 and going forward. These financial statements are therefore prepared in conformity with US GAAP. US GAAP standard, Accounting Standards Codification (“ASC”) 480, Distinguishing Liabilities from Equity, requires gross redemptions with a dealing date of 1 January 2015 (based on the net asset value per share at 31 December 2014) to be recorded in the financial statements at 31 December 2014 as ‘Redemptions payable’. There were no redemptions effected after the end of the year, based upon year end net asset value. Reconciliation of opening net assets under IFRS to US GAAP is disclosed in Statement of Changes in Net Assets. Management has determined that the Master Fund is an investment company in conformity with US GAAP. Therefore the Master Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standard Board (“FASB”) ASC946, Financial Services – Investment Companies (“ASC 946”). The Master Fund is exempted from preparing a cash flow statement under ASC 946 as the Master Fund has no level 3 investments, does not hold any debt instruments and presents a Statement of Changes in Net Assets. The financial statements are stated in US Dollars (“US$”). a) Use of accounting estimates The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates. b) Recent accounting pronouncement In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. At year end, management is evaluating the impact of this ASU; however management does not expect this change to impact the financial statements. 10

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 2. Summary of significant accounting policies (continued) c) Investments transactions and related investment income and expenses Security transactions are recorded on a trade date basis. Realised gains and losses are computed using the first-in, first-out method. Interest income, interest expense and operating expenses are recorded on an accrual basis. Dividend income, net of applicable withholding taxes and dividend expenses on securities sold short, are recorded on the ex-dividend date. d) Fair value of financial instruments Definition and hierarchy Derivative contracts are carried at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value hierarchy that prioritises the inputs to valuation techniques is used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below: • Level 1 – Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2 – Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; Level 3 – Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable. • • Valuation Investments whose values are based on quoted market prices in active markets, and are therefore classified within Level 1, include active listed equities. The Master Fund does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price. Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices for an identical instrument, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non–transferability, which are generally based on available market information. Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include private placements. When observable prices are not available for these securities, the Investment Manager uses one or more valuation techniques e.g., the market approach or the income approach for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and /or other risk factors. The inputs used by the Investment Manager in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalisations and other transactions across the capital structure, offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and /or non-transferability, with the amount of such discount estimated by the Investment Manager in the absence of market information. The fair value measurement of Level 3 investments does not include transaction costs that may have been capitalised as part of the security’s cost basis. Assumptions used by the Investment Manager due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Fund’s results of operations. Derivative Instruments can be exchange-traded or privately negotiated over-the-counter (“OTC”). OTC derivatives are valued by the Master Fund using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. These OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilise some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Investment Manager updates the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs. 11

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 2. Summary of significant accounting policies (continued) e) Foreign currency Items included in the Master Fund’s financial statements are measured using the currency of the primary economic environment in which it operates (the “Functional Currency”). The financial statements are presented in the Functional Currency, US Dollars (“US$”) and not the local currency of the Cayman Islands reflecting the fact that transactions are denominated primarily in US Dollars. Transactions during the year denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and Liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the Statement of Financial Condition. For investment transactions and investments held at the year-end denominated in foreign currency, the resulting gains or losses are included in the net realised loss and change in unrealised depreciation from non-commodity interest derivatives and foreign currency in the Statement of Operations. The Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities. Such fluctuations are included in net realised loss and change in unrealised depreciation from derivatives and foreign currency. f) Cash and cash equivalents Cash and cash equivalents include cash held at bank and prime brokers maturing within three months of the year end date. g) Redemptions payable In accordance with the authoritative guidance on ASC480 “Distinguishing Liabilities from Equity”, Accounting for Certain financial instruments with Characteristics of both Liabilities and Equity under US GAAP, financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined. Redemption notices received for which the US$ and share amounts are not fixed remain in capital until the net asset value used to determine the redemption and share amounts are determined. Accordingly, the Statement of Financial Condition and the Statement of Changes in Net Assets include redemptions payable of US$782,180. This relates to redemptions due to be paid on the first dealing day of 2016, which under the terms of Accounting for Certain financial instruments with Characteristics of Both Liabilities and Equity are mandatorily redeemable financial instruments and consequently a liability of the Master Fund and not part of equity. h) Offsetting Financial assets and liabilities are offset and the net amount is reported in the Statement of Financial Condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the year end no financial instruments of the Master Fund are being presented net within the Statement of Financial Condition of the Master Fund. Please refer to note 6. i) Taxation The Cayman Islands currently has no income, corporation or capital gains tax, no taxes by way of withholding and no estate duty, inheritance tax or gift tax. In addition, the Master Fund has applied for and received from the Governor-in Cabinet of the Cayman Islands pursuant to The Tax Concessions Law (1999 Revision) of the Cayman Islands, an undertaking that, for a period of twenty years from the date of the undertaking, no law which is thereafter enacted in the Cayman Islands imposing any tax to be levied on profits, income, gains or appreciations shall apply to the Master Fund or its operations. In addition no tax is to be levied on profits, income, gains or appreciation which is in the nature of estate duty or inheritance tax shall be payable on or in respect of the shares, debentures or other obligations of the Master Fund. Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Master Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realized on ultimate settlement, using the facts, circumstances and information at the reporting date. ASC 740-10 “Accounting for Uncertainty in Income Taxes – an interpretation of ASC 740 (“ASU 740-10”) clarifies the accounting for uncertainty in income taxes recognised in the Master Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return. Management has analysed the Master Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Master Fund’s financial statements. Management’s assessment considers tax years subject to investigation. The Master Fund recognises interest and penalties, if any, related to unrecognised tax liability as income tax expense in the Statement of Operations. During the year ended 31 December 2015, the Master Fund did not incur any interest or penalties. 12

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 3. Cash and Cash equivalents, due from broker and due to brokers At the year end amounts disclosed as cash and cash equivalents, balances with brokers and balances due to brokers were held at HSBC Bank plc, JP Morgan Securities Plc and UBS AG. These include amounts transferred as collateral (which is subject to a security interest) against open derivatives. To the extent that the securities are purchased on margin, the margin debt may be secured on the related securities. The portion of balances with brokers represented by collateral at 31 December 2015 was US$26,506,236. Included in the cash and cash equivalents balances at 31 December 2015 is cash in foreign currencies with a fair value of US$2,676,593 (cost US$2,699,011). 4. Fair value measurements The Master Fund’s assets and liabilities carried at fair value have been categorised based upon the fair value hierarchy set out in note 2. The following is a summary of the Master Fund’s financial instruments carried at fair value as of 31 December 2015: Level 1 US$ Level 2 US$ Level 3 US$ Total US$ Derivatives Assets, at fair value Derivatives Bond futures Commodity futures Currency futures Index futures Interest rate futures Forward currency contracts Total Derivatives 396,852 1,510,105 1,077,893 137,490 130,896 - - - - - - 177,228 - - - - - - 396,852 1,510,105 1,077,893 137,490 130,896 177,228 3,253,236 177,228 - 3,430,464 Total Derivatives Assets, at fair value 3,253,236 177,228 - 3,430,464 Derivatives Liabilities, at fair value Derivatives Bond futures Commodity futures Currency futures Index futures Interest rate futures Forward currency contracts Total Derivatives 674,518 2,842,552 666,642 1,063,231 254,282 - - - - - - - - - - 674,518 2,842,552 666,642 1,063,231 254,282 - 25,480 - 25,480 5,501,225 25,480 - 5,526,705 Total Derivatives Liabilities, at fair value 5,501,225 25,480 - 5,526,705 The Master Fund did not hold any level 3 investments during the year. Investments are reviewed at each financial reporting point to ensure that they are correctly classified between level 1, 2 and 3 in accordance with the fair value hierarchy outlined above. Where an investment’s characteristics change during the year and investments no longer meet the criteria of a given level, they are transferred into a more appropriate level at the end of relevant financial reporting year. There were no transfers between levels during the year ended 31 December 2015. 13

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 5. Derivatives Typically, derivative contracts serve as components of the Master Fund’s investment strategy. The derivative contracts that the Master Fund is a party to are forward contracts and futures contracts. As of 31 December 2015, the derivative contracts were included in the Master Fund’s Statement of Financial Condition at fair value. The Master Fund records its derivative activities on a mark-to-market basis. Fair values are determined in accordance with the valuation principles set out in note 2. For all OTC contracts, the Master Fund enters into master netting agreements with its counterparties, which may allow in certain circumstances netting of assets and liabilities. Assets and liabilities are only offset and the net amount reported in the Statement of Financial Condition when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the assets and settle the liabilities simultaneously. As at 31 December 2015 no assets or liabilities are offset in the Statement of Financial Condition. As at 31 December 2015 all futures contracts were exchange traded and forward currency contracts were OTC contracts. As at 31 December 2015 master netting arrangements related to forward currency contracts held by the Master Fund. The Master Fund has not designated any derivative instruments as hedging instruments under ASC 815 “Derivatives and hedging” (“ASC 815”). The Condensed Schedule of Investments details information regarding derivative types and their fair value at 31 December 2015. As at 31 December 2015, open derivative instruments are included in the Statement of Financial Condition under the headings ‘Derivatives, at fair value’: US$ Prime Underlying Risk Assets Bond price risk Bond futures 396,852 Commodity price risk Commodity futures 1,510,105 Equity price risk Index futures 137,490 Interest rate risk Interest rate futures 130,896 Foreign exchange risk Currency futures Forward currency contracts 1,077,893 177,228 3,430,464 US$ Prime Underlying Risk Liabilities Bond price risk Bond futures 674,518 Commodity price risk Commodity futures Equity price risk Index futures 2,842,552 1,063,231 Interest rate risk Interest rate futures 254,282 Foreign exchange risk Currency futures Forward currency contracts 666,642 25,480 5,526,705 14

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 5. Derivatives (continued) As at 31 December 2015, the notional value of derivative instrument activities and average notional value of derivative trading during the year were as follows: Notional value US$ As at 31 December 2015 Average notional value (US$) Long (US$) Short (US$) Long (US$) Short (US) Bond price risk Bond futures 218,574,776 (28,210,931) 341,360,966 (15,453,984) Commodity price risk Commodity futures 13,458,261 (94,787,691) 27,523,041 (73,526,972) Equity price risk Index futures 63,437,850 (34,504,592) 131,055,920 (12,388,340) Interest rate risk Interest rate futures 312,099,553 (877,541,681) 464,968,837 (524,405,086) Foreign exchange risk Currency futures Forward currency contracts 8,195,788 8,208,492 (140,542,414) (1,880,630) 13,689,872 684,221 (136,675,756) (156,909) As at 31 December 2015, the year-end open derivative position and average derivative volume during the year were as follows: Prime Underlying Risk Number of contracts As at 31 December 2015 Average volume Long Short Long Short Bond price risk Bond futures 8 5 10 2 Commodity price risk Commodity futures 22 32 21 33 Equity price risk Index futures 11 8 15 4 Interest rate risk Interest rate futures 9 26 15 20 Foreign exchange risk Currency futures Forward currency contracts 1 15 4 5 1 1 5 1 For non-exchange traded derivatives, under standard derivatives agreements, the Master Fund may be required to post collateral on derivatives if the Master Fund is in a net liability position with the counterparty exceeding certain amounts. 15

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 5. Derivatives (continued) The effect of transactions in derivative instruments on the Statement of Operations for the year ended 31 December 2015 was as follows. Amount of gain or (loss) recognised in Statement of Operations US$ Derivative Type Location of gain or (loss) in Statement of Operations Futures contracts (non-commodity interest) Futures contracts (commodity interest) Total Net realised loss from non-commodity interest derivatives and foreign currency (7,867,903) Net realised loss from commodity interest derivatives (1,358,594) (9,226,497) Futures contracts (non-commodity interest) Futures contracts (commodity interest) Forward currency contracts Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency (4,529,652) Net change in unrealised depreciation on commodity interest derivatives position Net change in unrealised depreciation from non-commodity interest derivatives and foreign currency (3,084,562) 151,748 Total (7,462,466) The primary difference in the risk associated with OTC contracts and exchange-traded contracts is credit risk. The Master Fund has credit risk from OTC contracts when two conditions are present (i) the OTC contracts have unrealised gains, net of any collateral and (ii) the counterparty of the contracts default. The credit risk related to exchange-traded contracts is minimal because the exchange ensures that their contracts are always honoured. Futures are contracts for delayed delivery of commodities, securities, equity indices or money market instruments in which the seller agrees to make delivery at a specified future date of a specified commodity or instrument, at a specified price or yield. Gains and losses on futures are recorded by the Master Fund based upon market fluctuations and are recorded as realised or unrealised gains or losses in the Statement of Operations. Forward contracts entered into by the Master Fund represent a firm commitment to buy or sell an underlying asset, or currency at a specified value and point in time based upon an agreement or contracted quantity. The realised/unrealised gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date/year-end date and is included in the Statement of Operations. Derivative financial instruments are generally based on notional amounts which are not recorded in the financial statements. These notional amounts represent the theoretical principal value on which the cash flows of the derivative transactions are based. Unrealised gains or losses, rather than notional amounts, or the exchange-traded derivatives traded by the Master Fund are included in the Statement of Financial Condition. 16

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 6. Offsetting of assets and liabilities As at 31 December 2015, no financial instruments of the Master Fund are being presented net within the Statement of Financial Condition. The following tables provide information on the financial impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement in the event of default as defined under such agreements. Derivatives Assets and Collateral held by Counterparty (ii) Impact of master netting arrangements not offset in the Statement of Financial Condition Gross amounts not offset in the Statement of Financial Condition (i) Gross amounts of assets presented in the Statement of Financial Condition US$ (iii)=(i)+(ii) Financial Instruments US$ Cash collateral received US$ Net amount US$ Description UBS Warburg Ltd JP Morgan Securities Plc Total 177,227 3,253,237 (25,480) (3,253,237) - - 151,747 - 3,430,464 (3,278,717) - 151,747 Derivatives Liabilities and Collateral held by Counterparty (ii) Impact of master netting arrangements not offset in the Statement of Financial Condition Gross amounts not offset in the Statement of Financial Condition (i) Gross amounts of liabilities presented in the Statement of Financial Condition US$ (iii)=(i)+(ii) Financial Instruments US$ Cash collateral pledged US$ Net amount US$ Description UBS Warburg Ltd JP Morgan Securities Plc Total 25,480 5,501,225 (25,480) (3,253,237) - (2,247,988) - - 5,526,705 (3,278,717) (2,247,988) - 7. Financial risk management and associated risk Overall risk management The Master Fund’s investment activities expose it to the various types of risk which are associated with the financial instruments and markets in which it invests. The most important types of financial risks to which the Master Fund is exposed are market risk, credit risk and liquidity risk. Market risk includes price risk, interest rate risk and currency risk. The Master Fund manages these risks on an aggregate basis along with the risks associated with its investing activities as part of its overall risk management policies. The Master Fund has an agreement with FRM Investment Management (USA) LLC (up to 30 April 2015, FRM Investment Management Limited) to act as Risk Manager. The Directors rely upon the Risk Manager to ensure that risks within the Master Fund are adequately controlled by the Investment Manager. As a pre-requisite for investment, initial due diligence is performed by the Risk Manager to ensure that the Investment Manager has a sound trading strategy, a robust operational infrastructure and a suitable risk management environment. The Risk Manager then monitors the integrity of the Investment Manager’s operations on an ongoing basis. The Risk Manager further monitors certain risk and performance measures of the Master Fund on a regular basis to ensure that risks are effectively controlled and performance is in line with expectations and in accordance with any investment restrictions placed upon the Investment Manager. To this extent, the Risk Manager is given transparency on the positions and performance of the Investment Manager. Such measures include return breakouts, drawdowns, Value-at-Risk (“VaR”), volatility, risk factor sensitivities and stress test losses. 17

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 7. Financial risk management and associated risk (continued) Overall risk management (continued) The Risk Manager performs regular reviews of certain performance based measures against the Master Fund’s history of such measures and against that of the Investment Manager’s comparator funds. If necessary the Risk Manager requests that corrective action be taken. The nature and extent of the financial instruments outstanding at the date of the Statement of Financial Condition and the risk management policies employed by the Master Fund are discussed below. Market risk Market risk is the risk that fair value or future cash flows of financial instruments will fluctuate due to changes in market variables such as interest rates, foreign exchange rates and equity prices. Interest rate risk Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates. The Master Fund is exposed to interest rate risk on cash at bank, balances with brokers, balances due to brokers and certain derivative contracts. Currency risk Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. Although the majority of the Master Fund’s assets are denominated in US$, the Master Fund may invest in securities and hold cash balances at its brokers that are denominated in currencies other than its reporting currency, the US$. Consequently, the Master Fund is exposed to risks that the exchange rate of the US$ relative to other currencies may change in a manner which has an adverse effect on the reported value of that portion of the Master Fund’s assets which are denominated in currencies other than the US$. Other price risk Other price risk is the risk that the price of a financial instrument will fluctuate due to changes in market conditions influencing, directly or indirectly, the value of the financial instrument. The Master Fund is exposed to other price risk from its financial instruments. Due to the nature of the trading strategies followed by this Master Fund, no direct relationship between any market factors and the expected prices of the financial instruments can be reliably established. Other price risk is managed through the overall risk management processes described above. Credit/Counterparty risk Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered into with the Master Fund. The Master Fund's maximum exposure to credit risk (not taking into account the value of any collateral or other security held) in the event that the counterparties fail to perform their obligations as of 31 December 2015 in relation to each class of recognised financial assets, other than derivatives, is the carrying amount of those assets in the Statement of Financial Condition. With respect to derivative financial instruments, credit risk arises from the potential failure of counterparties to meet their obligations under the contract or arrangement. The Risk Manager has centralised its due diligence and monitoring process of the prime brokerage and trading relationships through a dedicated prime brokerage and trading team utilized by an affiliated company. Credit and counterparty risk is analysed by examining certain credit related criteria on a centralised basis across platforms by establishing risk tolerance levels in accordance with the overall risk profile of the prime broker/counterparty as determined by the Risk Manager. The credit quality of the Master Fund’s Bank, Brokers and any lenders at their parent companies level and subsidiaries when they are available is regularly monitored and factored into allocation decisions. The exposures are to HSBC Bank Plc (the “Bank”), UBS Warburg Ltd, UBS AG and JP Morgan Securities Plc (collectively, the “Prime Brokers”). As of the date of issuance of the financial statements, according to Moody’s Rating Agency, the credit rating of HSBC Bank Plc’s parent company, HSBC Holdings Plc, is A1, the credit rating of JP Morgan Securities Plc is Aa2, and the credit rating of both UBS Warburg Ltd’s and UBS AG’s parent company UBS Group AG, is BBB+ per S&P. In addition, netting agreements and collateral arrangements (including International Swaps and Derivatives Association Inc. (“ISDA”) Master Agreements for over-the-counter derivatives) are routinely put in place when appropriate to allow the counterparty risk mitigating benefits of close-out netting and payment netting (as applicable). 18

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 7. Financial risk management and associated risk (continued) Liquidity risk Liquidity risk is the risk that the Master Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redeemable Participating Shareholder redemption requests are the main liquidity risk for the Master Fund. The Master Fund’s Redeemable Participating Shares are redeemable as outlined in note 10. The exposure to liquidity risk through Redeemable Participating Shareholder redemption requests is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the underlying investments as agreed by the Investment Manager. The majority of the Master Fund’s financial instruments are Level 1 financial instruments which are considered readily realisable as they are all listed on major recognised exchanges. The Master Fund’s Financial Instruments also include investments in Level 2 financial instruments, which are not quoted in an active public market and which generally may be illiquid. As a result, the Master Fund may not be able to liquidate quickly some of its investments in these instruments at an amount close to their fair value in order to meet its liquidity requirements. 8. Fees, commissions and other expenses Management and incentive fees Pursuant to the Investment Management Agreement (the “IMA”) dated 1 May 2015, the Master Fund will pay the Investment Manager (i) the Management Fee, monthly in arrears, equal to 0.5% per annum of the Master Fund’s Trading Level as defined in the IMA, adjusted for profits and losses and (ii) the Incentive Fee, payable quarterly in arrears, equal to 25% of any net appreciation of the Master Fund during the quarter; provided that no Incentive Fee shall be payable until losses in previous periods have been recouped. Incentive Fees generally crystallise upon a Redeemable Participating Shareholder making a redemption from the Master Fund to the extent Incentive Fees are accrued at the time of the redemption. In addition, redemptions generally reduce any then-allocable losses that must be recouped by the Investment Manager for it to be entitled to Incentive Fees. Prior to 1 May 2015, the Master Fund paid the Investment Manager (i) the Management Fee, monthly in arrears, equal to 0.5% per annum of the Master Fund’s Trading Level as defined in the IMA, adjusted for profits and losses with respect to the Class A Redeemable Participating Shares and (ii) the Incentive Fee, payable annually in arrears, equal to 25% of any net appreciation of the Class A Redeemable Participating Shares during the year; provided that no Incentive Fee was payable until losses in previous years had been recouped. Risk management fees Under the risk management agreement, up to 30 April 2015, FRM Investment Management Limited was responsible for monitoring the trading and investments of the Investment Manager to ensure compliance with the investment objectives and strategies of the Master Fund. As compensation for its duties as Risk Manager, FRM Investment Management Limited was paid risk management fees by the Master Fund equal to 0.5% per annum of the Trading Level, as defined in the IMA, quarterly in arrears. From 1 May 2015, FRM Investment Management (USA) LLC, provides the same services but receives no separate remuneration from the Master Fund. Risk management fees are paid by the Feeder Funds. Administration fees The Master Fund pays the Administrator an administration fee of up to 0.135% per annum of the net asset value of the Master Fund. 9. Related party transactions Master Multi-Product Holdings II Ltd., a Bermuda incorporated company, is a related party through its 100% holding of all the Management Shares in the Master Fund. Master Multi-Product Holdings II Ltd also shared a Director in common with the Master Fund until 1 December 2015. The intermediate controlling party of the Master Fund is therefore Master Multi-Product Holdings II Ltd. FRM Investment Management (USA) LLC (up to 30 April 2015, FRM Investment Management Limited) is a related party as it is the Risk Manager. FRM Investment Management (USA) LLC is also the Commodity Pool Operator of the Master Fund. FRM Investment Management Limited and FRM Investment Management (USA) LLC are indirect wholly-owned subsidiaries of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties. Lynx Asset Management AB is a related party as it is the Investment Manager of the Master Fund. On 1 May 2015, investors in the Master Fund transferred their Redeemable Participating Shares in the Master Fund to the Offshore Fund in consideration for Redeemable Participating Shares in the Offshore Fund. This transaction had no impact on the value of the investors’ capital. Each of the Directors is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Master Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Master Fund or structures that may be related to Man Group plc sponsored investment funds), purchases and sales of securities and other investments, investment and management counselling and serving as directors, advisers and/or agents of other companies, including companies and legal structures in which the Master Fund may invest and/or which may invest into the Master Fund. 19

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 9. Related party transactions (continued) John Renouf was appointed as a director of the Master Fund on 7 January 2016. Until 31 March 2015, John Renouf was a director of FRM Invesment Management Limited, an indirect subsidiary of Man Group plc and the Risk Manager until 30 April 2015. The following transactions took place between the Master Fund and its related parties. Total Fees US$ Fees payable at 31 December 2015 US$ For the year ended 31 December 2015 Related party Type of fee Incentive fees Management fees Risk management fees Directors’ fees 3,709,137 836,925 220,908 12,000 - 61,574 - - Lynx Asset Management AB Lynx Asset Management AB FRM Investment Management Limited Directors As at 31 December 2015, 100% of all outstanding Redeemable Participating Shares were owned by the Feeder Funds, which are entities affiliated with Man Group plc. 10. Share capital The Master Fund has an authorised share capital of US$50,000 divided into 1,000 Management Shares (“Management Shares”) of a par value of US$1.00 each and 4,900,000 non-voting Redeemable Participating Shares (“Redeemable Participating Shares”) of a par value of US$0.01 each, which may be divided into different classes and/or series of Redeemable Participating Shares as the Directors may determine. Management Shares of the Master Fund The Management Shares are held by Master Multi-Product Holdings II Ltd. which is wholly-owned by Codan Trust Company Limited as trustee of the Master Multi-Product Purpose Trust, a special purpose trust formed under the laws of Bermuda pursuant to a Deed of Trust made by Codan Trust Company Limited dated 14 December 2005. At 31 December 2015, these shares remained uncalled and no amounts were paid or payable to the Master Fund. Redeemable Participating Shares Holders of Redeemable Participating Shares may, upon one business day’s written notice to the Administrator, redeem their redeemable Participating Shares on the first business day of each week or each month and/or such other days as the Directors may determine in their sole discretion unless redemptions have been suspended or deferred. The Board of Directors, in its sole discretion, may decline to sell shares to any investor for any reason or for no reason. Investors may subscribe for Redeemable Participating Shares on the first business day of each week or each month. Class A Redeemable Participating Shares are only available for subscription by Man investors. Transactions in Redeemable Participating Shares for the year ended 31 December 2015 were as follows: Class A No of Shares US$ Balance at the beginning of the year Issue of Redeemable Participating Shares for year Redemption of Redeemable Participating Shares for year Balance at end of the year 36,322 65,658 (44,418) 97,150,000 (61,985,599) 57,562 In the event of a winding-up or dissolution of the Master Fund or upon the distribution of capital, the holders of the Redeemable Participating Shares shall be entitled, following a payment to the holders of paid-up Management Shares of the par value thereof, to the return of the assets of the Master Fund held in respect of that class and, thereafter, to share pro rata in the assets, if any, of the Master Fund which are not held in respect of any class of shares. Capital management As a result of the ability to issue and redeem Redeemable Participating Shares, the capital of the Master Fund can vary depending on the demand for redemptions from and subscriptions to the Master Fund. The Master Fund is not subject to externally imposed capital requirements and has no restrictions on the issue and redemption of Redeemable Participating Shares other than those set out in the Feeder Funds’ offering documents and Cayman Islands law. The Master Fund’s objectives for managing capital may include: • investing the capital in investments meeting the description, risk exposure and expected return indicated in the Feeder Funds’ offering documents; achieving consistent returns while safeguarding capital by investing in a diversified portfolio, by participating in derivative and other advanced capital markets and by using various investment strategies and hedging techniques; maintaining sufficient liquidity to meet the expenses of the Master Fund, and to meet redemption requests as they arise; and maintaining sufficient size to make the operation of the Master Fund cost-efficient. • • • Refer to note 7, ‘Financial risk management and associated risk’, for the policies and processes applied by the Master Fund in managing its capital. 20

Silver MAC Limited Notes to the Financial Statements (continued) For the year ended 31 December 2015 11. Financial highlights US$ Class A Per Share operation performance: Net asset value per share at beginning of the year Change in net assets resulting from operations: Net investment loss 1,528.38 (124.83) Net realised loss and change in unrealised depreciation from investments, derivatives and foreign currency Net decrease in net assets per share resulting from operations (208.57) (333.40) Net asset value per share at end of the year 1,194.98 Total Return Total return before incentive fees incentive fees Total return after incentive fees Ratio to average net assets (i) Net investment loss before incentive fees Incentive fees Net investment loss after incentive fees (15.88%) (5.93%) (21.81%) (2.25%) (4.56%) (6.81%) Total expenses before incentive fees Incentive fees Total expenses after incentive fees (2.26%) (4.56%) (6.82%) Non trade expenses(ii) (6.08%) (i) The financial highlights are calculated for the share class taken as a whole. An individual Redeemable Participating Shareholder's financial highlights may vary from the above based on the timing of capital transactions and individual management and performance fee arrangements. The ratio details the total expenses less trading costs (including interest rate, dividend costs and transaction and brokerage costs) incurred by the Master Fund in the course of normal trading, to the average net assets described above. (ii) 12. Indemnifications In the normal course of business, the Master Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Master Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote. 13. Subsequent events Ronan Daly resigned as a director of the Master Fund on 7 January 2016. Colin Ball and John Renouf were appointed as directors of the Master Fund on 7 January 2016. Subsequent to 31 December 2015, Redeemable Participating Shareholders subscribed for Redeemable Participating Shares having an aggregate Net Asset Value of US$4,640,000 and redeemed Redeemable Participating Shares having an aggregate Net Asset Value of US$7,914,743. In connection with the preparation of the financial statements as of 31 December 2015, management has evaluated the impact of all subsequent events on the Master Fund through 17 March 2016, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in the financial statements. . 21

Ernst & Young Ltd. 62 Forum Lane Camana Bay P.O. Box 510 Grand Cayman KY1-1106 CAYMAN ISLANDS Main tel: +1 345 949 8444 Fax: +1 345 949 8529 ey.com Independent Auditors’ Report The Board of Directors Silver MAC Limited We have audited the accompanying financial statements of Silver MAC Limited (the “Master Fund”) which comprise the statement of financial condition, including the condensed schedule of investments, as of 31 December 2015, and the related statements of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory information. This report is made solely to the directors, as a body. Our audit work has been undertaken so that we might state to the directors those matters we are required to state to them in an auditors’ report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Master Fund and the directors as a body, for our audit work, for this report, or for the opinions we have formed. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with U.S. generally accepted accounting principles, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors’ Responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. 22 A member firm of Ernst & Young Global Limited

An audit involves performing procedures to obtain audit evidence about the disclosures in the financial statements. The procedures selected depend on judgment, including the assessment of the risks of material misstatement of amounts and the auditors’ the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the accompanying financial statements referred to above present fairly, in all material respects, the financial position of Silver MAC Limited at 31 December 2015 and the results of its operations and changes in its net assets for the year then ended, in conformity with U.S. generally accepted accounting principles. 17 March 2016 23

Silver Delaware Feeder LLC

(A Delaware limited liability company)

Report and Financial Statements

For the year ended 31 December 2016

FRM Investment Management (USA) LLC, the risk manager and commodity pool operator (the “Risk Manager”) of Silver Delaware Feeder LLC (the “Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Fund.

Silver Delaware Feeder LLC

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Statement of operations	5
Statement of changes in unitholders’ capital	6
Notes to the financial statements	7
Report of independent auditors	12
Appendix: Audited Financial Statements of Silver MAC Limited

1

Silver Delaware Feeder LLC

Directory

Board of Directors of the Master Fund	Registered office of the Master Fund
Colin Ball (Appointed on 7 January 2016)	c/o Citco Trustees (Cayman) Limited
Ronan Daly (Resigned on 7 January 2016)	89 Nexus Way
John Renouf (Appointed on 7 January 2016)	Camana Bay
Jennifer Thomson	P.O. Box 31106
	Grand Cayman, KY1-1205
Master Fund	Cayman Islands
Silver MAC Limited
c/o Citco Trustees (Cayman) Limited	Legal Advisors to the Master Fund
89 Nexus Way	(as to Cayman Islands law)
Camana Bay	Maples and Calder
P.O. Box 31106	P.O. Box 309
Grand Cayman, KY1-1205	Ugland House
Cayman Islands	Grand Cayman, KY1-1104
	Cayman Islands
Manager and Risk Manager of the Fund; Risk Manager of the
Master Fund	Legal Advisors to the Fund and the Master Fund
FRM Investment Management (USA) LLC	(as to U.S. law)
452 Fifth Avenue, 26th Floor	Sidley Austin LLP
New York, NY 10018	One South Dearborn
U.S.A.	Chicago, IL 60603
	U.S.A.
Investment Manager to the Master Fund
Lynx Asset Management AB	Auditors
Norrmalmstorg 12	Ernst & Young Ltd.
P.O. Box 7060, SE-103 86	Suite 6401
Stockholm	62 Forum Lane
Sweden	Camana Bay
	Grand Cayman, KY1-1106
Administrator	Cayman Islands
HSBC Securities Services (Ireland) DAC
1 Grand Canal Square
Grand Canal Harbour
Dublin 2
Ireland
Bank
HSBC Bank plc
8 Canada Square
London, E14 5HQ
United Kingdom

2

Silver Delaware Feeder LLC

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in these financial statements of Silver Delaware Feeder LLC for the year ended 31 December 2016 is accurate and complete.

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Silver Delaware Feeder LLC

3

Silver Delaware Feeder LLC

Statement of financial condition

As at 31 December 2016

	Notes	2016 US$
Assets
Investment in Silver MAC Limited, at fair value	4	9,649,852
Other assets		20,497
Total assets		9,670,349
Liabilities
Risk management fees payable	6,7	24,567
Accrued expenses		100,927
Total liabilities		125,494
Net assets		9,544,855
Which are represented by:
8,928 Series A Units with a net asset value per Unit of US$1,069.09	8	9,544,855
		9,544,855

Approved and authorised for issue on behalf of the manager of Silver Delaware Feeder LLC on 23 March 2017.

/s/ Linzie Steinbach

Linzie Steinbach

FRM Investment Management (USA)

LLC

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

4

Silver Delaware Feeder LLC

Statement of operations

For the year ended 31 December 2016

	Notes	2016 US$
Investment income allocated from Silver MAC Limited
Interest income		14,709
Total investment income		14,709
Expenses allocated from Silver MAC Limited
Management fees	6,7	116,542
Tax charge	3	91,134
Margin commission		69,654
Administration fees	6	17,328
Interest expense		5,050
Other expenses		21,061
Total expenses		320,769
Net investment loss allocated from Silver MAC Limited		(306,060	)
Fund expenses
Risk management fees	6,7	116,498
Administration fees	6	21,500
Preliminary expenses		15,373
Other expenses		71,373
Total fund expenses		224,744
Net investment loss		(530,804	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency allocated from Silver MAC Limited
Net realised gain from non-commodity interest derivatives and foreign currency		1,940,201
Net realised loss from commodity interest derivatives		(1,994,189	)
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		286,099
Net change in unrealised appreciation from commodity interest derivatives		315,455
Net realised loss and change in unrealised appreciation from derivatives and foreign currency		547,566
Net increase in net assets resulting from operations		16,762

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

5

Silver Delaware Feeder LLC

Statement of changes in unitholders’ capital

For the year ended 31 December 2016

	Notes	2016 US$
Net assets at the beginning of the year		10,793,093
Changes in net assets resulting from operations
Net investment loss		(530,804	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency allocated from Silver MAC Limited
Net realised gain from non-commodity interest derivatives and foreign currency		1,940,201
Net realised loss from commodity interest derivatives		(1,994,189	)
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		286,099
Net change in unrealised appreciation from commodity interest derivatives		315,455
Net realised loss and change in unrealised appreciation from derivatives and foreign currency		547,566
Net increase in net assets resulting from operations		16,762
Change in net assets resulting from capital transactions
Issuance of Units	8	7,180,000
Redemptions of Units	8	(8,445,000	)
Net decrease in net assets resulting from capital transactions		(1,265,000	)
Net decrease in net assets		(1,248,238	)
Net assets at the end of the year		9,544,855

The accompanying notes form an integral part of these financial statements.

The financial statements of the Master Fund should be read in conjunction with these financial statements.

6

Silver Delaware Feeder LLC

Notes to the financial statements

For the year ended 31 December 2016

1.General

Silver Delaware Feeder LLC (the “Fund”) was organised as a Delaware limited liability company on 25 February 2015. The Fund commenced trading on 1 May 2015.

The investment objective of the Fund is to maximise the long-term total returns to the holders of the Fund’s units (the “Units”). The Fund invests substantially all of its investible assets (to the extent not retained in cash) in, and conducts its investment program through, a “master-feeder structure” by investing into Silver MAC Limited, an exempted company with limited liability incorporated in the Cayman Islands under the provisions of the Companies Law (as amended) of the Cayman Islands (the “Master Fund”). As at 31 December 2016, the Fund held 17.64% of the Master Fund.

The most recent, applicable Confidential Offering Memorandum of the Fund (the “Offering Memorandum”) is dated 1 May 2015.

Lynx Asset Management AB, a company incorporated with limited liability in Sweden, has been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). The Investment Manager is registered as an “investment advisor” under the U.S. Investment Advisors Act of 1940, as amended (the “Advisors Act”), with U.S. Securities and Exchange Commission (the “SEC”), as a commodity trading advisor with the U.S. Commodity Futures Trading Commission (the “CFTC”), and is a member of the U.S. National Futures Association (“NFA”) in such capacity. FRM Investment Management (USA) LLC, a Delaware limited liability company, has been appointed as the manager, risk manager and commodity pool operator of the Fund (the “Risk Manager”). The Risk Manager is registered as an investment advisor under the Advisors Act with the SEC, as a commodity pool operator and commodity trading advisor with the CFTC and is a member of the NFA in such capacities.

The financial statements of the Master Fund are attached and should be read in conjunction with the Fund’s financial statements.

2.Summary of significant accounting policies

These financial statements have been prepared in accordance with United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Fund is an investment company in conformity with US GAAP. Therefore the Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

Management has made an assessment of the Fund’s ability to continue as a going concern and is satisfied that the Fund has resources to continue in business for the foreseeable future. Furthermore, management is not aware of any material uncertainties that may cast significant doubt upon the Fund’s ability to continue as a going concern; therefore, these financial statements continue to be prepared on a going concern basis.

The Fund is exempted from preparing a statement of cash flow under ASC 946 as the Fund has no level 3 investments, does not hold any debt instruments and presents a statement of changes in unitholders’ capital.

a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in these financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

b)Recent accounting pronouncements

In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. The Fund adopted this ASU during the year, which had no significant impact on the financial statements.

c)Investment in Master Fund

The Fund’s investment in the Master Fund is recorded at fair value, which is the Fund’s proportionate interest in the net assets of the Master Fund. The Fund records its proportionate share of the Master Fund’s income, expenses, and realised and unrealised gains and losses in the statement of operations.

Valuation of the investments held by the Master Fund including, but not limited to, the valuation techniques used and classification within the fair value hierarchy of instruments held by the Master Fund are discussed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

7

Silver Delaware Feeder LLC

Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Summary of significant accounting policies (continued)

d)Foreign currency

Items included in the Fund’s financial statements are measured using the currency of the primary economic environment in which it operates which is US$ (the “Functional Currency”). These financial statements are presented in the Functional Currency, US$, reflecting the fact that transactions are denominated primarily in US$.

Transactions during the year denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at the year-end denominated in foreign currency, the resulting gains or losses are included in the net realised gain and change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in the net realised gain and change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

e)Cash and cash equivalents

Cash and cash equivalents include cash held at a bank maturing within three months of the year end date.

f)Recognition and allocation of income or loss

The Fund records subscriptions to and redemptions from the Master Fund on the transaction date. The Fund records its proportionate share of the Master Fund’s income, expenses and change in realised and unrealised gains and losses. In addition, the Fund accrues its own income and expenses. The Master Fund’s income and expense recognition and net gain/(loss) allocation policies are disclosed in the notes to the Master Fund’s financial statements which are attached to these financial statements.

g)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amounts and number of Units are not fixed remain in capital until the net asset value used to determine the redemption and Unit amounts are determined. The Fund does not have any redemptions payable as at the year end.

h)Offsetting

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the year end, no financial instruments of the Fund are being presented net within the statement of financial condition of the Fund.

i)Taxation

The Fund is classified as a partnership for United States Federal income tax purposes. Consequently, no provision has been made in these financial statements for United States federal or state income taxes as any tax liability arising from operations of the Fund is the responsibility of the Unitholders and not the Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740 (“ASU 740-10”)” clarifies the accounting for uncertainty in income taxes recognised in the Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

8

Silver Delaware Feeder LLC

Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Summary of significant accounting policies (continued)

i)          Taxation (continued)

Management has analysed the Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Fund’s financial statements, except in respect of Spanish capital gains tax as outlined in note 3. Management’s assessment considers tax years subject to investigation. The Fund recognises interest and penalties, if any, related to unrecognised tax liability as a tax charge in the statement of operations. During the year, the Fund did not incur any interest or penalties except in respect of Spanish capital gains tax as outlined in note 3.

j)Preliminary expenses

The Fund has borne its organisational expenses, including, without limitation, legal, accounting, filing and administration expenses associated with the organisation of the Fund and the offering of Units. For financial statement and net asset value purposes the organisational costs are amortised over the first 36 months of trading of the Fund.

3.Spanish capital gains tax

In accordance with ASC 740, Spanish capital gains tax of US$91,134 was recognised in the statement of operations within the tax charge allocated from the Master Fund, which includes interests and penalties allocated from Master Fund.

4.Fair value of financial instruments

The Fund invests in the Master Fund as part of a “master-feeder” structure as disclosed in note 1. The investment objective of the Master Fund is disclosed in the financial statements of the Master Fund which are attached to these financial statements. The redemption terms of the Master Fund is in accordance with the redemption terms of the Fund as disclosed in note 8 of these financial statements.

The fair value of the Fund’s assets and liabilities which qualify as financial instruments under disclosure about Fair Value of Financial Instruments approximates the carrying amounts presented in the statement of financial condition.

5.Financial risk management and associated risk

Since the Fund invests in the Master Fund, the Fund will also bear the risks associated with the Master Fund, which are disclosed in note 8 of Master Fund’s financial statements and in the Offering Memorandum.

6.Fees and expenses

Management fees

Pursuant to the Investment Management Agreement entered into between the Master Fund and the Investment Manager (“IMA”), the Master Fund pays a management fee to the Investment Manager. Details of the IMA are disclosed in note 9 of the Master Fund’s financial statements

Incentive fees

Pursuant to the IMA, the Master Fund pays an incentive fee to the Investment Manager. Details of the IMA are disclosed in note 9 of the Master Fund’s financial statements.

Risk management fees

Pursuant to the risk management agreement entered into by and among the Fund, the Master Fund and the Risk Manager (the “Management Agreement”), the Fund pays the Risk Manager a risk management fee equal to 0.50% per annum of the trading level of the Master Fund’s assets attributable to each series of the Fund, quarterly in arrears, and a pro rata share of any licensing fees for the use of any risk assessment tools provided by any third party which are used by the Risk Manager in providing services to the Fund pursuant to the Management Agreement.

Administration fees

The Fund pays the administrator of the Fund (the “Administrator”) an annual administration fee of US$21,500. The Administrator’s fees are subject to review from time to time to reflect changes in the operational cost of administering the Fund, as further set out in the administration agreement entered into between Administrator and the Fund. In addition, the Administrator receives an additional administration fee from the Master Fund of up to 0.135% per annum of the net asset value of the Master Fund.

9

Silver Delaware Feeder LLC

Notes to the financial statements (continued)

For the year ended 31 December 2016

7.Related party transactions

The Risk Manager is a related party as it is the manager, risk manager and commodity pool operator of the Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund. Terms of incentive fees and management fees are disclosed in note 9 of the Master Fund’s financial statements.

Management is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisors and/or agents of other companies, including companies and other legal structures in which the Fund may invest and/or which may invest in the Fund.

The following transactions took place between the Fund and its related parties for the year ended 31 December 2016:

Related party	Type of fee	Total fees US$	Fees payable US$
FRM Investment Management (USA) LLC	Risk management fees	116,498	24,567

As at 31 December 2016, 100% of the outstanding Units were owned by entities affiliated with Man Group plc. (refer to note 8).

8.Unitholders’ capital

The minimum initial capital contribution and the minimum additional contribution by a Unitholder is US$100,000. The Manager may determine the current minimum subscription and/or such other amount in its sole discretion.

Unitholders may, subject to the restrictions set out in the Offering Memorandum, redeem their Units on first business day of each week or month of the Fund. Redemptions may be accepted on days other than the specified redemption date, in the Manager’s sole discretion. Units will be considered to be redeemed on a “first purchased, first redeemed” basis.

The Units shall be issued as Series A Units or Series B Units as designated by the Manager. Series A Units and Series B Units have identical rights and privileges in all respects except that: (i) Series A Units are only available for subscription by Man Investors (as defined in the Offering Memorandum); and (ii) Series B Units are subject to the Reporting Fee (as defined in the Offering Memorandum). The Manager may establish additional series, classes or tranches of Units in the future, which may have different and/or preferential terms to existing series, including among other things, the Incentive Fee, the Management Fee, minimum and additional subscription amounts, leverage levels, distribution policies, capacity rights, investor eligibility, voting rights, informational rights and other rights. During the year ended 31 December 2016, Series B Units were not in issue.

	Series A
	US$		Units
As at the beginning of the year			9,140
Contributions	7,180,000		6,022
Redemptions	(8,445,000	)	(6,234	)
As at the end of the year			8,928

In the event of a winding-up or dissolution of the Fund or upon the distribution of capital, the unitholders shall be entitled to the return of the assets of the Fund held in respect of that Series and, thereafter, to share pro rata in the assets, if any, of the Fund which are not held in respect of any series of Units.

10

Silver Delaware Feeder LLC

Notes to the financial statements (continued)

For the year ended 31 December 2016

9.Financial highlights

Per Unit operating performance:	Series A US$
Net asset value per Unit at the beginning of the year	1,180.86
Change in net assets resulting from operations:
Net investment loss	(58.40	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency	(53.37	)
Net decrease in net assets resulting from operations	(111.77	)
Net asset value per Unit at the end of the year	1,069.09
Total Return
Total return before incentive fees	(9.47	)%
Incentive fees	—
Total return after incentive fees	(9.47	)%
Ratio to average net assets(i)
Net investment loss before incentive fees	(4.63	)%
Incentive fees	—
Net investment loss after incentive fees	(4.63	)%
Total expenses before incentive fees	4.76	%
Incentive fees	—
Total expenses after incentive fees	4.76	%
Non trade expenses(ii)	3.97	%

(i)The financial highlights are calculated for a Unit class or series taken as a whole. An individual unitholder’s financial highlights may vary from the above on the timing of capital transactions and individual management and incentive fee arrangements.

(ii)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Fund in the course of normal trading, to the average net assets described above.

10.Indemnifications

In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote.

11.Subsequent events

Subsequent to 31 December 2016, there were no subscriptions or redemptions of Series A Units.

In connection with the preparation of the accompanying financial statements as at 31 December 2016, management has evaluated the impact of all subsequent events on the Fund through 23 March 2017, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in these financial statements.

11

Report of Independent Auditors

The Manager

Silver Delaware Feeder LLC

We have audited the accompanying financial statements of Silver Delaware Feeder LLC (the “Fund”), which comprise the statement of financial condition as of 31 December, 2016, and the related statements of operations and changes in unitholders’ capital for the year then ended, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

A member firm of Ernst & Young Global Limited

12

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Silver Delaware Feeder LLC at 31 December, 2016, and the results of its operations and changes in unitholders’ capital for the year then ended in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young Ltd.

23 March 2017

13

Silver MAC Limited

(A Cayman Islands exempted company)

Report and Financial Statements

For the year ended 31 December 2016

FRM Investment Management (USA) LLC, the risk manager and commodity pool operator (the “Risk Manager”) of Silver MAC Limited (the “Master Fund”), is registered as a commodity pool operator and a commodity trading advisor under the U.S. Commodity Exchange Act, as amended and is a member of the U.S. National Futures Association in such capacities. A claim of exemption pursuant to U.S. Commodity Futures Trading Commission (“CFTC”) Rule 4.7 has been made by the Risk Manager in its capacity as commodity pool operator of the Master Fund.

Silver MAC Limited

Table of contents

	Page
Directory	2
Affirmation of the commodity pool operator	3
Statement of financial condition	4
Condensed schedule of investments	5
Statement of operations	8
Statement of changes in net assets	9
Notes to the financial statements	10
Report of independent auditors	22

1

Silver MAC Limited

Directory

Board of Directors	Registered Office
Colin Ball (Appointed on 7 January 2016)	c/o Citco Trustees (Cayman) Limited
Ronan Daly (Resigned on 7 January 2016)	89 Nexus Way
John Renouf (Appointed on 7 January 2016)	Camana Bay
Jennifer Thomson	P.O. Box 31106
	Grand Cayman, KY1-1205
Investment Manager	Cayman Islands
Lynx Asset Management AB
Norrmalmstorg 12	Legal Advisors
P.O. Box 7060, SE—103 86	(as to Cayman Islands law)
Stockholm	Maples and Calder
Sweden	P.O. Box 309
	Ugland House
Risk Manager	Grand Cayman, KY1-1104
FRM Investment Management (USA) LLC	Cayman Islands
452 Fifth Avenue, 26th Floor
New York, NY 10018	(as to U.S. law)
U.S.A	Sidley Austin LLP
	One South Dearborn
Administrator	Chicago, IL 60603
HSBC Securities Services (Ireland) DAC	U.S.A
1 Grand Canal Square
Grand Canal Harbour	Auditors
Dublin 2	Ernst & Young Ltd.
Ireland	Suite 6401
	62 Forum Lane
Bank	Camana Bay
HSBC Bank plc	Grand Cayman, KY1-1106
8 Canada Square	Cayman Islands
London, E14 5HQ
United Kingdom	Company Secretary
	CSS Corporation Ltd.
	89 Nexus Way
	Camana Bay
	P.O. Box 31106
	Grand Cayman, KY1-1205
	Cayman Islands
	Prime Brokers
	JP Morgan Securities Plc
	125 London Wall
	London, EC2Y 5AJ
	United Kingdom
	UBS Warburg Ltd
	100 Liverpool Street
	London, EC2M 2RH
	United Kingdom
	UBS AG
	1/2 Finsbury Avenue
	London, EC2M 2PP
	United Kingdom

2

Silver MAC Limited

Affirmation of the commodity pool operator

To the best of the knowledge and belief of the undersigned, the information contained in the financial statements of Silver MAC Limited for the year ended 31 December 2016 is accurate and complete.

/s/ Linzie Steinbach

Linzie Steinbach

Principal Financial Officer

FRM Investment Management (USA) LLC, the commodity pool operator of Silver MAC Limited

3

Silver MAC Limited

Statement of financial condition

As at 31 December 2016

	Notes	2016 US$
Assets
Derivatives, at fair value	5,6	3,002,386
Cash and cash equivalents	4	29,337,679
Balances with brokers	4	28,984,539
Other assets		9,402
Total assets		61,334,006
Liabilities
Derivatives, at fair value	5,6	2,591,328
Balances due to brokers	4	1,688,604
Redemptions payable	2	1,700,000
Management fees payable	9,10	50,184
Tax charge payable	3	535,500
Accrued expenses	9	59,362
Total liabilities		6,624,978
Net assets		54,709,028
Which are represented by:
49,491 Class A Shares with a Net Asset Value per Share of US$1,105.43	11	54,709,028

Approved and authorised for issue on behalf of the Board on 23 March 2017.

Jennifer A Thomson	John Renouf
Director	Director

The accompanying notes form an integral part of the financial statements.

4

Silver MAC Limited

Condensed schedule of investments

As at 31 December 2016

	Fair Value		% of
Investments in derivatives at fair value	US$		Net Assets
Derivative contracts — long exposure contracts
Futures contracts
Australia
Index futures	27,597		0.05
Interest rate futures	(458	)	—
Total Australia	27,139		0.05
Canada
Bond futures	4,950		0.01
Index futures	(6,619	)	(0.02	)
Total Canada	(1,669	)	(0.01	)
China
Index futures	(362	)	—
Total China	(362	)	—
France
Index futures	11,095		0.02
Total France	11,095		0.02
Germany
Bond futures	117,704		0.22
Index futures	16,477		0.03
Total Germany	134,181		0.25
Italy
Index futures	237		—
Total Italy	237		—
Japan
Index futures	317,529		0.58
Total Japan	317,529		0.58
Netherlands
Index futures	33,297		0.06
Total Netherlands	33,297		0.06
Sweden
Index futures	(50,218	)	(0.09	)
Total Sweden	(50,218	)	(0.09	)
Taiwan
Index futures	29,400		0.05
Total Taiwan	29,400		0.05
United Kingdom
Bond futures	120,859		0.22
Commodity futures	(222,921	)	(0.41	)
Index futures	65,685		0.12
Interest rate futures	3,874		0.01
Total United Kingdom	(32,503	)	(0.06	)

The accompanying notes form an integral part of the financial statements.

5

Silver MAC Limited

Condensed schedule of investments (continued)

As at 31 December 2016

	Fair Value		% of
Investments in derivatives at fair value	US$		Net Assets
Derivative contracts — long exposure contracts (continued)
Futures contracts (continued)
United States
Commodity futures	411,224		0.75
Currency futures	(43,880	)	(0.08	)
Index futures	(491,754	)	(0.90	)
Total United States	(124,410	)	(0.23	)
Total futures contracts (cost: US$nil)	343,716		0.62
Forward foreign currency contracts
Forward foreign currency contracts	626,495		1.15
Total forward foreign currency contracts (cost: US$nil)	626,495		1.15
Total Derivative contracts — long exposure, at fair value (cost: US$nil)	970,211		1.77
Derivative contracts — short exposure contracts
Futures contracts
Australia
Bond futures	(8,938	)	(0.01	)
Interest rate futures	4,074		0.01
Total Australia	(4,864	)	—
Canada
Commodity futures	(2,149	)	—
Interest rate futures	(4,438	)	(0.01	)
Total Canada	(6,587	)	(0.01	)
Germany
Bond futures	(45,425	)	(0.08	)
Total Germany	(45,425	)	(0.08	)
Hong Kong
Index futures	(10,137	)	(0.02	)
Total Hong Kong	(10,137	)	(0.02	)
Japan
Bond futures	(31,006	)	(0.06	)
Total Japan	(31,006	)	(0.06	)
United Kingdom
Commodity futures	(864	)	—
Interest rate futures	(2,854	)	—
Total United Kingdom	(3,718	)	—

The accompanying notes form an integral part of the financial statements.

6

Silver MAC Limited

Condensed schedule of investments (continued)

As at 31 December 2016

	Fair Value		% of
	US$		Net Assets
Derivative contracts — short exposure contracts (continued)
Futures contracts (continued)
United States
Bond futures	(131,156	)	(0.24	)
Commodity futures	390,746		0.71
Currency futures	166,184		0.30
Index futures	2,125		—
Interest rate futures	(6,013	)	(0.01	)
Total United States	421,886		0.76
Total futures contracts (proceeds: US$nil)	320,149		0.59
Forward foreign currency contracts
Forward foreign currency contracts	(879,302	)	(1.61	)
Total forward foreign currency contracts (proceeds: US$nil)	(879,302	)	(1.61	)
Total Derivative contracts — short exposure, at fair value (proceeds: US$nil)	(559,153	)	(1.02	)

	Fair Value
Reconciliation of long and short derivatives (note 5)	US$
Derivative Assets at fair value
Total fair value of long derivative assets	1,933,451
Total fair value of short derivative assets	1,068,935
Total Derivative Assets at fair value	3,002,386

Derivative Liabilities at fair value
Total fair value of long derivative liabilities	(963,240	)
Total fair value of short derivative liabilities	(1,628,088	)
Total Derivative Liabilities at fair value	(2,591,328	)

The accompanying notes form an integral part of the financial statements.

7

Silver MAC Limited

Statement of operations

For the year ended 31 December 2016

	Notes	2016 US$
Investment income
Interest income		85,739
Total investment income		85,739
Expenses
Management fees	9,10	676,950
Tax charge	3	535,500
Margin commission		403,943
Administration fees	9	100,502
Interest expense		29,568
Other expenses	10	123,205
Total expenses		1,869,668
Net investment loss		(1,783,929	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency
Net realised gain from non-commodity interest derivatives and foreign currency	6	10,211,675
Net realised loss from commodity interest derivatives	6	(12,449,550	)
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency	6	616,500
Net change in unrealised appreciation from commodity interest derivatives	6	1,908,482
Net realised loss and change in unrealised appreciation from derivatives and foreign currency		287,107
Net decrease in net assets resulting from operations		(1,496,822	)

The accompanying notes form an integral part of the financial statements.

8

Silver MAC Limited

Statement of changes in net assets

For the year ended 31 December 2016

	Notes	2016 US$
Net assets at the beginning of the year		68,785,973
Changes in net assets resulting from operations
Net investment loss		(1,783,929	)
Net realised gain from non-commodity interest derivatives and foreign currency		10,211,675
Net realised loss from commodity interest derivatives		(12,449,550	)
Net change in unrealised appreciation from non-commodity interest derivatives and foreign currency		616,500
Net change in unrealised appreciation from commodity interest derivatives		1,908,482
Net decrease in net assets resulting from operations		(1,496,822	)
Changes in net assets resulting from capital transactions
Issuance of Shares	11	26,050,000
Redemptions of Shares	11	(38,630,123	)
Net decrease in net assets resulting from capital transactions		(12,580,123	)
Net decrease in net assets		(14,076,945	)
Net assets at the end of the year		54,709,028

The accompanying notes form an integral part of the financial statements.

9

Silver MAC Limited

Notes to the financial statements

For the year ended 31 December 2016

1.General

Silver MAC Limited (the “Master Fund”) is an exempted company incorporated with limited liability in the Cayman Islands under the provisions of the Companies Law of the Cayman Islands (as amended). The Master Fund was incorporated in the Cayman Islands on 28 October 2008. The Master Fund is an open-ended mutual fund registered with the Cayman Islands Monetary Authority and regulated under the Mutual Funds Law of the Cayman Islands (as amended).

The investment objective of the Master Fund is to maximise the long-term total returns to the holders of the Master Fund’s redeemable participating shares (the “Shares”) by investing in a broad range of futures markets. The Master Fund has two separate feeder funds, Silver Cayman Feeder, an exempted company incorporated with limited liability in the Cayman Islands (the “Offshore Fund”), and Silver Delaware Feeder LLC, a Delaware limited liability company (the “Onshore Fund”; and, together with the Offshore Fund, the “Feeder Funds”). The Feeder Funds invest substantially all of their assets (to the extent not retained in cash) in the Master Fund.

Further feeder funds may be created to invest in the Master Fund. As at 31 December 2016, the Offshore Fund and the Onshore Fund held 82.36% and 17.64% respectively of the Master Fund.

Lynx Asset Management AB, a company incorporated with limited liability in Sweden, has been appointed to serve as the investment manager of the Master Fund (the “Investment Manager”). The Investment Manager is registered with Finansinspektionen, the Swedish financial supervisory authority, as an “investment advisor” under the U.S. Investment Advisors Act of 1940, as amended (the “Advisors Act”), with U.S. Securities and Exchange Commission (the “SEC”), as a commodity trading advisor with the U.S. Commodity Futures Trading Commission (the “CFTC”) and is a member of the U.S. National Futures Association (the “NFA”) in such capacity. FRM Investment Management (USA) LLC, a Delaware limited liability company, has been appointed as the risk manager and commodity pool operator of the Master Fund (the “Risk Manager”). The Risk Manager is registered as an investment advisor under the Advisors Act with the SEC, as a commodity pool operator and commodity trading advisor with the CFTC, and is a member of the NFA in such capacities.

2.Significant accounting policies

The financial statements have been prepared in accordance with United States generally accepted accounting principles (“US GAAP”) and are stated in U.S. dollars (“US$”).

Management has determined that the Master Fund is an investment company in conformity with US GAAP. Therefore the Master Fund follows the accounting and reporting guidance for investment companies in the Financial Accounting Standard Board (“FASB”) Accounting Standard Codification (“ASC”) 946, Financial Services — Investment Companies (“ASC 946”).

Management has made an assessment of the Master Fund’s ability to continue as a going concern and is satisfied that the Master Fund has resources to continue in business for the foreseeable future. Furthermore, management is not aware of any material uncertainties that may cast significant doubt upon the Master Fund’s ability to continue as a going concern; therefore, the financial statements continue to be prepared on a going concern basis.

The Master Fund is exempted from preparing a statement of cash flow under ASC 946 as the Master Fund has no level 3 investments, does not hold any debt instruments and presents a statement of changes in net assets.

a)Use of accounting estimates

The preparation of these financial statements requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes including certain valuation assumptions. Actual results could differ from such estimates.

b)Recent accounting pronouncements

In August 2014, the FASB issued ASU 2014-15, “Disclosure of Uncertainties About an Entity´s Ability to Continue as a Going Concern” (“ASU 2014-15”), which provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year of the date the financial statements are issued. An entity must provide certain disclosures if conditions or events raise substantial doubt about the entity’s ability to continue as a going concern. ASU 2014-15 applies to all entities and is effective for annual periods ending after 15 December 2016, and interim periods thereafter, with early adoption permitted. The Master Fund adopted this ASU during the year, which has had no significant impact on the financial statements.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Significant accounting policies (continued)

c)Investments transactions and related investment income and expenses

Security transactions are recorded on a trade date basis. Realised gains and losses are computed using the first-in, first-out method. Interest income, interest expense and operating expenses are recorded on an accrual basis. Dividend income, net of applicable withholding taxes and dividend expenses on financial instruments sold short, are recorded on the ex-dividend date.

d)Fair value of financial instruments

Definition and hierarchy

Derivative contracts are carried at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

A fair value hierarchy that prioritises the inputs to valuation techniques is used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:

·Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

·Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly;

·Level 3 — Prices or valuation that requires inputs that are both significant to the fair value measurement and unobservable.

Valuation

Investments with values based on quoted market prices in active markets including active listed equities, are classified within Level 1. The Master Fund does not adjust the quoted price for such instruments, including in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices for an identical instrument, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non—transferability, which are generally based on available market information.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include private placements. When observable prices are not available for these financial instruments, the Investment Manager uses one or more valuation techniques e.g., the market approach or the income approach, for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors.

Derivative Instruments can be exchange-traded or privately negotiated over-the-counter (“OTC”).

OTC derivatives are valued by the Master Fund using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs.

These OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilise some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Investment Manager updates the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

e)Foreign currency

Items included in the Master Fund’s financial statements are measured using the currency of the primary economic environment in which it operates, which is US$ (the “Functional Currency”). The financial statements are presented in the Functional Currency and not the local currency of the Cayman Islands reflecting the fact that transactions are denominated primarily in US$.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

2.Significant accounting policies (continued)

e)Foreign currency (continued)

Transactions during the year denominated in foreign currencies have been translated at the rates of exchange ruling at the dates of the transactions. Assets and liabilities denominated in foreign currency are translated at the rates of exchange in effect at the date of the statement of financial condition. For investment transactions and investments held at the year-end denominated in foreign currency, the resulting gains or losses are included in the net realised gain and change in unrealised appreciation from non-commodity interest derivatives and foreign currency in the statement of operations.

The Master Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of financial instruments. Such fluctuations are included in net realised gain and change in unrealised appreciation from derivatives and foreign currency.

f)Cash and cash equivalents

Cash and cash equivalents include cash held at a bank and prime brokers maturing within three months of the year end date.

g)Allocation of income or loss

Cash and cash equivalents include cash held at a bank and prime brokers maturing within three months of the year end date.

h)Redemptions payable

In accordance with the authoritative guidance on Accounting for Certain Financial Instruments with Characteristics of both Liabilities and Equity under US GAAP (ASC 480-10 Classification and measurement of redeemable securities) (“ASC 480-10”), financial instruments mandatorily redeemable at the option of the holder are classified as liabilities when a redemption request has been received and the redemption amount has been determined.

Redemption notices received for which the amount and number of shares are not fixed remain in capital until the net asset value used to determine the redemption and share amounts are determined. Accordingly, the statement of financial condition and the statement of changes in net assets include redemptions payable of US$1,700,000. This relates to redemptions due to be paid on the first dealing day of 2017, which under the terms of ASC 480-10 are mandatorily redeemable financial instruments and consequently a liability of the Master Fund and not part of equity.

i)Offsetting

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously. At the year end no financial instruments of the Master Fund are being presented net within the statement of financial condition of the Master Fund.

j)Taxation

The Cayman Islands currently has no income, corporation or capital gains tax, no taxes by way of withholding and no estate duty, inheritance tax or gift tax. In addition, the Master Fund has applied for and received from the Governor-in-Cabinet of the Cayman Islands pursuant to The Tax Concessions Law (as amended) of the Cayman Islands, an undertaking that, for a period of twenty years from the date of the undertaking, no law which is thereafter enacted in the Cayman Islands imposing any tax on profits, income, gains or appreciations shall apply to the Master Fund or its operations. In addition no tax on profits, income, gains or appreciation which is in the nature of estate duty or inheritance tax shall be payable on or in respect of the shares, debentures or other obligations of the Master Fund.

ASC 740-10 “Accounting for Uncertainty in Income Taxes — an interpretation of ASC 740 (“ASU 740-10”) clarifies the accounting for uncertainty in income taxes recognised in the Master Fund’s financial statements in conformity with ASC 740 “Accounting for Income Taxes” (“ASC 740”). ASC 740-10 prescribes a recognition threshold and measurement attribute for the financial statement recognition and measurement of a tax position taken or expected to be taken on a tax return.

Management evaluates such tax positions to determine whether, for all tax years still subject to assessment or challenge by the relevant taxation authorities, the tax positions are “more-likely-than-not” to be being sustained on examination. This evaluation includes the position that further withholding taxes will not be levied on income already received by the Master Fund. Tax positions that meet the more-likely-than-not recognition threshold are initially recorded and subsequently measured at the largest amount of tax benefit that is more than 50 percent likely of being realised on ultimate settlement, using the facts, circumstances and information at the reporting date.

Management has analysed the Master Fund’s tax positions from commencement of operations and has concluded that no provision for income tax is required in the Master Fund’s financial statements except in respect of Spanish capital gains tax as outlined in note 3. Management’s assessment considers tax years subject to investigation. The Master Fund recognises interest and penalties, if any, related to unrecognised tax liability as a tax charge in the statement of operations. During the year ended 31 December 2016, the Master Fund did not incur any interest or penalties, except in respect of Spanish capital gains tax as outlined in note 3.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

3.Spanish capital gains tax

In accordance with ASC 740, Spanish capital gains tax of US$535,000 was recognised in the statement of operations within the tax charge, which includes interest and penalties, and US$535,000 was payable as at 31 December 2016.

4.Cash and Cash equivalents and balances with/due to brokers

At the year end amounts disclosed as cash and cash equivalents, balances with brokers and balances due to brokers were held at HSBC Bank plc (the “Bank”) and JP Morgan Securities plc, UBS Warburg Ltd and UBS AG (collectively, the “Prime Brokers”). Balances with brokers and balances due to brokers represent the margin account balances held in the broker and balances payable to broker as at the year end. Due from brokers and to brokers represent receivables for financial instruments sold and payables for financial instruments purchased that have been contracted for but not yet settled or delivered on the statement of financial position date respectively. These include amounts transferred as collateral (which is subject to a security interest) against open derivatives, short positions or financial instruments purchased on margin.

Amounts receivable from short sales and collateral may be restricted in whole or part until the related financial instruments are purchased. To the extent that the financial instruments are purchased on margin, the margin debt may be secured on the related financial instruments. The portion of balances with brokers represented by collateral as at 31 December 2016 was US$12,796,011.

Included in the cash and cash equivalents balances as at 31 December 2016 is cash in foreign currencies with a fair value of US$670,189 (cost US$710,292).

5.Fair value measurements

The Master Fund’s assets and liabilities carried at fair value have been categorised based upon the fair value hierarchy set out in note 2. The following is a summary of the Master Fund’s financial instruments carried at fair value as at 31 December 2016:

	Level 1 US$	Level 2 US$	Level 3 US$	Total US$
Derivative Assets, at fair value
Derivatives
Bond futures	311,517	—	—	311,517
Commodity futures	1,082,268	—	—	1,082,268
Currency futures	438,156	—	—	438,156
Index futures	503,443	—	—	503,443
Interest rate futures	40,507	—	—	40,507
Forward currency contracts	—	626,495	—	626,495
Total Derivatives	2,375,891	626,495	—	3,002,386
Total Derivative Assets, at fair value	2,375,891	626,495	—	3,002,386
Derivative Liabilities, at fair value
Derivatives
Bond futures	284,530	—	—	284,530
Commodity futures	506,233	—	—	506,233
Currency futures	315,852	—	—	315,852
Index futures	559,090	—	—	559,090
Interest rate futures	46,321	—	—	46,321
Forward currency contracts	—	879,302	—	879,302
Total Derivatives	1,712,026	879,302	—	2,591,328
Total Derivative Liabilities, at fair value	1,712,026	879,302	—	2,591,328

There were no significant transfers between levels 1 and 2 during the year ended 31 December 2016.

The Master Fund did not hold any level 3 investments during the year.

Investments are reviewed at each financial reporting point to ensure that they are correctly classified between level 1, 2 and 3 in accordance with the fair value hierarchy outlined above. Where an investment’s characteristics change during the year and investments no longer meet the criteria of a given level, they are transferred into a more appropriate level at the end of relevant financial reporting year.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

6.Derivatives

Typically, derivative contracts serve as components of the Master Fund’s investment strategy and are utilised primarily to structure and hedge investments to enhance performance and reduce risk to the Master Fund. The derivative contracts that the Master Fund is a party to consist of forward contracts and futures contracts. As at 31 December 2016, the derivative contracts were included in the Master Fund’s statement of financial condition at fair value.

The Master Fund records its derivative activities on a mark-to-market basis. Fair values are determined in accordance with the valuation principles set out in note 2.

For all OTC contracts, the Master Fund enters into master netting agreements with its counterparties, which may allow in certain circumstances netting of assets and liabilities. Assets and liabilities are only offset and the net amount reported in the statement of financial condition when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis or realise the assets and settle the liabilities simultaneously. As at 31 December 2016 no assets or liabilities are offset in the statement of financial condition.

As at 31 December 2016 all futures contracts were exchange traded and forward foreign currency contracts were OTC contracts. As at 31 December 2016 master netting arrangements were related to forward currency contracts held by the Master Fund.

The Master Fund has not designated any derivative instruments as hedging instruments under ASC 815 “Derivatives and hedging” (“ASC 815”). The condensed schedule of investments details information regarding derivative types and their fair value as at 31 December 2016.

As at 31 December 2016, open derivative instruments are included in the statement of financial condition under the heading ‘Derivatives, at fair value’.

	2016 US$
Assets
Bond futures	311,517
Commodity futures	1,082,268
Currency futures	438,156
Index futures	503,443
Interest rate futures	40,507
Forward currency contracts	626,495
	3,002,386

	2016 US$
Liabilities
Bond futures	284,530
Commodity futures	506,233
Currency futures	315,852
Index futures	559,090
Interest rate futures	46,321
Forward currency contracts	879,302
	2,591,328

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Notes to the financial statements (continued)

For the year ended 31 December 2016

6.Derivatives (continued)

As at 31 December 2016, the notional value of derivative instrument activity which is representative of the volume of derivative activity during the year was as follows:

	Notional value US$
	As at 31 December 2016
	Long (US$)	Short (US$)
Bond price risk
Bond futures	71,742,358	(111,045,649	)
Equity price risk
Index futures	125,056,295	(3,366,275	)
Commodity price risk
Commodity futures	27,566,116	(39,415,475	)
Interest rate risk
Interest rate futures	17,560,240	(148,141,442	)
Foreign exchange risk
Currency futures	2,232,620	(91,712,570	)
Forward currency contracts	52,598,845	(74,361,892	)

For non-exchange traded derivatives, under standard derivative agreements, the Master Fund may be required to post collateral on derivatives if the Master Fund is in a net liability position with the counterparty exceeding certain amounts.

The effect of transactions in derivative instruments on the statement of operations for the year ended 31 December 2016 was as follows:

Derivative Type	Location of gain or loss in statement of operations	Amount of gain or loss recognised in statement of operations US$
Futures contracts (non-commodity interest)	Net realised gain from non-commodity interest derivatives and foreign currency	9,760,633
Futures contracts (commodity interest)	Net realised loss from commodity interest derivatives	(12,449,550	)
Forward currency contracts	Net realised gain from non-commodity interest derivatives and foreign currency	379,925
Total		(2,308,992	)
Futures contracts (non-commodity interest)	Net change in unrealised appreciation on non-commodity interest derivatives and foreign currency	1,003,371
Futures contracts (commodity interest)	Net change in unrealised appreciation on commodity interest derivatives	1,908,482
Forward currency contracts	Net change in unrealised appreciation on non-commodity interest derivatives	(404,555	)
Total		2,507,298
Net realised loss and change in unrealised appreciation on foreign currency		88,801
Net realised loss and change in unrealised appreciation from derivatives and foreign currency		287,107

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Notes to the financial statements (continued)

For the year ended 31 December 2016

6.Derivatives (continued)

The primary difference in the risk associated with OTC contracts and exchange-traded contracts is credit risk. The Master Fund has credit risk from OTC contracts when two conditions are present (i) the OTC contracts have unrealised gains, net of any collateral and (ii) the counterparty of the contracts default. The credit risk related to exchange-traded contracts is minimal because the exchange ensures that their contracts are always honoured. As at 31 December 2016, all future contracts were exchange traded all other derivatives were OTC contracts.

Futures are contracts for delayed delivery of commodities, securities, equity indices or money market instruments in which the seller agrees to make delivery at a specified future date of a specified commodity or instrument, at a specified price or yield. Gains and losses on futures are recorded by the Master Fund based upon market fluctuations and are recorded as realised or unrealised gains or losses in the statement of operations.

Forward contracts entered into by the Master Fund represent a firm commitment to buy or sell an underlying asset, or currency at a specified value and point in time based upon an agreement or contracted quantity. The realised/unrealised gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement year-end date and is included in the statement of operations.

Derivative financial instruments are generally based on notional amounts which are not recorded in the financial statements. These notional amounts represent the theoretical principal value on which the cash flows of the derivative transactions are based. Unrealised gains or losses, rather than notional amounts, or the exchange-traded derivatives traded by the Master Fund are included in the statement of financial condition.

7.Offsetting of assets and liabilities

Financial assets and liabilities are offset and the net amount is reported in the statement of financial condition when the Master Fund has a legally enforceable right to offset and the transactions are intended to be settled on a net basis or simultaneously.

As at 31 December 2016, no financial instruments of the Master Fund are being presented net within the statement of financial condition.

The following tables provide information on the financial impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement in the event of default as defined under such agreements.

Derivative Assets and Collateral held by counterparty

	(i)	(ii) Impact of master netting arrangements not offset in the statement of financial condition			(iii)=(i)+(ii)
	Gross amounts of assets presented in the	Gross amounts not offset in the statement of financial condition
	statement of financial condition	Financial Instruments		Cash collateral received	Net amount
Counterparty	US$	US$		US$	US$
JP Morgan Securities plc	2,375,891	(1,712,026	)	—	663,865
UBS AG - London	626,495	(626,495	)	—	—
Total	3,002,386	(2,338,521	)	—	663,865

Derivative Liabilities and Collateral pledged by counterparty

	(i)	(ii) Impact of master netting arrangements not offset in the statement of financial condition				(iii)=(i)+(ii)
	Gross amounts of liabilities presented in	Gross amounts not offset in the statement of financial condition
	the statement of financial condition	Financial Instruments		Cash collateral pledged		Net amount
Counterparty	US$	US$		US$		US$
JP Morgan Securities plc	1,712,026	(1,712,026	)	—		—
UBS Warburg Ltd	879,302	(626,495	)	(252,807	)	—
Total	2,591,328	(2,338,521	)	(252,807	)	—

As at 31 December 2016 excess collateral pledged over fair value of financial liabilities was US$12,796,011.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

8.Financial risk management and associated risk

Overall risk management

The Master Fund’s investment activities expose it to the various types of risk which are associated with the financial instruments and markets in which it invests. The most important types of financial risks to which the Master Fund is exposed are market risk, credit risk and liquidity risk. Market risk includes price risk, interest rate risk and currency risk. The Master Fund manages these risks on an aggregate basis along with the risks associated with its investing activities as part of its overall risk management policies.

The Master Fund has an agreement with FRM Investment Management (USA) LLC to act as risk manager. The Directors rely upon the Risk Manager to ensure that risks within the Master Fund are managed by the Investment Manager.

As a pre-requisite for investment, initial due diligence is performed by the Risk Manager to review the Investment Manager’s trading strategy, operational infrastructure and risk management environment. The Risk Manager then monitors the integrity of the Investment Manager’s operations on an ongoing basis.

The Risk Manager further monitors certain risk and performance measures of the Master Fund on a regular basis to seek to ensure that risks are managed by the Investment Manager and performance is in line with expectations and in accordance with any investment restrictions placed upon the Investment Manager. To this extent, the Risk Manager is given transparency on the positions and performance of the Investment Manager through trade files. Such measures include return breakouts, drawdowns, Value-at-Risk (“VaR”), volatility, risk factor sensitivities and stress test losses.

The Risk Manager performs regular reviews of certain performance based measures against the Master Fund’s history of such measures and against that of the Investment Manager’s funds which implement similar strategies. If necessary, the Risk Manager requests that corrective action be taken by the Investment Manager.

The nature and extent of the financial instruments outstanding at the date of the statement of financial condition and the risk management policies employed by the Master Fund are discussed below.

Market risk

Market risk is the risk that fair value or future cash flows of financial instruments will fluctuate due to changes in market variables such as interest rates, foreign exchange rates and equity prices.

Interest rate risk

Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates.

The Master Fund is exposed to interest rate risk on cash at a bank, balances with brokers, balances due to brokers and certain derivative contracts.

Currency risk

Currency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in foreign exchange rates. Although the majority of the Master Fund’s assets are denominated in US$, the Master Fund may invest in financial instruments and hold cash balances at its brokers that are denominated in currencies other than its reporting currency, the US$. Consequently, the Master Fund is exposed to risks that the exchange rate of the US$ relative to other currencies may change in a manner which has an adverse effect on the reported value of that portion of the Master Fund’s assets which are denominated in currencies other than the US$.

Other price risk

Other price risk is the risk that the price of a financial instrument will fluctuate due to changes in market conditions influencing, directly or indirectly, the value of the financial instrument. The Master Fund is exposed to other price risk from its financial instruments. Due to the nature of the trading strategies followed by this Master Fund, no direct relationship between any market factors and the expected prices of the financial instruments can be reliably established. Other price risk is managed through the overall risk management processes described above.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

8.Financial risk management and associated risk (continued)

Credit/Counterparty risk

Credit risk is the risk that an issuer or counterparty will be unable to meet a commitment that it has entered into with the Master Fund.

The Master Fund’s maximum exposure to credit risk (not taking into account the value of any collateral or other security held) in the event that the counterparties fail to perform their obligations as at 31 December 2016 in relation to each class of recognised financial assets, other than derivatives, is the carrying amount of those assets in the statement of financial condition.

With respect to derivative financial instruments, credit risk arises from the potential failure of counterparties to meet their obligations under the contract or arrangement.

The Risk Manager has centralised its due diligence and monitoring process of prime brokerage and trading relationships through a dedicated prime brokerage and trading team employed by an affiliated company. Credit and counterparty risk is analysed by examining certain credit related criteria on a centralised basis across platforms by establishing risk tolerance levels in accordance with the overall risk profile of the prime broker/counterparty as determined by the Risk Manager. The credit quality of the Master Fund’s Bank, Brokers and any lenders at their parent companies level and subsidiaries when they are available is regularly monitored and factored into allocation decisions.

The exposures are to the Bank and to the Prime Brokers. As at the date of issuance of these financial statements, according to Moody’s Rating Agency, the credit rating of the Bank’s parent company HSBC Bank plc, is A1, the credit rating of JP Morgan Securities plc is Aa2, and the credit rating of both UBS Warburg Ltd’s and UBS AG’s parent company UBS Group AG, is Ba1.

In addition, netting agreements and collateral arrangements (including International Swaps and Derivatives Association Inc. (“ISDA”) Master Agreements for over-the-counter derivatives) are routinely put in place when appropriate to allow the counterparty risk mitigating benefits of close-out netting and payment netting.

Liquidity risk

Liquidity risk is the risk that the Master Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Shares are the main liquidity risk for the Master Fund.

The Shares are redeemable as outlined in note 11. The exposure to liquidity risk through redemption requests for Shares is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the underlying investments as agreed by the Investment Manager.

The majority of the Master Fund’s financial instruments are Level 1 financial instruments which are considered readily realisable as they are all listed on major recognised exchanges.

The Master Fund’s financial instruments also include investments in Level 2 financial instruments, which are not quoted in an active public market and which generally may be illiquid. As a result, the Master Fund may not be able to liquidate quickly some of its investments in these instruments at an amount close to their fair value in order to meet its liquidity requirements.

9.Fees, commissions and other expenses

Management and incentive fees

Pursuant to the Investment Management Agreement (the “IMA”) entered into between the Master Fund and the Investment Manager dated 1 May 2015, the Master Fund will pay the Investment Manager (i) the Management Fee, monthly in arrears, equal to 0.5% per annum of the Master Fund’s Trading Level as defined in the IMA, adjusted for profits and losses and (ii) the Incentive Fee, payable quarterly in arrears, equal to 25% of any net appreciation of the Master Fund during the quarter; provided that no Incentive Fee shall be payable until losses in previous periods have been recouped. Incentive Fees generally crystallise upon a Redeemable Participating Shareholder making a redemption from the Master Fund to the extent Incentive Fees are accrued at the time of the redemption. In addition, redemptions generally reduce any then-allocable losses that must be recouped by the Investment Manager for it to be entitled to Incentive Fees.

Risk management fees

Pursuant to the Risk Management Agreement entered into between the Master Fund and the Risk Manager, the Risk Manager is responsible for monitoring the trading and investments of the Master Fund’s assets by the Investment Manager and its compliance with the investment objectives and strategies of the Master Fund. Risk management fees are paid by the Feeder Funds.

Administration fees

The Master Fund pays the administrator of the Master Fund an administration fee of up to 0.135% per annum of the net asset value of the Master Fund.

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Notes to the financial statements (continued)

For the year ended 31 December 2016

10.Related party transactions

Master Multi-Product Holdings II Ltd., a Bermuda exempted company, is a related party through its 100% holding of all the management shares of the Master Fund. The intermediate controlling party of the Master Fund is therefore Master Multi-Product Holdings II Ltd.

The Risk Manager is a related party as it is the risk manager and commodity pool operator of the Master Fund. The Risk Manager is an indirect wholly-owned subsidiary of Man Group plc and therefore all subsidiaries of Man Group plc are also related parties.

The Investment Manager is a related party as it is the investment manager of the Master Fund.

Each of the Directors is or may become involved in other financial investment and professional activities which may cause conflicts of interest with the management of the Master Fund. These activities include management or administration of other companies (including those with investment objectives similar to those of the Master Fund or structures which may be related to Man Group plc sponsored investment funds), purchases and sales of financial instruments and other investments, investment and management counselling and serving as directors, advisors and/or agents of other companies, including companies and other legal structures in which the Master Fund may invest and/or which may invest in the Master Fund.

The following transactions took place between the Master Fund and its related parties for the year ended 31 December 2016.

Related party	Type of fee	Total Fees US$	Fees payable US$
Lynx Asset Management AB	Management fees	676,950	50,184
Directors	Directors’ fees	12,000	—

As at 31 December 2016, 100% of all outstanding Shares were owned by the Feeder Funds, which are entities affiliated with Man Group plc (refer to note 11).

11.Share capital

The Master Fund has an authorised share capital of US$50,000 divided into 1,000 management shares (“Management Shares”) of a par value of US$1.00 each and 4,900,000 non-voting Shares of a par value of US$0.01 each, which may be divided into different classes and/or series of Shares as the Directors may determine.

Management Shares of the Master Fund

The Management Shares are held by Master Multi-Product Holdings II Ltd. which is wholly-owned by Codan Trust Company Limited as trustee of the Master Multi-Product Purpose Trust, a special purpose trust formed under the laws of Bermuda pursuant to a Deed of Trust made by Codan Trust Company Limited dated 14 December 2005. As at 31 December 2016, these shares remained uncalled and no amounts were paid or payable to the Master Fund.

Shares of the Master Fund

Holders of Shares may, upon one business day’s written notice to the administrator of the Master Fund, redeem their Shares on the first business day of each month or each week and/or such other days as the Directors may determine in their sole discretion unless redemptions have been suspended or deferred. The Directors, in their sole discretion, may decline to sell Shares to any investor for any reason or for no reason.

Investors may subscribe for Shares on the first business day of each week or each month. Class A Shares are only available for subscription by Man investors.

19

Silver MAC Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

11.          Share capital (continued)

Shares of the Master Fund (continued)

Transactions in Shares for the year ended 31 December 2016 were as follows:

	Class A
	US$		No of Shares
Balance at the beginning of the year			57,562
Issue of Shares for the year	26,050,000		20,529
Redemption of Shares for the year	(38,630,123	)	(28,600	)
Balance at the end of the year			49,491

In the event of a winding-up or dissolution of the Master Fund or upon the distribution of capital, the holders of the Shares shall be entitled, following a payment to the holders of paid-up Management Shares of the par value thereof, to the return of the assets of the Master Fund held in respect of that class and, thereafter, to share pro rata in the assets, if any, of the Master Fund which are not held in respect of any class of shares.

Capital management

The Master Fund’s objectives for managing capital may include:

·investing the capital in investments meeting the description, risk exposure and expected return indicated in the Feeder Funds’ offering documents;

·achieving consistent returns while safeguarding capital by investing in a diversified portfolio, by participating in derivative and other advanced capital markets and by using various investment strategies and hedging techniques;

·maintaining sufficient liquidity to meet the expenses of the Master Fund, and to meet redemption requests as they arise; and

·maintaining sufficient size to make the operation of the Master Fund cost-efficient.

Refer to note 8, ‘Financial risk management and associated risk’, for the policies and processes applied by the Master Fund in managing its capital.

20

Silver MAC Limited

Notes to the financial statements (continued)

For the year ended 31 December 2016

12.          Financial highlights

Per Share operating performance:	Class A US$
Net asset value per share at the beginning of the year	1,194.98
Change in net assets resulting from operations:
Net investment loss	(33.69	)
Net realised loss and change in unrealised appreciation from derivatives and foreign currency	(55.86	)
Net decrease in net assets resulting from operations	(89.55	)
Net asset value per share at the end of the year	1,105.43
Total Return
Total return before incentive fees	(7.49	)%
Incentive fees	—
Total return after incentive fees	(7.49	)%
Ratio to average net assets (i)
Net investment loss before incentive fees	(2.67	)%
Incentive fees	—
Net investment loss after incentive fees	(2.67	)%
Total expenses before incentive fees	2.80	%
Incentive fees	—
Total expenses after incentive fees	2.80	%
Non-trade expenses (ii)	2.15	%

(i)The financial highlights are calculated for a share class taken as a whole. An individual shareholder’s financial highlights may vary from the above based on the timing of capital transactions and individual management and incentive fee arrangements.

(ii)The ratio details the total expenses less trading costs (including interest costs, dividend costs and transaction and brokerage costs) incurred by the Master Fund in the course of normal trading, to the average net assets described above.

13.Indemnifications

In the normal course of business, the Master Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Master Fund that have not yet occurred. However, based on experience, management expects the risk of loss to be remote.

14.Subsequent events

Subsequent to 31 December 2016, investors subscribed for Shares having an aggregate net asset value of US$150,000 and redeemed Shares having an aggregate net asset value of US$4,572,775.

In connection with the preparation of the financial statements as at 31 December 2016, management has evaluated the impact of all subsequent events on the Master Fund through 23 March 2017, the date the financial statements were available to be issued, and has determined that there were no additional subsequent events requiring recognition or disclosure in the financial statements.

21

Report of Independent Auditors

The Board of Directors

Silver MAC Limited

We have audited the accompanying financial statements of Silver MAC Limited (the “Master Fund”), which comprise the statement of financial condition, including the condensed schedule of investments, as of 31 December 2016, and the related statements of operations and changes in net assets for the year then ended, and the related notes to the financial statements.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

Auditor’s Responsibility

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

A member firm of Ernst & Young Global Limited

22

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Silver MAC Limited at 31 December, 2016, and the results of its operations and changes in its net assets for the year then ended in conformity with U.S. generally accepted accounting principles.

/s/ Ernst & Young Ltd.

23 March 2017

23

EX-13.07

Exhibit 13.07

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) Financial Statements as of December 31, 2015 and 2014 and for the years ended December 31, 2015, 2014 and 2013 and Report of Independent Registered Public Accounting Firm

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) TABLE OF CONTENTS Page REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 1 FINANCIAL STATEMENTS: Statements of Financial Condition as of December 31, 2015 and 2014 2 Statements of Operations for the years ended December 31, 2015, 2014 and 2013 3 Statements of Changes in Members’ Capital for the years ended December 31, 2015, 2014 and 2013 4 Financial Data Highlights for the years ended December 31, 2015, 2014 and 2013 6 Notes to Financial Statements 9

Report of Independent Registered Public Accounting Firm To the Board of Managers and Members of Aspect FuturesAccess LLC: In our opinion, the accompanying statements of financial condition and the related statements of operations and of changes in members' capital and the financial data highlights present fairly, in all material respects, the financial position of Aspect FuturesAccess LLC (the "Fund") at December 31, 2015 and 2014, and the results of its operations, the changes in its members' capital and its financial data highlights for each of the three years in the period ended December 31, 2015 in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial data highlights (hereafter referred to as the "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. March 18, 2016 PricewaterhouseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017 T: (646) 471 3000, F:(813) 286 6000, www.pwc.com/us

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF FINANCIAL CONDITION AS OF DECEMBER 31, 2015 AND 2014 2015 2014 ASSETS: Equity in commodity trading accounts: Cash (including restricted cash of $22,606,519 for 2015 and $25,744,662 for 2014) Unrealized profit on open futures contracts Unrealized profit on open forwards contracts Cash and cash equivalents Other assets TOTAL ASSETS $ 139,140,656 3,018,908 2,865,248 524,919 7,354 $ 144,270,669 11,405,220 4,676,369 525,336 5,490 $ 145,557,085 $ 160,883,084 LIABILITIES AND MEMBERS’ CAPITAL: LIABILITIES: Unrealized loss on open futures contracts Unrealized loss on open forwards contracts Brokerage commissions payable Sponsor and Advisory fees payable Redemptions payable Other liabilities $ 4,850,127 1,948,202 19,424 540,513 11,882,490 1,444,493 $ 2,027,902 3,120,254 20,409 4,128,764 2,382,533 1,402,503 Total liabilities 20,685,249 13,082,365 MEMBERS’ CAPITAL: Members' Capital (75,412,083 Units and 87,952,580 Units outstanding; unlimited Units authorized) Total Members’ Capital 124,871,836 147,800,719 124,871,836 147,800,719 TOTAL LIABILITIES AND MEMBERS' CAPITAL $ 145,557,085 $ 160,883,084 NET ASSET VALUE PER UNIT: Class A Class C Class D Class I Class DS* Class DT** Class M *Units fully redeemed as of April 30, 2015. **Units fully redeemed as of December 31, 2015. See notes to financial statements. $ 1.8330 $ 1.7318 $ 1.6517 $ 1.5768 $ 2.1909 $ 2.0448 $ 1.9115 $ 1.7810 $ - $ 2.0290 $ - $ 2.1534 $ 1.1726 $ 1.0933 2

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 2015 2014 2013 TRADING PROFIT (LOSS), NET: Realized, net Change in unrealized, net Brokerage commissions $ 28,415,973 (11,847,606) (463,158) $ 39,183,017 3,729,830 (562,521) $ (8,226,582) 3,403,467 (837,585) Total trading profit (loss), net 16,105,209 42,350,326 (5,660,700) INVESTMENT INCOME (EXPENSE): Interest, net 6,174 3,957 (8,964) EXPENSES: Management fee Sponsor fee Performance fee Other Total expenses 2,752,521 2,405,145 2,973,476 680,050 2,778,896 2,114,944 3,723,195 569,336 4,599,613 3,496,422 - 1,958,518 8,811,192 9,186,371 10,054,553 NET INVESTMENT INCOME (LOSS) (8,805,018) (9,182,414) (10,063,517) NET INCOME (LOSS) $ 7,300,191 $ 33,167,912 $ (15,724,217) NET INCOME (LOSS) PER UNIT: Weighted average number of Units outstanding Class A Class C Class D Class I Class DS* Class DT** Class M 13,077,702 14,663,621 21,420,348 50,553,044 56,094,542 90,020,993 2,674,226 2,482,366 4,424,535 1,219,457 2,282,028 5,967,248 11,455,528 15,783,877 26,429,490 5,182,416 7,315,997 11,618,802 6,913,868 6,189,299 9,052,573 Net income (loss) per weighted average Unit Class A Class C Class D Class I Class DS* Class DT** Class M $ 0.1078 $ 0.3191 $ (0.1035) $ 0.0754 $ 0.2843 $ (0.1029) $ 0.2068 $ 0.4767 $ (0.0743) $ 0.1238 $ 0.1629 $ (0.0918) $ (0.0266) $ 0.3926 $ (0.0774) $ 0.2110 $ 0.4331 $ (0.0754) $ 0.0845 $ 0.2617 $ (0.0493) *Units fully redeemed as of April 30, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period January 1, 2015 to April 30, 2015.) **Units fully redeemed as of December 31, 2015. See notes to financial statements. 3

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 (IN UNITS) Members' Units December 31, 2012 Members' Units December 31, 2013 Members' Units December 31, 2014 Members' Units December 31, 2015 Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Class A Class C Class D Class I Class DS* Class DT** Class M 21,463,611 99,953,893 5,562,428 7,154,253 32,959,715 13,709,450 9,721,721 4,040,957 7,453,250 92,294 364,380 524,475 - 1,590,801 (7,150,882) (38,698,184) (3,172,357) (3,362,171) (14,551,987) (5,177,757) (6,809,149) 18,353,686 68,708,959 2,482,365 4,156,462 18,932,203 8,531,693 4,503,373 86,884 3,009,415 - - 1,727,471 - 4,430,945 (6,091,043) (22,588,633) - (2,949,146) (8,855,147) (3,091,073) (3,395,834) 12,349,527 49,129,741 2,482,365 1,207,316 11,804,527 5,440,620 5,538,484 2,270,434 5,420,466 522,844 58,000 73,442 1,026,778 2,531,648 (835,634) (3,916,597) (834,838) (87,734) (11,877,969) (6,467,398) (423,939) 13,784,327 50,633,610 2,170,371 1,177,582 - - 7,646,193 Total Members' Units 190,525,071 14,066,157 (78,922,487) 125,668,741 9,254,715 (46,970,876) 87,952,580 11,903,612 (24,444,109) 75,412,083 *Units fully redeemed as of April 30, 2015. **Units fully redeemed as of December 31, 2015. See notes to financial statements. 4

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 Members' Capital December 31, 2012 Net Income(Loss) Members' Capital December 31, 2013 Net Income(Loss) Members' Capital December 31, 2014 Net Income(Loss) Members' Capital December 31, 2015 Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Class A Class C Class D Class I Class DS* Class DT** Class M $ 31,117,660 134,557,684 9,214,011 10,688,469 54,364,101 23,677,968 8,621,100 $ 5,769,551 9,796,129 149,775 558,096 868,829 - 1,402,908 $ (9,861,129) (49,715,504) (5,142,642) (4,885,123) (23,636,338) (8,792,936) (5,810,897) $ (2,217,748) (9,262,850) (328,558) (547,925) (2,045,044) (876,002) (446,090) $ 24,808,334 85,375,459 3,892,586 5,813,517 29,551,548 14,009,030 3,767,021 $ 113,081 3,688,284 - - 2,648,474 - 3,587,534 $ (8,213,213) (27,548,209) - (4,034,953) (14,444,702) (5,461,939) (2,919,045) $ 4,678,539 15,949,799 1,183,266 371,655 6,196,491 3,168,595 1,619,567 $ 21,386,741 77,465,333 5,075,852 2,150,219 23,951,811 11,715,686 6,055,077 $ 3,941,551 8,658,518 1,000,100 112,000 161,403 2,270,636 2,820,000 $ (1,470,667) (6,305,500) (1,873,877) (162,220) (23,808,292) (15,079,959) (492,767) $ 1,409,709 3,813,899 552,976 150,930 (304,922) 1,093,637 583,962 $ 25,267,334 83,632,250 4,755,051 2,250,929 - - 8,966,272 Total Members' Interest $ 272,240,993 $ 18,545,288 $ (107,844,569) $ (15,724,217) $ 167,217,495 $ 10,037,373 $ (62,622,061) $ 33,167,912 $ 147,800,719 $ 18,964,208 $ (49,193,282) $ 7,300,191 $ 124,871,836 *Units fully redeemed as of April 30, 2015. **Units fully redeemed as of December 31, 2015. See notes to financial statements. 5

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2015 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 DS* Class DT** Class M Net asset value, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net Expenses Net asset value, before full redemption (if applicable) Less redemption Net asset value, end of year $ 1.7318 0.2132 (0.0059) 0.0001 (0.1062) $ 1.5768 0.1925 (0.0053) 0.0001 (0.1124) $ 2.0448 0.2471 (0.0070) 0.0001 (0.0941) $ 1.7810 0.2396 (0.0061) 0.0001 (0.1031) $ 2.0290 0.0233 (0.0023) 0.0001 (0.0574) $ 2.1534 0.2917 (0.0074) 0.0001 (0.0816) $ 1.0933 0.1334 (0.0037) 0.0000 (0.0504) 1.8330 1.6517 2.1909 1.9115 1.9927 2.3562 1.1726 - - - - 1.9927 2.3562 - $ 1.8330 $ 1.6517 $ 2.1909 $ 1.9115 $ - $ - $ 1.1726 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 7.88% -2.04% 6.78% -2.03% 9.18% -2.04% 9.38% -2.05% 0.18% -1.97% 11.14% -1.72% 9.29% -2.04% 5.84% 4.75% 7.14% 7.33% -1.79% 9.42% 7.25% Ratios to Average Members' Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 4.01% 1.95% 5.02% 1.95% 2.51% 1.95% 3.61% 1.95% 2.44% 1.88% 2.01% 1.63% 2.51% 1.95% 5.96% 6.97% 4.46% 5.56% 4.32% 3.64% 4.46% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -4.01% -1.95% -5.02% -1.95% -2.51% -1.95% -3.61% -1.95% -2.44% -1.88% -2.01% -1.63% -2.51% -1.95% -5.96% -6.97% -4.46% -5.56% -4.32% -3.64% -4.46% (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. *Units fully redeemed as of April 30, 2015. The ratios to average members' capital have been annualized. The performance fee ratios and total return have not been annualized. **Units fully redeemed as of December 31, 2015. See notes to financial statements. 6

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2014 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 DS Class DT Class M Net asset value, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net Expenses Net asset value, end of year $ 1.3517 0.4874 (0.0056) 0.0000 (0.1017) $ 1.2426 0.4442 (0.0051) 0.0000 (0.1049) $ 1.5681 0.5726 (0.0065) 0.0001 (0.0895) $ 1.3987 0.5060 (0.0058) 0.0000 (0.1179) $ 1.5609 0.5702 (0.0065) 0.0001 (0.0957) $ 1.6420 0.6028 (0.0068) 0.0001 (0.0847) $ 0.8365 0.3066 (0.0035) 0.0000 (0.0463) $ 1.7318 $ 1.5768 $ 2.0448 $ 1.7810 $ 2.0290 $ 2.1534 $ 1.0933 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 31.29% -3.17% 30.04% -3.14% 33.62% -3.22% 30.52% -3.19% 33.21% -3.22% 33.90% -2.76% 33.93% -3.23% 28.12% 26.90% 30.40% 27.33% 29.99% 31.14% 30.70% Ratios to Average Members' Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 3.93% 2.60% 4.94% 2.60% 2.42% 2.60% 3.53% 2.60% 2.42% 2.60% 1.92% 2.23% 2.42% 2.60% 6.53% 7.54% 5.02% 6.13% 5.02% 4.15% 5.02% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -3.93% -2.60% -4.93% -2.60% -2.41% -2.60% -3.52% -2.60% -2.41% -2.60% -1.91% -2.23% -2.41% -2.60% -6.53% -7.53% -5.01% -6.12% -5.01% -4.14% -5.01% (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. See notes to financial statements. 7

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2013 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 DS Class DT Class M Net asset value, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net Expenses $ 1.4498 (0.0295) (0.0051) (0.0001) (0.0634) $ 1.3462 (0.0272) (0.0047) (0.0001) (0.0716) $ 1.6565 (0.0341) (0.0059) (0.0001) (0.0483) $ 1.4940 (0.0305) (0.0053) (0.0001) (0.0594) $ 1.6494 (0.0340) (0.0058) (0.0001) (0.0486) $ 1.7271 (0.0357) (0.0061) (0.0001) (0.0432) $ 0.8868 (0.0183) (0.0031) (0.0000) (0.0289) Net asset value, end of year $ 1.3517 $ 1.2426 $ 1.5681 $ 1.3987 $ 1.5609 $ 1.6420 $ 0.8365 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees -6.75% 0.00% -7.67% 0.00% -5.34% 0.00% -6.37% 0.00% -5.34% 0.00% -4.86% 0.00% -5.34% 0.00% -6.75% -7.67% -5.34% -6.37% -5.34% -4.86% -5.34% Ratios to Average Members' Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 4.51% 0.00% 5.51% 0.00% 3.01% 0.00% 4.11% 0.00% 3.01% 0.00% 2.51% 0.00% 3.01% 0.00% 4.51% 5.51% 3.01% 4.11% 3.01% 2.51% 3.01% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -4.51% 0.00% -5.51% 0.00% -3.01% 0.00% -4.11% 0.00% -3.01% 0.00% -2.51% 0.00% -3.01% 0.00% -4.51% -5.51% -3.01% -4.11% -3.01% -2.51% -3.01% (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. See notes to financial statements. 8

ASPECT FUTURESACCESS LLC (A Delaware Limited Liability Company) NOTES TO FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Organization Aspect 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 April 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Aspect Capital Limited (“Aspect” or “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Aspect Diversified 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. As of December 31, 2015, the Fund offers five Classes of Units: Class A, Class C, Class I, Class D and Class M. Each Class of Units is offered at the Net Asset Value per Unit. The Class M Units are for investors who are subscribing through certain accounts enrolled in an eligible managed account program (“Eligible Managed Accounts”). The Sponsor may modify, on a prospective basis, the Eligible Managed Accounts. Class DT was solely for investments made by ML Trend-Following Futures Fund L.P., which was a FuturesAccess fund of funds. ML Trend-Following Futures Fund L.P. liquidated as of December 31, 2015. Class DS was solely for investments made by Systematic Momentum FuturesAccess LLC, which also was a FuturesAccess fund of funds. Systematic Momentum FuturesAccess LLC redeemed its investment in the Fund as of April 30, 2015. Class DT units and Class DS units are no longer offered. 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. 9

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. Cash was held at a nationally recognized financial institution. Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“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. Statement of Cash Flows The Fund is not required to provide a Statement of Cash Flows. Revenue Recognition Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized, net under Trading profit (loss), net in the Statements of Operations. Trading profit (loss), net includes brokerage commission costs on commodity contracts. Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statements of Operations. Equity in Commodity Trading Accounts A portion of the assets maintained at MLPF&S and MLI is restricted cash required to meet maintenance margin requirements of the exchanges the Fund’s contracts are traded on and /or requirements greater than those of the exchanges as may be required by MLPF&S and MLI, in their sole discretion. Operating Expenses and Selling Commissions The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund. Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from 10

subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions. Class DT Units and Class DS Units, when offered during the year, were not subject to upfront sales commissions. Income Taxes Each investor is individually responsible for reporting income or loss based on such investor’s share of the Fund’s income and expenses as reported for income tax purposes. The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Fund, including reducing the Net Asset Value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that a provision for income tax of $1,164,420, generated by trading in Spain, is required in the Fund’s financial statements. Such amount is included in Other Liabilities on the Statements of Financial Condition. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States – 2012. Distributions Each investor is entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2015, 2014 and 2013. Subscriptions The Fund generally offers Units for investment as of the 1st and 16th calendar day of each month (each a “Subscription Date”) at the Net Asset Value per Unit of their respective Classes, although MLAI may in its discretion, discontinue mid-month subscriptions at any time. Investors must submit their executed subscription agreement signature pages on or before the “Subscription/Redemption Notice Date,” which is eight business days prior to the 1st and 16th of every month. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate Net Asset Value equal to the dollar amount invested. Redemptions and Exchanges Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon submitting a redemption request by the Subscription/Redemption Notice Date, which is eight business days prior to the 1st and 16th of every month. MLAI may eliminate investors’ mid-month redemption right at any time. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date. Investors in the Fund may generally exchange their Units for those of any other FuturesAccess Fund as of any Subscription Date with prior written notice to the Fund by the Subscription/Redemption Notice Date and any applicable notice to the other FuturesAccess Fund. If only one of the FuturesAccess Funds has semi-monthly 11

redemption dates, exchanges will only be permitted as of the beginning of each month. In all cases, exchanges are subject to FuturesAccess Fund availability, investor eligibility and any restrictions imposed by a FuturesAccess Fund or the terms of a securities account, either temporarily or on an ongoing basis. The minimum exchange amount is $10,000. 12

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 December 31, 2015 and 2014, are as follows: December 31, 2015 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies - Futures Currencies - Forwards* Energy Interest rates Metals Stock indices 403 - 138,229,375 1 2,191 225 383 $ (133,462) - (864,189) 244 (1,188,422) 235,336 (19,308) -0.11% 0.00% -0.69% 0.00% -0.95% 0.19% -0.02% (1,101) (40) (232,442,989) (986) (1,058) (835) (311) $ 289,457 23,762 1,781,235 93,771 22,462 (1,075,743) (79,316) 0.23% 0.02% 1.42% 0.08% 0.02% -0.86% -0.06% $ 155,995 23,762 917,046 94,015 (1,165,960) (840,407) (98,624) 0.12% 0.02% 0.73% 0.08% -0.93% -0.67% -0.08% February 2016 - April 2016 March 2016 March 2016 January 2016 - December 2016 March 2016 - June 2018 February 2016 - April 2016 January 2016 - March 2016 Total December 31, 2014 $ (1,969,801) -1.58% $ 1,055,628 0.85% $ (914,173) -0.73% Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies - Futures Currencies - Forwards* Energy Interest rates Metals Stock indices 320 - 177,986,978 - 4,974 358 1,294 $ (176,604) - (2,561,819) - 4,862,228 (930,978) 1,070,026 -0.12% 0.00% -1.73% 0.00% 3.29% -0.63% 0.72% (897) (106) (305,534,846) (627) (509) (502) (158) $ 676,248 72,529 4,117,934 3,389,623 (41,179) 613,650 (158,225) 0.46% 0.05% 2.79% 2.29% -0.03% 0.42% -0.11% $ 499,644 72,529 1,556,115 3,389,623 4,821,049 (317,328) 911,801 0.34% 0.05% 1.06% 2.29% 3.26% -0.21% 0.61% February 2015 - April 2015 March 2015 March 2015 January 2015 - December 2015 March 2015 - June 2017 February 2015 - April 2015 January 2015 - March 2015 Total $ 2,262,853 1.53% $ 8,670,580 5.87% $ 10,933,433 7.40% *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 December 31, 2015 and December 31, 2014. 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. 13

3. FAIR VALUE OF INVESTMENTS Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations. The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Investments measured and reported at fair value are classified and disclosed in one of the following categories: Level I – Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price. Level II – Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data. Level III – Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy. Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and third party 14

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. As of December 31, 2015, the Fund holds cash equivalents, which are considered Level II. 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 2015 and 2014. The Fund's unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of December 31, 2015 and 2014 are as follows: 2015 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 3,018,908 2,865,248 $ 2,689,613 - $ 329,295 2,865,248 $ - - $ 5,884,156 $ 2,689,613 $ 3,194,543 $ - Liabilities Futures Forwards $ 4,850,127 1,948,202 $ 3,703,780 - $ 1,146,347 1,948,202 $ - - $ 6,798,329 $ 3,703,780 $ 3,094,549 $ - December 31, 2015 $ (914,173) $ (1,014,167) $ 99,994 $ - 15

2014 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 11,405,220 4,676,369 $ 10,808,290 - $ 596,930 4,676,369 $ - - $ 16,081,589 $ 10,808,290 $ 5,273,299 $ - Liabilities Futures Forwards $ 2,027,902 3,120,254 $ 1,081,090 - $ 946,812 3,120,254 $ - - $ 5,148,156 $ 1,081,090 $ 4,067,066 $ - December 31, 2014 $ 10,933,433 $ 9,727,200 $ 1,206,233 $ - The Fund’s volume of trading forwards and futures at December 31, 2015 and 2014, respectively, are representative of the activity throughout the years presented. 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 December 31, 2015 and December 31, 2014, 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 their 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 the years ended December 31, 2015, 2014 and 2013: 16

Commodity Industry Sector December 31, 2015 Profit (loss) from trading, net December 31, 2014 Profit (loss) from trading, net December 31, 2013 Profit (loss) from trading, net Agriculture Currencies Energy Interest rates Metals Stock indices $ (289,165) (1,828,505) 14,394,708 (766,755) 5,920,577 (862,493) $ 2,857,640 4,719,494 22,489,731 19,440,705 (3,803,255) (2,791,468) $ 3,640,588 (4,843,485) (18,787,514) (16,906,536) 10,406,240 21,667,592 Total, net $ 16,568,367 $ 42,912,847 $ (4,823,115) 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. RELATED PARTY TRANSACTIONS MLAI owns 50 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of December 31, 2015. 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 years ended December 31, 2015, 2014, and 2013 amounted to $48,759, $28,521 and $46,139, respectively, of which $7,262 and $4,674 was payable to the Transfer Agent as of December 31, 2015 and 2014, respectively. Typically the vast majority of the Fund’s U.S. dollar assets are maintained at MLPF&S. MLPF&S and any other BofA Corp. affiliates that hold the Fund’s cash assets receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little, or no, interest on these cash assets. BofA Corp.’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by the Sponsor with its affiliates. As of December 31, 2015, the interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers and is calculated by the Federal Reserve Bank of New York using data provided by the brokers. Interest is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis. 17

MLPF&S charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income. The Fund charges Sponsor fees on the month-end Net Asset Value after all other charges at annual rates equal to 1.5% for Class A Units, 2.5% for Class C Units, and 1.1% for Class I Units. Class D Units and Class M Units are not charged a Sponsor fee. Class DT and Class DS were not charged a Sponsor fee during the year. The Fund pays brokerage commissions on actual cost per round-turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2015, 2014, and 2013 was approximately $6.49, $5.94 and $5.50, 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. 5. ADVISORY AGREEMENT The Fund, MLAI and the Trading Advisor have entered into an advisory agreement. The advisory agreement will continue in effect until December 31, 2016. Thereafter, the advisory agreement will be automatically renewed for successive three-year periods, on the same terms, unless terminated at any time by either the Trading Advisor or the Fund upon 90 days written notice to the other party. Pursuant to the advisory agreement, the Trading Advisor has sole and exclusive authority and responsibility for directing the Fund’s trading, subject to MLAI’s fiduciary responsibility to intervene, to overrule or unwind trades if MLAI deems that doing so is necessary or advisable for the protection of the Fund. The Fund pays monthly management fees to the Trading Advisor based on the month-end Net Asset Value of the Fund (prior to reduction for the management fees being calculated and any accrued performance fees or Sponsor fees). The management fee rate is 2.0% per year for all Classes of Units, except for Class DT Units, which is charged a 1.5% management fee. The Fund pays a 20% quarterly performance fee to the Trading Advisor with respect to all Classes of Units with the exception of Class DT which pays a 15% quarterly performance fee. The performance fee is calculated based on any increase in the aggregate Net Asset Value of the Classes of Units subject to the same rate of performance fees (each a “Class Group”), taken together, in excess of the Class Group’s highest Net Asset Value as of any previous calendar quarter end after adjustment for subscriptions and the performance fee then paid (“High Water Mark”). The performance fee is also paid on net redemptions, and the High Water Mark is proportionately reduced. The Trading Advisor has agreed to share 50% of the management fees with MLAI in order to defray costs in connection with and in consideration of BofA Corp.’s providing certain administrative support for the Fund. 6. WEIGHTED AVERAGE UNITS The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding, for each Class for the years ended December 31, 2015, 2014 and 2013 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year. 18

7. 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. 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. 19

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. 8. SUBSEQUENT EVENTS Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements. 20

* * * * * * * * * * * To the best of the knowledge and belief of the undersigned, the information contained in this report is accurate and complete. Barbra E. Kocsis Chief Financial Officer Merrill Lynch Alternative Investments LLC Sponsor of Aspect FuturesAccess LLC 21

EX-13.08

Exhibit 13.08

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) Financial Statements as of December 31, 2015 and 2014 and for the years ended December 31, 2015, 2014 and 2013 and Report of Independent Registered Public Accounting Firm

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) TABLE OF CONTENTS Page REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 1 FINANCIAL STATEMENTS: Statements of Financial Condition as of December 31, 2015 and 2014 2 Statements of Operations for the years ended December 31, 2015, 2014 and 2013 3 Statements of Changes in Members’ Capital for the years ended December 31, 2015, 2014 and 2013 4 Financial Data Highlights for the years ended December 31, 2015, 2014 and 2013 6 Notes to Financial Statements 9

Report of Independent Registered Public Accounting Firm To the Board of Managers and Members of ML Bluetrend FuturesAccess LLC: In our opinion, the accompanying statements of financial condition and the related statements of operations and of changes in members' capital and the financial data highlights present fairly, in all material respects, the financial position of ML Bluetrend FuturesAccess LLC (the "Fund") at December 31, 2015 and 2014, and the results of its operations, the changes in its members' capital and its financial data highlights for each of the three years in the period ended December 31, 2015 in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial data highlights (hereafter referred to as the "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. March 18, 2016 PricewaterhouseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017 T: (646) 471 3000, F:(813) 286 6000, www.pwc.com/us

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF FINANCIAL CONDITION AS OF DECEMBER 31, 2015 AND 2014 2015 2014 ASSETS: Equity in commodity trading accounts: Cash (including restricted cash of $7,259,503 for 2015 and $13,831,321 for 2014) Unrealized profit on open futures contracts Unrealized profit on open forwards contracts Cash and cash equivalents Other assets $ 45,654,052 1,540,123 569,431 489,100 1,976 $ 84,392,795 5,172,855 1,629,265 447,891 3,179 TOTAL ASSETS $ 48,254,682 $ 91,645,985 LIABILITIES AND MEMBERS' CAPITAL: LIABILITIES: Brokerage commissions payable Sponsor and Performance fees payable Redemptions payable Unrealized loss on open futures contracts Unrealized loss on open forwards contracts Other liabilities $ 4,597 110,760 12,240,124 1,109,185 634,076 276,855 $ 5,867 203,132 746,054 3,036,436 945,840 189,329 Total liabilities 14,375,597 5,126,658 MEMBERS' CAPITAL: Members' Capital (33,343,322 Units and 75,062,259 Units outstanding; unlimited Units authorized) Total Members' Capital 33,879,085 86,519,327 33,879,085 86,519,327 TOTAL LIABILITIES AND MEMBERS' CAPITAL $ 48,254,682 $ 91,645,985 NET ASSET VALUE PER UNIT: Class A Class C Class D** Class I Class DS* Class DT*** Class M $ 1.0657 $ 1.0634 $ 1.0011 $ 1.0089 $ 0.9407 $ - $ 1.0981 $ 1.0914 $ - $ 1.3536 $ - $ 1.1571 $ 1.0191 $ 1.0018 *Units fully redeemed as of April 30, 2015. **Units reissued on May 1, 2015. ***Units fully redeemed as of December 31, 2015. See notes to financial statements. 2

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 2015 2014 2013 TRADING PROFIT (LOSS), NET: Realized, net Change in unrealized, net Brokerage commissions $ 8,955,359 (2,453,551) (366,457) $ 11,851,426 (1,786,161) (530,630) $ (11,727,253) 383,129 (815,030) Total trading profit (loss), net 6,135,351 9,534,635 (12,159,154) INVESTMENT INCOME (EXPENSE): Interest, net 2,004 3,304 2,577 EXPENSES: Management fee Sponsor fee Performance fee Other Total expenses 896,970 772,655 612,282 552,393 1,770,108 882,045 - 531,241 2,951,301 937,658 49,399 475,775 2,834,300 3,183,394 4,414,133 NET INVESTMENT INCOME (LOSS) (2,832,296) (3,180,090) (4,411,556) NET INCOME (LOSS) $ 3,303,055 $ 6,354,545 $ (16,570,710) NET INCOME (LOSS) PER UNIT: Weighted average number of Units outstanding Class A Class C Class D** Class I Class DS* Class DT*** Class M 3,727,869 4,488,121 6,650,341 26,118,762 32,654,721 28,861,844 100 - 11,710,900 2,085,197 2,974,601 8,328,474 24,806,229 30,807,046 55,013,245 9,519,124 11,434,977 17,533,305 5,194,874 4,812,871 5,100,591 Net income (loss) per weighted average Unit Class A Class C Class D** Class I Class DS* Class DT*** Class M $ 0.0069 $ 0.0564 $ (0.1379) $ (0.0016) $ 0.0544 $ (0.1349) $ (0.0593) $ - $ (0.1098) $ 0.0079 $ 0.0482 $ (0.1357) $ 0.1154 $ 0.0870 $ (0.1289) $ 0.0368 $ 0.0979 $ (0.1000) $ 0.0171 $ 0.0792 $ (0.0982) *Units fully redeemed as of April 30, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period January 1, 2015 to April 30, 2015.) ** Units fully redeemed as of December 31, 2013. Units reissued on May 1, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class in 2015 is for the period May 1, 2015 to December 31, 2015.) ***Units fully redeemed as of December 31, 2015. See notes to financial statements. 3

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 (IN UNITS) Members' Units December 31, 2012 Members' Units December 31, 2013 Members' Units December 31, 2014 Members' Units December 31, 2015 Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Class A Class C Class D** Class I Class DS* Class DT*** Class M 5,151,202 20,843,339 12,141,337 7,588,652 66,823,225 20,416,399 2,879,028 3,402,816 24,527,961 1,457,214 1,824,865 1,591,224 489,464 4,342,614 (2,348,742) (8,981,458) (13,598,551) (4,990,349) (27,653,706) (7,469,796) (2,855,425) 6,205,276 36,389,842 - 4,423,168 40,760,743 13,436,067 4,366,217 176,366 7,078,210 - 89,719 904,037 146,483 4,108,122 (2,700,335) (15,564,524) - (2,400,285) (15,707,903) (3,444,976) (3,203,968) 3,681,307 27,903,528 - 2,112,602 25,956,877 10,137,574 5,270,371 467,953 578,012 100 - - 1,690,858 292,659 (881,008) (5,414,493) - (51,132) (25,956,877) (11,828,432) (616,577) 3,268,252 23,067,047 100 2,061,470 - - 4,946,453 Total Members' Units 135,843,182 37,636,158 (67,898,027) 105,581,313 12,502,937 (43,021,991) 75,062,259 3,029,582 (44,748,519) 33,343,322 *Units fully redeemed as of April 30, 2015. **Units fully redeemed as of December 31, 2013 and Units reissued on May 1, 2015. ***Units fully redeemed as of December 31, 2015. See notes to financial statements. 4

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 Members' Capital December 31, 2012 Members' Capital December 31, 2013 Members' Capital December 31, 2014 Members' Capital December 31, 2015 Subscriptions Redemptions Net Income(Loss) Subscriptions Redemptions Net Income(Loss) Subscriptions Redemptions Net Income(Loss) Class A Class C Class D** Class I Class DS* Class DT*** Class M $ 5,767,104 22,589,572 14,253,597 8,650,463 92,418,971 23,677,970 2,946,759 $ 3,701,561 24,756,622 1,773,429 2,080,395 2,008,284 520,202 4,239,296 $ (2,410,733) (8,939,694) (14,741,456) (5,125,541) (36,751,420) (8,333,364) (2,675,311) $ (916,928) (3,892,562) (1,285,570) (1,130,561) (7,091,153) (1,753,279) (500,657) $ 6,141,004 34,513,938 - 4,474,756 50,584,682 14,111,529 4,010,087 $ 178,020 6,582,000 - 88,000 1,183,660 164,129 3,803,517 $ (2,657,504) (14,718,168) - (2,400,608) (19,314,112) (3,665,183) (2,914,965) $ 253,056 1,775,464 - 143,483 2,681,711 1,119,777 381,054 $ 3,914,576 28,153,234 - 2,305,631 35,135,941 11,730,252 5,279,693 $ 511,568 606,000 100 - - 2,024,842 308,000 $ (969,003) (5,627,395) - (58,433) (37,998,300) (14,105,242) (635,434) $ 25,757 (40,530) (6) 16,546 2,862,359 350,148 88,781 $ 3,482,898 23,091,309 94 2,263,744 - - 5,041,040 Total Members' Capital $ 170,304,436 $ 39,079,789 $ (78,977,519) $ (16,570,710) $ 113,835,996 $ 11,999,326 $ (45,670,540) $ 6,354,545 $ 86,519,327 $ 3,450,510 $ (59,393,807) $ 3,303,055 $ 33,879,085 *Units fully redeemed as of April 30, 2015. **Units fully redeemed as of December 31, 2013 and Units reissued on May 1, 2015. ***Units fully redeemed as of December 31, 2015. See notes to financial statements. 5

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2015 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 I Class D** Class DS* Class DT*** Class M Net asset value beginning of year, or offering price Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net Expenses Net asset value, before full redemption (if applicable) Less redemption Net asset value, end of year $ 1.0634 0.0526 (0.0065) 0.0000 (0.0438) $ 1.0089 0.0501 (0.0061) 0.0000 (0.0518) $ 1.0914 0.0538 (0.0067) 0.0000 (0.0404) $ 1.0000 (0.0533) (0.0039) 0.0001 (0.0022) $ 1.3536 0.1444 (0.0028) 0.0000 (0.0313) $ 1.1571 0.0567 (0.0071) 0.0000 (0.0246) $ 1.0018 0.0492 (0.0062) 0.0000 (0.0257) 1.0657 1.0011 1.0981 0.9407 1.4639 1.1821 1.0191 - - - - 1.4639 1.1821 - $ 1.0657 $ 1.0011 $ 1.0981 $ 0.9407 $ - $ - $ 1.0191 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 0.20% 0.01% -0.77% 0.00% 0.61% 0.01% -7.41% 1.46% 9.70% -1.55% 2.23% -0.07% 1.71% 0.02% 0.21% -0.77% 0.62% -5.95% 8.15% 2.16% 1.73% Ratios to Average Members' Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 3.97% -0.03% 4.97% -0.03% 3.57% -0.03% 2.64% -1.52% 2.15% 1.49% 1.96% 0.05% 2.47% -0.03% 3.94% 4.94% 3.54% 1.12% 3.64% 2.01% 2.44% Net investment income (loss) (excluding Performance fees) Performance Fees Net investment income (loss) (including Performance fees) -3.97% 0.03% -4.97% 0.03% -3.57% 0.03% -2.64% 1.52% -2.15% -1.49% -1.96% -0.05% -2.47% 0.03% -3.94% -4.94% -3.54% -1.12% -3.64% -2.01% -2.44% (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. *Units fully redeemed as of April 30, 2015. The ratios to average members' capital have been annualized. The performance fee ratios and total return have not been annualized. **Units reissued on May 1, 2015. The ratios to average members' capital have been annualized. The performance fee ratios and total return have not been annualized. ***Units fully redeemed as of December 31, 2015. See notes to financial statements. 6

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2014 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 I Class DS Class DT Class M Net asset value or offering price, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net (c) Expenses Net asset value, end of year $ 0.9896 0.1202 (0.0056) 0.0000 (0.0408) $ 0.9485 0.1144 (0.0053) 0.0000 (0.0487) $ 1.0117 0.1232 (0.0057) 0.0000 (0.0378) $ 1.2410 0.1522 (0.0071) 0.0000 (0.0325) $ 1.0503 0.1297 (0.0060) 0.0000 (0.0169) $ 0.9184 0.1127 (0.0052) 0.0000 (0.0241) $ 1.0634 $ 1.0089 $ 1.0914 $ 1.3536 $ 1.1571 $ 1.0018 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 7.46% 0.00% 6.37% 0.00% 7.88% 0.00% 9.07% 0.00% 10.17% 0.00% 9.07% 0.00% 7.46% 6.37% 7.88% 9.07% 10.17% 9.07% Ratios to Average Members' Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 4.09% 0.00% 5.10% 0.00% 3.69% 0.00% 2.58% 0.00% 1.58% 0.00% 2.57% 0.00% 4.09% 5.10% 3.69% 2.58% 1.58% 2.57% Net investment income (loss) (excluding Performance fees) Performance Fees Net investment income (loss) (including Performance fees) -4.08% 0.00% -5.09% 0.00% -3.68% 0.00% -2.57% 0.00% -1.56% 0.00% -2.57% 0.00% -4.08% -5.09% -3.68% -2.57% -1.56% -2.57% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual member's return may vary from these returns based on timing of capital transactions. (b) The expense ratios do not include brokerage commissions. (c) Interest income, net is less than $0.0001 per Unit. See notes to financial statements. 7

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2013 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 DS Class DT Class M Net asset value or offering price, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net: (c) Expenses Net asset value, before full redemption Less redemption $ 1.1196 (0.0837) (0.0056) 0.0000 (0.0407) $ 1.0838 (0.0804) (0.0054) 0.0000 (0.0495) $ 1.1740 (0.0887) (0.0059) 0.0000 (0.0259) $ 1.1399 (0.0854) (0.0057) 0.0000 (0.0371) $ 1.3830 (0.1044) (0.0070) 0.0000 (0.0306) $ 1.1598 (0.0881) (0.0059) 0.0000 (0.0155) $ 1.0235 (0.0773) (0.0052) 0.0000 (0.0226) 0.9896 0.9485 1.0535 1.0117 1.2410 1.0503 0.9184 - - 1.0535 - - - - Net asset value, end of year $ 0.9896 $ 0.9485 $ - $ 1.0117 $ 1.2410 $ 1.0503 $ 0.9184 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees -11.70% -0.07% -12.58% -0.07% -10.36% -0.07% -11.35% -0.07% -10.36% -0.07% -9.46% -0.16% -10.36% -0.07% -11.77% -12.65% -10.43% -11.42% -10.43% -9.62% -10.43% Ratios to Average Members' Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 3.81% -0.02% 4.81% -0.02% 2.33% -0.02% 3.41% -0.02% 2.32% -0.02% 1.32% 0.07% 2.31% -0.02% 3.79% 4.79% 2.31% 3.39% 2.30% 1.39% 2.29% Net investment income (loss) (excluding Performance fees) Performance Fees Net investment income (loss) (including Performance fees) -3.80% 0.02% -4.80% 0.02% -2.31% 0.02% -3.41% 0.02% -2.31% 0.02% -1.30% -0.07% -2.31% 0.02% -3.78% -4.78% -2.29% -3.39% -2.29% -1.37% -2.29% (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) Interest income, net is less than $0.0001 per Unit. *Units fully redeemed as of December 31, 2013. See notes to financial statements. 8

ML BLUETREND FUTURESACCESS LLC (A Delaware Limited Liability Company) NOTES TO FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Organization ML BlueTrend FuturesAccess LLC (the “Fund”), a FuturesAccessSM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on April 30, 2008 and commenced trading activities on September 1, 2008. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Systematica Investments Limited (acting as general partner of Systematica Investments LP) (“Systematica” or “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the BlueTrend Program (the “Trading Program”) for the Fund. The Trading Advisor has delegated the day-to-day operation of the Trading Program to an affiliated sub-investment manager, Systematica Investments Jersey Limited and may in the future delegate to other affiliated sub-investment managers. Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other of its affiliates, or third parties, as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BofA Corp. affiliates. FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BofA Corp. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor. 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. As of December 31, 2015, the Fund offers five Classes of Units: Class A, Class C, Class I, Class D and Class M. Each Class of Units is offered at the Net Asset Value per Unit. The Class M Units are for investors who are subscribing through certain accounts enrolled in an eligible managed account program (“Eligible Managed Accounts”). The Sponsor may modify, on a prospective basis, the Eligible Managed Accounts. Class DT was solely for investments made by ML Trend-Following Futures Fund L.P., which was a FuturesAccess fund of funds. ML Trend-Following Futures Fund L.P. liquidated as of December 31, 2015. Class DS was solely for investments made by Systematic Momentum FuturesAccess LLC, which also was a FuturesAccess fund of funds. Systematic Momentum FuturesAccess LLC redeemed its investment in the Fund as of April 30, 2015. Class DT Units and Class DS Units are no longer offered. 9

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. Cash was held at a nationally recognized financial institution. Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“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. Statement of Cash Flows The Fund is not required to provide a Statement of Cash Flows. Revenue Recognition Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss), on open contracts from one period to the next is reflected in Change in unrealized, net under Trading profit (loss), net in the Statements of Operations. Trading profit (loss), net includes brokerage commission costs on commodity contracts. Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statements of Operations. Equity in Commodity Trading Accounts A portion of the assets maintained at MLPF&S and MLI is restricted cash required to meet maintenance margin requirements of the exchanges the Fund’s contracts are traded on and /or requirements greater than those of the exchanges as may be required by MLPF&S and MLI, in their sole discretion. 10

Operating Expenses and Selling Commissions The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund. Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions. Class DT Units and Class DS Units, when offered during the year, were not subject to upfront sales commissions. Income Taxes No provision for income taxes has been made in the accompanying financial statements as each investor is individually responsible for reporting income or loss based on such investor’s share of the Fund’s income and expenses as reported for income tax purposes. The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Fund, including reducing the Net Asset Value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States – 2012. Distributions Each investor is entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2015, 2014 and 2013. Subscriptions The Fund generally offers Units for investment as of the first calendar day of each month (a “Subscription Date”) at the Net Asset Value per Unit of their respective Classes, although MLAI may in its discretion, discontinue subscriptions at any time. Investors must submit their executed subscription agreement signature pages on or before the “Subscription/Redemption Notice Date,” which is eight business days prior to the first of every month. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate Net Asset Value equal to the dollar amount invested. 11

Redemptions and Exchanges Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of the last calendar day of each month, upon submitting a redemption request by the Subscription/Redemption Notice Date, which is eight business days prior to the first of every month. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date. Investors in the Fund may generally exchange their Units for those of any other FuturesAccess Fund as of any Subscription Date with prior written notice to the Fund by the Subscription/Redemption Notice Date and any applicable notice to the other FuturesAccess Fund. In all cases, exchanges are subject to FuturesAccess Fund availability, investor eligibility and any restrictions imposed by a FuturesAccess Fund or the terms of a securities account, either temporarily or on an ongoing basis. The minimum exchange amount is $10,000. 12

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 December 31, 2015 and 2014, are as follows: December 31, 2015 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies-Forwards* Energy Interest rates Metals Stock indices 49 47,118,237 - 758 194 93 $ (8,940) 61,597 - (88,889) 7,031 (31,689) -0.03% 0.18% 0.00% -0.26% 0.02% -0.09% (453) (58,341,822) (256) (584) (280) (297) $ 235,860 (126,242) 218,018 5,166 195,391 (101,010) 0.70% -0.37% 0.64% 0.01% 0.58% -0.30% $ 226,920 (64,645) 218,018 (83,723) 202,422 (132,699) 0.67% -0.19% 0.64% -0.25% 0.60% -0.39% March 2016 March 2016 January 2016 - April 2016 March 2016 - December 2019 January 2016 - April 2016 January 2016 - March 2016 Total $ (60,890) -0.18% $ 427,183 1.26% $ 366,293 1.08% December 31, 2014 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies-Forwards* Energy Interest rates Metals Stock indices 237 79,830,267 - 3,925 332 870 $ (197,940) (490,902) - 1,658,552 (1,654,290) 847,057 -0.23% -0.57% 0.00% 1.92% -1.91% 0.98% (280) (112,103,635) (101) - (407) (171) $ (49,009) 1,174,327 614,270 - 1,332,879 (415,100) -0.06% 1.36% 0.71% 0.00% 1.54% -0.48% $ (246,949) 683,425 614,270 1,658,552 (321,411) 431,957 -0.29% 0.79% 0.71% 1.92% -0.37% 0.50% March 2015 March 2015 January 2015 - April 2015 March 2015 - December 2018 January 2015 - April 2015 January 2015 - April 2015 Total $ 162,477 0.19% $ 2,657,367 3.07% $ 2,819,844 3.26% *Currencies-Forwards present notional amounts as converted to USD. No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2015 and December 31, 2014. 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. 13

3. FAIR VALUE OF INVESTMENTS Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations. The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Investments measured and reported at fair value are classified and disclosed in one of the following categories: Level I – Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price. Level II – Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data. Level III – Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy. Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and 14

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. As of December 31, 2015, the Fund holds cash equivalents, which are considered Level II. 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 2015 and 2014. The Fund's unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels as of December 31, 2015 and 2014 are as follows: 2015 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 1,540,123 569,431 $ 860,096 - $ 680,027 569,431 $ - - $ 2,109,554 $ 860,096 $ 1,249,458 $ - Liabilities Futures Forwards $ 1,109,185 634,076 $ 694,463 - $ 414,722 634,076 $ - - $ 1,743,261 $ 694,463 $ 1,048,798 $ - December 31, 2015 $ 366,293 $ 165,633 $ 200,660 $ - 15

2014 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 5,172,855 1,629,265 $ 3,866,451 - $ 1,306,404 1,629,265 $ - - $ 6,802,120 $ 3,866,451 $ 2,935,669 $ - Liabilities Futures Forwards $ 3,036,436 945,840 $ 1,379,871 - $ 1,656,565 945,840 $ - - $ 3,982,276 $ 1,379,871 $ 2,602,405 $ - December 31, 2014 $ 2,819,844 $ 2,486,580 $ 333,264 $ - The Fund’s volume of trading forwards and futures at December 31, 2015 and 2014, respectively, are representative of the activity throughout the years presented. 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 December 31, 2015 and December 31, 2014, 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 their 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 the years ended December 31, 2015, 2014 and 2013: 16

December 31, 2015 Profit (loss) from trading, net December 31, 2014 Profit (loss) from trading, net December 31, 2013 Profit (loss) from trading, net Commodity Industry Sector Agriculture Currencies Energy Interest rates Metals Stock indices $ (906,012) (724,417) 2,724,413 3,717,299 1,056,715 633,810 $ 928,675 1,517,178 (3,827,961) 16,399,286 (1,212,825) (3,739,088) $ (2,334,162) (7,175,453) (8,749,395) (14,152,361) (420,315) 21,487,562 Total, net $ 6,501,808 $ 10,065,265 $ (11,344,124) 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. RELATED PARTY TRANSACTIONS MLAI owns 100 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of December 31, 2015. 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 years ended December 31, 2015, 2014, and 2013 amounted to $23,051, $18,944 and $31,685, respectively, of which $2,507 and $2,936 was payable to the Transfer Agent as of December 31, 2015 and 2014, respectively. Typically the vast majority of the Fund’s U.S. dollar assets are maintained at MLPF&S. MLPF&S and any other BofA Corp. affiliates that hold the Fund’s cash assets receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little, or no, interest on these cash assets. BofA Corp.’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by the Sponsor with its affiliates. As of December 31, 2015, the interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers and is calculated by the Federal Reserve Bank of New York using data provided by the brokers. Interest is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis. 17

MLPF&S charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income. The Fund charges Sponsor fees on the month-end Net Asset Value after all other charges at annual rates equal to 1.5% for Class A Units, 2.5% for Class C Units, and 1.1% for Class I Units. Class D Units and Class M Units are not charged a Sponsor fee. Class DT and Class DS were not charged a Sponsor fee during the year. The Fund pays brokerage commissions on actual cost per round-turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2015, 2014 and 2013 was approximately $5.91, $7.04 and $6.64, 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. 5. ADVISORY AGREEMENT The Fund, MLAI and the Trading Advisor have entered into an advisory agreement. The advisory agreement will continue in effect until December 31, 2016. Thereafter, the advisory agreement will be automatically renewed for successive one-year periods, on the same terms, unless terminated at any time by either the Trading Advisor or the Fund upon 120 days written notice to the other party. Pursuant to the advisory agreement, the Trading Advisor has sole and exclusive authority and responsibility for directing the Fund’s trading, subject to MLAI’s fiduciary responsibility to intervene, to overrule or unwind trades if MLAI deems that doing so is necessary or advisable for the protection of the Fund. In respect to the Fund’s Trading Advisor, effective as of January 1, 2015, the Fund, MLAI, BlueCrest Capital Management Limited (the “Former Trading Advisor”) and Systematica Investments Limited (the “New Trading Advisor”) entered into a Novation and Amendment Agreement (the “Novation and Amendment”). Pursuant to the Novation and Amendment the New Trading Advisor was substituted for the Former Trading Advisor under the Advisory Agreement. The New Trading Advisor entered into the Novation and Amendment solely in its capacity as general partner of Systematica Investments LP. The Fund pays monthly management fees to the Trading Advisor based on the month-end Net Asset Value of the Fund (prior to reduction for the management fees being calculated and any accrued performance fees or Sponsor fees). The management fee rate is 1.5% per year for all Classes of Units, except for Class DT Units, which was charged a 1.0% management fee. The Trading Advisor has agreed to share with MLAI, from the management fee, a percentage of the gross asset value attributable to the Units equal to 0.65% on an annual basis but calculated and paid monthly, in order to defray costs in connection with and in consideration of BofA Corp. providing certain operational support for the Fund. The Fund pays a 25% annual performance fee to the Trading Advisor with respect to all Classes of Units. The performance fee is calculated based on any increase in the aggregate Net Asset Value of the Classes of Units subject to the same rate of performance fees (a “Class Group”), taken together, in excess of the Class Group’s highest Net Asset Value as of any previous December 31 after adjustment for subscriptions and the performance fee then paid (“High Water Mark”). The performance fee is also paid on net redemptions, and the High Water Mark is proportionately reduced. 18

6. WEIGHTED AVERAGE UNITS The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding, for each Class, for the years ended December 31, 2015, 2014 and 2013 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year. 7. 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. 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. 19

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. 8. SUBSEQUENT EVENTS Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements. 20

To the best of the knowledge and belief of the undersigned, the information contained in this report is accurate and complete. Barbra E. Kocsis Chief Financial Officer Merrill Lynch Alternative Investments LLC Sponsor of ML BlueTrend FuturesAccess LLC 21

EX-13.09

Exhibit 13.09

JOHN LOCKE FUTURESACCESS LLC (A Delaware Limited Liability Company) Financial Statements as of December 31, 2014 and 2013 and for the years ended December 31, 2014, 2013 and 2012 and Independent Auditor’s Report

JOHN LOCKE FUTURESACCESS LLC (A Delaware Limited Liability Company) TABLE OF CONTENTS Page INDEPENDENT AUDITOR’S REPORT 1 FINANCIAL STATEMENTS: Statements of Financial Condition as of December 31, 2014 and 2013 2 Statements of Operations for the years ended December 31, 2014, 2013 and 2012 3 Statements of Changes in Members’ Capital for the years ended December 31, 2014, 2013 and 2012 4 Financial Data Highlights for the years ended December 31, 2014, 2013 and 2012 5 Notes to Financial Statements 8

pwc Independent Auditor's Report To the Managing Member of John Locke FuturesAccess LLC We have audited the accompanying financial statements of John Locke FuturesAccess LLC (the "Fund"), which comprise the statement of financial condition as of December 31, 2014 and 2013 and the related statements of operations and of changes in members' capital and the financial data highlights for each of the years in the three year period ended December 31, 2014. These financial statements and financial highlights are hereafter referred to as "financial statements." Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America and in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of John Locke FuturesAccess LLC at December 31, 2014 and 2013, and the results of its operations, changes in its members' capital and the financial data highlights for each of the years in the three year period ended December 31, 2014, in accordance with accounting principles generally accepted in the United States of America. March 20, 2015 PricewaterhouseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017 T: (646) 471 3000, F:(813) 286 6000, www.pwc.com/us

JOHN LOCKE FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF FINANCIAL CONDITION DECEMBER 31, 2014 AND 2013 2014 2013 ASSETS: Equity in commodity trading accounts: Cash (including restricted cash of $2,957,182 for 2014 and $4,233,921 for 2013) Unrealized profit on open futures contracts Cash Other receivables $ 23,810,962 1,498,134 503,903 796 $ 30,100,463 2,259,647 366,279 46 TOTAL ASSETS $ 25,813,795 $ 32,726,435 LIABILITIES AND MEMBERS' CAPITAL: LIABILITIES: Unrealized loss on open futures contracts Management fees payable Redemptions payable Other liabilities $ 544,969 591,621 426,139 682,586 $ 1,253,837 52,491 1,547,361 704,531 Total liabilities 2,245,315 3,558,220 MEMBERS' CAPITAL: Members' Interest (15,341,466 Units and 23,703,863 Units outstanding, unlimited Units authorized) Total members' capital 23,568,480 29,168,215 23,568,480 29,168,215 TOTAL LIABILITIES AND MEMBERS' CAPITAL $ 25,813,795 $ 32,726,435 NET ASSET VALUE PER UNIT $ 1.5363 $ 1.2305 See notes to financial statements. 2

JOHN LOCKE FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012 2014 2013 2012 TRADING PROFIT (LOSS): Realized, net Change in unrealized, net Brokerage commissions $ 6,736,569 (52,645) (225,361) $ (176,506) 745,806 (333,203) $ 21,036 (1,118,828) (723,283) Total trading profit (loss), net 6,458,563 236,097 (1,821,075) INVESTMENT INCOME (EXPENSE): Interest, net (625) (1,267) (2,528) EXPENSES: Management fee Performance fee Other Total expenses 507,204 556,901 144,320 860,679 - 144,862 1,761,077 - 774,959 1,208,425 1,005,541 2,536,036 NET INVESTMENT INCOME (LOSS) (1,209,050) (1,006,808) (2,538,564) NET INCOME (LOSS) $ 5,249,513 $ (770,711) $ (4,359,639) NET INCOME (LOSS) PER UNIT: Weighted average number of Units outstanding Class DS 19,379,523 34,639,376 66,639,593 Net income (loss) per weighted average Unit Class DS $ 0.2709 $ (0.0222) $ (0.0654) See notes to financial statements. 3

JOHN LOCKE FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012 Members' Capital December 31, 2011 Members' Capital December 31, 2012 Members' Capital December 31, 2013 Members' Capital December 31, 2014 Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Class DS 90,165,650 - (47,273,784) 42,891,866 316,731 (19,504,734) 23,703,863 1,851,600 (10,213,997) 15,341,466 Total Members' Units 90,165,650 - (47,273,784) 42,891,866 316,731 (19,504,734) 23,703,863 1,851,600 (10,213,997) 15,341,466 Members' Capital December 31, 2011 Net Income(Loss) Members' Capital December 31, 2012 Net Income(Loss) Members' Capital December 31, 2013 Members' Capital December 31, 2014 Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Net Income(Loss) Class DS $ 120,294,680 $ - $ (62,158,421) $ (4,359,639) $ 53,776,620 $ 393,507 $ (24,231,201) $ (770,711) $ 29,168,215 $ 2,271,543 $ (13,120,791) $ 5,249,513 $ 23,568,480 Total Members' Capital $ 120,294,680 $ - $ (62,158,421) $ (4,359,639) $ 53,776,620 $ 393,507 $ (24,231,201) $ (770,711) $ 29,168,215 $ 2,271,543 $ (13,120,791) $ 5,249,513 $ 23,568,480 See notes to financial statements. 4

JOHN LOCKE FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2014 The following per Unit data and ratios have been derived from information provided in the financial statements. Per Unit Operating Performance: Class DS Net asset value, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net (c) Expenses Net asset value, end of year $ 1.2305 0.3998 (0.0117) (0.0000) (0.0823) $ 1.5363 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 27.67% -2.82% 24.85% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 2.59% 2.31% 4.90% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -2.60% -2.31% -4.91% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' 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. See notes to financial statements. 5

JOHN LOCKE FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2013 The following per Unit data and ratios have been derived from information provided in the financial statements. Per Unit Operating Performance: Class DS Net asset value, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net (c) Expenses Net asset value, end of year $ 1.2538 0.0266 (0.0097) (0.0000) (0.0402) $ 1.2305 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees -0.88% 0.00% -0.88% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 2.35% 0.00% 2.35% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -2.35% 0.00% -2.35% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' 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. See notes to financial statements. 6

JOHN LOCKE FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2012 The following per Unit data and ratios have been derived from information provided in the financial statements. Class DS Per Unit Operating Performance: Net asset value, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net (c) Expenses Net asset value, end of year $ 1.3342 (0.0262) (0.0111) (0.0000) (0.0431) $ 1.2538 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees -6.00% 0.00% -6.00% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 2.90% 0.00% 2.90% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -2.90% 0.00% -2.90% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' 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. See notes to financial statements. 7

JOHN LOCKE FUTURESACCESS LLC (A Delaware Limited Liability Company) NOTES TO FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Organization John Locke 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. John Locke Investments SA (“John Locke” or “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the JLI Systematic Program (the “Trading Program”) for the Fund. Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other of its affiliates or third parties as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BAC affiliates. FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies. As of December 31, 2014, the Fund offers one Class of Units: Class DS. Each Class of Units is offered at the Net Asset Value per Unit. Class DS is solely for investments made by Systematic Momentum FuturesAccess LLC, which is a FuturesAccess fund of funds. Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested. Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. Certain prior year items have been reclassified to conform to the current year presentation. 8

Statement of Cash Flows The Fund is not required to provide a Statement of Cash Flows. Revenue Recognition Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized, net under Trading profit (loss), net in the Statements of Operations. Trading profit (loss), net includes brokerage commission costs on commodity contracts. Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statements of Operations. Equity in Commodity Trading Accounts A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements of the exchanges the Fund’s contracts are traded on and /or requirements greater than those of the exchanges as may be required by MLPF&S, in its sole discretion. Operating Expenses and Selling Commissions The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund. Income Taxes Each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes. The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's financial statements to determine whether the tax positions are "more-likely-than-not" to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the "more-likely-than-not" threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Fund, including reducing the net asset value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax 9

positions and has concluded that a provision for income tax of $587,486, generated by trading in Spain, is required in the Fund’s financial statements. Such amount is included in Other Liabilities on the Statements of Financial Condition. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States – 2011. Distributions Each member is entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2014, 2013 and 2012. Subscriptions The Fund generally offers Units for investment as of the 1st and 16th calendar day of each month (each a “Subscription Date”) at the net asset value per Unit of their respective Classes, although MLAI may in its discretion, discontinue mid-month subscriptions at any time. Investors must submit their executed subscription agreement signature pages on or before the “Subscription/Redemption Notice Date,” which is eight business days prior to the 1st and 16th of every month. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate net asset value equal to the dollar amount invested. Redemptions and Exchanges Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon submitting the redemption request by the Subscription/Redemption Notice Date. MLAI may eliminate investors’ mid-month redemption right at any time. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date. Investors in the Fund may generally exchange their Units for those of any other FuturesAccess Fund as of any Subscription Date with prior written notice to the Fund by the Subscription/Redemption Notice Date and any applicable notice to the other FuturesAccess Fund. If only one of the FuturesAccess Funds has semi-monthly redemption dates, exchanges will only be permitted as of the beginning of each month. In all cases, exchanges are subject to FuturesAccess Fund availability, investor eligibility and any restrictions imposed by a FuturesAccess Fund or the terms of a securities account, either temporarily or on an ongoing basis. The minimum exchange amount is $10,000. 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 December 31, 2014 and 2013 are as follows: December 31, 2014 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts/Notional Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts/Notional Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies Energy Interest rates Metals Stock indices 38 26 4 479 121 158 $ (41,218) 31,699 (8,518) 515,947 (362,685) 112,862 -0.17% 0.13% -0.04% 2.19% -1.54% 0.48% (115) (121) (80) - (139) (2) $ 88,758 132,784 271,033 - 211,732 771 0.38% 0.56% 1.15% 0.00% 0.90% 0.00% $ 47,540 164,483 262,515 515,947 (150,953) 113,633 0.21% 0.69% 1.11% 2.19% -0.64% 0.48% February 2015 - March 2015 March 2015 January 2015 - February 2015 March 2015 - June 2015 January 2015 - October 2015 January 2015 - March 2015 Total $ 248,087 1.05% $ 705,078 2.99% $ 953,165 4.04% December 31, 2013 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts/Notional Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts/Notional Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies Energy Interest rates Metals Stock indices 63 283 162 126 348 252 $ (87,845) 246,741 (202,002) (38,598) 423,096 645,981 -0.30% 0.85% -0.69% -0.13% 1.45% 2.21% (356) (274) (13) (115) (321) (2) $ 274,339 140,586 10,860 28,782 (434,871) (1,259) 0.94% 0.48% 0.04% 0.10% -1.49% 0.00% $ 186,494 387,327 (191,142) (9,816) (11,775) 644,722 0.64% 1.33% -0.65% -0.03% -0.04% 2.21% February 2014 - March 2014 March 2014 January 2014 March 2014 - June 2014 January 2014 - October 2014 January 2014 - March 2014 Total $ 987,373 3.39% $ 18,437 0.07% $ 1,005,810 3.46% No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2014 and December 31, 2013. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (loss) of long positions and short positions of the open contracts, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time. 11

3. FAIR VALUE OF INVESTMENTS Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations. The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Investments measured and reported at fair value are classified and disclosed in one of the following categories: Level I – Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price. Level II – Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data. Level III – Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy. 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 12

pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values. The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market. Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts. Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. The Fund's unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of December 31, 2014 and 2013 are as follows: 2014 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 1,498,134 - $ 1,297,164 - $ 200,970 - $ - - $ 1,498,134 $ 1,297,164 $ 200,970 $ - Liabilities Futures Forwards $ 544,969 - $ 167,554 - $ 377,415 - $ - - $ 544,969 $ 167,554 $ 377,415 $ - December 31, 2014 $ 953,165 $ 1,129,610 $ (176,445) $ - 13

2013 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 2,259,647 - $ 1,606,546 - $ 653,101 - $ - - $ 2,259,647 $ 1,606,546 $ 653,101 $ - Liabilities Futures Forwards $ 1,253,837 - $ 475,982 - $ 777,855 $ - - $ 1,253,837 $ 475,982 $ 777,855 $ - December 31, 2013 $ 1,005,810 $ 1,130,564 $ (124,754) $ - The Fund’s volume of trading forwards and futures at December 31, 2014 and 2013, respectively, are representative of the activity throughout the years presented. There were no transfers to or from any level during 2014 and 2013. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of and the net profits and losses on derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2. The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At December 31, 2014 and December 31, 2013, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented 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 their 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 less 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 type/commodity industry sector on derivative instruments for the years ended December 31, 2014, 2013 and 2012: 14

Commodity Industry Sector December 31, 2014 Profit (loss) from trading, net December 31, 2013 Profit (loss) from trading, net December 31, 2012 Profit (loss) from trading, net Agriculture Currencies Energy Interest rates Metals Stock indices $ 1,085,134 770,225 2,014,538 3,497,422 (562,739) (120,656) $ 170,969 (100,706) (3,005,178) (2,810,475) 891,925 5,422,765 $ 522,295 (4,328,476) 2,404,788 2,901,757 (2,855,249) 257,093 Total $ 6,683,924 $ 569,300 $ (1,097,792) The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BAC 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. RELATED PARTY TRANSACTIONS MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BAC 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 are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. During the year ended December 31, 2014, the rate ranged from 0.018% to 0.02%. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Fund, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Fund for the years ended December 31, 2014, 2013, and 2012 amounted to $5,086, $8,706 and $17,396, respectively, of which $807 and $1,082 was payable to the Transfer Agent as of December 31, 2014 and 2013, respectively. Typically the vast majority of the Fund’s U.S. dollar assets are maintained at MLPF&S. MLPF&S and any other BAC affiliates that hold the Fund’s cash assets receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little, or no, interest on these cash assets. BAC’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets at any time they are maintained by MLAI with its affiliates. As of December 31, 2014, the interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by the Federal Reserve Bank of New York using data provided by brokers. Interest is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis. MLPF&S charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income. 15

The Fund pays brokerage commissions on actual cost per round-turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2014, 2013 and 2012 was approximately $6.01, $5.62 and $6.19 respectively. Brokerage Commissions and Interest, 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. 5. ADVISORY AGREEMENT The Fund, MLAI and the Trading Advisor have entered into an advisory agreement. This agreement shall continue in effect until December 31, 2016. Thereafter, this agreement shall be automatically renewed for successive three-year periods, on the same terms, unless terminated at any time by either the Trading Advisor or the Fund upon 120 days written notice to the other party. The Trading Advisor determines the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI. The Fund pays the Trading Advisor annual management fees of 2% of the Fund’s average month-end net assets allocated to it after reduction for the brokerage commissions accrued with respect to such assets. MLAI receives 25% of the 2% management fee for sponsoring and providing ongoing administration and operational support of the Fund. Performance fees paid by the Fund are calculated as 20% of any New Trading Profit, as defined in the private placement memorandum, and are recognized by the Trading Advisor as of the end of each calendar year. Performance fees are also paid out in respect of Units redeemed as of the end of interim months, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. MLAI receives 25% of the 20% annual performance fee. 6. WEIGHTED AVERAGE UNITS The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding, for each Class, for the years ended December 31, 2014, 2013 and 2012 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year. 7. 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. 16

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 ongoing process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor. 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 members 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 BAC affiliates, such as MLPF&S and MLI, although MLAI may engage non-BAC 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. 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 BAC 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. 8. SUBSEQUENT EVENTS Management has evaluated the impact of subsequent events on the Fund through March 20, 2015, the date the financial statements were available to be issued, and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements. 17

* * * * * * * * * * * To the best of the knowledge and belief of the undersigned, the information contained in this report is accurate and complete. Barbra E. Kocsis Chief Financial Officer Merrill Lynch Alternative Investments LLC Sponsor of John Locke FuturesAccess LLC 18

EX-13.10

Exhibit 13.10

LYNX FUTURESACCESS LLC (A Delaware Limited Liability Company) Financial Statements as of December 31, 2014 and 2013 and for the years ended December 31, 2014 and December 31, 2013 and for the period July 1, 2012 (commencement of operations) to December 31, 2012 and Independent Auditor’s Report

LYNX FUTURESACCESS LLC (A Delaware Limited Liability Company) TABLE OF CONTENTS Page INDEPENDENT AUDITOR’S REPORT 1 FINANCIAL STATEMENTS: Statements of Financial Condition as of December 31, 2014 and 2013 2 Statements of Operations for the years ended December 31, 2014, 2013 and for the period July 1, 2012 (commencement of operations) to December 31, 2012 3 Statements of Changes in Members’ Capital for the years ended December 31, 2014, 2013 and for the period July 1, 2012 (commencement of operations) to December 31, 2012 4 Financial Data Highlights for the years ended December 31, 2014, 2013 and for the period July 1, 2012 (commencement of operations) to December 31, 2012 5 Notes to Financial Statements 8

pwc Independent Auditor's Report To the Managing Member of Lynx FuturesAccess LLC We have audited the accompanying financial statements of Lynx FuturesAccess LLC (the "Fund"), which comprise the statement of financial condition as of December 31, 2014 and 2013 and the related statements of operations and of changes in members' capital and the financial data highlights, for each of the years in the two year period ended December 31, 2014, and for the period from July 1, 2012 (commencement of operations) through December 31, 2012. These financial statements and financial highlights are hereafter referred to as "financial statements." Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America and in accordance • with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Lynx FuturesAccess LLC at December 31, 2014 and 2013, and the results of its operations, changes in its members' capital and the financial data highlights, for each of the years in the two year period ended December 31, 2014, and for the period from July 1, 2012 (commencement of operations) through December 31, 2012, in accordance with accounting principles generally accepted in the United States of America. March 20, 2015 PricewaterlwuseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017 T: (646) 471 3000, F:(813) 286 6000, www.pwc.com/us

LYNX FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF FINANCIAL CONDITION DECEMBER 31, 2014 AND 2013 2014 2013 ASSETS: Equity in commodity trading accounts: Cash (including restricted cash of $7,329,977 for 2014 and $5,261,935 for 2013) Unrealized profit on open futures contracts Cash Other Assets $ 44,821,732 3,425,156 1,034,201 51,563 $ 30,231,147 3,224,948 387,834 50,023 TOTAL ASSETS $ 49,332,652 $ 33,893,952 LIABILITIES AND MEMBERS' CAPITAL: LIABILITIES: Unrealized loss on open futures contracts Management fees payable Redemptions payable Advisory fee payable Other liabilities $ 1,490,898 66,456 1,574,329 1,338,664 104,178 $ 749,447 52,989 3,115,181 12,671 207,969 Total liabilities 4,574,525 4,138,257 MEMBERS' CAPITAL: Members' Interest (35,331,540 Units and 29,757,039 Units outstanding; unlimited Units authorized) Total members' capital 44,758,127 29,755,695 44,758,127 29,755,695 TOTAL LIABILITIES AND MEMBERS' CAPITAL $ 49,332,652 $ 33,893,952 NET ASSET VALUE PER UNIT Class DS Class DT $ 1.2518 $ 1.0000 $ 1.3105 $ - See notes to financial statements. 2

LYNX FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, 2014 AND 2013 AND FOR THE PERIOD JULY 1, 2012 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2012 2014 2013 2012 TRADING PROFIT (LOSS): Realized, net Change in unrealized, net Brokerage commissions $ 15,210,033 (541,243) (218,706) $ 1,016,024 3,201,509 (233,377) $ (3,100,729) (726,008) (201,368) Total trading profit (loss), net 14,450,084 3,984,156 (4,028,105) INVESTMENT INCOME (EXPENSE): Interest, net (787) 1,816 (1,395) EXPENSES: Management fee to Trading Advisor Management fee to MLAI Performance fee Other Total expenses 402,431 322,328 2,762,037 129,795 431,890 431,889 12,671 176,350 327,449 327,450 21,511 287,726 3,616,591 1,052,800 964,136 (3,617,378) (1,050,984) (965,531) NET INVESTMENT INCOME (LOSS) NET INCOME (LOSS) $ 10,832,706 $ 2,933,172 $ (4,993,636) NET INCOME (LOSS) PER UNIT: Weighted average number of Units outstanding Class DS* Class DT** 31,023,670 46,096,743 67,108,127 10,676,077 - - Net income (loss) per weighted average Unit Class DS* Class DT** $ 0.2457 $ 0.0636 $ (0.0744) $ 0.3006 $ - $ - *Units issued on July 1, 2012 (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class for 2012 is for the period July 1, 2012 to December 31, 2012). ** Units issued on May 1, 2014 (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class for 2014 is for the period May 1, 2014 to December 31, 2014). See notes to financial statements. 3

LYNX FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2014 AND 2013 AND FOR THE PERIOD JULY 1, 2012 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2012 Members' Capital December 31, 2012 Members' Capital December 31, 2013 Members' Capital December 31, 2014 Initial Offering Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Class DS* Class DT** Total Members' Units 72,353,594 - - - (13,499,013) - 58,854,581 - 743,306 - (29,840,848) - 29,757,039 - 13,795,268 12,233,846 (17,238,689) (3,215,924) 26,313,618 9,017,922 72,353,594 - (13,499,013) 58,854,581 743,306 (29,840,848) 29,757,039 26,029,114 (20,454,613) 35,331,540 *Units issued on July 1, 2012. ** Units issued on May 1, 2014. Net Income(Loss) Members' Capital December 31, 2012 Net Income(Loss) Members' Capital December 31, 2013 Net Income(Loss) Members' Capital December 31, 2014 Initial Offering Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Class DS* Class DT** Total Members' Capital $ 72,353,594 - $ - $ (12,995,856) - $ (4,993,636) - $ 54,364,102 - $ 667,340 - $ (28,208,919) - $ 2,933,172 - $ 29,755,695 - $ 13,323,566 12,233,846 $ (17,762,355) (3,625,331) $ 7,623,039 3,209,667 $ 32,939,945 11,818,182 - $ 72,353,594 $ - $ (12,995,856) $ (4,993,636) $ 54,364,102 $ 667,340 $ (28,208,919) $ 2,933,172 $ 29,755,695 $ 25,557,412 $ (21,387,686) $ 10,832,706 $ 44,758,127 *Units issued on July 1, 2012. ** Units issued on May 1, 2014. See notes to financial statements. 4

LYNX FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2014 The following per Unit data and ratios have been derived from information provided in the financial statements. Per Unit Operating Performance: Class DS Class DT* Net asset value at time of offer $ 1.0000 $ 1.0000 Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net (c) Expenses 0.3504 (0.0057) (0.0000) (0.0929) 0.3964 (0.0042) (0.0000) (0.0817) Net asset value, end of year $ 1.2518 $ 1.3105 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 32.03% -6.84% 38.32% -7.27% 25.19% 31.05% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 2.40% 6.17% 1.23% 6.28% 8.57% 7.51% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -2.39% -6.17% -1.23% -6.28% -8.56% -7.51% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' 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. *Units issued on May 1, 2014. The ratios to average members' capital have been annualized. The performance fee ratio and total return have not been annualized. See notes to financial statements. 5

LYNX FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2013 The following per Unit data and ratios have been derived from information provided in the financial statements. Class DS Per Unit Operating Performance: Net asset value at time of offer $ 0.9237 Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net (c) Expenses 0.1038 (0.0050) 0.0000 (0.0225) Net asset value, end of year $ 1.0000 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 8.30% -0.04% 8.26% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 2.38% 0.04% 2.42% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -2.37% -0.04% -2.41% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' 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. See notes to financial statements. 6

LYNX FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE PERIOD JULY 1, 2012 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2012 Per Unit Operating Performance: Class DS* Net asset value at time of offer $ 1.0000 Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net (c) Expenses (0.0593) (0.0030) (0.0000) (0.0140) Net asset value, end of year $ 0.9237 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees -7.66% -0.03% -7.69% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 2.90% 0.00% 2.90% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -2.89% 0.00% -2.89% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' 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. *Units issued on July 1, 2012. The ratios to average members' capital have been annualized. The performance fee ratio and total return have not been annualized. See notes to financial statements. 7

LYNX FUTURESACCESS LLC (A Delaware Limited Liability Company) NOTES TO FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Organization Lynx 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 31, 2012 and commenced trading activities on July 1, 2012. The Fund engages in the speculative trading of futures on a wide range of commodities. Lynx Asset Management AB (“Lynx” or “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Lynx Program (the “Trading Program”) for the Fund. Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other of its affiliates or third parties as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BAC affiliates. FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies. As of December 31, 2014, the Fund offers two Classes of Units: Class DS and Class DT. Each Class of Units is offered at the Net Asset Value per Unit. Class DT is solely for investments made by ML Trend-Following Futures Fund L.P. and Class DS is solely for investments made by Systematic Momentum FuturesAccess LLC, which are FuturesAccess funds of funds. Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested. Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. Certain prior year items have been reclassified to conform to the current year presentation. 8

Initial Offering and Organizational Costs Organization and Offering costs are amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance. Initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units. Statement of Cash Flows The Fund is not required to provide a Statement of Cash Flows. Revenue Recognition Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized, net under Trading profit (loss), net in the Statements of Operations. Trading profit (loss), net includes brokerage commission costs on commodity contracts. Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statements of Operations. Equity in Commodity Trading Accounts A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements of the exchanges the Fund’s contracts are traded on and /or requirements greater than those of the exchanges as may be required by MLPF&S, in its sole discretion. Operating Expenses and Selling Commissions The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund. Income Taxes No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes. 9

The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's financial statements to determine whether the tax positions are "more-likely-than-not" to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the "more-likely-than-not" threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Fund, including reducing the net asset value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States – 2012. Distributions Each member is entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2014 and 2013 and for the period ended December 31, 2012. Subscriptions The Fund generally offers Units for investment as of the 1st and 16th calendar day of each month (each a “Subscription Date”) at the net asset value per Unit of their respective Classes, although MLAI may in its discretion, discontinue mid-month subscriptions at any time. Investors must submit their executed subscription agreement signature pages on or before the “Subscription/Redemption Notice Date,” which is eight business days prior to the 1st and 16th of every month. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate net asset value equal to the dollar amount invested. Redemptions and Exchanges Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon submitting the redemption request by the Subscription/Redemption Notice Date. MLAI may eliminate investors’ mid-month redemption right at any time. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date. Investors in the Fund may generally exchange their Units for those of any other FuturesAccess Fund as of any Subscription Date with prior written notice to the Fund by the Subscription/Redemption Notice Date and any applicable notice to the other FuturesAccess Fund. If only one of the FuturesAccess Funds has semi-monthly redemption dates, exchanges will only be permitted as of the beginning of each month. In all cases, exchanges are subject to FuturesAccess Fund availability, investor eligibility and any restrictions imposed by a FuturesAccess Fund or the terms of a securities account, either temporarily or on an ongoing basis. The minimum exchange amount is $10,000. 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 December 31, 2014 and 2013 are as follows: December 31, 2014 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts/Notional Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies Energy Interest rates Metals Stock indices 125 43 9 1,050 245 716 $ (105,492) (6,710) (54,529) 360,423 (791,120) 269,343 -0.24% -0.01% -0.12% 0.81% -1.77% 0.60% (188) (491) (124) (340) (333) (12) $ 103,636 873,695 519,164 (28,285) 832,294 (38,161) 0.23% 1.95% 1.16% -0.06% 1.86% -0.09% $ (1,856) 866,985 464,635 332,138 41,174 231,182 -0.01% 1.94% 1.04% 0.75% 0.09% 0.51% February 2015 - December 2015 March 2015 January 2015 - May 2015 March 2015 - December 2016 January 2015 - March 2015 January 2015 - March 2015 Total $ (328,085) -0.73% $ 2,262,343 5.05% $ 1,934,258 4.32% December 31, 2013 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts/Notional Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies Energy Interest rates Metals Stock indices 76 136 101 369 183 681 $ (82,830) 117,606 (38,644) (104,553) 227,942 1,935,831 -0.28% 0.40% -0.13% -0.35% 0.77% 6.51% (327) (219) (6) (219) (221) - $ 189,279 294,456 (9,050) 75,671 (130,207) - 0.64% 0.99% -0.03% 0.25% -0.44% 0.00% $ 106,449 412,062 (47,694) (28,882) 97,735 1,935,831 0.36% 1.39% -0.16% -0.10% 0.33% 6.51% February 2014 - December 2014 March 2014 January 2014 - May 2014 March 2014 - December 2015 January 2014 - March 2014 January 2014 - March 2014 Total $ 2,055,352 6.92% $ 420,149 1.41% $ 2,475,501 8.33% No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2014 and December 31, 2013. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (loss) of long positions and short positions of the open contracts, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time. 11

3. FAIR VALUE OF INVESTMENTS Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations. The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Investments measured and reported at fair value are classified and disclosed in one of the following categories: Level I – Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price. Level II – Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data. Level III – Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy. 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 12

pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values. The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market. Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts. Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. The Fund's unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of December 31, 2014 and 2013 are as follows: 2014 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 3,425,156 - $ 2,808,660 - $ 616,496 - $ - - $ 3,425,156 $ 2,808,660 $ 616,496 $ - Liabilities Futures Forwards $ 1,490,898 - $ 690,808 - $ 800,090 - $ - - $ 1,490,898 $ 690,808 $ 800,090 $ - December 31, 2014 $ 1,934,258 $ 2,117,852 $ (183,594) $ - 13

2013 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 3,224,948 - $ 2,812,632 - $ 412,316 - $ - - $ 3,224,948 $ 2,812,632 $ 412,316 $ - Liabilities Futures Forwards $ 749,447 - $ 363,805 - $ 385,642 - $ - - $ 749,447 $ 363,805 $ 385,642 $ - December 31, 2013 $ 2,475,501 $ 2,448,827 $ 26,674 $ - The Fund’s volume of trading forwards and futures at December 31, 2014 and 2013, respectively, are representative of the activity throughout the years presented. There were no transfers to or from any level during 2014 and 2013. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of and the net profits and losses on derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2. The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At December 31, 2014 and December 31, 2013, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented 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 their 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 less 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 type/commodity industry sector, on derivative instruments for the years ended December 31, 2014 and 2013 and for the period July 1, 2012 (commencement of operations) to December 31, 2012: 14

Commodity Industry Sector December 31, 2014 Profit (loss) from trading, net December 31, 2013 Profit (loss) from trading, net December 31, 2012 Profit (loss) from trading, net Agriculture Currencies Energy Interest rates Metals Stock indices $ 1,345,689 5,584,664 2,776,483 5,672,098 (654,673) (55,471) $ 624,520 (722,644) (2,773,578) (3,362,910) 306,974 10,145,171 $ 291,355 (1,411,931) (1,336,578) (1,158,786) (1,622,905) 1,412,108 Total $ 14,668,790 $ 4,217,533 $ (3,826,737) The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BAC 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. RELATED PARTY TRANSACTIONS MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BAC 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 are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. During the year ended December 31, 2014, the rate ranged from 0.018% to 0.02%. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Fund, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Fund for the years ended December 31, 2014 and 2013 and for the period ended December 31, 2012 amounted to $7,977, $7,376 and $6,576, respectively, of which $1,852 and $1,082 was payable to the Transfer Agent as of December 31, 2014 and 2013, respectively. Typically the vast majority of the Fund’s U.S. dollar assets are maintained at MLPF&S. MLPF&S and any other BAC affiliates that hold the Fund’s cash assets receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little, or no, interest on these cash assets. BAC’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets at any time they are maintained by MLAI with its affiliates. As of December 31, 2014, the interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by the Federal Reserve Bank of New York using data provided by brokers. Interest is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis. MLPF&S charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income. 15

The Fund pays brokerage commissions on actual cost per round-turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2014 and 2013 and for the period ended December 31, 2012 was approximately $3.99, $3.86 and $4.14, respectively. Brokerage Commissions, Interest and Management 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. 5. ADVISORY AGREEMENT The Fund, MLAI and the Trading Advisor have entered into an advisory agreement. This agreement shall continue in effect until June 30, 2015. Thereafter, this agreement shall be automatically renewed for successive six month periods, on the same terms, unless terminated at any time by either the Trading Advisor or the Fund upon 90 days written notice to the other party. The Trading Advisor determines the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI. The Fund pays the Trading Advisor annual management fees of 1% of the aggregate net asset value of the Fund allocated to it after reduction for the brokerage commissions accrued with respect to such assets for Class DS and Class DT. The Fund also pays MLAI a 1% per annum management fee in respect of Class DS. Performance fees paid by the Fund are calculated as 20% of any New Trading Profit, as defined in the private placement memorandum, and are recognized by the Trading Advisor as of the end of each calendar year. Performance fees are also paid out in respect of Units redeemed as of the end of interim months, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. 6. WEIGHTED AVERAGE UNITS The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding, for each Class, for the years ended December 31, 2014 and 2013 and for the period ended December 31, 2012 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year/period. 7. 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. 16

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 ongoing process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor. 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 members 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 BAC affiliates, such as MLPF&S and MLI, although MLAI may engage non-BAC 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. 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 BAC 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. 8. SUBSEQUENT EVENTS Management has evaluated the impact of subsequent events on the Fund through March 20, 2015, the date the financial statements were available to be issued, and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements. 17

* * * * * * * * * * * To the best of the knowledge and belief of the undersigned, the information contained in this report is accurate and complete. Barbra E. Kocsis Chief Financial Officer Merrill Lynch Alternative Investments LLC Sponsor of Lynx FuturesAccess LLC 18

EX-13.11

Exhibit 13.11

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC (A Delaware Limited Liability Company) Financial Statements as of December 31, 2015 and 2014 and for the years ended December 31, 2015, 2014 and 2013 and Report of Independent Registered Public Accounting Firm

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC (A Delaware Limited Liability Company) TABLE OF CONTENTS Page REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 1 FINANCIAL STATEMENTS: Statements of Financial Condition as of December 31, 2015 and 2014 2 Statements of Operations for the years ended December 31, 2015, 2014 and 2013 3 Statements of Changes in Members’ Capital for the years ended December 31, 2015 2014 and 2013 4 Financial Data Highlights for the years ended December 31, 2015, 2014 and 2013 6 Notes to Financial Statements 9

Report of Independent Registered Public Accounting Firm To the Board of Managers and Members of ML Transtrend DTP Enhanced FuturesAccess LLC: In our opinion, the accompanying statements of financial condition and the related statements of operations and of changes in members' capital and the financial data highlights present fairly, in all material respects, the financial position of ML Transtrend DTP Enhanced FuturesAccess LLC (the "Fund") at December 31, 2015 and 2014, and the results of its operations, the changes in its members' capital and its financial data highlights for each of the three years in the period ended December 31, 2015 in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial data highlights (hereafter referred to as the "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. March 18, 2016 PricewaterhouseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017 T: (646) 471 3000, F:(813) 286 6000, www.pwc.com/us

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF FINANCIAL CONDITION AS OF DECEMBER 31, 2015 AND 2014 2015 2014 ASSETS: Equity in commodity trading accounts: Cash (including restricted cash of $5,142,903 for 2015 and $10,272,575 for 2014) Unrealized profit on open futures contracts Cash and cash equivalents Other assets $ 35,801,001 1,897,921 563,882 2,390 $ 69,094,556 8,204,592 541,412 2,484 TOTAL ASSETS $ 38,265,194 $ 77,843,044 LIABILITIES AND MEMBERS' CAPITAL: LIABILITIES: Unrealized loss on open futures contracts Sponsor and Advisory fees payable Redemptions payable Other liabilities $ 1,508,564 70,112 10,707,165 607,637 $ 1,668,977 1,366,552 1,621,921 200,531 Total liabilities 12,893,478 4,857,981 MEMBERS' CAPITAL: Members' Capital (22,764,695 Units and 48,238,660 Units outstanding; unlimited Units authorized) Total members' capital 25,371,716 72,985,063 25,371,716 72,985,063 TOTAL LIABILITIES AND MEMBERS' CAPITAL $ 38,265,194 $ 77,843,044 NET ASSET VALUE PER UNIT: Class A Class C Class D Class I Class DS* Class DT** Class M $ 1.2314 $ 1.3175 $ 1.0954 $ 1.1839 $ 1.0714 $ 1.1293 $ 1.2544 $ 1.3360 $ - $ 1.7301 $ - $ 1.8881 $ 1.0643 $ 1.1218 *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 OPERATIONS FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 2015 2014 2013 TRADING PROFIT (LOSS), NET: Realized, net Change in unrealized, net Brokerage commissions $ 7,098,919 (6,146,258) (389,706) $ 14,422,892 1,648,149 (573,907) $ (257,587) 2,100,635 (802,619) Total trading profit (loss), net 562,955 15,497,134 1,040,429 INVESTMENT INCOME (EXPENSE): Interest, net (358) (3,448) (3,284) EXPENSES: Management fee to Trading Advisor Management fee to MLAI Sponsor fee Performance fee Other Total expenses 509,652 196,861 363,598 147,227 828,767 740,724 337,685 370,594 1,252,535 451,448 2,284,350 - 520,856 - 545,922 2,046,105 3,152,986 3,351,128 NET INVESTMENT INCOME (LOSS) (2,046,463) (3,156,434) (3,354,412) NET INCOME (LOSS) $ (1,483,508) $ 12,340,700 $ (2,313,983) NET INCOME (LOSS) PER UNIT: Weighted average number of Units outstanding Class A Class C Class D Class I Class DS* Class DT** Class M 4,564,920 5,059,265 8,518,918 9,205,597 10,379,788 14,406,210 2,756,266 1,965,194 6,911,105 755,028 1,057,413 1,326,366 19,995,760 25,293,319 48,446,905 6,211,366 7,552,446 12,942,589 6,134,647 4,220,562 3,899,097 Net income (loss) per weighted average Unit Class A Class C Class D Class I Class DS* Class DT** Class M $ (0.0825) $ 0.1863 $ (0.0381) $ (0.0859) $ 0.1582 $ (0.0407) $ (0.0782) $ 0.1900 $ (0.0164) $ (0.0737) $ 0.1959 $ (0.0334) $ 0.0251 $ 0.2415 $ (0.0234) $ (0.0225) $ 0.2921 $ (0.0085) $ (0.0662) $ 0.2036 $ (0.0004) *Units fully redeemed as of April 30, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period January 1, 2015 to April 30, 2015.) **Units fully redeemed as of December 31, 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 YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 (IN UNITS) Members' Units December 31, 2012 Members' Units December 31, 2013 Members' Units December 31, 2014 Members' Units December 31, 2015 Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Class A Class C Class D Class I Class DS* Class DT** Class M Total Members' Units 9,473,298 15,352,391 6,838,004 1,390,934 59,889,179 15,166,653 3,691,820 891,952 3,042,907 248,619 391,505 1,649,241 115,978 1,272,322 (4,539,161) (6,848,411) (5,239,250) (594,321) (28,510,989) (6,266,014) (1,364,243) 5,826,089 11,546,887 1,847,373 1,188,118 33,027,431 9,016,617 3,599,899 79,410 886,092 160,897 25,881 584,558 144,275 1,655,624 (1,154,520) (3,111,520) (142,405) (287,691) (13,303,057) (2,901,743) (449,555) 4,750,979 9,321,459 1,865,865 926,308 20,308,932 6,259,149 4,805,968 98,211 291,048 1,016,290 47,280 361,807 1,649,450 1,822,412 (354,030) (1,220,080) (164,704) (383,249) (20,670,739) (7,908,599) (59,062) 4,495,160 8,392,427 2,717,451 590,339 - - 6,569,318 111,802,279 7,612,524 (53,362,389) 66,052,414 3,536,737 (21,350,491) 48,238,660 5,286,498 (30,760,463) 22,764,695 *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) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 Members' Capital December 31, 2012 Net Income (Loss) Members' Capital December 31, 2013 Net Income (Loss) Members' Capital December 31, 2014 Members' Capital December 31, 2015 Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Net Income (Loss) Class A Class C Class D Class I Class DS* Class DT** Class M Total Members' Capital $ 10,797,104 16,040,651 6,482,616 1,594,694 86,982,563 23,677,970 3,476,834 $ 985,698 3,109,502 235,000 444,000 2,359,243 179,963 1,187,000 $ (4,965,966) (6,885,459) (4,866,210) (657,269) (40,599,219) (9,635,888) (1,297,354) $ (324,482) (586,382) (113,194) (44,274) (1,133,475) (110,517) (1,659) $ 6,492,354 11,678,312 1,738,212 1,337,151 47,609,112 14,111,528 3,364,821 $ 99,000 870,000 145,000 28,000 898,355 249,091 1,599,903 $ (1,274,476) (3,155,383) (149,568) (334,839) (19,480,955) (4,748,578) (432,677) $ 942,679 1,642,414 373,435 207,190 6,109,429 2,206,143 859,410 $ 6,259,557 11,035,343 2,107,079 1,237,502 35,135,941 11,818,184 5,391,457 $ 124,288 344,000 1,200,100 64,000 624,218 2,846,590 2,067,620 $ (472,162) (1,395,081) (180,186) (505,358) (36,261,543) (14,525,068) (61,257) $ (376,503) (791,013) (215,639) (55,632) 501,384 (139,706) (406,399) $ 5,535,180 9,193,249 2,911,354 740,512 - - 6,991,421 $ 149,052,432 $ 8,500,406 $ (68,907,365) $ (2,313,983) $ 86,331,490 $ 3,889,349 $ (29,576,476) $ 12,340,700 $ 72,985,063 $ 7,270,816 $ (53,400,655) $ (1,483,508) $ 25,371,716 *Units fully redeemed as of April 30, 2015. **Units fully redeemed as of December 31, 2015. See notes to financial statements. 5

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2015 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 DS* Class DT** Class M Net asset value, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest Income, net: (c) Expenses Net asset value, before full redemption (if applicable) Less redemption Net asset value, end of year Total Return: (a) $ 1.3175 (0.0070) (0.0102) (0.0000) (0.0689) $ 1.1839 (0.0062) (0.0091) (0.0000) (0.0732) $ 1.1293 (0.0061) (0.0088) (0.0000) (0.0430) $ 1.3360 (0.0071) (0.0103) (0.0000) (0.0642) $ 1.7301 0.0418 (0.0042) (0.0000) (0.0184) $ 1.8881 (0.0103) (0.0147) (0.0000) (0.0389) $ 1.1218 (0.0061) (0.0087) (0.0000) (0.0427) 1.2314 1.0954 1.0714 1.2544 1.7493 1.8242 1.0643 - - - - 1.7493 1.8242 - $ 1.2314 $ 1.0954 $ 1.0714 $ 1.2544 $ - $ - $ 1.0643 Total return before Performance fees Performance fees Total return after Performance fees -6.53% -0.01% -7.46% 0.00% -5.12% -0.01% -6.10% -0.01% 1.44% -0.32% -3.34% -0.04% -5.12% 0.00% -6.54% -7.46% -5.13% -6.11% 1.12% -3.38% -5.12% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 5.46% 0.00% 6.33% 0.00% 3.90% 0.00% 4.56% 0.00% 2.16% 0.32% 2.07% 0.03% 4.10% 0.00% 5.46% 6.33% 3.90% 4.56% 2.48% 2.10% 4.10% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -5.46% 0.00% -6.33% 0.00% -3.90% 0.00% -4.56% 0.00% -2.16% -0.32% -2.07% -0.03% -4.10% 0.00% -5.46% -6.33% -3.90% -4.56% -2.48% -2.10% -4.10% (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) Interest income, net is less than $0.0001 per Unit. *Units fully redeemed as of April 30, 2015. The ratios to average members' capital have been annualized. The performance fee ratios and total return have not been annualized. **Units fully redeemed as of December 31, 2015. See notes to financial statements. 6

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2014 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 DS Class DT Class M Net asset value, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net Expenses Net asset value, end of year $ 1.1143 0.2764 (0.0090) (0.0001) (0.0641) $ 1.0114 0.2490 (0.0081) (0.0001) (0.0683) $ 0.9409 0.2360 (0.0077) (0.0000) (0.0399) $ 1.1254 0.2800 (0.0091) (0.0001) (0.0602) $ 1.4415 0.3615 (0.0118) (0.0001) (0.0610) $ 1.5651 0.3942 (0.0128) (0.0001) (0.0583) $ 0.9347 0.2344 (0.0076) (0.0000) (0.0397) $ 1.3175 $ 1.1839 $ 1.1293 $ 1.3360 $ 1.7301 $ 1.8881 $ 1.1218 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 20.21% -1.97% 19.01% -1.95% 22.03% -2.01% 20.69% -1.98% 22.02% -2.00% 22.68% -2.04% 22.02% -2.00% 18.24% 17.06% 20.02% 18.71% 20.02% 20.64% 20.02% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 3.67% 1.72% 4.68% 1.72% 2.17% 1.72% 3.27% 1.72% 2.17% 1.72% 1.62% 1.74% 2.17% 1.72% 5.39% 6.40% 3.89% 4.99% 3.89% 3.36% 3.89% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -3.67% -1.72% -4.68% -1.72% -2.16% -1.72% -3.27% -1.72% -2.16% -1.72% -1.62% -1.74% -2.16% -1.72% -5.39% -6.40% -3.88% -4.99% -3.88% -3.36% -3.88% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' return may vary from these returns based on timing of capital transactions. (b) The expense ratios do not include brokerage commissions. See notes to financial statements. 7

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2013 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 DS Class DT Class M Net asset value, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net (c) Expenses Net asset value, end of year $ 1.1397 0.0254 (0.0071) (0.0000) (0.0437) $ 1.0448 0.0229 (0.0065) (0.0000) (0.0498) $ 0.9480 0.0216 (0.0060) (0.0000) (0.0227) $ 1.1465 0.0257 (0.0072) (0.0000) (0.0396) $ 1.4524 0.0330 (0.0092) (0.0000) (0.0347) $ 1.5612 0.0360 (0.0099) (0.0000) (0.0222) $ 0.9418 0.0214 (0.0059) (0.0000) (0.0226) $ 1.1143 $ 1.0114 $ 0.9409 $ 1.1254 $ 1.4415 $ 1.5651 $ 0.9347 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees -2.23% 0.00% -3.20% 0.00% -0.75% 0.00% -1.84% 0.00% -0.75% 0.00% 0.25% 0.00% -0.75% 0.00% -2.23% -3.20% -0.75% -1.84% -0.75% 0.25% -0.75% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 3.96% 0.00% 4.96% 0.00% 2.46% 0.00% 3.56% 0.00% 2.46% 0.00% 1.46% 0.00% 2.46% 0.00% 3.96% 4.96% 2.46% 3.56% 2.46% 1.46% 2.46% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -3.95% 0.00% -4.96% 0.00% -2.45% 0.00% -3.55% 0.00% -2.45% 0.00% -1.45% 0.00% -2.45% 0.00% -3.95% -4.96% -2.45% -3.55% -2.45% -1.45% -2.45% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' 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. See notes to financial statements. 8

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC (A Delaware Limited Liability Company) NOTES TO FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES 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. As of December 31, 2015, the Fund offers five Classes of Units: Class A, Class C, Class I, Class D and Class M. Each Class of Units is offered at the Net Asset Value per Unit. As of December 31, 2015 there is one investor who owns 10.04% of the members’ capital. The Class M Units are for investors who are subscribing through certain accounts enrolled in an eligible managed account program (“Eligible Managed Accounts”). The Sponsor may modify, on a prospective basis, the Eligible Managed Accounts. Class DT was solely for investments made by ML Trend-Following Futures Fund L.P., which was a FuturesAccess fund of funds. ML Trend-Following Futures Fund L.P. liquidated as of December 31, 2015. Class DS was solely for investments made by Systematic Momentum FuturesAccess LLC, which also was a FuturesAccess fund of funds. Systematic Momentum FuturesAccess LLC redeemed its investment in the Fund as of April 30, 2015. Class DT units and Class DS units are no longer offered. . 9

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. Cash was held at a nationally recognized financial institution. Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“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. Statement of Cash Flows The Fund is not required to provide a Statement of Cash Flows. Revenue Recognition Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized, net under Trading profit (loss), net in the Statements of Operations. Trading profit (loss), net includes brokerage commission costs on commodity contracts. Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statements of Operations. Equity in Commodity Trading Accounts A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements of the exchanges the Fund’s contracts are traded on and /or requirements greater than those of the exchanges as may be required by MLPF&S, in its sole discretion. 10

Operating Expenses and Selling Commissions The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund. Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions. Class DT Units and Class DS Units, when offered during the year, were not subject to upfront sales commissions. Income Taxes Each investor is individually responsible for reporting income or loss based on such investor’s share of the Fund’s income and expenses as reported for income tax purposes. The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Fund, including reducing the Net Asset Value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that a provision for income tax of $345,000, generated by trading in Spain, is required in the Fund’s financial statements. Such amount is included in Other Liabilities on the Statements of Financial Condition. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States – 2012. Distributions Each investor is entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2015, 2014 and 2013. Subscriptions The Fund generally offers Units for investment as of the 1st and 16th calendar day of each month (each a “Subscription Date”) at the Net Asset Value per Unit of their respective Classes, although MLAI may in its discretion, discontinue mid-month subscriptions at any time. Investors must submit their executed subscription agreement signature pages on or before the “Subscription/Redemption Notice Date,” which is eight business days prior to the 1st and 16th of every month. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate Net Asset Value equal to the dollar amount invested. 11

Redemptions and Exchanges Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon submitting a redemption request by the Subscription/Redemption Notice Date, which is eight business days prior to the 1st and 16th of every month. MLAI may eliminate investors’ mid-month redemption right at any time. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date. Investors in the Fund may generally exchange their Units for those of any other FuturesAccess Fund as of any Subscription Date with prior written notice to the Fund by the Subscription/Redemption Notice Date and any applicable notice to the other FuturesAccess Fund. If only one of the FuturesAccess Funds has semi-monthly redemption dates, exchanges will only be permitted as of the beginning of each month. In all cases, exchanges are subject to FuturesAccess Fund availability, investor eligibility and any restrictions imposed by a FuturesAccess Fund or the terms of a securities account, either temporarily or on an ongoing basis. The minimum exchange amount is $10,000. 12

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 December 31, 2015 and 2014, are as follows: December 31, 2015 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies Energy Interest rates Metals Stock indices 92 275 - 1,367 82 252 $ 3,968 36,479 - (601,993) (52,912) (51,524) 0.02% 0.14% 0.00% -2.37% -0.21% -0.20% (403) (159) (245) (558) (240) (236) $ 44,291 53,762 660,439 49,006 287,629 (39,788) 0.18% 0.21% 2.60% 0.19% 1.13% -0.16% $ 48,259 90,241 660,439 (552,987) 234,717 (91,312) 0.20% 0.35% 2.60% -2.18% 0.92% -0.36% January 2016 - March 2017 January 2016 - March 2016 January 2016 - December 2017 March 2016 - September 2019 January 2016 - October 2016 January 2016 - April 2016 Total $ (665,982) -2.62% $ 1,055,339 4.15% $ 389,357 1.53% December 31, 2014 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies Energy Interest rates Metals Stock indices 240 263 23 2,795 218 634 $ (109,289) (67,357) 5,797 2,761,045 (776,487) 763,820 -0.15% -0.09% 0.01% 3.78% -1.06% 1.05% (781) (394) (332) (780) (256) (142) $ 914,930 81,614 2,501,921 (59,807) 641,852 (122,424) 1.25% 0.11% 3.43% -0.08% 0.88% -0.17% $ 805,641 14,257 2,507,718 2,701,238 (134,635) 641,396 1.10% 0.02% 3.44% 3.70% -0.18% 0.88% January 2015 - March 2016 January 2015 - March 2015 January 2015 - December 2016 March 2015 - December 2018 January 2015 - October 2015 January 2015 - June 2015 Total $ 2,577,529 3.54% $ 3,958,086 5.42% $ 6,535,615 8.96% No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2015 and December 31, 2014. 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. 13

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. 14

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. As of December 31, 2015, the Fund holds cash equivalents which are considered Level II. 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 2015 and 2014. The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of December 31, 2015 and 2014 are as follows: 2015 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 1,897,921 - $ 1,534,559 - $ 363,362 - $ - - $ 1,897,921 $ 1,534,559 $ 363,362 $ - Liabilities Futures Forwards $ 1,508,564 - $ 1,321,649 - $ 186,915 - $ - - $ 1,508,564 $ 1,321,649 $ 186,915 $ - December 31, 2015 $ 389,357 $ 212,910 $ 176,447 $ - 15

2014 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 8,204,592 - $ 7,556,022 - $ 648,570 - $ - - $ 8,204,592 $ 7,556,022 $ 648,570 $ - Liabilities Futures Forwards $ 1,668,977 - $ 926,364 - $ 742,613 - $ - - $ 1,668,977 $ 926,364 $ 742,613 $ - December 31, 2014 $ 6,535,615 $ 6,629,658 $ (94,043) $ - The Fund’s volume of trading forwards and futures at December 31, 2015 and 2014, respectively, are representative of the activity throughout the years presented. 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 December 31, 2015 and December 31, 2014, 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 their 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 the years ended December 31, 2015, 2014 and 2013: 16

December 31, 2015 Profit (loss) from trading, net December 31, 2014 Profit (loss) from trading, net December 31, 2013 Profit (loss) from trading, net Commodity Industry Sector Agriculture Currencies Energy Interest rates Metals Stock indices $ (1,516,436) (2,859,725) 4,554,793 (1,334,094) 887,121 1,221,002 $ 3,411,319 (1,180,674) 5,246,328 12,528,664 (194,739) (3,739,857) $ 567,255 (3,024,130) (7,079,331) (4,537,269) 3,012,643 12,903,880 Total, net $ 952,661 $ 16,071,041 $ 1,843,048 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. RELATED PARTY TRANSACTIONS MLAI owns 88 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of December 31, 2015. 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 years ended December 31, 2015, 2014, and 2013 amounted to $18,312, $14,914 and $24,570, respectively, of which $2,047 and $2,467 was payable to the Transfer Agent as of December 31, 2015 and 2014, respectively. Typically the vast majority of the Fund’s U.S. dollar assets are maintained at MLPF&S. MLPF&S and any other BofA Corp. affiliates that hold the Fund’s cash assets receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little, or no, interest on these cash assets. BofA Corp.’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by the Sponsor with its affiliates. As of December 31, 2015, the interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers and is calculated by the Federal Reserve Bank of New York using data provided by the brokers. Interest 17

is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis. MLPF&S charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income. The Fund charges Sponsor fees on the month-end Net Asset Value after all other charges at annual rates equal to 1.5% for Class A Units, 2.5% for Class C Units, and 1.1% for Class I Units. Class D Units and Class M Units are not charged a Sponsor fee. Class DT and Class DS were not charged a Sponsor fee during the year. The Fund pays brokerage commissions on actual cost per round turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2015, 2014 and 2013 was approximately $5.58, $6.11 and $5.81, respectively. Brokerage commissions, interest, net, management fees to MLAI 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. 5. ADVISORY AGREEMENT The Fund, MLAI and the Trading Advisor have entered into an advisory agreement. The advisory agreement will continue in effect until December 31, 2016. Thereafter, the advisory agreement will be automatically renewed for successive one-year periods, on the same terms, unless (x) terminated at any time by either the Trading Advisor or the Fund upon 90 days written notice to the other party or (y) terminated upon certain occurrences as provided therein. Pursuant to the advisory agreement, the Trading Advisor has sole and exclusive authority and responsibility for directing the Fund’s trading, subject to MLAI’s fiduciary responsibility to intervene, to overrule or unwind trades if MLAI deems that doing so is necessary or advisable for the protection of the Fund. The Fund pays monthly management fees to each of the Trading Advisor and MLAI based on the month-end Net Asset Value of the Fund (prior to reduction for the management fees being calculated and any accrued performance fees or Sponsor fees). The management fee rate payable to the Trading Advisor is 1.0% per year for all Classes of Units, except Class DT Units which is charged a 0.5% management fee. The management fee rate payable to MLAI is 0.5% per year for all Classes of Units, except for Class DT Units which is not charged a management fee for MLAI. The Fund pays a 22.5% annual performance fee to the Trading Advisor with respect to all Classes of Units. The performance fee is calculated based on any increase in the aggregate Net Asset Value of the Classes of Units subject to the same rate of performance fees (“Class Group”), taken together, in excess of the Class Group’s highest Net Asset Value as of any previous December 31 after adjustment for subscriptions and the performance fee then paid (“High Water Mark”). The performance fee is also paid on net redemptions, and the High Water Mark is proportionately reduced. 6. WEIGHTED AVERAGE UNITS The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding, for each Class, for the years ended December 31, 2015, 2014 and 2013 equals the Units 18

outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year. 7. 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. 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 forward 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. 19

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. 8. SUBSEQUENT EVENTS Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements. 20

* * * * * * * * * * * To the best of the knowledge and belief of the undersigned, the information contained in this report is accurate and complete. Barbra E. Kocsis Chief Financial Officer Merrill Lynch Alternative Investments LLC Sponsor of ML Transtrend DTP Enhanced FuturesAccess LLC 21

EX-13.12

Exhibit 13.12

TUDOR TENSOR FUTURESACCESS LLC (A Delaware Limited Liability Company) Financial Statements as of December 31, 2014 and 2013 and for the years ended December 31, 2014, 2013 and 2012 and Independent Auditor’s Report

TUDOR TENSOR FUTURESACCESS LLC (A Delaware Limited Liability Company) TABLE OF CONTENTS Page INDEPENDENT AUDITOR’S REPORT 1 FINANCIAL STATEMENTS: Statements of Financial Condition as of December 31, 2014 and 2013 2 Statements of Operations for the years ended December 31, 2014, 2013 and 2012 3 Statements of Changes in Members’ Capital for the years ended December 31, 2014, 2013 and 2012 4 Financial Data Highlights for the years ended December 31, 2014, 2013 and 2012 5 Notes to Financial Statements 8

pwc Independent Auditor's Report To the Managing Member of Tudor Tensor FuturesAccess LLC We have audited the accompanying financial statements of Tudor Tensor FuturesAccess LLC (the "Fund"), which comprise the statement of financial condition as of December 31, 2014 and 2013 and the related statements of operations and of changes in members' capital and the financial data highlights, for each of the years in the three year period ended December 31, 2014. These financial statements and financial highlights are hereafter referred to as ''financial statements." Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America and in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Tudor Tensor FuturesAccess LLC at December 31, 2014 and 2013, and the results of its operations, changes in its members' capital and the financial data highlights, for each of the years in the three year period ended December 31, 2014, in accordance with accounting principles generally accepted in the United States of America. PricewaterhouseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017 T: (646) 471 3000, F:(813) 286 6000, www.pwc.com/us

TUDOR TENSOR FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF FINANCIAL CONDITION DECEMBER 31, 2014 AND 2013 2014 2013 ASSETS: Equity in commodity trading accounts: Cash (including restricted cash of $3,184,631 for 2014 and $2,968,540 for 2013) Unrealized profit on open futures contracts Unrealized profit on open forwards contracts Cash Accrued interest receivable Other assets $ 23,777,439 3,896,996 390,669 492,933 59 12,776 $ 29,973,163 2,073,665 496,332 426,601 10 12,000 TOTAL ASSETS $ 28,570,872 $ 32,981,771 LIABILITIES AND MEMBERS' CAPITAL: LIABILITIES: Unrealized loss on open futures contracts Unrealized loss on open forwards contracts Brokerage commissions payable Advisory fees payable Redemptions payable Other liabilities $ 3,693,628 281,393 3,879 40,695 302,463 351,206 $ 1,448,636 466,390 104,861 52,390 937,680 874,470 Total liabilities 4,673,264 3,884,427 MEMBERS' CAPITAL: Members' Interest (24,420,693 Units and 34,972,177 Units outstanding, unlimited Units authorized) Total members' capital 23,897,608 29,097,344 23,897,608 29,097,344 TOTAL LIABILITIES AND MEMBERS' CAPITAL $ 28,570,872 $ 32,981,771 NET ASSET VALUE PER UNIT $ 0.9786 $ 0.8320 See notes to financial statements. 2

TUDOR TENSOR FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012 2014 2013 2012 TRADING PROFIT (LOSS): Realized, net Change in unrealized, net Brokerage commissions $ 4,713,779 (342,327) (476,414) $ 296,243 450,749 (1,597,442) $ 1,015,639 (185,500) (1,567,106) Total trading profit (loss), net 3,895,038 (850,450) (736,967) INVES TMENT INCOME (EXPENS E): Interest, net Other income Total income (791) 400,000 (6,747) - 3,207 - 399,209 (6,747) 3,207 EXPENS ES : Management fee Other Total expenses 504,442 39,447 859,774 139,394 1,683,773 834,723 543,889 999,168 2,518,496 NET INVES TMENT INCOME (LOSS ) (144,680) (1,005,915) (2,515,289) NET INCOME (LOS S ) $ 3,750,358 $ (1,856,365) $ (3,252,256) NET INCOME (LOS S ) PER UNIT: Weighted average number of Units outstanding Class DS 29,744,552 48,497,674 90,868,164 Net income (loss ) per weighted average Unit Class DS $ 0.1261 $ (0.0383) $ (0.0358) See notes to financial statements . 3

TUDOR TENSOR FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2014, 2013 AND 2012 Members' Capital December 31, 2011 Members' Capital December 31, 2012 Members' Capital December 31, 2013 Members' Capital December 31, 2014 Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Class DS 120,438,449 544,129 (60,200,447) 60,782,131 658,341 (26,468,295) 34,972,177 3,328,350 (13,879,834) 24,420,693 Total Members' Units 120,438,449 544,129 (60,200,447) 60,782,131 658,341 (26,468,295) 34,972,177 3,328,350 (13,879,834) 24,420,693 Members' Capital December 31, 2011 Members' Capital December 31, 2012 Members' Capital December 31, 2013 Members' Capital December 31, 2014 Subscriptions Redemptions Net Income(loss) Subscriptions Redemptions Net Income(loss) Subscriptions Redemptions Net Income(Loss) Class DS $ 111,704,375 $ 490,651 $ (55,237,020) $ (3,252,256) $ 53,705,750 $ 600,360 $(23,352,401) $(1,856,365) $ 29,097,344 $ 2,704,569 $ (11,654,663) $ 3,750,358 $ 23,897,608 Total Members' Capital $ 111,704,375 $ 490,651 $ (55,237,020) $ (3,252,256) $ 53,705,750 $ 600,360 $ (23,352,401) $ (1,856,365) $ 29,097,344 $ 2,704,569 $ (11,654,663) $ 3,750,358 $ 23,897,608 See notes to financial statements. 4

TUDOR TENSOR FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2014 The following per Unit data and ratios have been derived from information provided in the financial statements Per Unit Operating Performance: Class DS Net asset value, beginning of year $ 0.8320 Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net (c) Other income Expenses 0.1720 (0.0156) (0.0000) 0.0161 (0.0259) Net asset value, end of year $ 0.9786 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 17.62% 0.00% 17.62% Ratios to Average Member's Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 2.15% 0.00% 2.15% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -0.49% 0.00% -0.49% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' 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. See notes to financial statements. 5

TUDOR TENSOR FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2013 The following per Unit data and ratios have been derived from information provided in the financial statements Per Unit Operating Performance: Class DS Net asset value, beginning of year $ 0.8836 Net realized and net change in unrealized trading profit (loss ) Brokerage commissions Interest income, net Expenses 0.0107 (0.0336) (0.0002) (0.0285) Net asset value, end of year $ 0.8320 Total Return: (a ) Total return before Performance fees Performance fees Total return after Performance fees -4.82% 0.00% -4.82% Ratios to Average Member's Capital: Expenses (excluding Performance fees ) (b) Performance fees Expenses (including Performance fees ) 2.36% 0.00% 2.36% Net investment income (loss ) (excluding Performance fees ) Performance fees Net investment income (loss ) (including Performance fees ) -2.35% 0.00% -2.35% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members ' return may vary from these returns based on timing of capital trans actions . (b ) The expense ratios do not include brokerage commissions. See notes to financial statements . 6

TUDOR TENSOR FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2012 The following per Unit data and ratios have been derived from information provided in the financial statements Class DS Per Unit Operating Performance: Net asset value, beginning of year $ 0.9275 Net realized and net change in unrealized trading profit (loss ) Brokerage commissions Interest income, net (c) Expenses 0.0053 (0.0179) 0.0000 (0.0313) Net asset value, end of year $ 0.8836 Total Return: (a ) Total return before Performance fees Performance fees Total return after Performance fees -4.72% 0.00% -4.72% Ratios to Average Member's Capital: Expenses (excluding Performance fees ) (b ) Performance fees Expenses (including Performance fees ) 3.01% 0.00% 3.01% Net investment income (loss) (excluding Performance fees ) Performance fees Net investment income (loss ) (including Performance fees ) -3.00% 0.00% -3.00% (a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual members ' return may vary from these returns based on timing of capital trans actions . (b) The expense ratios do not include brokerage commissions. (c) Interest income, net is less than $0.0001 per Unit . See notes to financial statements . 7

TUDOR TENSOR FUTURESACCESS LLC (A Delaware Limited Liability Company) NOTES TO FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Organization Tudor Tensor 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 September 7, 2009 and commenced trading activities on January 1, 2010. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Tudor Investment Corporation (“Tudor” or “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Tudor Tensor Strategy Program (the “Trading Program”) for the Fund. Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other of its affiliates or third parties as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BAC affiliates. FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies. As of December 31, 2014, the Fund offers one Class of Units: Class DS. Each Class of Units is offered at the Net Asset Value per Unit. Class DS is solely for investments made by Systematic Momentum FuturesAccess LLC, which is a FuturesAccess fund of funds. Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested. Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material. Certain prior year items have been reclassified to conform to the current year presentation. 8

Statement of Cash Flows The Fund is not required to provide a Statement of Cash Flows. Revenue Recognition Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized, net under Trading profit (loss), net in the Statements of Operations. Trading profit (loss), net includes brokerage commission costs on commodity contracts. Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statements of Operations. Equity in Commodity Trading Accounts A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements of the exchanges the Fund’s contracts are traded on and /or requirements greater than those of the exchanges as may be required by MLPF&S, in its sole discretion. Operating Expenses and Selling Commissions The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund. Income Taxes Each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes. The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's financial statements to determine whether the tax positions are "more-likely-than-not" to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the "more-likely-than-not" threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Fund, including reducing the net asset value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax 9

positions and has concluded that a provision for income tax of $258,354, generated by trading in Spain, is required in the Fund’s financial statements. Such amount, which is included in Other Liabilities on the Statements of Financial Condition, is net of a $400,000 reversal of tax exposure which is reflected within Other income on the Statements of Operations. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States – 2011. Distributions Each member is entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2014, 2013 and 2012. Subscriptions The Fund generally offers Units for investment as of the 1st and 16th calendar day of each month (each a “Subscription Date”) at the net asset value per Unit of their respective Classes, although MLAI may in its discretion, discontinue mid-month subscriptions at any time. Investors must submit their executed subscription agreement signature pages on or before the “Subscription/Redemption Notice Date,” which is eight business days prior to the 1st and 16th of every month. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate net asset value equal to the dollar amount invested. Redemptions and Exchanges Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon submitting the redemption request by the Subscription/Redemption Notice Date. MLAI may eliminate investors’ mid-month redemption right at any time. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date. Investors in the Fund may generally exchange their Units for those of any other FuturesAccess Fund as of any Subscription Date with prior written notice to the Fund by the Subscription/Redemption Notice Date and any applicable notice to the other FuturesAccess Fund. If only one of the FuturesAccess Funds has semi-monthly redemption dates, exchanges will only be permitted as of the beginning of each month. In all cases, exchanges are subject to FuturesAccess Fund availability, investor eligibility and any restrictions imposed by a FuturesAccess Fund or the terms of a securities account, either temporarily or on an ongoing basis. The minimum exchange amount is $10,000. 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 December 31, 2014 and 2013 are as follows: December 31, 2014 Long Positions Short Positions Net Unrealized Profit (Los s ) on Open Positions Commodity Indus try Sector Number of Contracts /Notional * Unrealized Profit (Los s ) Percent of Number of Unrealized Profit (Los s ) Percent of Members ' Capital Percent of Members ' Capital Members ' Capital Contracts /Notional * Maturity Dates Agriculture Currencies - Futures Currencies - Forwards * Energy Interest rates Metals Stock indices 186 18 75,966,704 141 863 493 147 $ (239,508) 3,541 (74,688) (685,868) 116,684 (2,612,033) 90,829 -1.00% 0.01% -0.31% -2.87% 0.49% -10.93% 0.38% (232) (13) (100,649,927) (191) (72) (495) (15) $ 269,937 (2,831) 183,964 1,049,439 (21,082) 2,246,069 (11,809) 1.13% -0.01% 0.77% 4.39% -0.09% 9.40% -0.05% $ 30,429 710 109,276 363,571 95,602 (365,964) 79,020 0.13% 0.00% 0.46% 1.52% 0.40% -1.53% 0.33% February 2015 - July 2015 March 2015 January 2015 - February 2015 January 2015 - March 2015 March 2015 - June 2016 January 2015 - July 2015 January 2015 - March 2015 Total $ (3,401,043) -14.23% $ 3,713,687 15.54% $ 312,644 1.31% December 31, 2013 Long Positions Short Positions Net Unrealized Profit (Los s ) on Open Positions Commodity Indus try Sector Number of Contracts /Notional * Unrealized Profit (Los s ) Percent of Number of Unrealized Profit (Los s ) Percent of Members ' Capital Percent of Members ' Capital Members ' Capital Contracts /Notional * Maturity Dates Agriculture Currencies - Futures Currencies - Forwards * Energy Interest rates Metals Stock indices 109 17 141,406,551 146 527 554 316 $ (57,948) 7,044 93,879 (76,082) (82,904) 822,939 485,652 -0.20% 0.02% 0.32% -0.26% -0.28% 2.83% 1.67% (282) (102) (146,350,461) (61) (506) (544) (2) $ 176,402 25,059 (63,937) 36,970 7,427 (719,248) (282) 0.61% 0.09% -0.22% 0.13% 0.03% -2.47% 0.00% $ 118,454 32,103 29,942 (39,112) (75,477) 103,691 485,370 0.41% 0.11% 0.10% -0.13% -0.25% 0.36% 1.67% February 2014 - July 2014 March 2014 January 2014 - February 2014 January 2014 - March 2014 March 2014 - June 2015 January 2014 - July 2014 January 2014 - March 2014 Total $ 1,192,580 4.10% $ (537,609) -1.83% $ 654,971 2.27% *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 December 31, 2014 and December 31, 2013. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (loss) of long positions and short positions of the open contracts, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time. 11

3. FAIR VALUE OF INVESTMENTS Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations. The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Investments measured and reported at fair value are classified and disclosed in one of the following categories: Level I – Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price. Level II – Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data. Level III – Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy. 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 12

pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values. The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market. Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts. Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. The Fund's unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of December 31, 2014 and 2013 are as follows: 2014 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 3,896,996 390,669 $ 1,614,940 - $ 2,282,056 390,669 $ - - $ 4,287,665 $ 1,614,940 $ 2,672,725 $ - Liabilities Futures Forwards $ 3,693,628 281,393 $ 1,053,153 - $ 2,640,475 281,393 $ - - $ 3,975,021 $ 1,053,153 $ 2,921,868 $ - Dec ember 31, 2014 $ 312,644 $ 561,787 $ (249,143) $ - 2013 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 2,073,665 496,332 $ 887,228 - $ 1,186,437 496,332 $ - - $ 2,569,997 $ 887,228 $ 1,682,769 $ - Liabilities Futures Forwards $ 1,448,636 466,390 $ 343,771 - $ 1,104,865 466,390 $ - - $ 1,915,026 $ 343,771 $ 1,571,255 $ - December 31, 2013 $ 654,971 $ 543,457 $ 111,514 $ - The Fund’s volume of trading forwards and futures at December 31, 2014 and 2013, respectively, are representative of the activity throughout the years presented. There were no transfers to or from any level during 2014 and 2013. 13

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2. The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At December 31, 2014 and December 31, 2013, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented 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 their 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 less 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 type/commodity industry sector, on derivative instruments for the years ended December 31, 2014, 2013 and 2012: Commodity Industry Sector Dec ember 31, 2014 Profit (loss) from trading, net Dec ember 31, 2013 Profit (loss) from trading, net Dec ember 31, 2012 Profit (loss) from trading, net Agriculture Currencies Energy Interest rates Metals Stock indices $ 1,088,144 3,215,799 352,148 1,109,355 (219,770) (1,174,224) $ 36,835 (1,909,692) (1,208,547) (2,170,219) 130,460 5,868,155 $ (1,105,421) (965,068) 2,799,510 404,447 (1,979,721) 1,676,392 Total $ 4,371,452 $ 746,992 $ 830,139 The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BAC 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. RELATED PARTY TRANSACTIONS MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BAC 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 are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. During the year ended December 31, 2014, the rate ranged from 0.018% to 0.02%. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or 14

sponsored funds, including the Fund, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Fund for the years ended December 31, 2014, 2013, and 2012 amounted to $5,063, $8,733 and $16,787, respectively, of which $808 and $1,082 was payable to the Transfer Agent as of December 31, 2014 and 2013, respectively. Typically the vast majority of the Fund’s U.S. dollar assets are maintained at MLPF&S. MLPF&S and any other BAC affiliates that hold the Fund’s cash assets receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little, or no, interest on these cash assets. BAC’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets at any time they are maintained by MLAI with its affiliates. As of December 31, 2014, the interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by the Federal Reserve Bank of New York using data provided by brokers. Interest is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis. MLPF&S charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income. The Fund pays brokerage commissions on actual cost per round-turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2014, 2013 and 2012 was approximately $6.30, $18.40 and $11.63, respectively. Brokerage Commissions and Interest, 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. 5. ADVISORY AGREEMENT The Fund, MLAI and the Trading Advisor have entered into an advisory agreement. This agreement shall continue in effect until December 31, 2015. Thereafter, this agreement shall be automatically renewed for successive two-year periods, on the same terms, unless terminated at any time by either the Trading Advisor or the Fund upon 90 days written notice to the other party. The Trading Advisor determines the commodity futures, options on futures and forward contract trades to be made on behalf of its respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI. The Fund pays the Trading Advisor annual management fees of 2% of the Fund’s average month-end net assets after reduction for the brokerage commissions accrued with respect to such assets. MLAI receives 50% of the 2% management fee from the Trading Advisor for sponsoring and providing ongoing administration and operational support of the Fund. Performance fees paid by the Fund are calculated as 20% of any New Trading Profit, as defined in the private placement memorandum, and are recognized by the Trading Advisor as of either the end of each calendar year or upon the net reallocation of assets away from the Trading Advisor. Performance fees are also paid out in respect of Units redeemed as of the end of interim months, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. 15

6. WEIGHTED AVERAGE UNITS The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding, for each Class, for the years ended December 31, 2014, 2013 and 2012 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year. 7. 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 ongoing process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor. 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 members 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 BAC affiliates, such as MLPF&S and MLI, although MLAI may engage non-BAC 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. Due to the relationship with MLPF&S, in the event of default, all futures balances are eligible for offset with a 16

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 BAC 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. 8. SUBSEQUENT EVENTS Management has evaluated the impact of subsequent events on the Fund through March 20, 2015, the date the financial statements were available to be issued, and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements. 17

* * * * * * * * * * * To the best of the knowledge and belief of the undersigned, the information contained in this report is accurate and complete. Barbra E. Kocsis Chief Financial Officer Merrill Lynch Alternative Investments LLC Sponsor of Tudor Tensor FuturesAccess LLC 18

EX-13.13

Exhibit 13.13

ML WINTON FUTURESACCESS LLC (A Delaware Limited Liability Company) Financial Statements as of December 31, 2015 and 2014 and for the years ended December 31, 2015, 2014 and 2013 and Report of Independent Registered Public Accounting Firm

ML WINTON FUTURESACCESS LLC (A Delaware Limited Liability Company) TABLE OF CONTENTS Page REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 1 FINANCIAL STATEMENTS: Statements of Financial Condition as of December 31, 2015 and 2014 2 Statements of Operations for the years ended December 31, 2015, 2014 and 2013 3 Statements of Changes in Members’ Capital for the years ended December 31, 2015, 2014 and 2013 4 Financial Data Highlights for the years ended December 31, 2015, 2014 and 2013 6 Notes to Financial Statements 9

Report of Independent Registered Public Accounting Firm To the Board of Managers and Members of ML Winton FuturesAccess LLC: In our opinion, the accompanying statements of financial condition and the related statements of operations and of changes in members' capital and the financial data highlights present fairly, in all material respects, the financial position of ML Winton FuturesAccess LLC (the "Fund") at December 31, 2015 and 2014, and the results of its operations, the changes in its members' capital and its financial data highlights for each of the three years in the period ended December 31, 2015 in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial data highlights (hereafter referred to as the "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. March 18, 2016 PricewaterhouseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017 T: (646) 471 3000, F:(813) 286 6000, www.pwc.com/us

ML WINTON FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF FINANCIAL CONDITION AS OF DECEMBER 31, 2015 AND 2014 2015 2014 ASSETS: Equity in commodity trading accounts: Cash (including restricted cash of $96,102,994 for 2015 and $70,036,099 for 2014) Unrealized profit on open futures contracts Unrealized profit on open forwards contracts Cash and cash equivalents Other assets $ 1,040,573,314 22,033,208 4,751,569 518,196 64,608 $ 980,824,673 44,175,968 4,533,927 704,200 32,960 TOTAL ASSETS $ 1,067,940,895 $ 1,030,271,728 LIABILITIES AND MEMBERS’ CAPITAL: LIABILITIES: Brokerage commissions payable Sponsor and Performance fees payable Redemptions payable Unrealized loss on open futures contracts Unrealized loss on open forwards contracts Other liabilities $ 7,009 2,846,826 18,980,515 14,613,804 6,680,274 669,369 $ 6,232 23,352,515 2,759,503 13,528,343 9,079,528 460,550 Total liabilities 43,797,797 49,186,671 MEMBERS' CAPITAL: Members' Capital (679,544,349 Units and 593,821,837 Units outstanding; unlimited Units authorized) Total Members’ Capital 1,024,143,098 981,085,057 1,024,143,098 981,085,057 TOTAL LIABILITIES AND MEMBERS' CAPITAL $ 1,067,940,895 $ 1,030,271,728 NET ASSET VALUE PER UNIT: Class A Class C Class D Class I Class DS** Class DT*** Class M Class F Class F1 Class DI* *Units issued on February 1, 2015. **Units fully redeemed as of April 30, 2015. ***Units fully redeemed as of December 31, 2015. $ 1.9048 $ 1.9392 $ 1.7095 $ 1.7580 $ 2.0671 $ 2.0732 $ 1.9742 $ 2.0018 $ - $ 2.0706 $ - $ 2.2127 $ 1.1615 $ 1.1649 $ 1.1508 $ 1.1433 $ 1.1792 $ 1.1715 $ 0.9704 $ - See notes to financial statements. 2

ML WINTON FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF OPERATIONS FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 TRADING PROFIT (LOSS), NET: 2015 2014 2013 Realized, net Change in unrealized, net Brokerage commissions $ 50,940,784 (20,611,325) (1,114,645) $ 174,445,190 (4,426,647) (1,182,808) $ 84,320,010 19,691,885 (1,310,913) Total trading profit (loss), net 29,214,814 168,835,735 102,700,982 INVESTMENT INCOME (EXPENSE): Interest, net 38,457 (492,913) (370,405) EXPENSES: Management fee Sponsor fee Performance fee Other Total expenses 20,409,088 14,477,352 11,590,474 2,538,930 18,246,934 13,968,592 29,738,237 1,939,953 21,013,843 15,912,263 6,385,339 2,145,799 49,015,844 63,893,716 45,457,244 NET INVESTMENT INCOME (LOSS) (48,977,387) (64,386,629) (45,827,649) NET INCOME (LOSS) $ (19,762,573) $ 104,449,106 $ 56,873,333 NET INCOME (LOSS) PER UNIT: Weighted average number of Units outstanding Class A Class C Class D Class I Class DS**** Class DT***** Class M Class F* Class F1** Class DI*** 64,200,070 75,378,674 98,692,610 274,014,057 276,291,530 320,078,129 36,241,373 39,142,522 79,113,900 31,334,323 36,995,414 50,548,810 20,935,317 23,867,967 41,616,725 5,183,562 6,154,763 10,750,384 99,317,754 82,036,800 45,571,438 46,520,691 46,520,691 45,094,466 32,348,368 32,348,368 32,348,368 104,438,247 - - Net income (loss) per weighted average Unit Class A Class C Class D Class I Class DS**** Class DT***** Class M Class F* Class F1** Class DI*** $ (0.0342) $ 0.1789 $ 0.0896 $ (0.0498) $ 0.1611 $ 0.0652 $ (0.0048) $ 0.2260 $ 0.1433 $ (0.0320) $ 0.1862 $ 0.1002 $ 0.0195 $ 0.2251 $ 0.1166 $ 0.0272 $ 0.2585 $ 0.1342 $ (0.0072) $ 0.1512 $ 0.0669 $ 0.0075 $ 0.1426 $ 0.0136 $ 0.0077 $ 0.1461 $ 0.0254 $ (0.0303) $ - $ - *Units issued on May 16, 2013. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class for 2013 is for the period May 16, 2013 to December 31, 2013.) **Units issued on June 1, 2013. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class for 2013 is for the period June 1, 2013 to December 31, 2013.) ***Units issued on February 1, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period February 1, 2015 to December 31, 2015.) ****Units fully redeemed as of April 30, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period January 1, 2015 to April 30, 2015.) *****Units fully redeemed as of December 31, 2015. See notes to financial statements. 3

ML WINTON FUTURESACCESS LLC (A Delaware Limited Liability Company) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 (IN UNITS) Members' Units December 31, 2012 Members' Units December 31, 2013 Members' Units December 31, 2014 Members' Units December 31, 2015 Subscriptions Redemptions Subscriptions Redemptions Subscriptions Redemptions Class A Class C Class D Class I Class DS**** Class DT***** Class M Class F* Class F1** Class DI*** Total Members' Units 105,821,750 334,741,567 99,225,678 50,667,859 54,128,029 13,202,221 38,151,931 - - - 9,547,008 30,030,602 6,206,542 6,983,219 - - 16,525,784 46,520,691 32,348,368 - (26,089,547) (75,515,200) (58,735,323) (9,961,751) (26,465,655) (5,893,382) (8,494,429) - - - 89,279,211 289,256,969 46,696,897 47,689,327 27,662,374 7,308,839 46,183,286 46,520,691 32,348,368 - 6,060,784 35,919,103 3,680,491 2,489,090 3,783,452 - 60,133,744 - - - (31,194,072) (59,600,117) (15,055,011) (19,022,768) (10,234,326) (1,967,786) (14,116,709) - - - 64,145,923 265,575,955 35,322,377 31,155,649 21,211,500 5,341,053 92,200,321 46,520,691 32,348,368 - 6,490,741 32,081,556 4,568,436 5,075,955 217,903 1,209,341 25,501,233 - - 108,353,925 (7,457,406) (25,351,780) (3,287,074) (6,730,035) (21,429,403) (6,550,394) (15,650,680) - - (11,319,806) 63,179,258 272,305,731 36,603,739 29,501,569 - - 102,050,874 46,520,691 32,348,368 97,034,119 695,939,035 148,162,214 (211,155,287) 632,945,962 112,066,664 (151,190,789) 593,821,837 183,499,090 (97,776,578) 679,544,349 *Units issued on May 16, 2013. **Units issued on June 1, 2013. ***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) STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL FOR THE YEARS ENDED DECEMBER 31, 2015, 2014 AND 2013 Members' Capital December 31, 2012 Members' Capital December 31, 2013 Members' Capital December 31, 2014 Members' Capital December 31, 2015 Subscriptions Redemptions Net Income (Loss) Subscriptions Redemptions Net Income (Loss) Subscriptions Redemptions Net Income (Loss) Class A Class C Class D Class I Class DS**** Class DT***** Class M Class F* Class F1** Class DI*** Total Members' Capital $ 174,373,801 510,141,341 169,628,029 85,499,452 92,418,972 23,677,969 36,647,613 - - - $ 16,098,619 46,650,874 10,820,354 11,980,169 - - 16,330,357 45,942,000 32,348,368 - $ (44,097,135) (117,187,044) (106,288,749) (17,299,983) (46,685,825) (11,009,023) (8,514,087) - - - $ 8,838,824 20,855,066 11,338,552 5,064,476 4,851,535 1,442,581 3,048,165 612,511 821,623 - $ 155,214,109 460,460,237 85,498,186 85,244,114 50,584,682 14,111,527 47,512,048 46,554,511 33,169,991 - $ 10,612,854 57,435,022 6,729,000 4,451,221 6,919,320 - 62,511,694 - - - $ (54,917,429) (95,527,726) (27,845,562) (34,215,466) (18,956,021) (3,884,216) (15,026,145) - - - $ 13,483,535 44,502,882 8,847,077 6,888,405 5,371,945 1,590,873 12,404,112 6,633,747 4,726,530 - $ 124,393,069 466,870,415 73,228,701 62,368,274 43,919,926 11,818,184 107,401,709 53,188,258 37,896,521 - $ 12,542,897 56,287,038 9,359,478 10,110,607 463,567 2,598,982 29,700,143 - - 108,299,930 $ (14,399,107) (43,982,373) (6,751,500) (13,235,884) (44,791,393) (14,558,268) (17,851,819) - - (10,971,684) $ (2,194,163) (13,657,552) (172,303) (1,002,142) 407,900 141,102 (719,338) 348,087 248,011 (3,162,175) $ 120,342,696 465,517,528 75,664,376 58,240,855 - - 118,530,695 53,536,345 38,144,532 94,166,071 $ 1,092,387,177 $ 180,170,741 $ (351,081,846) $ 56,873,333 $ 978,349,405 $ 148,659,111 $ (250,372,565) $ 104,449,106 $ 981,085,057 $ 229,362,642 $ (166,542,028) $ (19,762,573) $ 1,024,143,098 *Units issued on May 16, 2013. **Units issued on June 1, 2013. ***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. 5

ML WINTON FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2015 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 DS** Class DT*** Class M Class F Class F1 Class DI* Net asset value or offering price, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net Expenses Net asset value, before full redemption (if applicable) Less redemption Net asset value, end of year $ 1.9392 0.0617 (0.0020) 0.0001 (0.0942) $ 1.7580 0.0558 (0.0018) 0.0001 (0.1026) $ 2.0732 0.0661 (0.0022) 0.0001 (0.0701) $ 2.0018 0.0637 (0.0021) 0.0001 (0.0893) $ 2.0706 0.0567 (0.0007) 0.0000 (0.0391) $ 2.2127 0.0705 (0.0023) 0.0001 (0.0581) $ 1.1649 0.0372 (0.0012) 0.0000 (0.0394) $ 1.1433 0.0366 (0.0012) 0.0000 (0.0279) $ 1.1715 0.0375 (0.0012) 0.0000 (0.0286) $ 1.0000 (0.0042) (0.0010) 0.0000 (0.0244) 1.9048 1.7095 2.0671 1.9742 2.0875 2.2229 1.1615 1.1508 1.1792 0.9704 - - - - 2.0875 2.2229 - - - - $ 1.9048 $ 1.7095 $ 2.0671 $ 1.9742 $ - $ - $ 1.1615 $ 1.1508 $ 1.1792 $ 0.9704 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees -0.64% -1.13% -1.63% -1.13% 0.83% -1.13% -0.24% -1.13% 1.95% -1.13% 1.31% -0.87% 0.85% -1.13% 1.84% -1.19% 1.86% -1.19% -2.53% -0.43% -1.77% -2.76% -0.30% -1.37% 0.82% 0.44% -0.28% 0.65% 0.67% -2.96% Ratios to Average Members' Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 3.75% 1.10% 4.75% 1.10% 2.25% 1.10% 3.35% 1.10% 2.22% 1.10% 1.75% 0.84% 2.25% 1.10% 1.24% 1.16% 1.24% 1.16% 2.25% 0.42% 4.85% 5.85% 3.35% 4.45% 3.32% 2.59% 3.35% 2.40% 2.40% 2.67% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -3.75% -1.10% -4.75% -1.10% -2.25% -1.10% -3.35% -1.10% -2.22% -1.10% -1.75% -0.84% -2.25% -1.10% -1.24% -1.16% -1.24% -1.16% -2.25% -0.42% -4.85% -5.85% -3.35% -4.45% -3.32% -2.59% -3.35% -2.40% -2.40% -2.67% (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. * Units issued on February 1, 2015. The ratios to average members' capital have been annualized. The performance fee ratios and total return have not been annualized. **Units fully redeemed as of April 30, 2015. The ratios to average members' capital have been annualized. The performance fee ratios and total return have not been annualized. ***Units fully redeemed as of December 31, 2015. See notes to financial statements. 6

ML WINTON FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2014 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 DS Class DT Class M Class F Class F1 Net asset value or offering price, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net Expenses Net asset value, end of year $ 1.7385 0.3274 (0.0022) (0.0009) (0.1236) $ 1.5919 0.2976 (0.0020) (0.0008) (0.1287) $ 1.8309 0.3484 (0.0024) (0.0010) (0.1027) $ 1.7875 0.3375 (0.0023) (0.0009) (0.1200) $ 1.8286 0.3480 (0.0023) (0.0010) (0.1027) $ 1.9307 0.3697 (0.0025) (0.0010) (0.0842) $ 1.0288 0.1958 (0.0013) (0.0005) (0.0579) $ 1.0007 0.1917 (0.0013) (0.0005) (0.0473) $ 1.0254 0.1964 (0.0013) (0.0005) (0.0485) $ 1.9392 $ 1.7580 $ 2.0732 $ 2.0018 $ 2.0706 $ 2.2127 $ 1.1649 $ 1.1433 $ 1.1715 Total Return: (a) Total return before Performance fees Performance fees Total return after Performance fees 14.84% -3.30% 13.70% -3.27% 16.57% -3.33% 15.29% -3.30% 16.56% -3.33% 17.19% -2.59% 16.56% -3.33% 17.72% -3.47% 17.72% -3.47% 11.54% 10.43% 13.24% 11.99% 13.23% 14.60% 13.23% 14.25% 14.25% Ratios to Average Members' Capital: Expenses (excluding Performance fees) (b) Performance fees Expenses (including Performance fees) 3.78% 3.13% 4.79% 3.13% 2.28% 3.13% 3.38% 3.13% 2.28% 3.13% 1.77% 2.41% 2.28% 3.13% 1.27% 3.24% 1.27% 3.24% 6.91% 7.92% 5.41% 6.51% 5.41% 4.18% 5.41% 4.51% 4.51% Net investment income (loss) (excluding Performance fees) Performance fees Net investment income (loss) (including Performance fees) -3.78% -3.13% -4.78% -3.13% -2.27% -3.13% -3.38% -3.13% -2.27% -3.13% -1.77% -2.41% -2.27% -3.13% -1.26% -3.24% -1.26% -3.24% -6.91% -7.91% -5.40% -6.51% -5.40% -4.18% -5.40% -4.50% -4.50% (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. See notes to financial statements. 7

WINTON FUTURESACCESS LLC (A Delaware Limited Liability Company) FINANCIAL DATA HIGHLIGHTS FOR THE YEAR ENDED DECEMBER 31, 2013 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** Per Unit Operating Performance: Net asset value or offering price, beginning of year Net realized and net change in unrealized trading profit (loss) Brokerage commissions Interest income, net Expenses Net asset value, end of year $ 1.6478 0.1667 (0.0021) (0.0006) (0.0733) $ 1.5240 0.1534 (0.0019) (0.0005) (0.0831) $ 1.7095 0.1743 (0.0021) (0.0006) (0.0502) $ 1.6874 0.1711 (0.0021) (0.0006) (0.0683) $ 1.7074 0.1741 (0.0021) (0.0006) (0.0502) $ 1.7935 0.1833 (0.0023) (0.0006) (0.0432) $ 0.9606 0.0980 (0.0012) (0.0003) (0.0283) $ 1.0000 0.0082 (0.0007) (0.0001) (0.0067) $ 1.0000 0.0386 (0.0007) (0.0003) (0.0122) $ 1.7385 $ 1.5919 $ 1.8309 $ 1.7875 $ 1.8286 $ 1.9307 $ 1.0288 $ 1.0007 $ 1.0254 Total Return: (a) Total return before Performance fees Performance fees/other (c) Total return after Performance fees 6.13% -0.66% 5.07% -0.66% 7.73% -0.66% 6.56% -0.66% 7.73% -0.66% 8.27% -0.63% 7.73% -0.66% -0.03% 0.04% 3.07% -0.55% 5.47% 4.41% 7.07% 5.90% 7.07% 7.64% 7.07% 0.01% 2.52% Ratios to Average Members' Capital: Expenses (excluding Performance fees) (b) Performance fees (c) Expenses (including Performance fees) 3.75% 0.62% 4.76% 0.62% 2.25% 0.62% 3.35% 0.62% 2.25% 0.62% 1.75% 0.61% 2.25% 0.62% 1.25% -0.07% 1.26% 0.54% 4.37% 5.38% 2.87% 3.97% 2.87% 2.36% 2.87% 1.18% 1.80% Net investment income (loss) (excluding Performance fees) Performance fees (c) Net investment income (loss) (including Performance fees) -3.75% -0.62% -4.75% -0.62% -2.25% -0.62% -3.35% -0.62% -2.25% -0.62% -1.74% -0.61% -2.25% -0.62% -1.24% 0.07% -1.24% -0.54% -4.37% -5.37% -2.87% -3.97% -2.87% -2.35% -2.87% -1.17% -1.78% (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) Performance fees include reimbursement of performance fees allocated to the share classes in accordance with offering documents. * Units issued on May 16, 2013. The ratios to average members' capital have been annualized. The performance fee ratios and total return have not been annualized. ** Units issued on June 1, 2013. The ratios to average members' capital have been annualized. The performance fee ratios and total return have not been annualized. See notes to financial statements. 8

ML WINTON FUTURESACCESS LLC (A Delaware Limited Liability Company) NOTES TO FINANCIAL STATEMENTS 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES 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. As of December 31, 2015, the Fund offers nine Classes of Units: Class A, Class C, Class I, Class D, Class DI, Class M, Class F, Class F1 and Class G. Each Class of Units is offered at the Net Asset Value per Unit. The Class M Units are for investors who are subscribing through certain accounts enrolled in an eligible managed account program (“Eligible Managed Accounts”). The Sponsor may modify, on a prospective basis, the Eligible Managed Accounts. Class F Units and Class F1 Units were initially offered during 2013. Following this initial offering period, only investors who subscribed for Class F or Class F1 Units during the initial offering period and continue to hold such Units are permitted to make additional subscriptions to these Classes as determined by the Sponsor in its sole discretion. Class DI Units are only offered to WNTN FuturesAccess Ltd which is a related fund which currently solely invests in the Fund. Class DT was solely for investments made by ML Trend-Following Futures Fund L.P., which was a FuturesAccess fund of funds. ML Trend-Following Futures Fund L.P. liquidated as of December 31, 2015. Class DS was solely for investments made by Systematic Momentum FuturesAccess LLC, which also was a FuturesAccess fund of funds. Systematic Momentum FuturesAccess LLC redeemed its investment in the Fund as of April 30, 2015. Class DT Units and Class DS Units are no longer offered. 9

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. Cash was held at a nationally recognized financial institution. Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“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. Statement of Cash Flows The Fund is not required to provide a Statement of Cash Flows. Revenue Recognition Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized, net under Trading profit (loss), net in the Statements of Operations. Trading profit (loss), net includes brokerage commission costs on commodity contracts. Foreign Currency Transactions The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statements of Operations. Equity in Commodity Trading Accounts A portion of the assets maintained at MLPF&S and MLI is restricted cash required to meet maintenance margin requirements of the exchanges the Fund’s contracts are traded on and /or requirements greater than those of the exchanges as may be required by MLPF&S and MLI, in their discretion. Operating Expenses and Selling Commissions The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund. 10

Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Class F Units and Class G Units are subject to upfront sales commissions paid to MLPF&S up to 0.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units, Class DI Units, Class F1 Units, and Class M Units are not subject to upfront sales commissions. Class DT Units and Class DS Units, when offered during the year, were not subject to upfront sales commissions. Income Taxes No provision for income taxes has been made in the accompanying financial statements as each investor is individually responsible for reporting income or loss based on such investor’s share of the Fund’s income and expenses as reported for income tax purposes. The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Fund, including reducing the Net Asset Value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States – 2012. Distributions Each investor is entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2015, 2014 and 2013. Subscriptions The Fund generally offers Units for investment as of the 1st and 16th calendar day of each month (each a “Subscription Date”) at the Net Asset Value per Unit of their respective Classes, although MLAI may in its discretion, discontinue mid-month subscriptions at any time. Investors must submit their executed subscription agreement signature pages on or before the “Subscription/Redemption Notice Date,” which is eight business days prior to the 1st and 16th of every month. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate Net Asset Value equal to the dollar amount invested. Redemptions and Exchanges Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon submitting a redemption request by the Subscription/Redemption Notice Date, which is eight business days prior to the 1st and 16th of every month. MLAI may eliminate investors’ mid-month redemption right at any time. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date. 11

Investors in the Fund may generally exchange their Units for those of any other FuturesAccess Fund as of any Subscription Date with prior written notice to the Fund by the Subscription/Redemption Notice Date and any applicable notice to the other FuturesAccess Fund. If only one of the FuturesAccess Funds has semi-monthly redemption dates, exchanges will only be permitted as of the beginning of each month. In all cases, exchanges are subject to FuturesAccess Fund availability, investor eligibility and any restrictions imposed by a FuturesAccess Fund or the terms of a securities account, either temporarily or on an ongoing basis. amount is $10,000. The minimum exchange 12

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 December 31, 2015 and 2014, are as follows: December 31, 2015 Long Positions Short Positions Net Unrealized Profit (Loss) on Open Positions Commodity Industry Sector Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Percent of Members' Capital Maturity Dates Agriculture Currencies - Futures Currencies - Forwards* Energy Interest rates Metals Stock indices 459 574 461,839,319 - 22,577 327 2,952 $ 51,979 34,405 (4,714,657) - (4,080,903) 85,008 1,203,351 0.01% 0.00% -0.46% 0.00% -0.40% 0.01% 0.12% (3,851) (5,108) (273,519,553) (2,601) (762) (2,272) (1,922) $ 1,311,309 4,418,923 2,785,952 1,389,060 (35,806) 3,637,773 (595,695) 0.13% 0.43% 0.27% 0.14% 0.00% 0.35% -0.06% $ 1,363,288 4,453,328 (1,928,705) 1,389,060 (4,116,709) 3,722,781 607,656 0.14% 0.43% -0.19% 0.14% -0.40% 0.36% 0.06% January 2016 - May 2016 March 2016 January 2016 - June 2016 January 2016 - May 2016 March 2016 - December 2018 January 2016 - April 2016 January 2016 - March 2016 Total $ (7,420,817) -0.72% $ 12,911,516 1.26% $ 5,490,699 0.54% December 31, 2014 Long Positions Short Positions Commodity Industry Sector Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Number of Contracts/Notional* Unrealized Profit (Loss) Percent of Members' Capital Profit (Loss) on Open Positions Percent of Members' Capital Maturity Dates Agriculture Currencies - Futures Currencies - Forwards* Energy Interest rates Metals Stock indices 1,421 45 332,199,304 322 25,193 896 4,101 $ (785,953) 82,921 (8,001,592) (3,058,740) 13,192,799 (3,038,004) 6,699,726 -0.08% 0.01% -0.82% -0.31% 1.34% -0.31% 0.68% (1,158) (4,699) (212,084,481) (847) (189) (1,377) (193) $ 1,472,959 6,871,456 3,455,991 6,738,494 (39,367) 3,249,905 (738,571) 0.15% 0.70% 0.35% 0.69% 0.00% 0.33% -0.08% $ 687,006 6,954,377 (4,545,601) 3,679,754 13,153,432 211,901 5,961,155 0.07% 0.71% -0.47% 0.38% 1.34% 0.02% 0.60% January 2015 - May 2015 March 2015 January 2015 - June 2015 January 2015 - March 2015 March 2015 - March 2018 January 2015 - April 2015 January 2015 - March 2015 Total $ 5,091,157 0.51% $ 21,010,867 2.14% $ 26,102,024 2.65% *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 December 31, 2015 and December 31, 2014. 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. 13

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 14

significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy. Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values. The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market. Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts. As of December 31, 2015, the Fund holds cash equivalents, which are considered Level II. 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 2015 and 2014. The Fund's unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of December 31, 2015 and 2014, are as follows: 15

2015 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 22,033,208 4,751,569 $ 19,842,837 - $ 2,190,371 4,751,569 $ - - $ 26,784,777 $ 19,842,837 $ 6,941,940 $ - Liabilities Futures Forwards $ 14,613,804 6,680,274 $ 13,913,792 - $ 700,012 6,680,274 $ - - $ 21,294,078 $ 13,913,792 $ 7,380,286 $ - December 31, 2015 $ 5,490,699 $ 5,929,045 $ (438,346) $ - 2014 Net unrealized profit (loss) on open contracts Total Level I Level II Level III Assets Futures Forwards $ 44,175,968 4,533,927 $ 41,776,309 - $ 2,399,659 4,533,927 $ - - $ 48,709,895 $ 41,776,309 $ 6,933,586 $ - Liabilities Futures Forwards $ 13,528,343 9,079,528 $ 10,463,309 - $ 3,065,034 9,079,528 $ - - $ 22,607,871 $ 10,463,309 $ 12,144,562 $ - December 31, 2014 $ 26,102,024 $ 31,313,000 $ (5,210,976) $ - The Fund’s volume of trading forwards and futures at December 31, 2015 and 2014, respectively, are representative of the activity throughout the years presented. 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. 16

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 December 31, 2015 and December 31, 2014, 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 their 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 the years ended December 31, 2015, 2014 and 2013: December 31, 2015 Profit (loss) from trading, net December 31, 2014 Profit (loss) from trading, net December 31, 2013 Profit (loss) from trading, net Commodity Industry Sector Agriculture Currencies Energy Interest rates Metals Stock indices $ 3,186,283 (8,966,092) 36,538,775 17,080,347 8,631,611 (26,141,465) $ (10,831,497) 23,750,878 48,093,717 112,341,985 (1,188,085) (2,148,455) $ 18,252,148 22,068,047 (19,454,292) (54,443,134) 21,130,440 116,458,686 Total, net $ 30,329,459 $ 170,018,543 $ 104,011,895 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. RELATED PARTY TRANSACTIONS MLAI owns 48 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of December 31, 2015. 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 17

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 years ended December 31, 2015, 2014 and 2013 amounted to $409,936, $189,331 and $209,488, respectively, of which $59,827 and $34,694 was payable to the Transfer Agent as of December 31, 2015 and 2014, respectively. Typically the vast majority of the Fund’s U.S. dollar assets are maintained at MLPF&S. MLPF&S and any other BofA Corp. affiliates that hold the Fund’s cash assets receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little, or no, interest on these cash assets. BofA Corp.’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by the Sponsor with its affiliates. As of December 31, 2015, the interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers and is calculated by the Federal Reserve Bank of New York using data provided by the brokers. Interest is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis. MLPF&S charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions.Such amounts are netted against interest income. The Fund charges Sponsor fees on the month-end Net Asset Value after all other charges at annual rates equal to 1.5% for Class A Units, 2.5% for Class C Units, and 1.1% for Class I Units. Class D Units, Class DI Units, Class M Units, Class F Units, Class F1 Units and Class G Units are not charged a Sponsor fee. Class DT Units and Class DS Units were not charged a Sponsor fee during the year. The Fund pays brokerage commissions on actual cost per round turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2015, 2014 and 2013 was approximately $3.64, $4.08 and $4.48, 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. 5. ADVISORY AGREEMENT The Fund, MLAI and the Trading Advisor have entered into an advisory agreement. The advisory agreement will continue in effect until December 31, 2017. Thereafter, the advisory agreement will be automatically renewed for successive three-year periods, on the same terms, unless terminated at any time by either the Trading Advisor or the Fund upon 90 days written notice to the other party. Pursuant to the advisory agreement, the Trading Advisor has sole and exclusive authority and responsibility for directing the Fund’s trading, subject to MLAI’s fiduciary responsibility to 18

intervene to overrule or unwind trades if MLAI deems that doing so is necessary or advisable for the protection of the Fund. The Fund pays monthly management fees to the Trading Advisor based on the month-end Net Asset Value of the Fund (prior to reduction for the management fees being calculated and any accrued performance fees or Sponsor fees). The management fee rate is 2% per year for Class A Units, Class C Units, Class I Units, Class D Units, Class DS Units, Class DI Units and Class M Units. The management fee rate is 1.5% per year for Class DT Units. The management fee rate is 1.25% per year for Class G Units. The management fee rate is 1% per year for Class F Units and Class F1 Units. With respect to the Class A Units, Class C Units, Class D Units, Class DS Units, Class DI Units, Class I Units and Class M Units, the Trading Advisor has agreed to share 50% of its management fee with MLAI. With respect to Class F Units and Class F1 Units, the Trading Advisor has agreed to share 30% of its management fee with MLAI. With respect to Class G Units, the Trading Advisor has agreed to share 36% of its management fee with MLAI. Currently no Class G Units are outstanding. The Trading Advisor has agreed to share the management fees with MLAI in order to defray costs in connection with and in consideration of BofA Corp.’s providing certain administrative and operational support for the Fund. This fee sharing arrangement does not apply in respect of Class DT Units. The Fund pays a 20% quarterly performance fee to the Trading Advisor with respect to all Classes of Units, except Class DT Units for which the Fund pays a 15% quarterly performance fee to the Trading Advisor. The performance fee is calculated based on any increase in the aggregate Net Asset Value of the Classes of Units subject to the same rate of performance fees (each a “Class Group”), taken together, in excess of the Class Group’s highest Net Asset Value as of any previous calendar quarter end after adjustment for subscriptions and the performance fee then paid (“High Water Mark”). The performance fee is also paid on net redemptions, and the High Water Mark is proportionately reduced. 6. WEIGHTED AVERAGE UNITS The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units, outstanding for each Class, for the years ended December 31, 2015, 2014 and 2013 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year. 7. 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. 19

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. 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. 20

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. 8. SUBSEQUENT EVENTS Management has evaluated the impact of subsequent events on the Fund and has determined that there were statements. no subsequent events that require adjustments to, or disclosure in, the financial 21

* * * * * * * * * * * * To the best of the knowledge and belief of the undersigned, the information contained in this report is accurate and complete. Barbra E. Kocsis Chief Financial Officer Merrill Lynch Alternative Investments LLC Sponsor of ML Winton FuturesAccess LLC 22

EX-31.01

EXHIBIT 31.01

Rule 13a-14(a)/15d-14(a) Certifications

I, Michelle McCloskey, certify that:

1. I have reviewed this annual report on Form 10-K of Man FRM Managed Futures Strategies LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this  report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of  the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: March 29, 2017
By	/s/ Michelle McCloskey
Michelle McCloskey
President
(Principal Executive Officer)

1

EX-31.02

EXHIBIT 31.02

Rule 13a-14(a)/15d-14(a) Certifications

I, Linzie Steinbach, certify that:

1. I have reviewed this annual report on Form 10-K of Man FRM Managed Futures Strategies LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered  by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: March 29, 2017
By	/s/ Linzie Steinbach
Principal Financial Officer

1

EX-32.01

EXHIBIT 32.01

Section 1350 Certification

In connection with this annual report of Man FRM Managed Futures Strategies LLC (the “Company”) on Form 10-K for the year ended December 31, 2016 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Michelle McCloskey, President of FRM Investment Management (USA) LLC, the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: March 29, 2017
By	/s/ Michelle McCloskey
Michelle McCloskey
President
(Principal Executive Officer)

1

EX-32.02

EXHIBIT 32.02

Section 1350 Certification

In connection with this annual report of Man FRM Managed Futures Strategies LLC (the “Company”) on Form 10-K for the year ended December 31, 2016 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Linzie Steinbach, Principal Financial Officer of FRM Investment Management (USA) LLC, the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: March 29, 2017
By	/s/ Linzie Steinbach
Linzie Steinbach
Principal Financial Officer

1

XML

Document and Entity Information	12 Months Ended
	Dec. 31, 2016 USD ($) shares
Document and Entity Information
Entity Registrant Name	MAN FRM MANAGED FUTURES STRATEGIES LLC
Entity Central Index Key	0001393359
Document Type	10-K
Document Period End Date	Dec. 31, 2016
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Public Float | $	$ 0
Entity Common Stock, Shares Outstanding | shares	113,650,916
Document Fiscal Year Focus	2016
Document Fiscal Period Focus	FY

XML

STATEMENTS OF FINANCIAL CONDITION - USD ($)	Dec. 31, 2016	Dec. 31, 2015
ASSETS:
Cash	$ 48,971,063	$ 78,898,781
Investment in Affiliated Funds (Cost: $77,057,266 and $95,890,791 at December 31, 2016 and 2015, respectively)	68,779,867	84,461,211
Receivable from Affiliated Funds	100,000	400,000
Investment in Affiliated Funds paid in advance		320,000
TOTAL ASSETS	117,850,930	164,079,992
LIABILITIES:
Management fee payable	606,974	877,496
Redemptions payable	1,846,095	1,435,905
Subscriptions received in advance		390,000
Administrative fee payable	46,954	248,871
Professional fees payable	194,639	143,138
Other liabilities	217,974	202,850
Total liabilities	2,912,636	3,298,260
MEMBERS' CAPITAL:
Members' Capital (113,650,916 Units and 147,812,907 Units outstanding at December 31, 2016 and 2015, respectively; unlimited Units authorized)	114,938,294	160,781,732
Total Members' Capital	114,938,294	160,781,732
TOTAL LIABILITIES AND MEMBERS' CAPITAL	$ 117,850,930	$ 164,079,992

XML

STATEMENTS OF FINANCIAL CONDITION - NET ASSET VALUE PER UNIT - $ / shares		Dec. 31, 2016	Jan. 25, 2016	Dec. 31, 2015		Dec. 07, 2015	[2]	Nov. 16, 2015	[1]	Dec. 31, 2014	Dec. 31, 2013
Class A
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		$ 1.0385		$ 1.1098						$ 1.2045	$ 1.0369
Class C
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		0.9851		1.0633						1.1656	1.0135
Class D
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		1.3421		1.4130						1.5105	1.2809
Class I
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		1.1267		1.1993						1.2963	1.1115
Class M
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		0.9915		1.0438						$ 1.1158	$ 0.9463
Class AA
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		0.9133		0.9858	[1]			$ 1.0000
Class II
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)		0.9382		$ 1.0011	[2]	$ 1.0000
Class MM
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)	[3]	$ 0.9106	$ 1.0000

[1] Class AA units issued on November 16, 2015, and the ratios have been annualized.

[2] Class II units issued on December 7, 2015, and the ratios have been annualized.

[3] Class MM units issued on January 25, 2016, and the ratios have been annualized.

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STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
STATEMENTS OF FINANCIAL CONDITION
Investment in Affiliated Funds, at cost	$ 77,057,266	$ 95,890,791
Units outstanding	113,650,916	147,812,907
Capital units authorized	unlimited	unlimited

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STATEMENTS OF OPERATIONS - USD ($)		12 Months Ended
		Dec. 31, 2016		Dec. 31, 2015		Dec. 31, 2014
TRADING PROFIT (LOSS), NET:
Realized from Affiliated Funds, net		$ (7,369,110)		$ 31,061,059		$ (10,091,962)
Change in unrealized from Affiliated Funds, net		3,152,181		(41,752,455)		43,753,405
Total trading profit (loss), net		(4,216,929)		(10,691,396)		33,661,443
INVESTMENT INCOME:
Interest				275
EXPENSES:
Management fee		2,875,987		4,070,605		4,866,807
Professional fees		572,269		390,820
Administrative fee		306,995		339,321
Other expenses		680,526	[1]	259,829		678,568
Total expenses		4,435,777		5,060,575		5,545,375
NET INVESTMENT INCOME (LOSS)		(4,435,777)		(5,060,300)		(5,545,375)
NET INCOME (LOSS)		(8,652,706)		(15,751,696)		28,116,068
Class A
EXPENSES:
NET INCOME (LOSS)		$ (1,243,359)		$ (2,258,381)		$ 4,297,734
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		20,340,977		24,858,980		33,702,930
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0611)		$ (0.0908)		$ 0.1275
Class C
EXPENSES:
NET INCOME (LOSS)		$ (5,588,159)		$ (11,169,717)		$ 18,841,610
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		83,850,361		115,841,365		162,092,813
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0666)		$ (0.0964)		$ 0.1162
Class D
EXPENSES:
NET INCOME (LOSS)		$ (185,327)		$ (308,403)		$ 441,715
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		2,885,277		3,066,004		5,591,192
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0642)		$ (0.1006)		$ 0.0790
Class I
EXPENSES:
NET INCOME (LOSS)		$ (854,932)		$ (1,399,630)		$ 2,842,837
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		12,900,892		14,846,095		17,176,681
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0663)		$ (0.0943)		$ 0.1655
Class M
EXPENSES:
NET INCOME (LOSS)		$ (204,651)		$ (588,791)		$ 1,692,172
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		6,379,411		8,178,434		9,285,972
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0321)		$ (0.0720)		$ 0.1822
Class AA
EXPENSES:
NET INCOME (LOSS)	[2]	$ (474,781)		$ (28,537)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		4,102,054		803,375	[3]
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.1157)		$ (0.0355)	[3]
Class II
EXPENSES:
NET INCOME (LOSS)	[4]	$ (98,435)		$ 1,763
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)		2,491,734		1,584,229	[5]
Net income (loss) per weighted average Unit (in dollars per unit)		$ (0.0395)		$ 0.0011	[5]
Class MM
EXPENSES:
NET INCOME (LOSS)	[6]	$ (3,062)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	[7]	36,529
Net income (loss) per weighted average Unit (in dollars per unit)	[7]	$ (0.0838)

[1] See Note 2 for further breakout of other expenses

[2] Units issued on November 16, 2015.

[3] Units issued on November 16, 2015. Amounts presented reflect the period from November 16, 2015 through December 31, 2015.

[4] Units issued on December 7, 2015.

[5] Units issued on December 7, 2015. Amounts presented reflect the period from December 7, 2015 through December 31, 2015.

[6] Units issued on January 25, 2016.

[7] Units issued on January 25, 2016. Amounts presented reflect the period from January 25, 2016 through December 31, 2016.

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STATEMENTS OF CHANGES IN MEMBERS' CAPITAL - USD ($)		12 Months Ended
		Dec. 31, 2016		Dec. 31, 2015		Dec. 31, 2014
Increase (Decrease) in Members' Capital
Members' Capital		$ 160,781,732
Members' Capital (in Units)		147,812,907
Net Income (Loss)		$ (8,652,706)		$ (15,751,696)		$ 28,116,068
Members' Capital		$ 114,938,294		$ 160,781,732
Members' Capital (in Units)		113,650,916		147,812,907
Class A
Increase (Decrease) in Members' Capital
Members' Capital		$ 25,487,679		$ 31,855,022		$ 46,575,864
Members' Capital (in Units)		22,965,118		26,447,606		44,919,355
Subscriptions				$ 587,905	[1]	$ 831,690
Subscriptions (in Units)				474,649	[2]	777,492
Redemptions		$ (7,377,434)	[3]	$ (4,696,867)	[1]	$ (19,850,266)
Redemptions (in Units)		(6,723,662)	[4]	(3,957,137)	[2]	(19,249,241)
Net Income (Loss)		$ (1,243,359)		$ (2,258,381)		$ 4,297,734
Members' Capital		$ 16,866,886		$ 25,487,679		$ 31,855,022
Members' Capital (in Units)		16,241,456		22,965,118		26,447,606
Class C
Increase (Decrease) in Members' Capital
Members' Capital		$ 104,115,262		$ 153,204,368		$ 211,561,932
Members' Capital (in Units)		97,914,221		131,433,730		208,733,990
Subscriptions				$ 858,000	[1]	$ 4,941,000
Subscriptions (in Units)				706,472	[2]	4,987,802
Redemptions		$ (33,653,036)	[3]	$ (38,777,389)	[1]	$ (82,140,174)
Redemptions (in Units)		(32,057,651)	[4]	(34,225,981)	[2]	(82,288,062)
Net Income (Loss)		$ (5,588,159)		$ (11,169,717)		$ 18,841,610
Members' Capital		$ 64,874,067		$ 104,115,262		$ 153,204,368
Members' Capital (in Units)		65,856,570		97,914,221		131,433,730
Class D
Increase (Decrease) in Members' Capital
Members' Capital		$ 4,166,825		$ 4,940,417		$ 12,941,674
Members' Capital (in Units)		2,949,004		3,270,753		10,103,544
Subscriptions	[5]	$ 1,237,616
Subscriptions (in Units)	[6]	893,199
Redemptions		$ (1,237,617)	[3]	$ (465,189)	[1]	$ (8,442,972)
Redemptions (in Units)		(875,694)	[4]	(321,749)	[2]	(6,832,791)
Net Income (Loss)		$ (185,327)		$ (308,403)		$ 441,715
Members' Capital		$ 3,981,497		$ 4,166,825		$ 4,940,417
Members' Capital (in Units)		2,966,509		2,949,004		3,270,753
Class I
Increase (Decrease) in Members' Capital
Members' Capital		$ 16,298,259		$ 20,196,513		$ 21,996,156
Members' Capital (in Units)		13,589,522		15,579,536		19,789,101
Subscriptions				$ 234,625	[1]	$ 212,328
Subscriptions (in Units)				170,060	[2]	197,782
Redemptions		$ (1,728,455)	[3]	$ (2,733,249)	[1]	$ (4,854,808)
Redemptions (in Units)		(1,417,315)	[4]	(2,160,074)	[2]	(4,407,347)
Net Income (Loss)		$ (854,932)		$ (1,399,630)		$ 2,842,837
Members' Capital		$ 13,714,872		$ 16,298,259		$ 20,196,513
Members' Capital (in Units)		12,172,207		13,589,522		15,579,536
Class M
Increase (Decrease) in Members' Capital
Members' Capital		$ 7,957,252		$ 9,304,391		$ 4,206,402
Members' Capital (in Units)		7,623,525		8,338,628		4,445,192
Subscriptions				$ 145,000	[1]	$ 7,481,070
Subscriptions (in Units)				123,985	[2]	8,084,640
Redemptions		$ (3,026,560)	[3]	$ (903,348)	[1]	$ (4,075,253)
Redemptions (in Units)		(2,856,741)	[4]	(839,088)	[2]	(4,191,204)
Net Income (Loss)		$ (204,651)		$ (588,791)		$ 1,692,172
Members' Capital		$ 4,726,041		$ 7,957,252		$ 9,304,391
Members' Capital (in Units)		4,766,784		7,623,525		8,338,628
Class AA
Increase (Decrease) in Members' Capital
Members' Capital	[7]	$ 1,170,463
Members' Capital (in Units)	[7]	1,187,288
Subscriptions	[7]	$ 5,227,420	[5]	$ 1,199,000	[1]
Subscriptions (in Units)	[7]	5,287,677	[6]	1,187,288	[2]
Redemptions	[3],[7]	$ (364,918)
Redemptions (in Units)	[4],[7]	(388,913)
Net Income (Loss)	[7]	$ (474,781)		$ (28,537)
Members' Capital	[7]	$ 5,558,184		$ 1,170,463
Members' Capital (in Units)	[7]	6,086,052		1,187,288
Class II
Increase (Decrease) in Members' Capital
Members' Capital	[8]	$ 1,585,992
Members' Capital (in Units)	[8]	1,584,229
Subscriptions	[8]	$ 3,835,000	[5]	$ 1,584,229	[1]
Subscriptions (in Units)	[8]	4,074,667	[6]	1,584,229	[2]
Redemptions	[3],[8]	$ (132,064)
Redemptions (in Units)	[4],[8]	(126,389)
Net Income (Loss)	[8]	$ (98,435)		$ 1,763
Members' Capital	[8]	$ 5,190,493		$ 1,585,992
Members' Capital (in Units)	[8]	5,532,507		1,584,229
Class MM
Increase (Decrease) in Members' Capital
Members' Capital
Members' Capital (in Units)
Subscriptions	[5],[9]	$ 43,831
Subscriptions (in Units)	[6],[9]	43,497
Redemptions	[3],[9]	$ (14,515)
Redemptions (in Units)	[4],[9]	(14,666)
Net Income (Loss)	[9]	$ (3,062)
Members' Capital	[9]	$ 26,254
Members' Capital (in Units)	[9]	28,831
Total Members' Capital
Increase (Decrease) in Members' Capital
Members' Capital		$ 160,781,732		$ 219,500,711		$ 297,282,028
Members' Capital (in Units)		147,812,907		185,070,253		287,991,182
Subscriptions		$ 10,343,867	[5]	$ 4,608,759	[1]	$ 13,466,088
Subscriptions (in Units)		10,299,040	[6]	4,246,683	[2]	14,047,716
Redemptions		$ (47,534,599)	[3]	$ (47,576,042)	[1]	$ (119,363,473)
Redemptions (in Units)		(44,461,031)	[4]	(41,504,029)	[2]	(116,968,645)
Net Income (Loss)		$ (8,652,706)		$ (15,751,696)		$ 28,116,068
Members' Capital		$ 114,938,294		$ 160,781,732		$ 219,500,711
Members' Capital (in Units)		113,650,916		147,812,907		185,070,253

[1] Includes transfers out of $442,867 and $1,141,362 of Class A and Class C, respectively, and into Class II of $1,584,229

[2] Includes transfers out of 399,447 units and 1,073,617 units of Class A and Class C, respectively, into Class II.

[3] Includes transfers out of Class A, to Class AA, of $170,663, $22,966 and $14,578, on April 8, 2016, May 13, 2016 and July 29, 2016, respectively.

[4] Includes transfers out of Class A, to Class AA, of 148,700 units, 20,816 units and 12,489 units, on April 8, 2016, May 13, 2016 and July 29, 2016, respectively.

[5] Includes transfers in to Class AA, from Class A, of $170,663, $22,966 and $14,578, on April 11, 2016, May 16, 2016 and August 1, 2016, respectively.

[6] Includes transfers in to Class AA, from Class A, of 167,859 units, 23,521 units and 14,142 units, on April 11, 2016, May 16, 2016 and August 1, 2016, respectively.

[7] Units issued on November 16, 2015.

[8] Units issued on December 7, 2015.

[9] Units issued on January 25, 2016.

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STATEMENTS OF CHANGES IN MEMBERS' CAPITAL (Parenthetical) - USD ($)	Aug. 01, 2016	Jul. 29, 2016	May 16, 2016	May 13, 2016	Apr. 11, 2016	Apr. 08, 2016	Dec. 31, 2015
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
Units transferred from Class A to Class AA	14,142	12,489	23,521	20,816	167,859	148,700
Transfers from Class A to Class AA	$ 14,578	$ 14,578	$ 22,966	$ 22,966	$ 170,663	$ 170,663
Units transferred from Class A to Class II							399,447
Units transferred from Class C to Class II							1,073,617
Transfers from Class A to Class II							$ 442,867
Transfers from Class C to Class II							1,141,362
Transfers from Class A and Class C to Class II							$ 1,584,229

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FINANCIAL DATA HIGHLIGHTS - $ / shares		1 Months Ended				11 Months Ended	12 Months Ended
		Dec. 31, 2015		Dec. 31, 2015		Dec. 31, 2016	Dec. 31, 2016		Dec. 31, 2015		Dec. 31, 2014
Class A
Per Unit Operating Performance
Net asset value, beginning of year							$ 1.1098		$ 1.2045		$ 1.0369
Net realized and net change in unrealized trading profit (loss)							(0.0426)		(0.0707)		0.1863
Net investment loss							(0.0287)	[1]	(0.0240)	[2]	(0.0187)	[3]
Net asset value, end of year		$ 1.1098		$ 1.1098		$ 1.0385	$ 1.0385		$ 1.1098		$ 1.2045
Total Return:
Total return (as a percent)	[4]						(6.42%)	[5]	(7.86%)	[5]	16.16%
Ratios to Average Members' Capital:
Expenses (as a percent)							2.58%	[1]	2.01%	[2]	1.79%	[3]
Net investment income (loss) (as a percent)							(2.58%)	[1]	(2.01%)	[2]	(1.79%)	[3]
Class C
Per Unit Operating Performance
Net asset value, beginning of year							$ 1.0633		$ 1.1656		$ 1.0135
Net realized and net change in unrealized trading profit (loss)							(0.0402)		(0.0678)		0.1806
Net investment loss							(0.0380)	[1]	(0.0345)	[2]	(0.0285)	[3]
Net asset value, end of year		1.0633		1.0633		0.9851	$ 0.9851		$ 1.0633		$ 1.1656
Total Return:
Total return (as a percent)	[4]						(7.35%)	[5]	(8.78%)	[5]	15.01%
Ratios to Average Members' Capital:
Expenses (as a percent)							3.58%	[1]	3.02%	[2]	2.80%	[3]
Net investment income (loss) (as a percent)							(3.58%)	[1]	(3.02%)	[2]	(2.80%)	[3]
Class D
Per Unit Operating Performance
Net asset value, beginning of year							$ 1.4130		$ 1.5105		$ 1.2809
Net realized and net change in unrealized trading profit (loss)							(0.0552)		(0.0899)		0.2332
Net investment loss							(0.0157)	[1]	(0.0076)	[2]	(0.0036)	[3]
Net asset value, end of year		1.4130		1.4130		1.3421	$ 1.3421		$ 1.4130		$ 1.5105
Total Return:
Total return (as a percent)	[4]						(5.02%)	[5]	(6.45%)	[5]	17.93%
Ratios to Average Members' Capital:
Expenses (as a percent)							1.08%	[1]	0.51%	[2]	0.29%	[3]
Net investment income (loss) (as a percent)							(1.08%)	[1]	(0.51%)	[2]	(0.29%)	[3]
Class I
Per Unit Operating Performance
Net asset value, beginning of year							$ 1.1993		$ 1.2963		$ 1.1115
Net realized and net change in unrealized trading profit (loss)							(0.0463)		(0.0764)		0.2005
Net investment loss							(0.0263)	[1]	(0.0206)	[2]	(0.0157)	[3]
Net asset value, end of year		1.1993		1.1993		1.1267	$ 1.1267		$ 1.1993		$ 1.2963
Total Return:
Total return (as a percent)	[4]						(6.05%)	[5]	(7.48%)	[5]	16.63%
Ratios to Average Members' Capital:
Expenses (as a percent)							2.18%	[1]	1.61%	[2]	1.39%	[3]
Net investment income (loss) (as a percent)							(2.18%)	[1]	(1.61%)	[2]	(1.39%)	[3]
Class M
Per Unit Operating Performance
Net asset value, beginning of year							$ 1.0438		$ 1.1158		$ 0.9463
Net realized and net change in unrealized trading profit (loss)							(0.0409)		(0.0664)		0.1723
Net investment loss							(0.0114)	[1]	(0.0056)	[2]	(0.0028)	[3]
Net asset value, end of year		1.0438		1.0438		0.9915	$ 0.9915		$ 1.0438		$ 1.1158
Total Return:
Total return (as a percent)	[4]						(5.01%)	[5]	(6.45%)	[5]	17.91%
Ratios to Average Members' Capital:
Expenses (as a percent)							1.08%	[1]	0.51%	[2]	0.29%	[3]
Net investment income (loss) (as a percent)							(1.08%)	[1]	(0.51%)	[2]	(0.29%)	[3]
Class AA
Per Unit Operating Performance
Net asset value, beginning of year	[6]	1.0000					$ 0.9858
Net realized and net change in unrealized trading profit (loss)		(0.0101)	[6]				(0.0373)
Net investment loss		(0.0041)	[2],[6]				(0.0352)	[1]
Net asset value, end of year		$ 0.9858	[6]	0.9858	[6]	0.9133	$ 0.9133		$ 0.9858	[6]
Total Return:
Total return (as a percent)	[4],[5]	(1.42%)	[6]				(7.35%)
Ratios to Average Members' Capital:
Expenses (as a percent)		3.26%	[2],[6]				3.58%	[1]
Net investment income (loss) (as a percent)		(3.26%)	[2],[6]				(3.58%)	[1]
Class II
Per Unit Operating Performance
Net asset value, beginning of year	[7]			1.0000			$ 1.0011
Net realized and net change in unrealized trading profit (loss)				0.0026	[7]		(0.0385)
Net investment loss				(0.0015)	[2],[7]		(0.0244)	[1]
Net asset value, end of year		$ 1.0011	[7]	$ 1.0011	[7]	0.9382	$ 0.9382		$ 1.0011	[7]
Total Return:
Total return (as a percent)	[4],[5]			0.11%	[7]		(6.28%)
Ratios to Average Members' Capital:
Expenses (as a percent)				2.13%	[2],[7]		2.43%	[1]
Net investment income (loss) (as a percent)				(2.13%)	[2],[7]		(2.43%)	[1]
Class MM
Per Unit Operating Performance
Net asset value, beginning of year	[8]					1.0000
Net realized and net change in unrealized trading profit (loss)	[8]					(0.0738)
Net investment loss	[1],[8]					(0.0156)
Net asset value, end of year	[8]					$ 0.9106	$ 0.9106
Total Return:
Total return (as a percent)	[4],[5],[8]					(8.94%)
Ratios to Average Members' Capital:
Expenses (as a percent)	[1],[8]					1.72%
Net investment income (loss) (as a percent)	[1],[8]					(1.72%)

[1] The amounts do not reflect the proportionate share of expense from the Underlying Funds.

[2] The amounts do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds and the Underlying Funds.

[3] The ratios do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds.

[4] 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 the timing of the capital transactions.

[5] Total return has not been annualized.

[6] Class AA units issued on November 16, 2015, and the ratios have been annualized.

[7] Class II units issued on December 7, 2015, and the ratios have been annualized.

[8] Class MM units issued on January 25, 2016, and the ratios have been annualized.

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ORGANIZATION

12 Months Ended

Dec. 31, 2016

ORGANIZATION

ORGANIZATION

1.             ORGANIZATION

Man FRM Managed Futures Strategies LLC (the “Fund”), a Delaware limited liability company, is a managed futures fund of funds managed by FRM Investment Management (USA) LLC (the “Manager” or “FRM”). FRM is registered as a commodity pool operator (“CPO”) and commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act. FRM is also registered as an investment adviser under the Investment Advisers Act of 1940. FRM is an indirect wholly-owned subsidiary of Man Group plc (“Man Group”). The Fund was organized under the Delaware Limited Liability Company Act in March 2007 and commenced operations in April 2007. The Fund is an investment company as defined by Accounting Standards Codification (“ASC”) guidance. The Fund was previously known as “Systematic Momentum FuturesAccess LLC” through April 30, 2015.

Prior to May 1, 2015, the Fund was a participating fund in the FuturesAccessSM Program (“FuturesAccess”) sponsored by Merrill Lynch Alternative Investments LLC (“MLAI”). The Fund operated as a “fund of funds”, allocating and reallocating its capital among underlying FuturesAccess Funds (“FuturesAccess Portfolio Funds” or “Portfolio Funds”). MLAI was the sponsor and manager of the Fund prior to May 1, 2015. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation.

Pursuant to an Asset Purchase Agreement dated as of December 8, 2014 between MLAI and an indirect wholly-owned subsidiary of Man Group, as amended, the Man Group purchased, among other assets, the rights of MLAI and its affiliates under certain agreements relating to the management of the Fund. FRM replaced MLAI as manager of the Fund on May 1, 2015, upon the closing of such purchase. Effective as of May 1, 2015, the Fund was renamed “Man FRM Managed Futures Strategies LLC.”

Under the direction of the Manager, the Fund allocates its capital among a group of underlying related party funds (each an “Underlying Fund”, and collectively the “Underlying Funds”) which, in turn, allocate capital to related party master funds (each a “Master Fund” and collectively the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of related party commodity trading advisors (each a “Trading Advisor” and collectively, the “Trading Advisors”).

The Manager invests the Fund’s assets in Underlying Funds that are on the FRM platform. The Underlying Funds invested in by the Fund are established as Delaware limited liability companies, each of which engages the Manager as the risk manager and each of which further invests in a Master Fund, established as a Cayman Islands exempted company, which engages a single Trading Advisor (see Note 3). As of December 31, 2016, there are six Underlying Funds (see Note 3) held by the Fund. The Manager serves as CPO of the Underlying Funds and Master Funds.

Unless the context requires otherwise, references to the Fund in these financial statements notes, also refer to the Underlying Funds and the Master Funds in which the Underlying Funds invest. Reference to the investment process, strategies, objectives or activities of the Fund and the Underlying Funds refer to the investment activities of the Master Funds through which the Underlying Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities. Additionally, references to the Underlying Funds that follow are also related to the FuturesAccess Portfolio Funds during the period prior to May 1, 2015.

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 any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

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SIGNIFICANT ACCOUNTING POLICIES

12 Months Ended

Dec. 31, 2016

SIGNIFICANT ACCOUNTING POLICIES

SIGNIFICANT ACCOUNTING POLICIES

2.             SIGNIFICANT ACCOUNTING POLICIES

The Fund prepares its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). These financial statements have applied the guidance as set forth in the Financial Accounting Standards Board (“FASB”) ASC 946, Financial Services - Investment Companies. The following is a summary of the significant accounting and reporting policies used in preparing the financial statements.

Cash and Cash Equivalents

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of December 31, 2016 and December 31, 2015, the Fund does not hold any cash equivalents. Cash is held at a nationally recognized financial institution.

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.

Statement of Cash Flows

In accordance with FASB ASC 230, the Fund is exempt from the requirement to provide a statement of cash flows as all required conditions have been met.

Revenue Recognition

The resulting change between cost and market value (net of subscription and redemption activity in the investment in the Underlying Funds) is reflected in the Statements of Operations as change in unrealized from the investments in the Underlying Funds. In addition, when the Fund redeems or partially redeems its interest in the Underlying Funds, it records realized (net profit or loss) under Trading profit (loss), net for such interests in the Statements of Operations of the Fund.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar. The Master Funds may invest in financial instruments denominated in currencies other than U.S. dollar. However, the Master Funds value their financial instruments in U.S. dollars. The Master Funds may or may not seek to hedge their foreign currency exposure by entering into currency hedging transactions, such as treasury locks, forward contracts, future contracts and cross-currency swaps. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition of the Fund and each of the Underlying Funds and Master Funds. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statement of Operations of the Master Funds.

Operating Expenses and Selling Commissions

The Fund pays all of its ongoing operating costs, including, without limitation: ongoing offering fees and expenses; transaction costs; legal, accounting, audit and tax reporting and preparation fees and expenses; administrative, custody, transfer, subscription and redemption processing fees and expenses; regulatory, filing and printing fees and expenses; and any extraordinary expenses. Operating costs are allocated pro rata among each Class of Units based on their respective Net Asset Values.

During the year ended December 31, 2016, the Fund incurred $485,878 of costs for reports to shareholders, which is currently included in other expenses on the Statement of Operations.

Class A Units are subject to upfront sales commissions paid to Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Class AA, Class II and Class MM Units are subject to upfront sales commissions of up to 3.0% of an investor’s net subscription amount, payable to MLPF&S. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions.

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes.

The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value (“NAV”) of the Fund, including reducing the NAV of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund or the Underlying Funds. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. The Manager has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2013.

Distributions

Each investor is entitled to receive, equally per unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2016, 2015 and 2014.

Subscriptions

The Fund generally offers units (“Units”) for investment each Monday (or, where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (each a “Subscription Day”). Investors must submit their executed subscription agreement five business days prior to the Subscription Day. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate NAV, equal to the dollar amount invested.

Each member shares in the profits and losses of the Fund in proportion to the number of Units held by each member. However, no member is liable for obligations of the Fund in excess of its capital subscription and net profits or losses, if any. Except as noted above in respect to sales commissions and in Notes 6 below in respect of fees, the classes of units are identical.

Redemptions

Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of (i) each Friday (or, where such day is not a business day, the immediate following business day) and/or (ii) such other days as the Manager may determine in its sole discretion (each a “Redemption Day”), upon providing notice to the Fund in writing (or in such other manner as the Manager may determine in its sole discretion) not less than four business days prior to the Redemption Day. The NAV of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption requests and the applicable Redemption Date.

New Accounting Pronouncement

In August 2014, FASB issued ASU 2014-15, Presentation of Financial Statements — Going Concern(Subtopic 205-40) (“ASU 2014-15”). The pronouncement determines management’s responsibility regarding assessment of the Fund’s ability to continue as a going concern, even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management needs to evaluate whether there are conditions or events that, in aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt exists if these conditions or events indicate that the Fund will be unable to meet its obligations as they become due. If such conditions or events exist, management should develop a plan to mitigate or alleviate these conditions or events. Regardless of management’s plan to mitigate, certain disclosures must be made in the financial statements. ASU 2014-15 is effective for annual periods ending after December 15, 2016, however, early adoption is permitted. Adoption of the update had no impact on the Fund’s financial statements.

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INVESTMENTS IN UNDERLYING FUNDS

12 Months Ended

Dec. 31, 2016

INVESTMENTS IN UNDERLYING FUNDS

INVESTMENTS IN UNDERLYING FUNDS

3.             INVESTMENTS IN UNDERLYING FUNDS

During 2015, the Fund held investments in the following FuturesAccess Portfolio Funds: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), John Locke FuturesAccess LLC (“John Locke”), Lynx FuturesAccess LLC (“Lynx”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), Tudor Tensor FuturesAccess LLC (“Tudor”) and ML Winton FuturesAccess LLC (“Winton”). As of April 30, 2015, the Fund fully redeemed its investments in the FuturesAccess Portfolio Funds.

During May 2015, the Fund invested in a new group of Underlying Funds. As of December 31, 2016, the six Underlying Funds in which the Fund is invested in, and the respective Master Funds in which the Underlying Funds are invested in, are: (i) Blakeney Delaware Feeder LLC (“Blakeney”) which invests in Blakeney Fund Limited, (ii) Campbell Delaware Feeder LLC (“Campbell”) which invests in Campbell MAC Cayman Fund Limited, (iii) CCP Core Macro Delaware Feeder LLC (“CCP Core Macro”) which invests in CCP Core Macro Cayman Fund Limited, (iv) Century CAT MAC Delaware Feeder LLC (“Century CAT”) which invests in Century CAT MAC Cayman Fund Limited, (v) Quantica MF Delaware Feeder LLC (“Quantica MF”) which invests in Quantica MF Cayman Fund Limited, and (vi) Silver Delaware Feeder LLC (“Silver”) which invests in Silver MAC Limited. As used herein, Trading Advisor in respect of an Underlying Fund refers to the Trading Advisor of its related Master Fund. FRM, in its discretion, may change the Underlying Funds at any time. FRM, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Underlying Funds. In the process of rebalancing, the Fund’s allocation to any individual Underlying Fund may range between 3% - 25% of the Fund’s NAV.

During the year, the Fund had purchases of $53,670,000 and sales of $65,134,415 of investments in Underlying Funds. The investment transactions were accounted for on trade date. The investments in the Underlying Funds are valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, FRM utilized the NAV of the Underlying Funds which approximates fair value. The fair value was net of all fees relating to the Underlying Funds, paid or accrued. Additionally, FRM monitored the performance of the Underlying Funds. The fair value of the Fund’s assets and liabilities which qualify as financial instruments approximates the carrying amounts presented on the Statements of Financial Condition.

The details of investments in Underlying Funds at and for the year ended December 31, 2016 are as follows:

	Percentage of
	Members’							Cost @		Management		Performance			Redemptions
	Capital		Fair Value		Profit (Loss)			12/31/16		Fees		Fees			Permitted
Blakeney	11.13	%	$	12,788,895	$	(15,627	)	$	13,427,752	$	405,674	178,465			Weekly
Campbell	9.33	%	10,721,283		(3,135,990		)	13,028,816		356,382		8,285			Weekly
Carlisle*	—		—		713,644			—		35,154		119,723			Weekly
CCP Core Macro	10.12	%	11,633,446		(425,212		)	12,743,445		176,762		(407		)	Weekly
Century CAT**	12.32	%	14,163,692		(2,881,308		)	16,787,646		93,602		—			Weekly
Quantica MF	8.64	%	9,934,794		1,510,060			10,088,625		143,688		—			Weekly
Silver	8.30	%	9,537,757		17,504			10,980,982		116,455		—			Weekly
	59.84	%	$	68,779,867	$	(4,216,929	)	$	77,057,266	$	1,327,717	$	306,066

* Underlying Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829.

** Underlying Fund purchased in March 2016.

The details of investments in FuturesAccess Portfolio Funds and in Underlying Funds at and for the year ended December 31, 2015 are as follows:

	Percentage of
	Members’							Cost @		Management		Performance			Redemptions
	Capital		Fair Value		Profit (Loss)			12/31/15		Fees		Fees			Permitted
Transtrend*	0.00	%	$	—	$	501,384		$	—	$	180,168	$	145,534		Semi-Monthly
Winton*	0.00	%	—		407,901			—		299,068		492,114			Semi-Monthly
Aspect*	0.00	%	—		(509,070		)	—		164,422		467,119			Semi-Monthly
John Locke*	0.00	%	—		1,283,475			—		166,674		320,838			Semi-Monthly
Blue trend*	0.00	%	—		2,862,359			—		184,796		545,795			Monthly
Tudor*	0.00	%	—		1,341,872			—		165,656		315,320			Semi-Monthly
Lynx*	0.00	%	—		714,472			—		225,815		730,254			Semi-Monthly
Blakeney**	12.75	%	20,499,522		(465,478		)	20,751,000		285,106		—			Weekly
Campbell**	12.50	%	20,102,273		(1,672,727		)	21,084,372		308,835		(55,828		)	Weekly
Carlisle**	3.98	%	6,395,771		(1,304,229		)	6,754,807		137,694		23,009			Weekly
CCP Core Macro**	5.74	%	9,238,658		(1,901,342		)	10,422,116		106,198		—			Weekly
Quantica MF**	10.85	%	17,439,734		(7,620,266		)	23,687,804		201,190		1,512			Weekly
Silver**	6.71	%	10,785,253		(4,329,747		)	13,190,692		123,621		—			Weekly
	52.53	%	$	84,461,211	$	(10,691,396	)	$	95,890,791	$	2,549,243	$	2,985,667

* FuturesAccess Portfolio Funds redeemed as of April 30, 2015.

** Underlying Funds purchased in May 2015.

As of December 31, 2016 and 2015, there are no investments held by the Underlying Funds and the Underlying Funds’ Master Funds that in the aggregate exceed 5% of the Fund’s members’ capital.

The following is summarized financial information as required by Regulation S-X, for each of the FuturesAccess Portfolio Funds and the Underlying Funds:

	As of December 31, 2016
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	12,939,371	$	141,001	$	12,798,370
Campbell	10,859,354		130,341		10,729,013
CCP Core Macro	11,744,051		98,433		11,645,618
Century CAT	14,247,902		75,923		14,171,979
Quantica MF	10,069,651		127,622		9,942,029
Silver	9,670,349		125,495		9,544,854
Total	$	69,530,678	$	698,815	$	68,831,863

	As of December 31, 2015
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	20,631,073	$	421,747	$	20,209,326
Campbell	21,212,903		1,331,203		19,881,700
Carlisle	6,488,042		83,221		6,404,821
CCP Core Macro	9,321,267		74,078		9,247,189
Quantica MF	17,560,913		444,542		17,116,371
Silver	11,676,904		883,811		10,793,093
Total	$	86,891,102	$	3,238,602	$	83,652,500

	For the year ended December 31, 2016
									Net
	Income (Loss)			Commissions		Expenses			Income (Loss)
Blakeney	$	285,631		$	—	$	(301,619	)	$	(15,988	)
Campbell	(2,865,772		)	—		(271,928		)	(3,137,700		)
Carlisle#	776,008			—		(115,102		)	660,906
CCP Core Macro	111,541			—		(529,943		)	(418,402		)
Century CAT##	(2,697,621		)	—		(182,029		)	(2,879,650		)
Quantica MF	1,731,012			—		(220,354		)	1,510,658
Silver	233,347			—		(216,584		)	16,763
Total	$	(2,425,854	)	$	—	$	(1,837,559	)	$	(4,263,413	)

#Underlying Fund was redeemed in April 2016.

##Underlying Fund purchased in March 2016.

	For the year ended December 31, 2015
										Net
	Income (Loss)			Commissions			Expenses			Income (Loss)
Aspect*	$	404,556		$	(169,723	)	$	(4,910,852	)	$	(4,676,019	)
BlueTrend*	9,245,595			(170,694		)	(2,259,861		)	6,815,040
John Locke*	1,864,422			(74,165		)	(506,783		)	1,283,474
Lynx *	2,414,522			(79,733		)	(1,344,163		)	990,626
Transtrend*	1,877,424			(177,794		)	(921,164		)	778,466
Tudor*	1,983,906			(127,346		)	(514,687		)	1,341,873
Winton*	25,719,496			(335,422		)	(24,207,340		)	1,176,734
Blakeney**	(246,302		)	—			(224,457		)	(470,759		)
Campbell**	(1,355,182		)	—			(236,523		)	(1,591,705		)
Carlisle**	(1,152,742		)	—			(152,437		)	(1,305,179		)
CCP Core Macro**	(1,757,466		)	—			(145,345		)	(1,902,811		)
Quantica MF**	(7,392,755		)	—			(230,874		)	(7,623,629		)
Silver**	(4,343,455		)	—			(206,272		)	(4,549,727		)
Total	$	27,262,019		$	(1,134,877	)	$	(35,860,758	)	$	(9,733,616	)

* FuturesAccess Portfolio Funds redeemed as of April 30, 2015. The information above reflects income and expenses of the related FuturesAccess Portfolio Fund for the period from January 1, 2015 through April 30, 2015.

** Underlying Funds purchased in May 2015.

	For the year ended December 31, 2014
										Net
	Income (Loss)			Commissions			Expenses			Income (Loss)
Altis*	$	(2,692,878	)	$	(50,824	)	$	(177,341	)	$	(2,921,043	)
Aspect	42,916,804			(562,521		)	(9,186,371		)	33,167,912
BlueTrend	10,068,569			(530,630		)	(3,183,394		)	6,354,545
John Locke	6,683,299			(225,361		)	(1,208,425		)	5,249,513
Lynx	14,668,003			(218,706		)	(3,616,591		)	10,832,706
Transtrend	16,067,593			(573,907		)	(3,152,986		)	12,340,700
Tudor	4,770,661			(476,414		)	(543,889		)	3,750,358
Winton	169,525,630			(1,182,808		)	(63,893,716		)	104,449,106
Total	$	262,007,681		$	(3,821,171	)	$	(84,962,713	)	$	173,223,797

* Altis liquidated as of March 31, 2014.

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FAIR VALUE OF INVESTMENTS

12 Months Ended

Dec. 31, 2016

FAIR VALUE OF INVESTMENTS

FAIR VALUE OF INVESTMENTS

4.             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).

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.

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. FRM’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.

FASB ASC 820 - Fair Value Measurement and Disclosures no longer requires investments for which fair value is determined based on practical expedient reliance to be reported utilizing the fair value hierarchy. As of December 31, 2016 and December 31, 2015, all of the investments were fair valued using the NAV as practical expedient of the Underlying Funds.

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MARKET, CREDIT AND CONCENTRATION RISKS

12 Months Ended

Dec. 31, 2016

MARKET, CREDIT AND CONCENTRATION RISKS

MARKET, CREDIT AND CONCENTRATION RISKS

5.             MARKET, CREDIT AND CONCENTRATION RISKS

The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes certain 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 Master Funds’ financial assets (liabilities) at fair value through profit or loss on such derivative instruments as reflected in the Statements of Financial Condition of the Master Funds. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Master Funds 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.

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 members 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 derivatives, at fair value, if any, included in the Master Funds’ Statements of Financial Condition.

As of December 31, 2016, the Underlying Funds held by the Fund do not invest directly in positions other than their related Master Funds. The Master Funds enter into contracts with various futures clearing brokers. These brokers may encounter financial difficulties that can impair the operating capabilities or the capital position of the Master Funds, and in turn, the Underlying Funds. The Trading Advisors of the Master Funds will attempt to limit transactions to well-capitalized and established brokers in an effort to mitigate such risk.

Credit risk is the possibility that a loss may occur from the failure of a counterparty to make payments according to the terms of a contract. The Fund’s exposure to credit risk is contingent upon the Underlying Funds and the brokers and counterparties which the Underlying Funds transact business with as well as amounts recorded as assets in the Statements of Financial Condition.

Cash held as deposits may exceed the amount of federal insurance provided on such deposits and are therefore subject to credit risk.

Concentration Risk

The Fund’s investments in the Underlying Funds are subject to the market and credit risk of the Underlying Funds. Because the majority of the Fund’s capital is invested in the Underlying Funds, any changes in the market conditions that would adversely affect the Underlying Funds could significantly impact the solvency of the Fund.

Currency Risk

The Fund’s investments in the Underlying Funds are subject to currency risk to the extent that the fair value or future cash flow of a financial instrument held by any Underlying Fund will fluctuate because of changes in foreign exchange rates.

Liquidity Risk

Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations associated with financial liabilities. Redemption requests for Units are the main liquidity risk for the Fund. The Units are redeemable as outlined in Note 2. The exposure to liquidity risk through redemption requests for Units is managed by specifically setting the redemption notice period to accommodate the expected liquidity of the Underlying Funds as agreed by the Investment Manager.

Indemnifications

The Fund enters into administrative and other professional service contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is not known; however, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

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RELATED PARTY TRANSACTIONS

12 Months Ended

Dec. 31, 2016

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS

6.             RELATED PARTY TRANSACTIONS

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Former Transfer Agent”), an affiliate of MLAI, which was in place through April 30, 2015. The fees charged by the Former Transfer Agent for its services were based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranged from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. Effective as of May 1, 2015, The Bank of New York Mellon, a corporation organized under the laws of the State of New York, through its Alternative Investment Services division (“AIS”), serves as the administrator, registrar and transfer agent (“New Transfer Agent”) for the Fund pursuant to an Administrative Services Agreement. The New Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of units. The New Transfer Agent is not a related party of the Fund.

The Former Transfer Agent fee allocated to the Fund for the year ended December 31, 2016, 2015 and 2014 amounted to $0, $36,363 and $47,679, respectively.

The Manager receives monthly management fees (“Management Fees”) based on the aggregate NAV of the Class of Units. The respective Management Fee rates are: Class A Units 1.5% per annum; Class C Units 2.5% per annum; and Class I Units 1.1% per annum. Class D Units and Class M Units are not charged Management Fees. Prior to May 1, 2015, Management Fees were known as sponsor fees and were paid to MLAI. Effective August 19, 2015, three new classes were offered by the Fund. The respective Management Fee for these classes are: Class AA units 2.5% per annum; Class II units 1.35% per annum; Class MM units 0.60% per annum.

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WEIGHTED AVERAGE UNITS

12 Months Ended

Dec. 31, 2016

WEIGHTED AVERAGE UNITS

WEIGHTED AVERAGE UNITS

7.             WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding for each Class for the years ended December 31, 2016, 2015 and 2014 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year.

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SUBSEQUENT EVENTS

12 Months Ended

Dec. 31, 2016

SUBSEQUENT EVENTS.

SUBSEQUENT EVENTS

8.            SUBSEQUENT EVENTS

Effective January 1, 2017 the Fund has redeemed $250,000 from its investment in Quantica MF.

For the period January 1, 2017 to March 29, 2017, the Fund has recorded subscriptions of approximately $11,000 and redemptions of approximately $14,340,028.

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 additional subsequent events that require adjustment to, or disclosure in, the financial statements.

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SIGNIFICANT ACCOUNTING POLICIES (Policies)

12 Months Ended

Dec. 31, 2016

SIGNIFICANT ACCOUNTING POLICIES

Cash and Cash Equivalents

Cash and Cash Equivalents

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of December 31, 2016 and December 31, 2015, the Fund does not hold any cash equivalents. Cash is held at a nationally recognized financial institution.

Estimates

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.

Statement of Cash Flows

Statement of Cash Flows

In accordance with FASB ASC 230, the Fund is exempt from the requirement to provide a statement of cash flows as all required conditions have been met.

Revenue Recognition

Revenue Recognition

The resulting change between cost and market value (net of subscription and redemption activity in the investment in the Underlying Funds) is reflected in the Statements of Operations as change in unrealized from the investments in the Underlying Funds. In addition, when the Fund redeems or partially redeems its interest in the Underlying Funds, it records realized (net profit or loss) under Trading profit (loss), net for such interests in the Statements of Operations of the Fund.

Foreign Currency Transactions

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar. The Master Funds may invest in financial instruments denominated in currencies other than U.S. dollar. However, the Master Funds value their financial instruments in U.S. dollars. The Master Funds may or may not seek to hedge their foreign currency exposure by entering into currency hedging transactions, such as treasury locks, forward contracts, future contracts and cross-currency swaps. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition of the Fund and each of the Underlying Funds and Master Funds. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statement of Operations of the Master Funds.

Operating Expenses and Selling Commissions

Operating Expenses and Selling Commissions

The Fund pays all of its ongoing operating costs, including, without limitation: ongoing offering fees and expenses; transaction costs; legal, accounting, audit and tax reporting and preparation fees and expenses; administrative, custody, transfer, subscription and redemption processing fees and expenses; regulatory, filing and printing fees and expenses; and any extraordinary expenses. Operating costs are allocated pro rata among each Class of Units based on their respective Net Asset Values.

During the year ended December 31, 2016, the Fund incurred $485,878 of costs for reports to shareholders, which is currently included in other expenses on the Statement of Operations.

Class A Units are subject to upfront sales commissions paid to Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) ranging from 1.0% to 2.5% of an investor’s gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Class AA, Class II and Class MM Units are subject to upfront sales commissions of up to 3.0% of an investor’s net subscription amount, payable to MLPF&S. Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions.

Income Taxes

Income Taxes

No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes.

The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value (“NAV”) of the Fund, including reducing the NAV of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund or the Underlying Funds. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. The Manager has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2013.

Distributions

Distributions

Each investor is entitled to receive, equally per unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2016, 2015 and 2014.

Subscriptions

Subscriptions

The Fund generally offers units (“Units”) for investment each Monday (or, where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (each a “Subscription Day”). Investors must submit their executed subscription agreement five business days prior to the Subscription Day. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate NAV, equal to the dollar amount invested.

Each member shares in the profits and losses of the Fund in proportion to the number of Units held by each member. However, no member is liable for obligations of the Fund in excess of its capital subscription and net profits or losses, if any. Except as noted above in respect to sales commissions and in Notes 6 below in respect of fees, the classes of units are identical.

Redemptions

Redemptions

Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of (i) each Friday (or, where such day is not a business day, the immediate following business day) and/or (ii) such other days as the Manager may determine in its sole discretion (each a “Redemption Day”), upon providing notice to the Fund in writing (or in such other manner as the Manager may determine in its sole discretion) not less than four business days prior to the Redemption Day. The NAV of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption requests and the applicable Redemption Date.

New Accounting Pronouncement

New Accounting Pronouncement

In August 2014, FASB issued ASU 2014-15, Presentation of Financial Statements — Going Concern(Subtopic 205-40) (“ASU 2014-15”). The pronouncement determines management’s responsibility regarding assessment of the Fund’s ability to continue as a going concern, even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management needs to evaluate whether there are conditions or events that, in aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt exists if these conditions or events indicate that the Fund will be unable to meet its obligations as they become due. If such conditions or events exist, management should develop a plan to mitigate or alleviate these conditions or events. Regardless of management’s plan to mitigate, certain disclosures must be made in the financial statements. ASU 2014-15 is effective for annual periods ending after December 15, 2016, however, early adoption is permitted. Adoption of the update had no impact on the Fund’s financial statements.

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INVESTMENTS IN UNDERLYING FUNDS (Tables)

12 Months Ended

Dec. 31, 2016

INVESTMENTS IN UNDERLYING FUNDS

Schedule of investments in FuturesAccess Portfolio Funds and in Underlying Funds

The details of investments in Underlying Funds at and for the year ended December 31, 2016 are as follows:

	Percentage of
	Members’							Cost @		Management		Performance			Redemptions
	Capital		Fair Value		Profit (Loss)			12/31/16		Fees		Fees			Permitted
Blakeney	11.13	%	$	12,788,895	$	(15,627	)	$	13,427,752	$	405,674	178,465			Weekly
Campbell	9.33	%	10,721,283		(3,135,990		)	13,028,816		356,382		8,285			Weekly
Carlisle*	—		—		713,644			—		35,154		119,723			Weekly
CCP Core Macro	10.12	%	11,633,446		(425,212		)	12,743,445		176,762		(407		)	Weekly
Century CAT**	12.32	%	14,163,692		(2,881,308		)	16,787,646		93,602		—			Weekly
Quantica MF	8.64	%	9,934,794		1,510,060			10,088,625		143,688		—			Weekly
Silver	8.30	%	9,537,757		17,504			10,980,982		116,455		—			Weekly
	59.84	%	$	68,779,867	$	(4,216,929	)	$	77,057,266	$	1,327,717	$	306,066

* Underlying Fund was redeemed in April 2016 and the Fund received proceeds of $8,826,829.

** Underlying Fund purchased in March 2016.

The details of investments in FuturesAccess Portfolio Funds and in Underlying Funds at and for the year ended December 31, 2015 are as follows:

	Percentage of
	Members’							Cost @		Management		Performance			Redemptions
	Capital		Fair Value		Profit (Loss)			12/31/15		Fees		Fees			Permitted
Transtrend*	0.00	%	$	—	$	501,384		$	—	$	180,168	$	145,534		Semi-Monthly
Winton*	0.00	%	—		407,901			—		299,068		492,114			Semi-Monthly
Aspect*	0.00	%	—		(509,070		)	—		164,422		467,119			Semi-Monthly
John Locke*	0.00	%	—		1,283,475			—		166,674		320,838			Semi-Monthly
Blue trend*	0.00	%	—		2,862,359			—		184,796		545,795			Monthly
Tudor*	0.00	%	—		1,341,872			—		165,656		315,320			Semi-Monthly
Lynx*	0.00	%	—		714,472			—		225,815		730,254			Semi-Monthly
Blakeney**	12.75	%	20,499,522		(465,478		)	20,751,000		285,106		—			Weekly
Campbell**	12.50	%	20,102,273		(1,672,727		)	21,084,372		308,835		(55,828		)	Weekly
Carlisle**	3.98	%	6,395,771		(1,304,229		)	6,754,807		137,694		23,009			Weekly
CCP Core Macro**	5.74	%	9,238,658		(1,901,342		)	10,422,116		106,198		—			Weekly
Quantica MF**	10.85	%	17,439,734		(7,620,266		)	23,687,804		201,190		1,512			Weekly
Silver**	6.71	%	10,785,253		(4,329,747		)	13,190,692		123,621		—			Weekly
	52.53	%	$	84,461,211	$	(10,691,396	)	$	95,890,791	$	2,549,243	$	2,985,667

* FuturesAccess Portfolio Funds redeemed as of April 30, 2015.

** Underlying Funds purchased in May 2015.

Summary of financial information for each of the FuturesAccess Portfolio Funds and the Underlying Funds

	As of December 31, 2016
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	12,939,371	$	141,001	$	12,798,370
Campbell	10,859,354		130,341		10,729,013
CCP Core Macro	11,744,051		98,433		11,645,618
Century CAT	14,247,902		75,923		14,171,979
Quantica MF	10,069,651		127,622		9,942,029
Silver	9,670,349		125,495		9,544,854
Total	$	69,530,678	$	698,815	$	68,831,863

	As of December 31, 2015
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	20,631,073	$	421,747	$	20,209,326
Campbell	21,212,903		1,331,203		19,881,700
Carlisle	6,488,042		83,221		6,404,821
CCP Core Macro	9,321,267		74,078		9,247,189
Quantica MF	17,560,913		444,542		17,116,371
Silver	11,676,904		883,811		10,793,093
Total	$	86,891,102	$	3,238,602	$	83,652,500

	For the year ended December 31, 2016
									Net
	Income (Loss)			Commissions		Expenses			Income (Loss)
Blakeney	$	285,631		$	—	$	(301,619	)	$	(15,988	)
Campbell	(2,865,772		)	—		(271,928		)	(3,137,700		)
Carlisle#	776,008			—		(115,102		)	660,906
CCP Core Macro	111,541			—		(529,943		)	(418,402		)
Century CAT##	(2,697,621		)	—		(182,029		)	(2,879,650		)
Quantica MF	1,731,012			—		(220,354		)	1,510,658
Silver	233,347			—		(216,584		)	16,763
Total	$	(2,425,854	)	$	—	$	(1,837,559	)	$	(4,263,413	)

#Underlying Fund was redeemed in April 2016.

##Underlying Fund purchased in March 2016.

	For the year ended December 31, 2015
										Net
	Income (Loss)			Commissions			Expenses			Income (Loss)
Aspect*	$	404,556		$	(169,723	)	$	(4,910,852	)	$	(4,676,019	)
BlueTrend*	9,245,595			(170,694		)	(2,259,861		)	6,815,040
John Locke*	1,864,422			(74,165		)	(506,783		)	1,283,474
Lynx *	2,414,522			(79,733		)	(1,344,163		)	990,626
Transtrend*	1,877,424			(177,794		)	(921,164		)	778,466
Tudor*	1,983,906			(127,346		)	(514,687		)	1,341,873
Winton*	25,719,496			(335,422		)	(24,207,340		)	1,176,734
Blakeney**	(246,302		)	—			(224,457		)	(470,759		)
Campbell**	(1,355,182		)	—			(236,523		)	(1,591,705		)
Carlisle**	(1,152,742		)	—			(152,437		)	(1,305,179		)
CCP Core Macro**	(1,757,466		)	—			(145,345		)	(1,902,811		)
Quantica MF**	(7,392,755		)	—			(230,874		)	(7,623,629		)
Silver**	(4,343,455		)	—			(206,272		)	(4,549,727		)
Total	$	27,262,019		$	(1,134,877	)	$	(35,860,758	)	$	(9,733,616	)

* FuturesAccess Portfolio Funds redeemed as of April 30, 2015. The information above reflects income and expenses of the related FuturesAccess Portfolio Fund for the period from January 1, 2015 through April 30, 2015.

** Underlying Funds purchased in May 2015.

	For the year ended December 31, 2014
										Net
	Income (Loss)			Commissions			Expenses			Income (Loss)
Altis*	$	(2,692,878	)	$	(50,824	)	$	(177,341	)	$	(2,921,043	)
Aspect	42,916,804			(562,521		)	(9,186,371		)	33,167,912
BlueTrend	10,068,569			(530,630		)	(3,183,394		)	6,354,545
John Locke	6,683,299			(225,361		)	(1,208,425		)	5,249,513
Lynx	14,668,003			(218,706		)	(3,616,591		)	10,832,706
Transtrend	16,067,593			(573,907		)	(3,152,986		)	12,340,700
Tudor	4,770,661			(476,414		)	(543,889		)	3,750,358
Winton	169,525,630			(1,182,808		)	(63,893,716		)	104,449,106
Total	$	262,007,681		$	(3,821,171	)	$	(84,962,713	)	$	173,223,797

* Altis liquidated as of March 31, 2014.

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ORGANIZATION (Details)	12 Months Ended
	Dec. 31, 2016 fund
ORGANIZATION
Number of underlying funds	6

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SIGNIFICANT ACCOUNTING POLICIES (Details) - USD ($)	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Income Taxes
Provision for income taxes	$ 0
Distributions
Distributions declared (in dollars per unit)	$ 0.00	$ 0.00	$ 0.00
Subscriptions
Notice period for subscription of units (in business days)	5 days
Redemptions
Minimum notice period for redemption of units (in business days)	4 days
Other expenses.
Operating Expenses and Selling Commissions
Cost of reports to shareholders	$ 485,878
Class A | Minimum
Operating Expenses and Selling Commissions
Percentage of sales commission paid to broker	1.00%
Class A | Maximum
Operating Expenses and Selling Commissions
Percentage of sales commission paid to broker	2.50%
Class D | Maximum
Operating Expenses and Selling Commissions
Percentage of sales commission paid to broker	2.50%
Class I | Maximum
Operating Expenses and Selling Commissions
Percentage of sales commission paid to broker	2.50%
Class AA | Maximum
Operating Expenses and Selling Commissions
Percentage of sales commission paid to broker	3.00%
Class II | Maximum
Operating Expenses and Selling Commissions
Percentage of sales commission paid to broker	3.00%
Class MM | Maximum
Operating Expenses and Selling Commissions
Percentage of sales commission paid to broker	3.00%

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INVESTMENTS IN UNDERLYING FUNDS - INVESTMENTS IN UNDERLYING AND PORTFOLIO FUNDS (Details)	1 Months Ended	12 Months Ended
	Apr. 30, 2016 USD ($)	Dec. 31, 2016 USD ($) fund	Dec. 31, 2015 USD ($)	Dec. 31, 2014 USD ($)
Investments in Underlying Funds and Portfolio Funds
Number of underlying funds | fund		6
Fair Value		$ 68,779,867	$ 84,461,211
Profit (Loss)		(4,216,929)	(10,691,396)	$ 33,661,443
Cost as of date		77,057,266	95,890,791
Management Fees		$ 2,875,987	$ 4,070,605	$ 4,866,807
Minimum
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital		3.00%
Maximum
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital		25.00%
Portfolio Funds and Underlying Funds
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital			52.53%
Fair Value			$ 84,461,211
Profit (Loss)			(10,691,396)
Cost as of date			95,890,791
Management Fees			2,549,243
Performance Fees			$ 2,985,667
Transtrend
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital			0.00%
Profit (Loss)			$ 501,384
Management Fees			180,168
Performance Fees			$ 145,534
Winton
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital			0.00%
Profit (Loss)			$ 407,901
Management Fees			299,068
Performance Fees			$ 492,114
Aspect
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital			0.00%
Profit (Loss)			$ (509,070)
Management Fees			164,422
Performance Fees			$ 467,119
John Locke
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital			0.00%
Profit (Loss)			$ 1,283,475
Management Fees			166,674
Performance Fees			$ 320,838
BlueTrend
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital			0.00%
Profit (Loss)			$ 2,862,359
Management Fees			184,796
Performance Fees			$ 545,795
Tudor
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital			0.00%
Profit (Loss)			$ 1,341,872
Management Fees			165,656
Performance Fees			$ 315,320
Lynx
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital			0.00%
Profit (Loss)			$ 714,472
Management Fees			225,815
Performance Fees			$ 730,254
Underlying Funds
Investments in Underlying Funds and Portfolio Funds
Investment purchases		$ 53,670,000
Investment sale proceeds		$ 65,134,415
Percentage of Members' Capital		59.84%
Fair Value		$ 68,779,867
Profit (Loss)		(4,216,929)
Cost as of date		77,057,266
Management Fees		1,327,717
Performance Fees		$ 306,066
Blakeney
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital		11.13%	12.75%
Fair Value		$ 12,788,895	$ 20,499,522
Profit (Loss)		(15,627)	(465,478)
Cost as of date		13,427,752	20,751,000
Management Fees		405,674	$ 285,106
Performance Fees		$ 178,465
Campbell
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital		9.33%	12.50%
Fair Value		$ 10,721,283	$ 20,102,273
Profit (Loss)		(3,135,990)	(1,672,727)
Cost as of date		13,028,816	21,084,372
Management Fees		356,382	308,835
Performance Fees		8,285	$ (55,828)
Carlisle
Investments in Underlying Funds and Portfolio Funds
Investment sale proceeds	$ 8,826,829
Percentage of Members' Capital			3.98%
Fair Value			$ 6,395,771
Profit (Loss)		713,644	(1,304,229)
Cost as of date			6,754,807
Management Fees		35,154	137,694
Performance Fees		$ 119,723	$ 23,009
CCP Core Macro
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital		10.12%	5.74%
Fair Value		$ 11,633,446	$ 9,238,658
Profit (Loss)		(425,212)	(1,901,342)
Cost as of date		12,743,445	10,422,116
Management Fees		176,762	$ 106,198
Performance Fees		$ (407)
Century CAT
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital		12.32%
Fair Value		$ 14,163,692
Profit (Loss)		(2,881,308)
Cost as of date		16,787,646
Management Fees		$ 93,602
Quantica MF
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital		8.64%	10.85%
Fair Value		$ 9,934,794	$ 17,439,734
Profit (Loss)		1,510,060	(7,620,266)
Cost as of date		10,088,625	23,687,804
Management Fees		$ 143,688	201,190
Performance Fees			$ 1,512
Silver
Investments in Underlying Funds and Portfolio Funds
Percentage of Members' Capital		8.30%	6.71%
Fair Value		$ 9,537,757	$ 10,785,253
Profit (Loss)		17,504	(4,329,747)
Cost as of date		10,980,982	13,190,692
Management Fees		$ 116,455	$ 123,621

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INVESTMENTS IN UNDERLYING FUNDS - FINANCIAL INFORMATION OF UNDERLYING AND PORTFOLIO FUNDS (Details)	12 Months Ended
	Dec. 31, 2016 USD ($) item	Dec. 31, 2015 USD ($) item	Dec. 31, 2014 USD ($)
Financial information for each of the portfolio funds
Total Assets	$ 117,850,930	$ 164,079,992
Total Liabilities	2,912,636	3,298,260
Total Capital	114,938,294	160,781,732
NET INCOME (LOSS)	$ (8,652,706)	$ (15,751,696)	$ 28,116,068
Number of investments with aggregate fair value exceeding fund member capital threshold | item	0	0
Maximum
Financial information for each of the portfolio funds
Single investment threshold as a percentage of members' capital	5.00%	5.00%
Portfolio Funds and Underlying Funds
Financial information for each of the portfolio funds
Income (Loss)		$ 27,262,019
Commissions		(1,134,877)
Expenses		(35,860,758)
NET INCOME (LOSS)		(9,733,616)
Underlying Funds
Financial information for each of the portfolio funds
Total Assets	$ 69,530,678	86,891,102
Total Liabilities	698,815	3,238,602
Total Capital	68,831,863	83,652,500
Income (Loss)	(2,425,854)
Expenses	(1,837,559)
NET INCOME (LOSS)	(4,263,413)
Blakeney
Financial information for each of the portfolio funds
Total Assets	12,939,371	20,631,073
Total Liabilities	141,001	421,747
Total Capital	12,798,370	20,209,326
Income (Loss)	285,631	(246,302)
Expenses	(301,619)	(224,457)
NET INCOME (LOSS)	(15,988)	(470,759)
Campbell
Financial information for each of the portfolio funds
Total Assets	10,859,354	21,212,903
Total Liabilities	130,341	1,331,203
Total Capital	10,729,013	19,881,700
Income (Loss)	(2,865,772)	(1,355,182)
Expenses	(271,928)	(236,523)
NET INCOME (LOSS)	(3,137,700)	(1,591,705)
Carlisle
Financial information for each of the portfolio funds
Total Assets		6,488,042
Total Liabilities		83,221
Total Capital		6,404,821
Income (Loss)	776,008	(1,152,742)
Expenses	(115,102)	(152,437)
NET INCOME (LOSS)	660,906	(1,305,179)
CCP Core Macro
Financial information for each of the portfolio funds
Total Assets	11,744,051	9,321,267
Total Liabilities	98,433	74,078
Total Capital	11,645,618	9,247,189
Income (Loss)	111,541	(1,757,466)
Expenses	(529,943)	(145,345)
NET INCOME (LOSS)	(418,402)	(1,902,811)
Century CAT
Financial information for each of the portfolio funds
Total Assets	14,247,902
Total Liabilities	75,923
Total Capital	14,171,979
Income (Loss)	(2,697,621)
Expenses	(182,029)
NET INCOME (LOSS)	(2,879,650)
Quantica MF
Financial information for each of the portfolio funds
Total Assets	10,069,651	17,560,913
Total Liabilities	127,622	444,542
Total Capital	9,942,029	17,116,371
Income (Loss)	1,731,012	(7,392,755)
Expenses	(220,354)	(230,874)
NET INCOME (LOSS)	1,510,658	(7,623,629)
Silver
Financial information for each of the portfolio funds
Total Assets	9,670,349	11,676,904
Total Liabilities	125,495	883,811
Total Capital	9,544,854	10,793,093
Income (Loss)	233,347	(4,343,455)
Expenses	(216,584)	(206,272)
NET INCOME (LOSS)	$ 16,763	(4,549,727)
Portfolio Funds
Financial information for each of the portfolio funds
Income (Loss)			262,007,681
Commissions			(3,821,171)
Expenses			(84,962,713)
NET INCOME (LOSS)			173,223,797
Altis
Financial information for each of the portfolio funds
Income (Loss)			(2,692,878)
Commissions			(50,824)
Expenses			(177,341)
NET INCOME (LOSS)			(2,921,043)
Aspect
Financial information for each of the portfolio funds
Income (Loss)		404,556	42,916,804
Commissions		(169,723)	(562,521)
Expenses		(4,910,852)	(9,186,371)
NET INCOME (LOSS)		(4,676,019)	33,167,912
BlueTrend
Financial information for each of the portfolio funds
Income (Loss)		9,245,595	10,068,569
Commissions		(170,694)	(530,630)
Expenses		(2,259,861)	(3,183,394)
NET INCOME (LOSS)		6,815,040	6,354,545
John Locke
Financial information for each of the portfolio funds
Income (Loss)		1,864,422	6,683,299
Commissions		(74,165)	(225,361)
Expenses		(506,783)	(1,208,425)
NET INCOME (LOSS)		1,283,474	5,249,513
Lynx
Financial information for each of the portfolio funds
Income (Loss)		2,414,522	14,668,003
Commissions		(79,733)	(218,706)
Expenses		(1,344,163)	(3,616,591)
NET INCOME (LOSS)		990,626	10,832,706
Transtrend
Financial information for each of the portfolio funds
Income (Loss)		1,877,424	16,067,593
Commissions		(177,794)	(573,907)
Expenses		(921,164)	(3,152,986)
NET INCOME (LOSS)		778,466	12,340,700
Tudor
Financial information for each of the portfolio funds
Income (Loss)		1,983,906	4,770,661
Commissions		(127,346)	(476,414)
Expenses		(514,687)	(543,889)
NET INCOME (LOSS)		1,341,873	3,750,358
Winton
Financial information for each of the portfolio funds
Income (Loss)		25,719,496	169,525,630
Commissions		(335,422)	(1,182,808)
Expenses		(24,207,340)	(63,893,716)
NET INCOME (LOSS)		$ 1,176,734	$ 104,449,106

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RELATED PARTY TRANSACTIONS (Details)		12 Months Ended
	Aug. 19, 2015 item	Dec. 31, 2016 USD ($)	Dec. 31, 2015 USD ($)	Dec. 31, 2014 USD ($)
RELATED PARTY TRANSACTIONS
Number of new classes of units offered by the Fund | item	3
Class A
RELATED PARTY TRANSACTIONS
Management fees (as a percent)		1.50%
Class C
RELATED PARTY TRANSACTIONS
Management fees (as a percent)		2.50%
Class I
RELATED PARTY TRANSACTIONS
Management fees (as a percent)		1.10%
Class AA
RELATED PARTY TRANSACTIONS
Management fees (as a percent)		2.50%
Class II
RELATED PARTY TRANSACTIONS
Management fees (as a percent)		1.35%
Class MM
RELATED PARTY TRANSACTIONS
Management fees (as a percent)		0.60%
Financial Data Services, Inc.
RELATED PARTY TRANSACTIONS
Fees allocated to Fund | $		$ 0	$ 36,363	$ 47,679
Financial Data Services, Inc. | Minimum
RELATED PARTY TRANSACTIONS
Fee rate per year as a percentage of aggregate net assets (as a percent)		0.016%
Financial Data Services, Inc. | Maximum
RELATED PARTY TRANSACTIONS
Fee rate per year as a percentage of aggregate net assets (as a percent)		0.02%

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SUBSEQUENT EVENTS (Details) - Subsequent Events - USD ($)		3 Months Ended
	Jan. 01, 2017	Mar. 29, 2017
Subsequent Events
Subscriptions		$ 11,000
Redemptions		$ 14,340,028
Quantica MF
Subsequent Events
Redemptions	$ 250,000