10-Q 1 a12-20099_110q.htm 10-Q

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

(Mark One)

 

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

 

For the quarterly period ended September 30, 2012

 

OR

 

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

 

For the transition period from                  to                

 

Commission File Number 0-54140

 

MAN AHL FUTURESACCESS LLC

(Exact Name of Registrant as specified in its charter)

 

Delaware

 

27-2365025

(State or other jurisdiction of

 

(IRS Employer Identification No.)

incorporation or organization)

 

 

 

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 10th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

 

212-449-3517

(Registrant’s telephone number, including area code)

 

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

 

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate 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 whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.:

 

Large accelerated filer o

 

Accelerated filer o

 

 

 

Non-accelerated filer x

 

Smaller reporting company o

(Do not check if a smaller reporting company)

 

 

 

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

 

As of September 30, 2012 42,870,175 units of limited liability company interest were outstanding.

 

 

 


 

MAN AHL FUTURESACCESS LLC

 

QUARTERLY REPORT FOR SEPTEMBER 30, 2012 ON FORM 10-Q

 

Table of Contents

 

 

 

PAGE

PART I—FINANCIAL INFORMATION

 

 

 

 

Item 1.

Financial Statements

1

 

 

 

Item 2.

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

17

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

29

 

 

 

Item 4.

Controls and Procedures

33

 

 

 

PART II—OTHER INFORMATION

 

 

 

 

Item 1.

Legal Proceedings

34

 

 

 

Item 1A.

Risk Factors

34

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

34

 

 

 

Item 3.

Defaults Upon Senior Securities

35

 

 

 

Item 4.

Mine Safety Disclosures

35

 

 

 

Item 5.

Other Information

35

 

 

 

Item 6.

Exhibits

35

 


 

PART I - FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

MAN AHL FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

September 30,

 

December 31,

 

 

 

2012

 

2011

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $3,729,558 for 2012 and $3,907,106 for 2011)

 

$

41,714,713

 

$

56,237,280

 

Net unrealized profit on open futures contracts

 

328,220

 

825,015

 

Net unrealized profit on open forwards contracts

 

533,234

 

616,707

 

Cash

 

543,620

 

227,590

 

Other assets

 

65,101

 

65,000

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

43,184,888

 

$

57,971,592

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Net unrealized loss on open futures contracts

 

$

562,548

 

$

7,379

 

Net unrealized loss on open forwards contracts

 

153,300

 

25,120

 

Brokerage commissions payable

 

12,325

 

2,950

 

Sponsor and Advisory fees payable

 

71,052

 

101,750

 

Redemptions payable

 

4,182,906

 

3,580,355

 

Other liabilities

 

398,587

 

187,073

 

 

 

 

 

 

 

Total liabilities

 

5,380,718

 

3,904,627

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Interest (42,870,175 and 57,889,292 Units outstanding, unlimited Units authorized)

 

37,804,170

 

54,066,965

 

Total members’ capital

 

37,804,170

 

54,066,965

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

43,184,888

 

$

57,971,592

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

0.8321

 

$

0.8964

 

Class C

 

$

0.8209

 

$

0.8909

 

Class D

 

$

—

 

$

0.9170

 

Class I

 

$

0.8390

 

$

0.9011

 

Class M

 

$

—

 

$

—

 

Class DT

 

$

0.9070

 

$

0.9589

 

 

See notes to financial statements.

 

1


 

MAN AHL FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 

 

 

For the three months
ended

 

For the three months
ended

 

For the nine
months ended

 

For the nine
months ended

 

 

 

September 30, 2012

 

September 30, 2011

 

September 30, 2012

 

September 30, 2011

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

(31,319

)

$

2,490,202

 

$

(792,641

)

$

1,532,930

 

Change in unrealized, net

 

726,839

 

658,635

 

(1,263,617

)

(2,121,705

)

Brokerage commissions

 

(46,029

)

(75,675

)

(117,730

)

(331,047

)

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss), net

 

649,491

 

3,073,162

 

(2,173,988

)

(919,822

)

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME:

 

 

 

 

 

 

 

 

 

Interest, net

 

(1,432

)

4,047

 

1,024

 

12,845

 

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Management fee

 

153,190

 

189,941

 

511,057

 

498,933

 

Sponsor fee

 

82,904

 

94,980

 

282,015

 

193,537

 

Other

 

137,288

 

100,903

 

210,736

 

279,646

 

Total expenses

 

373,382

 

385,824

 

1,003,808

 

972,116

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT LOSS

 

(374,814

)

(381,777

)

(1,002,784

)

(959,271

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

274,677

 

$

2,691,385

 

$

(3,176,772

)

$

(1,879,093

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

4,776,469

 

3,254,314

 

5,476,294

 

2,287,824

 

Class C

 

12,375,408

 

13,215,308

 

13,311,213

 

8,855,773

 

Class D*

 

400,000

 

400,000

 

400,000

 

400,000

 

Class I

 

1,300,604

 

1,716,655

 

2,229,751

 

1,389,963

 

Class M**

 

332,016

 

—

 

332,016

 

—

 

Class DT

 

31,611,581

 

39,879,495

 

33,526,389

 

41,860,818

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

0.0044

 

$

0.0365

 

$

(0.0646

)

$

(0.0235

)

Class C

 

$

0.0004

 

$

0.0368

 

$

(0.0691

)

$

(0.0229

)

Class D*

 

$

0.0099

 

$

0.0450

 

$

(0.0501

)

$

(0.0267

)

Class I

 

$

0.0251

 

$

0.0384

 

$

(0.0608

)

$

(0.0367

)

Class M**

 

$

(0.0143

)

$

—

 

$

(0.0143

)

$

—

 

Class DT

 

$

0.0069

 

$

0.0502

 

$

(0.0520

)

$

(0.0373

)

 

*Units issued on May 1, 2011. Units fully redeemed as of August 31, 2012. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period January 1, 2012 to August 31, 2012 and for the period May 1, 2011 to September 30, 2011.)

**Units issued on July 1, 2012. Units fully redeemed as of September 30, 2012. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period July 1, 2012 to September 30, 2012.)

 

See notes to financial statements.

 

2

 


 

MAN AHL FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2012 AND 2011

(unaudited) (in Units)

 

 

 

Members’ Capital

 

 

 

 

 

Members’ Capital

 

Members’ Capital

 

 

 

 

 

Members’ Capital

 

 

 

December 31, 2010

 

Subscriptions

 

Redemptions

 

September 30, 2011

 

December 31, 2011

 

Subscriptions

 

Redemptions

 

September 30, 2012

 

Class A

 

874,534

 

2,818,242

 

(118,453

)

3,574,323

 

5,780,511

 

573,170

 

(2,216,041

)

4,137,640

 

Class C

 

2,128,949

 

12,351,444

 

(1,149,496

)

13,330,897

 

13,274,114

 

2,472,854

 

(7,072,067

)

8,674,901

 

Class D*

 

—

 

400,000

 

—

 

400,000

 

400,000

 

—

 

(400,000

)

—

 

Class I

 

1,117,121

 

970,449

 

(115,496

)

1,972,074

 

2,841,573

 

33,102

 

(2,546,701

)

327,974

 

Class M**

 

—

 

—

 

—

 

—

 

—

 

388,524

 

(388,524

)

—

 

Class DT

 

43,359,417

 

547,229

 

(5,649,000

)

38,257,646

 

35,593,094

 

85,093

 

(5,948,527

)

29,729,660

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

47,480,021

 

17,087,364

 

(7,032,445

)

57,534,940

 

57,889,292

 

3,552,743

 

(18,571,860

)

42,870,175

 

 

*Units issued on May 1, 2011. Units fully redeemed as of August 31, 2012.

**Units issued on July 1, 2012. Units fully redeemed as of September 30, 2012.

 

See notes to financial statements.

 

3

 


 

MAN AHL FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2012 AND 2011

(unaudited)

 

 

 

Members’ Capital
December 31, 2010

 

Subscriptions

 

Redemptions

 

Net
Income(loss)

 

Members’ Capital
September 30, 2011

 

Members’ Capital
December 31, 2011

 

Subscriptions

 

Redemptions

 

Net
Income(loss)

 

Members’ Capital
September 30, 2012

 

Class A

 

$

881,238

 

$

2,694,931

 

$

(108,924

)

$

(53,730

)

$

3,413,515

 

$

5,181,526

 

$

502,673

 

$

(1,887,727

)

$

(353,586

)

$

3,442,886

 

Class C

 

2,153,797

 

11,826,716

 

(1,091,833

)

(202,750

)

12,685,930

 

11,826,542

 

2,128,717

 

(5,915,145

)

(919,414

)

7,120,700

 

Class D*

 

—

 

400,000

 

—

 

(10,660

)

389,340

 

366,807

 

—

 

(346,779

)

(20,028

)

—

 

Class I

 

1,127,178

 

926,475

 

(111,077

)

(51,080

)

1,891,496

 

2,560,671

 

30,000

 

(2,180,008

)

(135,497

)

275,166

 

Class M**

 

—

 

—

 

—

 

—

 

—

 

—

 

395,000

 

(390,239

)

(4,761

)

—

 

Class DT

 

45,566,638

 

553,632

 

(5,716,648

)

(1,560,873

)

38,842,749

 

34,131,419

 

80,592

 

(5,503,107

)

(1,743,486

)

26,965,418

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

49,728,851

 

$

16,401,754

 

$

(7,028,482

)

$

(1,879,093

)

$

57,223,030

 

$

54,066,965

 

$

3,136,982

 

$

(16,223,005

)

$

(3,176,772

)

$

37,804,170

 

 

*Units issued on May 1, 2011. Units fully redeemed as of August 31, 2012.

**Units issued on July 1, 2012. Units fully redeemed as of September 30, 2012.

 

See notes to financial statements.

 

4

 


 

MAN AHL FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2012 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Class A

 

Class C

 

Class D*

 

Class I

 

Class M**

 

Class DT

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value at beginning of period

 

$

0.8315

 

$

0.8224

 

$

0.8571

 

$

0.8376

 

$

1.0000

 

$

0.9008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and net change in unrealized trading profit

 

0.0114

 

0.0113

 

0.0151

 

0.0115

 

0.0137

 

0.0123

 

Brokerage commissions

 

(0.0009

)

(0.0009

)

(0.0005

)

(0.0009

)

(0.0010

)

(0.0009

)

Interest income

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0099

)

(0.0119

)

(0.0048

)

(0.0092

)

(0.0083

)

(0.0052

)

Net asset value, before full redemption

 

0.8321

 

0.8209

 

0.8669

 

0.8390

 

1.0044

 

0.9070

 

Less distribution

 

—

 

—

 

0.8669

 

—

 

1.0044

 

—

 

Net asset value, end of period

 

$

0.8321

 

$

0.8209

 

$

—

 

$

0.8390

 

$

—

 

$

0.9070

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

0.07

%

-0.18

%

1.15

%

0.17

%

0.44

%

0.69

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

0.07

%

-0.18

%

1.15

%

0.17

%

0.44

%

0.69

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

1.18

%

1.43

%

0.53

%

1.08

%

0.81

%

0.56

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

1.18

%

1.43

%

0.53

%

1.08

%

0.81

%

0.56

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-1.19

%

-1.44

%

-0.54

%

-1.09

%

-0.81

%

-0.56

%

 

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized.

(b) The total return calculations are 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.

 

*Units fully redeemed as of August 31, 2012.

**Units fully redeemed as of September 30, 2012.

 

See notes to financial statements.

 

5


 

MAN AHL FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2012 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Class A

 

Class C

 

Class D*

 

Class I

 

Class M**

 

Class DT

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value at beginning of period

 

$

0.8964

 

$

0.8909

 

$

0.9170

 

$

0.9011

 

$

1.0000

 

$

0.9589

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and net change in unrealized trading profit

 

(0.0359

)

(0.0356

)

(0.0336

)

(0.0362

)

0.0137

 

(0.0387

)

Brokerage commissions

 

(0.0021

)

(0.0021

)

(0.0018

)

(0.0021

)

(0.0010

)

(0.0022

)

Interest income

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

(0.0000

)

0.0000

 

Expenses

 

(0.0263

)

(0.0323

)

(0.0147

)

(0.0238

)

(0.0083

)

(0.0110

)

Net asset value, before full redemption

 

0.8321

 

0.8209

 

0.8669

 

0.8390

 

1.0044

 

0.9070

 

Less distribution

 

—

 

—

 

0.8669

 

—

 

1.0044

 

—

 

Net asset value, end of period

 

$

0.8321

 

$

0.8209

 

$

—

 

$

0.8390

 

$

—

 

$

0.9070

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-7.17

%

-7.87

%

-5.46

%

-6.89

%

0.44

%

-5.41

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-7.17

%

-7.87

%

-5.46

%

-6.89

%

0.44

%

-5.41

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

3.04

%

3.79

%

1.65

%

2.74

%

0.81

%

1.17

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

3.04

%

3.79

%

1.65

%

2.74

%

0.81

%

1.17

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-3.04

%

-3.79

%

-1.64

%

-2.74

%

-0.81

%

-1.17

%

 

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized.

(b) The total return calculations are 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.

 

*Units fully redeemed as of August 31, 2012.

**Units issued on July 1, 2012. Units fully redeemed as of September 30, 2012.

 

See notes to financial statements.

 

6


 

MAN AHL FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2011 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Class A

 

Class C

 

Class D*

 

Class I

 

Class DT

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value at beginning of period

 

$

0.9143

 

$

0.9133

 

$

0.9284

 

$

0.9173

 

$

0.9660

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and net change in unrealized trading profit

 

0.0519

 

0.0519

 

0.0527

 

0.0521

 

0.0549

 

Brokerage commissions

 

(0.0012

)

(0.0012

)

(0.0013

)

(0.0012

)

(0.0013

)

Interest income

 

0.0001

 

0.0001

 

0.0001

 

0.0001

 

0.0001

 

Expenses

 

(0.0101

)

(0.0125

)

(0.0065

)

(0.0092

)

(0.0044

)

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

0.9550

 

$

0.9516

 

$

0.9734

 

$

0.9591

 

$

1.0153

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

4.45

%

4.19

%

4.85

%

4.56

%

5.11

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

4.45

%

4.19

%

4.85

%

4.56

%

5.11

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

1.06

%

1.31

%

0.68

%

0.96

%

0.43

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

1.06

%

1.31

%

0.68

%

0.96

%

0.43

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-1.05

%

-1.30

%

-0.67

%

-0.95

%

-0.42

%

 

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized.

(b) The total return calculations are 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.

* Units issued on May 1, 2011

 

See notes to financial statements.

 

7


 

MAN AHL FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Class A

 

Class C

 

Class D*

 

Class I

 

Class DT

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value at beginning of period

 

$

1.0077

 

$

1.0117

 

$

1.0000

 

$

1.0090

 

$

1.0509

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and net change in unrealized trading profit

 

(0.0164

)

(0.0165

)

(0.0134

)

(0.0163

)

(0.0169

)

Brokerage commissions

 

(0.0059

)

(0.0060

)

(0.0026

)

(0.0060

)

(0.0062

)

Interest income

 

0.0002

 

0.0002

 

0.0001

 

0.0002

 

0.0002

 

Expenses

 

(0.0306

)

(0.0378

)

(0.0107

)

(0.0278

)

(0.0127

)

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

0.9550

 

$

0.9516

 

$

0.9734

 

$

0.9591

 

$

1.0153

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-5.18

%

-5.89

%

-2.67

%

-4.90

%

-3.39

%

Performance fees

 

-0.07

%

-0.07

%

0.00

%

-0.07

%

0.00

%

Total return after Performance fees

 

-5.25

%

-5.96

%

-2.67

%

-4.97

%

-3.39

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

3.14

%

3.89

%

1.12

%

2.84

%

1.26

%

Performance fees

 

0.06

%

0.06

%

0.00

%

0.06

%

0.00

%

Expenses (including Performance fees)

 

3.20

%

3.95

%

1.12

%

2.90

%

1.26

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-3.17

%

-3.92

%

-1.10

%

-2.87

%

-1.24

%

 

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized.

(b) The total return calculations are 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.

* Units issued on May 1, 2011

 

See notes to financial statements.

 

8


 

MAN AHL FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.         SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

Man AHL FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccessSM Program (“FuturesAccess”) fund, was organized under the Delaware Limited Liability Company Act on April 1, 2010 and commenced trading activities on August 1, 2010. The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 2 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit) as of the beginning of each calendar month. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Man AHL (USA) Ltd. (“Man” or “trading advisor”) is the trading advisor of the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI” or “Sponsor”) is the Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are sometimes referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive futures clearing broker for the Fund. The sponsor may select other parties as futures clearing broker(s). Merrill Lynch International Bank Ltd. (“MLIB”) is the primary foreign exchange F/X or other over-the-counter (“OTC”) prime brokers, including Bank of America N.A. (“BANA”). MLPF&S, MLIB and BANA are BAC affiliates.

 

FuturesAccess offers investors the opportunity to allocate and reallocate capital among a number of managed futures and other commodity trading advisors collectively employing different technical, fundamental, systematic and/or discretionary trading strategies or to those fund of funds for which MLAI allocates capital to a number of trading advisors.

 

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.

 

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of September 30, 2012 and December 31, 2011 and the results of its operations for the three and nine months ended September 30, 2012 and 2011.  However, the operating results for the interim periods may not be indicative of the results for the full year.

 

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted.  These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2011.

 

9


 

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.

 

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.

 

10

 


 

2.              CONDENSED SCHEDULES OF INVESTMENTS

 

The Fund’s investments, defined as net unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of September 30, 2012 and December 31, 2011 are as follows:

 

September 30, 2012

 

 

 

Long Positions

 

Short Positions

 

Net Unrealized

 

 

 

 

 

Commodity Industry

 

Number of

 

Unrealized

 

Percent of

 

Number of

 

Unrealized

 

Percent of

 

Profit (Loss)

 

Percent of

 

 

 

Sector

 

Contracts / Notional

 

Profit (Loss)

 

Members’ Capital

 

Contracts / Notional

 

Profit (Loss)

 

Members’ Capital

 

on Open Positions

 

Members’ Capital

 

Maturity Dates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

82

 

$

(84,581

)

-0.22

%

(72

)

$

8,546

 

0.02

%

$

(76,035

)

-0.20

%

November 2012 - May 2013

 

Currencies

 

16,060,187,356

 

528,328

 

1.40

%

(10,695,989,840

)

(158,014

)

-0.42

%

370,314

 

0.98

%

December 2012

 

Energy

 

71

 

(14,906

)

-0.04

%

(59

)

(29,219

)

-0.08

%

(44,125

)

-0.12

%

October 2012 - June 2013

 

Interest rates

 

1,481

 

517,607

 

1.37

%

(155

)

(14,410

)

-0.04

%

503,197

 

1.33

%

December 2012 - September 2017

 

Metals

 

95

 

301,211

 

0.80

%

(75

)

(659,217

)

-1.74

%

(358,006

)

-0.94

%

October 2012 - January 2013

 

Stock indices

 

402

 

(244,829

)

-0.65

%

(45

)

(4,910

)

-0.01

%

(249,739

)

-0.66

%

October 2012 - December 2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total, net

 

 

 

$

1,002,830

 

2.66

%

 

 

$

(857,224

)

-2.27

%

$

145,606

 

0.39

%

 

 

 

December 31, 2011

 

 

 

Long Positions

 

Short Positions

 

Net Unrealized

 

 

 

 

 

Commodity Industry

 

Number of

 

Unrealized

 

Percent of

 

Number of

 

Unrealized

 

Percent of

 

Profit (Loss)

 

Percent of

 

 

 

Sector

 

Contracts / Notional

 

Profit (Loss)

 

Members’ Capital

 

Contracts / Notional

 

Profit (Loss)

 

Members’ Capital

 

on Open Positions

 

Members’ Capital

 

Maturity Dates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

4

 

$

(2,112

)

0.00

%

(148

)

$

3,255

 

0.01

%

$

1,143

 

0.01

%

February 2012 - May 2012

 

Currencies

 

1,280,068,012

 

(27,666

)

-0.05

%

(3,556,868,708

)

620,972

 

1.15

%

593,306

 

1.10

%

March 2012

 

Energy

 

37

 

(13,282

)

-0.02

%

(15

)

23,697

 

0.04

%

10,415

 

0.02

%

January 2012 - November 2012

 

Interest rates

 

1,132

 

583,241

 

1.08

%

(284

)

(36,609

)

-0.07

%

546,632

 

1.01

%

March 2012 - March 2014

 

Metals

 

30

 

43,848

 

0.08

%

(138

)

161,642

 

0.30

%

205,490

 

0.38

%

January 2012 - April 2012

 

Stock indices

 

41

 

20,867

 

0.04

%

(203

)

31,370

 

0.06

%

52,237

 

0.10

%

January 2012 - March 2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total, net

 

 

 

$

604,896

 

1.13

%

 

 

$

804,327

 

1.49

%

$

1,409,223

 

2.62

%

 

 

 

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of September 30, 2012 and December 31, 2011.

 

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 year, or period, is reported on the Statements of Operations.

 

The fair value measurement guidance established a hierarchal 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, 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. Investments that are included in this category generally are privately held debt and equity securities.

 

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.

 

12


 

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 its process for determining fair values.

 

The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

 

The Fund has determined that Level I securities 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 quoted prices of securities with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II securities. The Fund determined that Level II securities would include its forward and certain futures contracts.

 

The Fund’s net unrealized profit (loss) on open forward and futures contracts, by the above fair value hierarchy levels, as of September 30, 2012 and December 31, 2011 are as follows:

 

Net unrealized profit (loss) 

 

 

 

 

 

 

 

 

 

on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Futures

 

 

 

 

 

 

 

 

 

Long

 

$

469,596

 

$

252,737

 

$

216,859

 

$

—

 

Short

 

(703,924

)

(44,707

)

(659,217

)

—

 

 

 

(234,328

)

208,030

 

(442,358

)

—

 

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

 

 

 

 

Long

 

533,234

 

—

 

533,234

 

—

 

Short

 

(153,300

)

—

 

(153,300

)

—

 

 

 

379,934

 

—

 

379,934

 

—

 

 

 

 

 

 

 

 

 

 

 

September 30, 2012

 

$

145,606

 

$

208,030

 

$

(62,424

)

$

—

 

 

13


 

Net unrealized profit (loss) 

 

 

 

 

 

 

 

 

 

on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

Futures

 

 

 

 

 

 

 

 

 

Long

 

$

630,016

 

$

586,169

 

$

43,847

 

$

—

 

Short

 

187,620

 

206,950

 

(19,330

)

—

 

 

 

817,636

 

793,119

 

24,517

 

—

 

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

 

 

 

 

Long

 

(25,120

)

—

 

(25,120

)

—

 

Short

 

616,707

 

—

 

616,707

 

—

 

 

 

591,587

 

—

 

591,587

 

—

 

 

 

 

 

 

 

 

 

 

 

December 31, 2011

 

$

1,409,223

 

$

793,119

 

$

616,104

 

$

—

 

 

The Fund’s volume of trading forwards and futures as of the nine month period and year ended September 30, 2012 and December 31, 2011, respectively, are representative of the activity throughout these periods. There were no transfers to or from any level during the three or nine month periods ended September 30, 2012.

 

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 Accounting Standards Codification (“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, contract amount, or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2, above.

 

The following table indicates the trading profits and losses, before brokerage commissions, by commodity industry sector, on derivative instruments for each of the three and nine month periods ended September 30, 2012 and 2011:

 

 

 

For the three months ended

 

For the nine months ended

 

 

 

September 30, 2012

 

September 30, 2012

 

Commodity Industry Sector

 

profit (loss) from trading , net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

300,467

 

$

256,800

 

Currencies

 

567,537

 

(732,868

)

Energy

 

(766,638

)

(748,300

)

Interest rates

 

1,131,402

 

1,298,591

 

Metals

 

(534,369

)

(1,441,069

)

Stock indices

 

(2,879

)

(689,412

)

 

 

 

 

 

 

Total, net

 

$

695,520

 

$

(2,056,258

)

 

14


 

 

 

For the three months ended

 

For the nine months ended

 

 

 

September 30, 2011

 

September 30, 2011

 

Commodity Industry Sector

 

profit (loss) from trading , net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

(418,414

)

$

(529,973

)

Currencies

 

(2,082,850

)

(3,219,852

)

Energy

 

(202,381

)

(1,362,648

)

Interest rates

 

5,740,803

 

6,829,535

 

Metals

 

(227,489

)

(404,656

)

Stock indices

 

339,168

 

(1,901,181

)

 

 

 

 

 

 

Total, net

 

$

3,148,837

 

$

(588,775

)

 

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.         MARKET AND CREDIT RISKS

 

The nature of this Fund has certain risks, which cannot all be presented on 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 net 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 they will, in fact, succeed in doing so.  These procedures focus primarily on monitoring the trading of Man, 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 Man 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 which consist simply of the ongoing process of trading advisor monitoring, along with monitoring the market risk controls being applied by Man is sufficient to detect if any such intervention is needed.

 

15


 

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 is pledged to support the financial integrity of the exchange.  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 trading, and counterparties may also require margin in the over-the-counter markets.

 

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with BAC entities as clearing brokers.

 

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures broker and MLIB as its foreign currency forward counterpart.  Pursuant to the arrangements with MLPF&S and MLIB (which each includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S or MLIB, respectively, the receivables and payables are offset and reported as unrealized profit or loss on open futures contracts for MLPF&S and as unrealized profit or loss on forward contracts for MLIB on the Statements of Financial Condition.

 

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 third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

 

5.         RELATED PARTY TRANSACTIONS

 

MLAI and the Fund have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Registrar and Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Registrar and Transfer Agent performs the transfer agent and investor services functions for the Fund.  The agreement with the Registrar and Transfer Agent calls for a fee to be paid based on the collective net asset of funds managed or sponsored by MLAI with the minimum annual fee of $2,700,000.  The fee rate ranges from 0.016% to 0.02% based on aggregate net assets.  MLAI allocates the Registrar and Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets and the fee is payable monthly in arrears.  The Registrar and Transfer Agent fee, which ranged between 0.018% and 0.02% of aggregate asset level, allocated to the Fund for the three and nine months ended September 30, 2012 amounted to $1,995 and $7,292, respectively, of which $2,192 was payable to the Registrar and Transfer Agent as of September 30, 2012.

 

16

 


 

6.   SUBSEQUENT EVENTS

 

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

 

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

 

MONTH-END NET ASSET VALUE PER UNIT

 

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors throughout the period is a useful performance measure for the investors of the Fund. Therefore, the charts below referencing Net Asset Value and performance measurements are based on the Net Asset Value for financial reporting purposes.

 

The Fund calculates the Net Asset Value per unit of each class of units as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Fund’s “Net Asset Value” as of any calculation date will generally equal the value of the Fund’s account under the management of its trading advisor as of such date, plus any other assets held by the Fund, minus accrued Sponsor’s, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, amortized organizational and initial offering costs and all other liabilities of the Fund. MLAI is authorized to make all Net Asset Value determinations.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

2011

 

$

0.9681

 

$

0.9750

 

$

0.9402

 

$

0.9848

 

$

0.9451

 

$

0.9143

 

$

0.9519

 

$

0.9565

 

$

0.9550

 

2012

 

$

0.8835

 

$

0.9009

 

$

0.8631

 

$

0.8601

 

$

0.8615

 

$

0.8315

 

$

0.8623

 

$

0.8390

 

$

0.8321

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

2011

 

$

0.9711

 

$

0.9772

 

$

0.9416

 

$

0.9854

 

$

0.9449

 

$

0.9133

 

$

0.9501

 

$

0.9539

 

$

0.9516

 

2012

 

$

0.8774

 

$

0.8939

 

$

0.8557

 

$

0.8521

 

$

0.8527

 

$

0.8224

 

$

0.8520

 

$

0.8284

 

$

0.8209

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

2011

 

n/a

 

n/a

 

n/a

 

n/a

 

$

0.9585

 

$

0.9284

 

$

0.9678

 

$

0.9736

 

$

0.9734

 

2012

 

$

0.9049

 

$

0.9239

 

$

0.8863

 

$

0.8844

 

$

0.8869

 

$

0.8571

 

$

0.8899

 

$

0.8669

 

n/a

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

2011

 

$

0.9697

 

$

0.9769

 

$

0.9424

 

$

0.9874

 

$

0.9480

 

$

0.9173

 

$

0.9554

 

$

0.9603

 

$

0.9591

 

2012

 

$

0.8885

 

$

0.9063

 

$

0.8686

 

$

0.8659

 

$

0.8675

 

$

0.8376

 

$

0.8689

 

$

0.8457

 

$

0.8390

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

2012

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

$

1.0382

 

$

1.0115

 

$

1.0044

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

2011

 

$

1.0117

 

$

1.0211

 

$

0.9867

 

$

1.0388

 

$

0.9964

 

$

0.9660

 

$

1.0078

 

$

1.0148

 

$

1.0153

 

2012

 

$

0.9471

 

$

0.9678

 

$

0.9291

 

$

0.9279

 

$

0.9313

 

$

0.9008

 

$

0.9360

 

$

0.9126

 

$

0.9070

 

 

17


 

Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods or services.  The Fund’s assets generally are its (i) equity in its trading accounts, consisting of cash (including restricted cash), and unrealized profit net of unrealized losses and (ii) interest receivable.    Because of the low margin deposits normally required in commodity futures trading relatively small price movements may result in substantial losses to the Fund.  While substantial losses could lead to a material decrease in liquidity, no such material losses occurred during the three or nine months ended September 30, 2012 and there was no impact on the Fund’s liquidity.

 

The Fund’s capital consists of the capital contributions of the members as increased or decreased by profits or losses on trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

 

For the nine months ended September 30, 2012, Fund capital decreased 30.08% from $54,066,965 to $37,804,170.  This decrease was attributable to the net loss from operations of $3,136,982, coupled with the redemption of 18,571,860 Redeemable Units resulting in an outflow of $16,223,005.  The cash outflow was offset with cash inflow of $3,176,772 due to subscriptions of 3,552,743 Units.  Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

 

Critical Accounting Policies

 

Statement of Cash Flows

 

The Fund is not required to provide a Statement of Cash Flows.

 

Investments

 

All investments (including derivatives) are held for trading purposes.  Investments are recorded on trade date and open contracts are recorded at fair value (as 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 as a component of equity in commodity trading accounts on the Statements of Financial Condition.  Realized profits or losses and any change in net unrealized profits or losses from the preceding period are reported in the Statements of Operations.

 

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 September 30, 2012 the Fund holds no cash equivalents.  Cash was held at a nationally recognized financial institution.

 

Fair Value Measurements

 

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. For more information on the Fund’s treatment of fair value, see Note 3, Fair Value of Investments.

 

18


 

Futures Contracts

 

The Fund trades exchange listed futures contracts.  A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration.  The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded.   Contracts may be settled in physical form or cash settled depending upon the contract.  Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction.  These amounts are considered restricted cash on the Fund’s Statements of Financial Condition.  Contracts are priced daily by the Fund and the profit or loss based on the daily mark to market are recorded as unrealized profits.  When the contract is closed, the Fund records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.  Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited.  Realized profits (losses), net and changes in unrealized profits (losses), net on futures contracts are included in the Statements of Operations.  The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bid and asks from open outcry sessions.

 

Forward Foreign Currency Contracts

 

Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date.  Foreign currency contracts are valued daily, and the Fund’s net equity therein, representing unrealized profit or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition.  Realized profits (losses) and changes in unrealized profits (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.

 

Interest Rates and Income

 

The Fund currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

 

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 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

 

19


 

deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year.  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 — 2011.

 

Reform Act

 

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was signed into law on July 21, 2010. The Reform Act enacts financial regulatory reform, and may alter the way in which the Fund conducts certain trading activities. The Reform Act includes measures to broaden the scope of derivative instruments subject to regulation, including by requiring clearing and exchange trading of certain derivatives, imposing new capital and margin reporting, registration and business conduct requirements for certain market participants and imposing position limits on certain over-the-counter derivatives. The Reform Act grants the U.S. Commodity Futures Trading Commission and the Securities and Exchange Commission substantial new authority and requires numerous rulemakings by these agencies. The ultimate impact of these derivatives regulations, and the time it will take to comply, remains uncertain. The final regulations may impose additional operational and compliance costs on the Fund.

 

Results of Operations

 

January 1, 2012 to September 30, 2012

 

January 1, 2012 to March 31, 2012

 

The Fund experienced a net trading loss of $1,343,955 before brokerage commissions and related fees in the first quarter of 2012. The Fund’s profits were primarily attributable to the stock indices, energy and the agriculture sectors posting profits. The currency, metals, and the interest rate sectors posted losses.

 

The stock indices posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter.  Profits from long positions in U.S. stock indices were outweighed by short positions in Asian bourses. U.S. stock indices were especially driven by economic data releases that suggested the U.S. economy was in a better shape than some feared while the positive news out of China further elevated equities in Asia. Profits were posted to the Fund in the middle of the quarter as the stock sector led returns as the increased market confidence benefited a broad long positioning. The largest gains came from U.S. stock indices such as the S&P 500 and NASDAQ 100 as prices were buoyed by an improvement in U.S. jobless claims, housing starts, consumer prices and business outlook data.  Long exposure to the DAX also profited as the index rallied from the seemingly improved prognosis for Greece as well as continued ‘unlimited’ liquidity for Eurozone banks by the European Central Bank. Long positions in the exposure to stock indices added gains via U.S. and Japanese indices which was not enough to offset losses posted to the Fund at the end of the quarter.

 

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as returns were driven by exposure to energy contracts.  Long crude oil holdings were one of the largest contributors while oil derivatives also added respectable gains. Oil experienced strong price rises due to the improved risk appetite, a more positive growth outlook, and concerns over Iran’s nuclear testing combined with the announcement it would cut supply to British and French firms. Profits were posted to the Fund in the middle of the quarter. Long crude oil holdings were one of the largest

 

20


 

contributors while oil derivatives also added profits. Losses were posted to the Fund at the end of the quarter due to global volatility.

 

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. The Trading program’s short positions posted losses with exposure to cocoa and corn seeing some of the larger negative performances. For cocoa, prices rallied supported by unusually dry and hot weather in the Ivory Coast. Corn also pushed higher as unfavorable weather conditions in Argentina was pooled with a U.S. Department of Agriculture report which forecast lower-than-expected crop production in the 2011-2012 season. Profits were posted to the Fund in the middle through the end of the quarter. Profits in March were led by short positions in coffee and long positions in the soya exposure. Coffee prices fell amid increased supplies from Brazil while soya prices rose on anticipation of a record drop in supplies, as South America (which produces half of the world’s soyabeans) faced a drought.

 

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Long U.S. dollar exposure offset profits elsewhere in the sector as the U.S. dollar fell on a trade-weighted basis after signs of an economic recovery in the U.S. boosted investor risk appetite and saw the ‘safe-haven’ currency sell-off for much of the month. Profits were posted to the Fund in the middle of the quarter. Long positions in the Australian dollar /Japanese yen proved the leading trade as the Australian dollar rallied after interest rates were left unchanged. While the U.S. dollar ended the period flat on a trade weighted basis, some short U.S. dollar pairs still added gains as increased risk appetite meant the U.S. dollar generally lost ground to emerging market and commodity-linked currencies. Losses were posted to the Fund at the end of the quarter. Short exposure to the U.S. dollar suffered after the U.S. dollar rallied on better-than-expected U.S. jobs and housing data. Long positions in the Australian dollar (which is highly dependent on Chinese demand for commodities) further weighed on performance as, despite the improved risk appetite, investors became concerned over a slowdown in Chinese growth and the potential economic impact on the region.

 

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter in both precious and industrials. Some of the most notable losses included short positions in aluminum and platinum as both rose over 10%. For platinum, prices were supported by power shortages in South Africa while better-than-expected economic data out of China boosted the outlook for industrial aluminum demand. Losses were posted to the Fund in the middle of the quarter with long exposure to gold the largest detractor.  The yellow metal had experienced strong price rises for most of the period driven by inflation concerns and nervousness surrounding Eurozone debt. Losses were posted to the Fund at the end of the quarter. Long positions in gold suffered as downbeat expectations of ‘QE3’ and a strengthening U.S. dollar led the yellow metal down. Additional losses were attributed to long exposure to silver and copper.

 

The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Trading in bonds and short-term interest rates led returns in January. Long positions in U.S. Treasuries made up the majority of bond sector gains as prices jumped following the unexpected announcement by the U.S. Federal Reserve that interest rates would be held at near zero until at least 2014. Increased anxiety over developments in the European sovereign debt crisis further added support and also proved particularly beneficial for long positions in Euro-BOBL and Euro-BUND contracts. In the short-term interest rate space, additional gains came from long positions in Euribor and Eurodollar futures. Losses were posted to the Fund in the middle of the quarter.  Long exposure to fixed income assets dragged on performance as investors increasingly sought riskier assets during the month of February.  In bonds, long exposure to U.S. Treasuries proved the single largest loss as prices fell following uplifting economic data releases in the U.S. In the short-term sector, long Eurodollar contracts

 

21


 

were also detrimental as expectations of further easing in the U.S. declined. Losses were posted to the Fund at the end of the quarter. In bonds, long holdings of U.S. Treasuries detracted the most from returns as prices fell following positive economic comments by the U.S. Federal Reserve which led to reduced expectations for further quantitative easing.  Long positions in European and U.K. government bonds also dented returns as prices came under pressure from the increased risk appetite during the month. Short-term interest rate trading was similarly impacted during March with losses spread across long positions in Eurodollar, Euribor and Short sterling contracts.

 

April 1, 2012 to June 30, 2012

 

The Fund experienced a net trading loss of $1,407,823 before brokerage commissions and related fees in the second quarter of 2012. The Fund’s profits were primarily attributable to the interest rates and the metals sectors posting profits. The agriculture, energy, currency and the stock indices sectors posted losses.

 

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter.  Long-side exposure to bonds provided the strongest uplift as investors increased their demand in the uncertain environment.  German sovereign bonds were the main driver as general risk aversion, anxiety over Eurozone bailouts and less than encouraging economic indicator data added to demand for bonds. Long holdings of U.S. Treasuries added a small gain and long exposure to interest rate contracts, namely Euribor and Eurodollar, benefited from the European Central Bank’s decision to hold rates and  an expectation that U.S. rates will remain historically low in the near term.  Profits were posted to the Fund in the middle of the quarter. The trading program’s long exposure to bonds largely drove performance in May as investors increasingly flocked to ‘safe haven’ assets. In particular, positions in German bonds, U.S. Treasuries and U.K. Gilts proved well placed as the ‘flight to quality’ drove German and U.K. yields lower. Also, long positions in Euribor contracts also added returns as investors speculated that the European Central Bank would cut rates in the near-term as economic data continued to disappoint in the Eurozone region.  Losses were posted to the Fund at the end of the quarter.   For June as a whole, long exposure to bonds and the U.S. dollar struggled as investors sold out of safe haven assets. Holdings in German bonds, Australian bonds, U.K. Gilts and U.S. Treasuries detracted the most from performance.

 

The metals sector posted profits to the Fund.  Losses were posted to the Fund at the beginning of the quarter with the largest loss sustained from copper positions which were whipsawed by volatile prices.       Profits were posted to the Fund in the middle of the quarter. The trading program’s largely short stance to metals benefited from a moderation in demand amid a stronger U.S. dollar, reduced investor exposure, an economic slowdown in developed countries and China’s deceleration. Some of the stronger gains came from the trading program’s short positions in aluminum and copper which fell almost 6% and 13% respectively. Losses were posted to the Fund at the end of the quarter as gold positions contributed notable losses.

 

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Losses were posted to the Fund in the middle through the end of the quarter as the trading program’s short positions in agriculturals (sugar, wheat and corn) also struggled as prices climbed on supply concerns.

 

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter. Losses were posted to the Fund at the end of the quarter due to notable losses in the trading program’s short natural gas positions.

 

22


 

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter. In May, the market backdrop drove investor demand for the perceived safe havens of U.S. dollar and Japanese yen while demand decreased for certain commodity linked and emerging market currencies. As a result, short U.S. dollar exposures weighed on returns, especially against the Turkish lira, South African rand and Polish zloty. However, short Euro positions helped partially offset losses (as the Euro fell around 4% on a trade weighted basis) due to the increasingly nervous sentiment in the Eurozone.  Losses were posted to the Fund at the end of the quarter. The trading program’s long positions in the U.S. dollar also proved unfavorable, particularly against emerging market currencies at months end.

 

The stock indices posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter. Stocks experienced volatility following elections in Europe (Greece, France, Italy, Germany) and negative news flows such as banking woes in Spain, JP Morgan’s trading loss and China’s slower growth. Losses were posted to the Fund at the end of the quarter as the trading program’s short exposure to Japanese indices returned the largest losses. Stocks surged on positive European news amid mounting expectations of aggressive interventions, after Greece’s New Democracy and Pasok clinched election victory and after the Eurozone leaders agreed to help Spain and Italy survive the crisis.

 

July 1, 2012 to September 30, 2012

 

The Fund experienced a net trading profit of $695,520 before brokerage commissions and related fees in the third quarter of 2012. The Fund’s profits were primarily attributable to the interest rates, currencies and the agriculture sectors posting profits. The stock indices, metals and the energy sectors posted losses.

 

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter.  The trading program had a strong July, capitalizing on bearish trends in the market. Overall, long exposure to bonds and interest rates drove performance as the deteriorating economic picture spurred investors to prioritize capital preservation over growth. Losses were posted to the Fund in the middle of the quarter as, Canadian bonds, U.S. Treasuries and Australian bonds weighed on returns. Losses were posted to the Fund at the end of the quarter as the trading program’s long exposure to bonds added slightly to performance but not enough to offset losses.

 

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter with the trading program’s short Euro pairs proving profitable after the European Central Bank cut interest rates. Losses were posted to the Fund in the middle of the quarter as trading detracted from performance due to a lack of clear trends. Both long and short U.S. dollar exposures ended with modest losses, while Euro trading posted losses from general short positioning. Profits were posted to the Fund at the end of the quarter driven by short U.S. dollar pairs which generated profits as news of QE3 put downward pressure on the U.S. dollar.

 

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as long exposure to agriculturals proved well placed as fears of a renewed food shortage crisis re-emerged after droughts hit the U.S. and lowered supply expectations. In particular, corn and soya prices reached record levels while wheat prices remained elevated. Profits continued to be posted to the Fund in the middle of the quarter only to be reversed at the end of the quarter. The trading program’s long positions struggled as the S&P Agriculture Index fell over the period.

 

23


 

The stock indices posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter as the trading program profited from long U.S. indices positions. Profits were posted to the Fund at the end of the quarter. The trading program’s long exposure to stocks added gains as demand for riskier assets increased. U.S. and German indices were the main benefactors.

 

The metals sector posted losses to the Fund.  Profits were posted to the Fund at the beginning of the quarter only to be reversed in the middle of the quarter. The trading program’s short position proved disadvantageous as prices rose on labor unrest in the South African platinum industry, which began to spread to other commodities.  Losses were posted to the Fund at the end of the quarter as gains (from precious metals) were eroded by short holdings of base metals, which suffered as industrial commodities were lifted by improved demand expectations

 

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The trading program’s short exposure to energies, especially crude oil and oil derivatives detracted from performance as geopolitical tensions in the Middle East and a marginally weaker U.S. dollar contributed to the rise in oil prices. Losses were posted to the Fund in the middle of the quarter. The trading program’s short exposure to electricity hurt returns as prices rose on higher air conditioning demand due to hot summer weather in the northern hemisphere. Losses were posted to the Fund at the end of the quarter. The energy allocation lost value as the trading program’s long exposures to oil (and oil derivatives), and short exposure to natural gas resulted in small losses.

 

January 1, 2011 to September 30, 2011

 

January 1, 2011 to March 31, 2011

 

The Fund experienced a net trading loss of $2,818,279 before brokerage commissions and related fees in the first quarter of 2011. The Fund’s profits were primarily attributable to agriculture, energy and the metals posting profits. The interest rates, currencies and stock indices posted losses.

 

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The trading program’s long lean hog positions were the leading performers in the sector as prices were pushed higher by supply constraints, rising demand and rising production costs.  Further profits came from long positions in cotton and wheat trades over the month as the two commodities continued their upward climb. Profits were posted to the Fund in the middle of the quarter due to the trading program’s long positions in a variety of agricultural contracts proved positive as rising demand and falling supplies continued to boost prices. Losses were posted to the Fund at the end of the quarter as prices sold off on generic risk reduction/liquidity searching themes and downgraded demand expectations.

 

The energy sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Losses came from energy trading, but returns were driven almost entirely by the trading program’s short natural gas positions.  Although prices only rose moderately overall, largely on cold weather forecasts, prices were highly volatile and as such made it difficult for the trading program to hold a consistently sized position. Profits were posted to the Fund in the middle of the quarter. Energy profits were driven by the trading program’s short positions in natural gas as prices fell 8.7% following forecasts of warmer-than-expected U.S. weather, which lowered expectations for demand.  Crude oil was a focus for investors and prices increased by 5.2% over the period on fears that oil supplies would be disrupted.  Returns from oil holdings were flat as profits from long oil derivatives offset losses from short crude oil. Profits were posted to the Fund at the end of the quarter, as long crude oil positions offset

 

24


 

losses from short positions in natural gas, with oil prices advancing on Libyan violence and natural gas prices advancing on nuclear power safety fears.

 

The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Upbeat sentiment generally led to a fall in precious metals and a rise in industrial metals. As such, the trading program’s long positions in gold and silver resulted in losses, while long positions in nickel and copper profited. Profits were posted to the Fund in the middle of the quarter. The trading program’s long exposure to both base and precious metals were the main drivers of returns.  The price of silver rose by 20.8% and generated the largest gains.  Gold further added to returns as geopolitical tensions resulted in a flight to quality and general inflation worries pushed prices higher. Losses were posted to the Fund at the end of the quarter as established long positions across industrial metals posted losses as prices sold off on generic risk reduction/liquidity searching themes and downgraded demand expectation.

 

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter due to the trading program’s long positions in European bonds and U.S. Treasuries.  European bonds fell largely on diminished sovereign debt fears, while U.S. Treasuries fell over the period due to positive economic news flow. Losses were posted to the Fund in the middle of the quarter. The escalation of political turmoil in Egypt and Libya led to increased demand for ‘safe haven’ assets.  Bonds rallied, negatively impacting the trading program’s short bond positions. The main detractors were Japanese and Australian bonds, U.S. Treasuries and U.K. Gilts. The quarter ended with losses posted to the Fund due to the unexpected nature of March’s events disrupted the trading program’s identified trends.

 

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter due to three main themes.  The first was trading program’s short U.S. dollar positions held at the very start of the month as the U.S. dollar surged 1.6% over the first week of January on positive economic data releases.  The second was short EUR positions as the euro rallied 1.5% on a trade-weighted basis. The move was driven by an easing of eurozone sovereign debt contagion fears following strong demand for the European Financial Stability Fund bond issue, speculation that the facility will be expanded and successful debt auctions by peripheral eurozone countries. The third was the trading program’s short British pound positions as Sterling rose (1.1% on a trade weighted basis) on strong inflation numbers, triggering speculation of near term interest rate rises. Profits were posted to the Fund in the middle of the quarter where an appreciation in the Australian dollar supplied the bulk of performance following hawkish rhetoric from the Reserve Bank of Australia.  These profits offset losses from the trading program’s long and short Japanese yen /U.S. dollar trades as positions were whipsawed. Profits were posted to the Fund at the end of the quarter. The trading program’s short U.S. dollar positions generated profits, but it was euro based positions that had the most impact on performance. The euro had a strong rally (3.2% on a trade weighted basis), a result of signals that the European Central Bank will raise rates next month, but the move resulted in relatively flat performance as profits from long positions in the euro/British pound were offset by short euro positions against a number of other currencies.

 

The stock indices sector posted losses to the Fund. Profits were posted to the Fund in the beginning through the middle of the quarter. The trading program’s long positions in the Topix index generated the largest individual gain in February as positive corporate earnings allowed the Japanese market to outperform other regions, additionally long exposure to the Hang Seng and broadly long holdings of European indices further contributed to positive performance.  In midmonth, however, midmonth, the escalation of political turmoil in Egypt and Libya led to increased demand for ‘safe haven’ assets. Losses were posted to the Fund at the end of the quarter as the trading program’s long stock positions resulted in

 

25


 

a sharp post-earthquake sell off in prices.  Both the Nikkei and Topix were held long over the month and therefore accounted for some of the more prominent stock sector losses.  Negative performance, however, was not only contained to Japanese indices, with long European indices also detracting from returns.

 

April 1, 2011 to June 30, 2011

 

The Fund experienced a net trading loss of $919,333 before brokerage commissions and related fees in the second quarter of 2011. The Fund’s profits were primarily attributable to the interest rate and currency sectors posting profits. The metals, agriculture, stock indices and the energy sectors posted losses.

 

The interest rate sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter as expectations that any future interest rate increases by the U.S. Federal Reserve would lag the rest of the world added further pressure. Also, losses were incurred by the bond sector. Exposure to Australian bonds proved particularly troublesome as volatile prices led to whipsawing positions and weighed on returns. Further losses came from short positions in the U.K. gilts however, as below forecast inflation data lowered the chances of a near-term rate hike by the Bank of England. Profits were posted to the Fund in the middle of the quarter. Offsetting losses from ‘pro-risk’ positions were strong profits from long positions in bond and interest rate markets. Prices rallied during the month of May as future growth concerns/sovereign debt contagion fears led to an increase in safe haven demand. Standout trades included long positions in U.S. Treasuries and Eurodollar positions as prices were additionally boosted by a dovish outlook for U.S. interest rates. Profits were posted to the Fund at the end of the quarter due to the Fund’s long exposure to bonds and short-term interest rates sectors. Prices in U.S. Treasuries and Eurozone positions continued to move higher as future growth concerns combined with sovereign debt worries led to a further increase in safe haven demand. As a result, positive performance was driven by long European government bonds while short Sterling contracts also proved beneficial as investors bet on prolonged low interest rates and the possibility of another round of quantitative easing.

 

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Long commodity linked and emerging market currencies against the U.S. dollar tended to be the top performers as improved optimism over global growth and elevated commodity prices rallied demand for higher yielding/higher risk properties. Additional profits came from long position in the Euro versus the U.S. dollar as the Euro rallied after the European Central Bank raised interest rates for the first time in almost three years. Losses were posted to the Fund in the middle of the quarter as a result of short positions in U.S. dollar trades. The dollar rose (on a trade weighted basis) over the period as an increase in investor risk aversion boosted demand for its relative safe haven. Losses were posted to the Fund at the end of the quarter. The short U.S. dollar positions continued to come under pressure. The flight-to-safety theme proved particularly supportive to the U.S. dollar as speculation gathered pace over a Greek default, while the U.S. Federal Reserve gave no indications that they would embark on another round of quantitative easing anytime soon.

 

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Long positions in precious metals such as gold and silver secured the strongest gains as both rallied respectively after investors fretted over rising inflation and continued tensions in the Middle East and North Africa region. Losses were posted to the Fund in the middle of the quarter as long positions in precious metals struggled as silver slumped, after exchanges hiked margin requirements and the U.S. dollar rallied. Losses were posted to the Fund at the end of the quarter. Long positions in precious metals

 

26

 


 

such as gold and silver saw some of the larger losses as prices were impacted by a strengthening U.S. dollar, while some investors pared back positioning on weak technical signals.

 

The agriculture sector posted losses to the Fund. Losses were posted to the Fund throughout the quarter due to global volatility.

 

The stock indices posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter as risk appetite gathered momentum in April as strong first quarter U.S. corporate earning figures combined with an improvement in the U.S. labor market boosted confidence in the global economic recovery. Losses were posted to the Fund in the middle of the quarter as stock trading ended the month down. Long positions in European based indices posting the largest losses. But it was more a general long exposure across regions that were the main cause of losses in the sector. Losses were posted to the Fund at the end of the quarter as worries over future growth saw investors shun their riskier assets. The majority of losses were attributed to long positioning, particularly in the U.S., as concerns over future growth in light of weaker than expected economic releases weighed on prices. Consequently, long positions in the S&P 500 detracted the most from performance as the index ended the month down.

 

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter due to long crude oil positions as the West Texas Intermediate crude oil index rose, touching its highest level since September 2008, as optimism over global growth gathered momentum. Losses were posted to the Fund in the middle of the quarter as long crude oil positions posted some of the heavier losses after prices suffered one of their largest 1 day falls on record (on Thursday May 5th.) as fears over future global growth prompted a massive unwinding of positions. Losses were posted to the Fund at the end of the quarter. Long natural gas contracts proved particularly troublesome as prices pulled back from near term highs and falling after moderating temperatures in the U.S. reduced the outlook for demand. Further negative performance came from long crude oil positions after prices moved lower on news that the International Energy Agency had unexpectedly released extra oil supplies from their strategic reserves.

 

July 1, 2011 to September 30, 2011

 

The Fund experienced a net trading profit of $3,148,837 before brokerage commissions and related fees in the third quarter of 2011. The Fund’s profits were primarily attributable to the interest rate and stock indices sectors posting profits. The energy, metals, agriculture and the currency sectors posted losses.

 

The interest rate sector posted profits to the Fund.  Profits were posted to the Fund at the beginning of the quarter. In bonds, long positions in U.S. Treasuries were the largest positive contributors as prices rallied on a series of weaker-than-expected economic data releases and worries over the U.S. credit profile, which together drove a surge in safe-haven demand. However, although the size and liquidity of the U.S. Treasury market still presents a relative safe-haven, the prospect of a cut in the nation’s credit rating, as a August 2, 2011 deadline loomed for politicians to end an impasse regarding raising the nation’s debt ceiling, led investors to seek out potential alternatives. Notably, long Euro-Bund and Euro-BOBL trades added value as rising demand in the German bund futures reflected speculation that potential outflow from U.S. Treasuries following a downgrade would benefit German bunds in particular. Continuing sovereign debt concerns in Europe also proved beneficial for the Fund. An emergency meeting of European officials called to discuss the Eurozone debt crisis that threatened to engulf Italy, combined with Moody’s warning that they could cut Spain’s credit rating boosted the German bund prices over the month. Short term interest rates also posted a gain, with Eurodollar contracts particularly profitable as expectations remained that the U.S. Federal Reserve will keep short term rates low in response to weak

 

27


 

economic growth. Profits were posted to the Fund in middle of the quarter. Fixed income trading provided the bulk of performance as large inflows into fixed income markets benefited the Fund’s predominately long exposure to bonds and interest rates.  Profits in these sectors were largely a function of sector performance and positioning, however, the U.S. credit downgrade did little to discourage the take up of U.S. national debt and holding U.S Treasuries was the standout trade for the Fund in August.  The U.S. Federal Reserve pledged to keep interest rates at historical lows for another two years which put additional upward pressure on bond prices as yields on 10 year bonds briefly fell below 2%. Profits continued to be posted to the Fund at the end of the quarter. The largest profits came from long fixed income as both U.S. and European government bonds led performance. Prices were particularly supported by subdued economic data releases which heightened expectations of prolonged low interest rates in the U.S. and the prospect of rate cuts in the Eurozone.

 

The stock indices posted profits to the Fund.  Losses were posted to the Fund at the beginning of the quarter as the stock allocation ended down with losses seen on both the long and short side as equity markets saw a number of price reversals over the month. Profits were posted to the Fund in the middle of the quarter as short exposure to stock indices added to Fund’s positive performance.  Short positions in European and Asian indices supplied some of the larger gains but contributions came from a wide contract base. Profits continued to be posted to the Fund at the end of the quarter. Short exposure to stock indices, particularly in Asia, added to gains as indications of a slowdown in China impacted the economic outlook for the region. Particular strong gains were accrued from short positions in the Hang Seng as the index fell over the course of the month. Elsewhere, short Nikkei 225 trades also proved profitable as a rising Japanese yen compounded the negative impact on domestic exporters.

 

The energy sector posted losses to the Fund.  Losses were posted to the Fund at the beginning through the middle of the quarter. Profits were posted to the Fund as the quarter ended.

 

The metals sector posted losses to the Fund.  Profits were posted to the Fund at the beginning of the quarter as commodity trading contributed positively, as long exposure to metals, particularly precious metals, drove gains over the month. Most notably, in terms of performance drivers, gold rallied as demand rose for safe haven assets. Long holdings of gold added further performance, although not enough to offset losses posted to the Fund in the middle of the quarter. Losses were posted to the Fund at the end of the quarter. Precious metals pulled back as investors moved to cash to cover losses in other markets while news that the Chicago Mercantile Exchange had increased its collateral requirements further impacted prices. As a result, gold fell over the month while silver plummeted reflecting its more tenuous safe-haven status due to its usage in industrial processes and resulting reliance on industrial metal demand. Long copper positions also incurred losses as the industrial metal fell in light of the deterioration in the economic outlook.

 

The agriculture sector posted losses to the Fund. Losses were posted to the Fund throughout the quarter.

 

The currency sector posted losses to the Fund.    Profits were posted to the Fund at the beginning of the quarter. The short U.S. dollar positions were the main driver behind returns as, unlike June, positions were rewarded as events in the U.S. brought the currency’s status as a safe haven asset into question and risk-wary investors fled to the safety of alternative currencies. Losses were posted to the Fund in the middle of the quarter. Position whipsawing had a detrimental effect, with the positions suffering, while on a theme basis short U.S. dollar pairs were responsible for the predominate share of the loss as the currency rallied on safe haven buying. Losses were posted to the Fund at the end of the quarter as long positions in commodity-linked currencies such as the Australian dollar and Brazilian real suffered after underlying raw material prices fell while investors increasingly shunned ‘risk’ assets.

 

28


 

The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

 

Item 3. Quantitative and Qualitative Disclosures About Market Risk

 

Introduction

 

The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Fund’s 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 Fund’s main line of business.

 

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide 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 Fund’s open positions and the liquidity of the markets in which it trades.

 

The Fund, under the direction of Man, rapidly acquires and liquidates both long and short positions in a wide range of different markets.  Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance is not necessarily indicative of its future results.

 

Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s 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 quantifications included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its 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 and Section 21E of the Securities Exchange Act of 1934).  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 Man is quantified below in terms of Value at Risk.  Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (in the case of exchange-traded contracts in which profits and losses on open positions are cash settled daily through variation margin).

 

29


 

Exchange maintenance margin requirements have been used by the Fund as the measure of its Value at Risk.  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%-99% of the one-day time periods included in the historical sample (generally approximately one year) 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 Fund), the margin requirements for the equivalent futures positions have been used as Value at Risk.  In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

 

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 Value at Risk.  The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.

 

The Fund’s Trading Value at Risk in Different Market Sectors

 

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period. For the nine months ended September 30, 2012 and 2011, the Fund’s average Month-end Net Asset Value was approximately $48,403,714 and $53,110,545 respectively.

 

September 30, 2012

 

 

 

Average Value

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

at Risk

 

Capitalization

 

at Risk

 

at Risk

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

$

310,394

 

0.64

%

$

638,074

 

$

29,204

 

Currencies

 

1,176,171

 

2.43

%

2,270,172

 

148,956

 

Energy

 

329,449

 

0.68

%

594,978

 

223,649

 

Interest Rates

 

766,508

 

1.58

%

1,203,980

 

435,025

 

Metals

 

439,241

 

0.91

%

891,192

 

23,753

 

Stock Indices

 

652,565

 

1.35

%

1,255,739

 

216,620

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

3,674,328

 

7.59

%

$

6,854,135

 

$

1,077,207

 

 

30


 

September 30, 2011

 

 

 

Average Value

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

at Risk

 

Capitalization

 

at Risk

 

at Risk

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

$

195,043

 

0.37

%

$

484,125

 

$

57,684

 

Currencies

 

1,512,039

 

2.85

%

2,509,148

 

664,568

 

Energy

 

801,690

 

1.51

%

1,350,597

 

455,474

 

Interest Rates

 

688,793

 

1.30

%

974,692

 

323,354

 

Metals

 

297,742

 

0.56

%

426,784

 

132,782

 

Stock Indices

 

232,491

 

0.44

%

447,543

 

92,220

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

3,727,798

 

7.03

%

$

6,192,889

 

$

1,726,082

 

 

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

 

The face value of the market sector instruments held by the Fund is 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.  The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles.  Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund to incur severe losses over a short period of time.   The foregoing Value at Risk table — as well as the past performance of the Fund — gives no indication of this “risk of ruin.”

 

Non-Trading Risk

 

Foreign Currency Balances; Cash on Deposit with MLPF&S and MLIB

 

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.

 

The Fund also has non-trading market risk on the approximately 90%-95% of its assets which are held in cash at MLPF&S. 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 — 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. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and Man for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls 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, and 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

 

31


 

no assurance that the Fund’s current market exposure and/or 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.

 

The following were the primary trading risk exposures of the Fund as of September 30, 2012 by market sector.

 

Interest Rates

 

Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries.  However, the Fund also takes positions in the government debt of smaller nations (e.g., Australia). MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.

 

Currencies

 

The Fund trades in a number of currencies. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.

 

Stock Indices

 

The Fund’s primary equity exposure is to S&P 500, FTSE, MSCI and OMX S30 equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

 

Metals

 

The Fund’s metals market exposure is to fluctuations in the price of precious and non-precious metals.

 

Agricultural Commodities

 

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, livestock, cocoa, canola and coffee accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of September 30, 2012.

 

Energy

 

The Fund’s primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

 

32


 

Qualitative Disclosures Regarding Non-Trading Risk Exposure

 

The following were the only non-trading risk exposures of the Fund as of September 30, 2012.

 

Foreign Currency Balances

 

The Fund’s primary foreign currency balances are in Hong Kong dollar and Swedish krona.

 

U.S. Dollar Cash Balance

 

The Fund holds U.S. dollars in cash at MLPF&S and MLIB. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

 

Item 4. Controls and Procedures

 

MLAI, the Sponsor of Man AHL FuturesAccess LLC, with the participation of the Sponsor’s Chief Executive Officer and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Fund as of the end of the period covered by this quarterly report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective.  No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended September 30, 2012 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

 

33

 


 

PART II - OTHER INFORMATION

 

Item 1.                               Legal Proceedings

 

None.

 

Item 1A.                      Risk Factors

 

There are no material changes from risk factors as previously disclosed in the Annual Report on Form 10-K for the year ended December 31, 2011, filed with the Securities and Exchange Commission on March 23, 2012.

 

Item 2.                               Unregistered Sales of Equity Securities and Use of Proceeds

 

(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(2) of the Securities Act and Rule 506 thereunder.  The selling agent of the Units was MLPF&S.

 

CLASS A

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-12

 

$

—

 

—

 

$

0.8964

 

Feb-12

 

346,623

 

392,329

 

0.8835

 

Mar-12

 

—

 

—

 

0.9009

 

Apr-12

 

146,250

 

169,447

 

0.8631

 

May-12

 

9,800

 

11,394

 

0.8601

 

Jun-12

 

—

 

—

 

0.8615

 

Jul-12

 

—

 

—

 

0.8315

 

Aug-12

 

—

 

—

 

0.8623

 

Sep-12

 

—

 

—

 

0.8390

 

Oct-12

 

—

 

—

 

0.8321

 

 

CLASS C

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-12

 

$

92,487

 

103,801

 

$

0.8909

 

Feb-12

 

67,168

 

76,554

 

0.8774

 

Mar-12

 

288,040

 

322,228

 

0.8939

 

Apr-12

 

1,438,059

 

1,680,564

 

0.8557

 

May-12

 

63,417

 

74,426

 

0.8521

 

Jun-12

 

50,000

 

58,637

 

0.8527

 

Jul-12

 

30,000

 

36,479

 

0.8224

 

Aug-12

 

—

 

—

 

0.8520

 

Sep-12

 

99,546

 

120,165

 

0.8284

 

Oct-12

 

—

 

—

 

0.8209

 

 

CLASS D

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-12

 

$

—

 

—

 

$

0.9170

 

Feb-12

 

—

 

—

 

0.9049

 

Mar-12

 

—

 

—

 

0.9239

 

Apr-12

 

—

 

—

 

0.8863

 

May-12

 

—

 

—

 

0.8844

 

Jun-12

 

—

 

—

 

0.8869

 

Jul-12

 

—

 

—

 

0.8571

 

Aug-12

 

—

 

—

 

0.8899

 

Sep-12

 

—

 

—

 

0.8669

 

Oct-12

 

—

 

—

 

—

 

 

CLASS I

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-12

 

$

—

 

—

 

$

0.9011

 

Feb-12

 

—

 

—

 

0.8885

 

Mar-12

 

30,000

 

33,102

 

0.9063

 

Apr-12

 

—

 

—

 

0.8686

 

May-12

 

—

 

—

 

0.8659

 

Jun-12

 

—

 

—

 

0.8675

 

Jul-12

 

—

 

—

 

0.8376

 

Aug-12

 

—

 

—

 

0.8689

 

Sep-12

 

—

 

—

 

0.8457

 

Oct-12

 

—

 

—

 

0.8390

 

 

CLASS M

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-12

 

$

—

 

—

 

$

—

 

Feb-12

 

—

 

—

 

—

 

Mar-12

 

—

 

—

 

—

 

Apr-12

 

—

 

—

 

—

 

May-12

 

—

 

—

 

—

 

Jun-12

 

—

 

—

 

—

 

Jul-12

 

219,000

 

219,000

 

1.0000

 

Aug-12

 

176,000

 

169,524

 

1.0382

 

Sep-12

 

—

 

—

 

1.0115

 

Oct-12

 

—

 

—

 

1.0044

 

 

CLASS DT

 

 

 

Subscription

 

 

 

Amount

 

Units

 

NAV (1)

 

Jan-12

 

$

—

 

—

 

$

0.9589

 

Feb-12

 

80,592

 

85,093

 

0.9471

 

Mar-12

 

—

 

—

 

0.9678

 

Apr-12

 

—

 

—

 

0.9291

 

May-12

 

—

 

—

 

0.9279

 

Jun-12

 

—

 

—

 

0.9313

 

Jul-12

 

—

 

—

 

0.9008

 

Aug-12

 

—

 

—

 

0.9360

 

Sep-12

 

—

 

—

 

0.9126

 

Oct-12

 

—

 

—

 

0.9070

 

 

(1) Beginning of the month Net Asset Value

 

34


 

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions paid to MLPF&S up to 0.50%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C, Class DS, Class DT and Class M Units are not subject to any sales commissions.

 

(b)       Not applicable.

(c)        Not applicable.

 

Item 3.                                 Defaults Upon Senior Securities

None.

 

Item 4.                                 Mine Safety Disclosures

 

Not applicable.

 

Item 5.                                 Other Information

None.

 

Item 6.                                 Exhibits

 

The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:

 

31.01 and

31.02                                         Rule 13a-14(a)/15d-14(a) Certifications

 

Exhibit 31.01

and 31.02:  Are filed herewith.

 

32.01 and

32.02                                         Section 1350 Certifications

 

Exhibit 32.01

and 32.02                 Are filed herewith.

 

Exhibit 101   Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three and nine month periods ended September 30, 2012 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. (1)

 

(1)  These interactive data files shall not be deemed filed for purposes of Section 11 or 12 of the Securities Act as amended, or Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to liability under those sections.

 

35


 

SIGNATURES

 

Pursuant to the requirements 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.

 

 

 

 

MAN AHL FUTURESACCESS LLC

.

 

 

 

 

 

 

By:

MERRILL LYNCH ALTERNATIVE

 

 

INVESTMENTS LLC

 

 

(Manager)

 

 

 

 

Date: November 14, 2012

By:

/s/ DEANN MORGAN

 

 

Deann Morgan

 

 

Chief Executive Officer and President

 

 

(Principal Executive Officer)

 

 

 

 

Date: November 14, 2012

By:

/s/ BARBRA E. KOCSIS

 

 

Barbra E. Kocsis

 

 

Chief Financial Officer

 

 

(Principal Financial and Accounting Officer)

 

36