10-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C.  20549

FORM 10-K

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

For the fiscal year ended: December 31, 2012

or

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

Commission file number: 0-54573

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware	45-2608276
(State or other jurisdiction of	(I.R.S. Employer
incorporation or organization)	Identification No.)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 11TH.  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)

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

Securities registered pursuant to Section 12(g) of the Act: Classes A, C, D and I Units of Limited Liability Company Interest

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

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

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

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

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

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 o	Smaller reporting company x
(Do not check if a smaller reporting company)

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

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

As of February 28, 2013 Units of limited liability company interest with an aggregate Net Asset Value of $62,806,942 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2012 Annual Report and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the year ended December 31, 2012, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith. Copies of the annual report are available free of charge by contacting Alternative Investments Client Services at 1-866-MER-ALTS.

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

ANNUAL REPORT FOR 2012 ON FORM 10-K

Table of Contents

		PAGE
PART I
Item 1.	Business	3
Item 1A.	Risk Factors	13
Item 1B.	Unresolved Staff Comments	23
Item 2.	Properties	24
Item 3.	Legal Proceedings	24
Item 4.	Mine Safety Disclosures	24
PART II
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	24
Item 6.	Selected Financial Data	27
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	35
Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	40
Item 8.	Financial Statements and Supplementary Data	44
Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure	44
Item 9A.	Controls and Procedures	44
Item 9B.	Other Information	45
PART III
Item 10.	Directors, Executive Officers and Corporate Governance	46
Item 11.	Executive Compensation	48
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	48
Item 13.	Certain Relationships and Related Transactions and Director Independence	49
Item 14.	Principal Accounting Fees and Services	49
PART IV
Item 15.	Exhibits, Financial Statement Schedules	51

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PART I

Item 1:Business

(a)General Development of Business:

Highbridge Commodities FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccessSM Program  (the “ FuturesAccess”) fund, was organized under the Delaware Limited Liability Company Act on June 15, 2011 and commenced trading activities on November 1, 2011. The Fund engages in the speculative trading of primarily futures contracts on a wide range of commodities.

Prior to December 31, 2012 (the “Effective Date”), the Fund and BA Highbridge Commodities Fund LLC (the “BA Feeder”) were “feeder funds” in a master-feeder structure investing substantially all of their assets through Highbridge Commodities FuturesAccess Master Fund Ltd. (the “Master Fund”).  As of the Effective Date, the Fund and the Master Fund were reorganized such that the Fund became a direct-trading fund investing substantially all of its assets through an account advised by Highbridge Capital Management, LLC (“HCM” or “Trading Advisor”) rather than through the Master Fund (the “Reorganization”).  In connection with the Reorganization, the units of the BA Feeder were also converted into Units of the Fund as of the Effective Date, resulting in the effective combination of operations of the two funds.  [The BA Feeder and the Master Fund are currently being liquidated.]  With respect to the period prior to the Reorganization, references to the Fund’s activities, expenses and portfolio herein include those of the Master Fund, unless the context requires otherwise.

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. The sponsor may select other parties as clearing broker(s). Currently, the Fund does not trade currency spot and forward contracts. In the event the Fund does trade such contracts, Merrill Lynch International Bank, Ltd. (“MLIB”) will be the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other parties as 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 is a group of commodity pools sponsored by MLAI (each pool is a “FuturesAccess Fund” or collectively, “FuturesAccess Funds”) each of which places substantially all of its assets in a managed futures or forward trading account managed by a single or multiple commodity trading advisors. Each FuturesAccess Fund is generally similar in terms of fees, although redemption terms may vary among FuturesAccess Fund.  Each of the FuturesAccess Funds implements a different trading strategy.

The Trading Advisor is registered under the Investment Advisers Act of 1940.  The trading program utilized by the Trading Advisor (the “Trading Program”) for the Fund attempts to provide a positive return on capital by pursuing trading strategies focused on commodity-related investments. The Trading Advisor currently implements the Trading Program primarily by investing in futures contracts, although it may in the future increase the utilization of OTC derivatives such as forward contracts, as well as other instruments.

On December 18, 2012, a Restructuring Agreement was entered into among and executed by MLAI, BA Highbridge Commodities Fund, the Fund and the Master Fund. The Restructuring Agreement is to restructure the Funds such that the BA Highbridge Commodities Fund will be liquidated and shall subscribe to the Fund as of January 1, 2013. The Master Fund will liquidate as of January 1, 2013and will mandatorily redeem the shares of the Master Fund held by the Fund and pay the redemption proceeds in kind to the Fund.

The Fund issues units of limited liability company interest (“Units”) which are privately offered pursuant to Regulation D of the Securities Act of 1933, as amended (the “Securities Act”).

FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. Investors in FuturesAccess can select, allocate and reallocate capital among different FuturesAccess Funds, each advised by either a single trading advisor or by the Sponsor which then allocates capital among multiple commodity trading advisors. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

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

As of December 31, 2012, the Net Asset Value of the Fund was $38,996,906. As of December 31, 2012, the Net Asset Value per Unit was $0.7434 for Class A, $0.7348 for Class C, $0.7811 for Class D, $0.7470 for Class I, and $0.9347 for Class M.

Since the Fund began trading activities, the highest and lowest month-end Net Asset Value per Unit are listed below. The highest month-end Net Asset Value per Unit for Class A was $1.0105 (April 30, 2012) and the lowest was $0.7434 (December 31, 2012).  The highest month-end Net Asset Value per Unit for Class C was $1.0061 (March 31, 2012) and the lowest was $0.7348 (December 31, 2012).  The highest month-end Net Asset Value per Unit for Class D was $1.0511 (April 30, 2012) and the lowest was $0.7811 (December 31, 2012). The highest month-end Net Asset Value per Unit for Class I was $1.0126 (April 30, 2012) and the lowest was $0.7470 (December 31, 2012). The highest month-end Net Asset Value per Unit for Class Z was $1.0142 (February 29, 2012) and the lowest was $0.9409 (December 31, 2011). The highest month-end Net Asset Value per Unit for Class M was $1.0000 (December 1, 2012) and the lowest was $0.9347 (December 31, 2012).

(b)Financial Information about Segments:

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

(c)Narrative Description of Business:

Advisory Agreement Term

The advisory agreement will continue in effect until October 1, 2013.  Thereafter, the advisory agreement will be automatically renewed for three successive one-year periods, on the same terms, unless terminated by either the Trading Advisor or the Fund upon notice to the other party no later than 90 days before the expiration of the then-current term. The advisory agreement may, however, be terminated at any time pursuant to any of the following: (i) in its discretion, MLAI may terminate the advisory agreement at the end of any month upon 30 days’ notice; (ii) the Trading Advisor may terminate the advisory agreement at any time the net assets of the Fund are less than $30 million; (iii) the Trading Advisor may terminate the advisory agreement as of any month-end following October 31, 2013 if the average net assets of the Fund over the immediately preceding six-month period as calculated at such month-end are less than $75 million; and (iv) the Fund and/or MLAI, on the one hand, or the Trading Advisor, on the other, may terminate the advisory agreement as a result of a material breach of the advisory agreement by the other party, after due notice and an opportunity to cure.  The advisory agreement will also terminate immediately if the Fund is terminated and dissolved as determined by MLAI.

Trading Advisor’s Trading Program

Trading Program Generally

The Trading Program utilizes a quantitative economics-based model to estimate expected returns, manage risk and optimize the risk-return trade-off adjusted for estimated transaction costs (the “Quantitative Commodities Model”).  The Quantitative Commodities Model employs factors based on economic principles and relationships that the Trading Advisor believes to be durable in commodities markets, including the impact of historical prices, the perceived relationships between and among various commodities and macroeconomic factors.  The Fund, as part of its strategy, attempts to generate profit from commodities experiencing supply shock, commodity futures that are traded at a price lower than the cash price of such commodity (i.e. backwardation), and event anomalies such as spread opportunities and unusual momentum or trending, rather than solely from trends in the commodities markets.  The investment process emphasizes risk management and seeks to deploy a drawdown management process to dynamically decrease (or increase) the level of risk as the portfolio decreases (or increases) in value.  The Trading Advisor effects this strategy principally by trading in commodity-related futures contracts, options and other derivatives, including certain currencies whose returns may be correlated to those of commodities.  The underlying commodities may include, but are not limited to, soybeans, corn, soymeal, soybean oil, wheat, cotton, crude oil,

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natural gas, RBOB gasoline, heating oil, cocoa, coffee, sugar, gold, copper, silver, live cattle, lean hogs, feeder cattle, aluminum, lead, nickel, zinc, platinum and gas oil.  The Trading Program may include long and short positions and is generally expected to have a net long bias.  The Trading Program may also include trading forward contracts, spot contracts, swaps, physical commodities and other instruments and derivatives but will not include securities unless otherwise determined by MLAI.

Backwardation exists when futures prices are lower than spot prices.  Contango is the opposite situation where futures prices are higher than spot prices.  A large portion of the Fund’s fundamental return forecasts consist of analysis of the entire futures term structure.  Accordingly, the Fund attempts to overweight commodities in shortage, often in backwardation, and underweight commodities with excess supply, often in contango.  Commodities in backwardation are associated with low levels of inventory and the Fund attempts to benefit from holding futures on these commodities.  Similarly, the Fund’s underweight or short positions in commodities that are in contango are intended to generate returns as a result of further price decreases.

The success of the Trading Program depends on the interaction of four primary components:  the Forecasting System, the Risk Model, the Optimizer and the Execution Process.  These components (outlined below) and the trading strategy in general are subject to change in the sole discretion of the Trading Advisor, without any prior notice to investors.

Although the Trading Advisor’s Trading Program is continually evolving, there were no fundamental or material changes to the Trading Program during the 2012 fiscal year.

The Forecasting System

The Forecasting System encapsulates the Trading Advisor’s Global Macro Group’s view of predictable sources of return variation for the commodities markets in which the Fund trades.  These views are based on the Global Macro Group’s research program, which employs factors based on economic principles and durable relationships in the markets.

The Risk Model

The Risk Model forecasts volatility and co-movements among portfolio assets, while incorporating drawdown management.  The drawdown management process seeks to dynamically decrease or increase the Fund’s conditional target risk as the portfolio underperforms (or outperforms).  This process adjusts risk levels in an attempt to control overall drawdowns by adjusting exposures to the entire portfolio of assets instead of reducing exposure on an asset-by-asset basis.  Total portfolio exposure may vary as a function of the forecasted risk and correlations of the underlying assets as well as the Fund’s dynamic risk target.  The Trading Advisor may choose to reduce risk/exposure in accordance with the Fund’s targeted volatility level.

The Optimizer

The Optimizer uses the results of the Forecasting System and the Risk Model to determine a portfolio believed to have the greatest risk-adjusted expected return net of expected transaction costs.  In practice, this means choosing positions with the greatest expected profits according to the forecasts, while limiting exposure to the risks in the Risk Model.

The Execution Process

The Execution Process relies on the Trading Advisor’s trading personnel, who execute the Fund’s trades through a network of broker-dealers and electronic trading platforms in an effort to minimize market impact.

Allocation

The Trading Advisor believes that its allocation policy is reasonably designed to ensure that all accounts are treated fairly and in an equitable manner.  Numerous factors may dictate than an order is not strictly allocated on a pro rata basis, including, but not limited to, the account’s investment guidelines, size of the account, size of the order, risk tolerance and relevant regulatory limitation.  The Trading Advisor has specific policies and procedures in place regarding the allocation methodology among the funds it manages.  The Trading Advisor conducts supplemental reviews regarding compliance with these policies and procedures, such as bi-monthly performance reviews and random sampling of transactions for best execution as part of the annual compliance testing program.

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The Fund currently does not trade swaps and only trades certain metal forward contracts on the London Metals Exchange.  The Trading Advisor may decide to trade swaps and other forward contracts in the future, although it does not currently intend to do so.  The Trading Advisor does not target a certain amount of exposure to a particular type of instrument, although it may place trading limits depending on the instrument; any such limits would be a function of liquidity for the underlying security.

Employees

The Fund has no employees.

Use of Proceeds and Cash Management Income

Subscription Proceeds

The Fund’s cash is used as security for and to pay the Fund’s trading losses as well as its expenses and redemptions.  The primary use of the proceeds of the sale of the Units is to permit HCM to trade on a speculative basis in a wide range of commodities on behalf of the Fund.  While being used for this purpose, the Fund’s assets are also generally available for cash management, as more fully described below under “Cash Management and Interest”.

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CONDENSED SCHEDULES OF INVESTMENTS

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

December 31, 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	Profit (Loss)			Shareholders’ Equity		Contracts		Profit (Loss)			Shareholders’ Equity		on Open Positions			Shareholders’ Equity		Maturity Dates
Agriculture	707	$	(820,670	)	0.00	%	(239	)	$	45,945		0.00	%	$	(774,725	)	0.00	%	February 2013 - March 2013
Currencies	377	(284,530		)	0.00	%	—		—			0.00	%	(284,530		)	0.00	%	March 2013
Energy	288	599,893			0.00	%	(44	)	(116,420		)	0.00	%	483,473			0.00	%	January 2013 - February 2013
Metals	307	(408,218		)	0.00	%	(226	)	(300,493		)	0.00	%	(708,711		)	0.00	%	January 2013 - April 2013
Total		$	(913,525	)	0.00	%			$	(370,968	)	0.00	%	$	(1,284,493	)	0.00	%

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	Profit (Loss)			Shareholders’ Equity		Contracts		Profit (Loss)			Shareholders’ Equity		on Open Positions			Shareholders’ Equity		Maturity Dates
Agriculture	480	$	23,249		0.13	%	(487	)	$	(2,379	)	-0.01	%	$	20,870		0.12	%	February 2012 - July 2012
Currencies	112	52,150			0.30	%	—		—			0.00	%	52,150			0.30	%	March 2012
Energy	165	(194,315		)	-1.11	%	(162	)	338,464			1.93	%	144,149			0.82	%	January 2012 - April 2012
Metals	366	(1,368,821		)	-7.79	%	(357	)	624,297			3.55	%	(744,524		)	-4.24	%	January 2012 - April 2012
Total		$	(1,487,737	)	-8.47	%			$	960,382		5.47	%	$	(527,355	)	-3.00	%

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

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Margin

When a futures or options on futures position is established, “initial margin” is calculated by the exchange on which the position is listed and deposited with a Futures Commission Merchant (“FCM”) that is a member of the clearinghouse through which transactions on the relevant exchange are cleared.  An FCM must, in turn, deposit initial margin with the clearinghouse, to secure its obligations to the clearinghouse with respect to the positions of its customers.  The amount of both the initial margin payment to the FCM and the FCM’s initial margin payment to the clearinghouse are determined on the basis of risk, taking into account the price and volatility of the commodity underlying the position and, in certain cases, the offsetting risks that exist within a portfolio of positions.  On most exchanges, at the close of each trading day “variation margin,” representing the unrealized gain or loss on the open positions, is either credited to or debited from an account.  A trader must maintain a minimum margin level for each outstanding futures position known as “maintenance margin,” which is set by the relevant exchange and based on the risk of the futures position, often a set percentage of the “initial margin.”  If “variation margin” payments cause the “initial margin” to fall below “maintenance margin” levels, a “margin call” is made, requiring the trader to deposit additional margin or have its position closed out.  A clearinghouse may have “maintenance margin” requirements for member FCMs.  An FCM may require a higher level of “initial margin” and “maintenance margin” from the trader than the clearinghouse requires from the FCM, but generally will not allow lower margin levels.  Margin is also required to be posted with counterparties when making investments through forward, swaps or other OTC instruments.  The counterparties calculate margin based on the risk of the underlying commodity and will deposit margin with each other based on a previously agreed upon schedule.  In general, approximately 10% to 30% of the Fund’s assets are expected to be committed as margin for futures or options on futures positions at any one time, although these amounts could occasionally be substantially higher.  The Fund’s exposure and liability are not limited to the amount placed on margin, but are based on the total value of the futures contracts being traded.  Fund assets not committed to margin will be held in cash or cash equivalents and will earn interest as described below.

As of December 31, 2012, the Fund employed $5,369,620 as initial margin to support its futures positions and $0 as collateral supporting its forward positions, representing approximately 13% and 0%, respectively, of the Fund’s total assets as of such date.  As of December 31, 2012, the Fund had no swap positions other than its forward contracts deemed to be swaps under the Commodity Exchange Act (“CEA”).

Custody of Assets

The Fund’s financial assets consist primarily of cash, futures and OTC FX forward and spot positions.  In addition, the Fund has authority to trade options on futures and forwards and certain other OTC derivatives including swaps, but these contracts typically represent a small percentage of the Fund’s financial assets, if any are traded at all.

Futures and OTC forwards and other instruments typically constitute a predominant amount of the Fund’s investment risk, but the notional value of these instruments is not included on the Fund’s Statement of Financial Condition.

The vast majority of the net assets of the Fund is, and has historically been, held in the form of cash.  The Fund’s cash is used in various ways.  It can be:

·posted as margin with MLPF&S in segregated or secured accounts in connection with commodities trading on regulated exchanges;

·pledged as collateral to MLIB for OTC forwards or options on forwards or to other OTC prime brokers for other OTC investments;

·deposited in savings or demand deposit accounts with the Fund’s custodian or other banking institutions, both in the United States and internationally;

·held in securities brokerage accounts maintained with the MLPF&S; and

·invested in securities or other instruments generally viewed as cash equivalents, which are in turn held in segregated or secured accounts with MLPF&S.

Typically the vast majority of the Fund’s assets are held in segregated or secured accounts with MLPF&S.  In general, approximately 10% to 30% of the Fund’s assets are expected to be required as margin or collateral at any one time.  Approximately 90% of the Fund’s assets are held in customer segregated accounts at MLPF&S pursuant to applicable Commodity Futures Trading Commission (“CFTC”) regulations to margin U.S. exchange-traded futures contracts and options

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thereon, or in customer secured accounts at MLPF&S and used to margin futures trading on non-U.S. exchanges pursuant to CFTC regulations.  The remaining approximately 10% is expected to be deposited with MLIB, other OTC prime brokers, or one or more third-party collateral custodians as margin for OTC trades.  These amounts could be substantially higher or lower and there is no obligation to maintain margin or collateral within these or any other specific ranges.

Assets held in segregated or secured accounts at MLPF&S may be invested only in CFTC-permitted investments, which include U.S. government and government agency securities, commercial paper and corporate notes and bonds guaranteed by the U.S. government, and money market mutual funds.  Under the applicable regulations, such permitted investments are subject to instrument and issuer based concentration and time to maturity limits and must be managed with the objectives of preserving principal and maintaining liquidity.

Cash deposited in savings or demand deposit accounts with the Fund’s custodian or other banking institutions may be in excess of the limits on federal insurance for deposits, and thus not insured by the Federal Deposit Insurance Corporation (“FDIC”), and would be subject to the risk of bank failure.

MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with its BAC affiliates, such as MLPF&S and the MLIB, although MLAI may, nevertheless, engage unaffiliated service providers as clearing brokers or prime brokers for the Fund.  Other affiliates may from time to time be involved in the clearing, custody or investment of the Fund’s assets, including as prime brokers.  However, the vast majority of the Fund’s assets are held with, and therefore subject to the credit risk of, MLPF&S.  MLAI believes that its policy is in the best interest of Investors due to the enhanced dependability and quality of service provided by MLPF&S and MLIB to FuturesAccess as a result of MLAI’s relationship and shared corporate infrastructure with these affiliates.  In addition, MLAI believes that MLPF&S is well capitalized and that the Fund benefits from the transparency provided to MLAI, as an affiliate of MLPF&S, into the controls MLPF&S has implemented to comply with the various regulatory requirements designed to protect customer funds.  However, there nonetheless exists a substantial risk of loss with respect to each of the above custody arrangements in the event of the bankruptcy or insolvency of MLIB or MLPF&S if it does not properly segregate customer funds.  See “Risk Factors — Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges” below for a more detailed discussion of these risks.

Subject to the interest income arrangements discussed below, each BAC entity holding Fund assets, including MLPF&S, retains the additional economic benefit derived from possession and investment of those assets for the entity’s own account.

Cash Management and Interest

MLAI is primarily responsible for the management of the Fund’s “cash assets” In exercising this responsibility, MLAI’s primary considerations are safety of assets, seeking interest income, and the services provided by custodians.  A vast majority of the Fund’s cash has historically been held in futures brokerage accounts with affiliates.  To a smaller degree, the Fund’s cash assets may be held with the Fund’s bank custodian, which is at present the administrator.

MLAI retains the ability to change its cash management practices at any time, including by transferring a majority of the Fund’s cash assets to the Fund’s custodial bank accounts or other bank accounts or by retaining an asset management firm to invest the Fund’s cash assets in U.S. government and money market securities.  Bank deposits may be in either savings accounts that pay interest, or demand deposit accounts, which may or may not pay interest and which may or may not be subject to FDIC insurance.  Any of these banks or asset management firms may be affiliated with MLAI if MLAI believes that to be in the best interests of the investors in the Fund.

BAC’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will apply to Fund cash assets during any time they are maintained by MLAI with its affiliates.  The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%.  The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers and is calculated by the Federal Reserve Bank of New York using data provided by the brokers.   Interest is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis.

At present, due to the low interest rate environment that has prevailed in the United States since 2008, the Interest Earning Program’s U.S. dollar floor rate of 0% applies. In interest rate environments like the current one in which the Fund does not earn interest under the Interest Earning Program, MLAI may seek to transfer cash from affiliates if it believes that any interest earned on this cash was consistent with its goal of safely maintaining these assets and otherwise would offset

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the advantages of maintaining cash with its affiliates.

MLPF&S, in the course of acting as commodity broker for the Fund, will have use of Fund cash and earn interest and receive other economic benefits as a result.  MLPF&S follows the same procedures for these transactions as it does with respect to the Interest Earning Program as discussed above.

Charges

The following table summarizes the charges incurred by the Fund for the year ended December 31, 2012and for the period ended December 31,  2011.

	2012				2011
Charges	Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets
Other Expenses	$	469,583	1.58	%	$	161,972	0.77	%
Sponsor fees	497,258		1.68	%	7,013		0.03	%
Management fees*	478,590		1.61	%	65,076		0.31	%
Performance fees*	15,312		0.05	%	—		0.00	%
Other Expenses*	182,682		0.62	%	195,641		0.94	%
Total	$	1,643,425	5.54	%	$	429,702	2.05	%

* Allocated from from Highbridge Commodities FuturesAccess Master Fund Ltd

The foregoing table does not reflect:  (i) the bid-ask spreads paid by the Fund on its forward trading, (ii) brokerage commissions, (iii) the benefits which may be derived by BAC from the deposit of certain of the Fund’s U.S. dollar assets maintained at MLPF&S, or (iv) sales commissions payable in connection with the sales of Class A, Class D and Class I Units of the Fund.  Bid-ask spreads and brokerages commissions are components of the trading profit or loss of the Fund rather than a distinct expense item separable from the Fund’s trading; they are netted against realized and unrealized trading gains or losses in determining trading profit or loss.  Benefits derived by BAC from the deposit of the Fund’s assets at MLPF&S are neither a direct expense of the Fund nor readily quantifiable.  Aggregate sales commissions are not included in the table of charges because they are not an expense of the Fund, but rather are paid to MLPF&S out of an investor’s subscription proceeds and therefore reduce the amount invested in the Fund by the investor.

The Fund’s average month-end Net Asset Values during the year end 2012 and the period ended 2011 equaled $29,644,628 and $20,909,756, respectively.

During 2012, the Fund earned $0 in interest income, or approximately 0.00% of the Fund’s average month-end Net Asset Values. During 2011, the Fund earned $0 in interest income, or approximately 0.00% of the Fund’s average month-end Net Asset Values.

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. Actual costs incurred for 2012 and 2011 were $17,866 and $739, respectively.

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Description of Current Charges

Recipient	Nature of Payment	Amount of Payment
MLPF&S	Brokerage commissions	The principal operating costs of the Fund are the per-trade brokerage commissions paid to MLPF&S (a portion of which is paid to the Fund’s executing brokers, which may or may not include MLPF&S, as commissions for their execution services). During the 2012 and 2011 the average round turn commissions paid by the Master Fund was approximately $5.85 and $8.54, respectively.
MLPF&S	Use of assets	BAC may derive an economic benefit from the deposit of certain of the Fund’s U.S. dollar assets in accounts maintained at MLPF&S.
MLAI	Sponsor fees	A flat-rate monthly charge of 0.125 of 1% (1.50% annual rate) on Class A Units, flat-rate monthly charge of 0.125 of 1% (2.50% annual rate) on Class C Units, a flat-rate monthly charge of 0.0917 of 1% (1.10% annual rate) on Class I Units (including the monthly interest credit and before reduction for accrued month-end redemptions, distributions, brokerage commissions, sponsor fees, management fees or performance fees, in each case as of the end of the month of determination). Class D units, Class Z units and Class M Units do not pay sponsor fees.
MLPF&S	Sales commissions	Class A Units are subject sales commissions 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 0.5%. Sales commissions are deducted from subscription amounts. Shares purchased and reflected in the Fund records are net of any commissions charged by MLPF&S. Class C Units, Class M Units and Class Z Units are not subject to any sales commissions. No sales commissions are charged to Class M Units because investors purchasing Class M Units are subject to asset-based fees on BAC managed accounts in which the Class M Units are held.
Merrill Lynch International Bank (“MLIB”) (or an affiliate); Other counterparties	Bid—ask spreads	Bid—ask spreads are not accounted for separately as an accounting item because bid-ask spreads are an integral part of the price paid or received on all contracts for the purpose of generally accepted accounting principles.
MLIB (or an affiliate); Other counterparties	EFP differentials	Certain of the Fund’s currency trades may be executed in the form of “exchange of futures for physical” transactions, in which a counterparty (which may be MLIB or an affiliate) receives an additional “differential” spread for exchanging the Fund’s cash currency positions for equivalent futures positions.

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HCM	Annual performance fees	The Fund pays a 15% annual performance fee to HCM with respect to Class A Class C, Class I, Class D Class and Class M Units. The performance fee is also paid on net redemptions. The performance fee is based on New Trading Profits. “New Trading Profits” equal any increase in the Net Asset Value, prior to reduction for any accrued performance fee or Sponsor fees, as of the current performance fee calculation date over the High Water Mark. The “High Water Mark” equals the highest Net Asset Value after reduction for the performance fee then paid, as of any preceding performance fee calculation date. (The high water mark in respect of the Master Fund transferred to the Fund.) Net Asset Value for purposes of calculating the performance fee does not include any interest income earned by the Fund.
HCM and MLAI	Management fees	The Fund will pay a management fee equal to 0.125% of the month-end net assets (a 1.5% annual rate). HCM has agreed to share 40% of its management fees with MLAI in order to defray costs in connection with and in consideration of BAC’s providing certain administrative and support services for the Fund
Others	Operating expense of Fund including audit, legal and tax services	Actual payments to third parties.
MLAI; Others	Initial offering costs reimbursed	Actual costs incurred.

Regulation

The CFTC has delegated to the National Futures Association responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons, and “floor brokers” and “floor traders.”  The CEA requires commodity pool operators such as MLAI, commodity trading advisors such as the Trading Advisor and commodity brokers or futures commission merchants FCMs such as MLPF&S to be registered and to comply with various reporting and record keeping requirements.  CFTC regulations also require FCMs to maintain a minimum level of net capital.  In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges.  All accounts owned or managed by the Trading Advisor will be combined for position limit purposes.  The Trading Advisor could be required to liquidate positions held in order to comply with such limits.  Any such liquidation could result in substantial costs to the Fund.  In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to reach its daily price limit for several days in a row, making it impossible for the Trading Advisor to liquidate a position and thereby experiencing dramatic losses. Currency forward contracts are not regulated as “swaps” under the CEA, but are subject to governmental regulation such as mandatory reporting and business conduct standards for swap dealers and major swap participants to the extent otherwise applicable to swaps under the CEA and applicable rules of the CFTC, see Item 1A “Risk Factors—F/X Forward Trading” and “—Regulatory Changes Could Restrict the Fund’s Operations.”

Other than in respect of the registration requirements pertaining to the Fund’s securities under Section 12(g) of the Securities Exchange Act of 1934 (the “Securities Exchange Act”), the Fund is generally not subject to regulation by the Securities and Exchange Commission (the “SEC”).  However, MLAI is registered as an “investment adviser” under the

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Investment Advisers Act of 1940.  MLPF&S is also regulated by the SEC and the Financial Industry Regulatory Authority (“FINRA”).

(d)Financial Information about Geographic Areas

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

The Fund trades on a number of foreign commodity exchanges.  The Fund does not engage in the sales of goods or services.

Item 1A:  Risk Factors

Past Performance Not Necessarily Indicative of Future Results

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

Volatile Markets; Highly Leveraged Trading

Trading in the futures and OTC markets typically results in volatile performance.  Market price levels fluctuate dramatically and may be materially affected by unpredictable factors such as weather and governmental intervention.  The low margin requirements normally required in futures and OTC trading permit an extremely high degree of economic leverage.  This combination of leverage and volatility creates a high degree of risk.  Additionally, although the Trading Advisor may initiate stop-loss orders on certain positions to limit this risk, there can be no assurance that any stop-loss order will be executed or, even if executed, that it will be executed at the desired price or time.

Importance of General Market Conditions

Neither MLAI nor the Trading Advisor can predict or control overall market or economic conditions.  These conditions, however, can be expected to have a material effect on the performance of the Trading Program.

The Fund may incur major losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted.  The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving.  The financing available to the Fund from its banks, dealers and other counterparties is typically reduced in disrupted markets, which may result in substantial losses to the Fund.  Market disruptions may from time to time cause dramatic losses for the Fund and can result in the Trading Advisor’s strategy performing with unprecedented volatility and risk.

Managed Futures Trading Strategies and Trading Systems

Trend-Following Systems

Many managed futures trading systems are trend-following systems which generally anticipate that a majority of their trades will be unprofitable and seek to achieve overall profitability by substantial gains made on a limited number of positions.  These strategies are generally only successful in markets in which strong price trends occur.  In stagnant markets in which these trends do not occur or in “whipsaw markets” in which apparent trends develop but then quickly reverse, trend-following trading systems are likely to incur substantial losses.  Furthermore, the profit potential of trend-following systems may be diminished by the changing character of the markets, which may make historical price data, on which technical trading systems are based, only marginally relevant to future market patterns.

Discretionary Strategies

The Trading Advisor may utilize a discretionary, rather than systematic, trading strategy.  Discretionary trading advisors may allow emotion to affect trading decisions and may exhibit a lack of discipline in their trading that systematic strategies are designed to avoid.  Relying on subjective trading judgment may produce less consistent results than

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those obtained by more systematic approaches.

Technical Analysis and Trading Systems

The Trading Advisor may employ technical analysis and/or technical trading systems.  Technical strategies rely on information intrinsic to the market itself to determine trades, such as prices, price patterns, volume and volatility.  These strategies can incur major losses when factors exogenous to the markets themselves, including political events, natural catastrophes, acts of war or terrorism, dominate the markets.  The widespread use of technical trading systems frequently results in numerous managers’ attempting to execute similar trades at or about the same time, altering trading patterns and affecting market liquidity.

Fundamental Analysis

The Trading Advisor’s strategy may rely on fundamental analysis.  Fundamental analysis is premised on the assumption that markets are not perfectly efficient, that informational advantages and mispricings do occur and that econometric analysis can identify trading opportunities.  Fundamental analysis may result in substantial losses if these economic factors are not correctly analyzed, not all relevant factors are identified and/or market forces cause mispricings to continue despite the traders having correctly identified mispricings.  Fundamental analysis may also be more subject to human error and emotional factors than technical analysis.

Quantitative Trading

The Trading Advisor may engage in quantitative trading.  Quantitative trading strategies are highly complex, and, for their successful application, require relatively sophisticated mathematical calculations and relatively complex computer programs.  These programs anticipate that many of their trades may be unprofitable, seeking to achieve overall profitability through recognizing major profits on a limited number of positions while cutting losing positions quickly.  These trading strategies are dependent upon various computer and telecommunications technologies and upon adequate liquidity in the markets traded.  The successful execution of these strategies could be severely compromised by, among other things, a diminution in the liquidity of the markets traded, telecommunications failures, power loss and software-related “system crashes.”  There are also periods when even an otherwise highly successful system incurs major losses due to external factors dominating the market, such as natural catastrophes and political interventions.  Due to the high trading volume of quantitative trading strategies, the resulting transaction costs may be significant.  In addition, the difference between the expected price of a trade and the price a trade is executed at, or “slippage,” may be significant and may result in losses.

Importance of Market Judgment

Although the Trading Advisor may use systematic or quantitative valuation models in evaluating the economic components of many prospective trades, the market judgment and discretion of the Trading Advisor’s personnel are often fundamental to the implementation of the Trading Program.  The greater the importance of subjective factors, the more unpredictable a trading strategy becomes.  The Trading Advisor may not have the same access to market information as do certain of its competitors, and the market decisions made by the Trading Advisor will, accordingly, often be based on less information and analysis than those available to competing investors.

F/X Forward Trading

The Fund may trade currencies in the F/X markets (“F/X Markets”), in addition to its trading in the futures markets.  Prospective investors must recognize that the Fund’s OTC currency trading takes place in largely unregulated markets, rather than on futures exchanges, and may, but does not now, take place through “retail” F/X Markets subject to the jurisdiction of the CFTC or other regulatory bodies.  The responsibility for performing under a particular transaction currently rests solely with the counterparties to that transaction, not with any exchange or clearinghouse.  As a result, the Fund is exposed to the credit risk of the OTC counterparties with which it trades and deposits collateral, including that of MLIB as the F/X prime broker.  See “Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges,” below.

The Fund is also subject to the risk that a forward counterparty may not settle a transaction in accordance with its terms, because the counterparty is unwilling or unable to do so, potentially resulting in significant losses. A counterparty’s failure to perform could occur in respect of an offsetting forward contract on which the Fund remains obligated to perform.  The Fund will not, however, be excused from performance under any forward contracts into which it has entered due to defaults under other forward contracts.  In addition, counterparties generally have the right to terminate trades under a number of circumstances including, for example, declines in the Fund’s net assets and certain “key person” events.  Any

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premature termination of the Fund’s currency forward trades could result in significant losses for the Fund, because the Fund may be unable to quickly re-establish those trades and may only be able to do so at disadvantageous prices.  Forward market counterparties are under no obligation to enter into forward transactions with the Fund, including transactions through which the Fund is attempting to liquidate open positions.  In addition, the prices offered for the same forward contract may vary significantly among different forward market participants.

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) amended the definition of “eligible contract participant,” and the Fund expects to meet the amended definition so long as its total assets exceed $10 million.  If the Fund does not meet the definition of “eligible contract participant,” it could lead to the Fund’s bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.  “Retail forex” markets could also be significantly less liquid than the interbank market.  Moreover, the creditworthiness of the counterparties with whom the Fund may be required to trade could be significantly weaker than the creditworthiness of MLIB and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions.

The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to the Reform Act might limit forward trading to less than that which MLAI would otherwise recommend, to the possible detriment of the Fund.

Derivatives Risks Generally

The Trading Advisor uses derivative instruments, primarily futures and OTC F/X forwards, in implementing the Trading Program.  The market for many types of these derivative instruments is comparatively illiquid and inefficient, creating the potential for substantial mispricings, as well as sustained deviations between theoretical and market value.  In addition, the derivatives market is, in comparison to other markets, a relatively new market, and the events of 2008 and 2009, including the bailout of American International Group, Inc., demonstrated that even the most sophisticated market participants may misunderstand how the market in derivatives will perform during periods of unusual price volatility or instability, market illiquidity, or credit distress.  The primary risks associated with the use of derivatives are model risk, market risk and counterparty risk.

The Fund’s investments in OTC derivatives are subject to greater risk of counterparty default and less liquidity than exchange-traded derivatives, although exchange-traded derivatives are subject to risk of failure of the exchange on which they are traded and the clearinghouse through which they are guaranteed.  Counterparty risk includes not only the risk of default and failure to pay mark-to-market amounts and return risk premium, if any, but also the risk that the market value of OTC derivatives will fall if the creditworthiness of the counterparties to those derivatives weakens.

In addition, there are increased risks associated with offshore OTC trading, including the risk that assets held by offshore brokers and unregulated trading counterparties may not benefit from the protection afforded to customer funds deposited with regulated FCMs or broker-dealers.

The prices of derivative instruments can be highly volatile.  Price movements of derivative instruments are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic events and policies.  In addition, governments from time to time intervene, directly and by regulation, in certain markets.  This intervention often is intended directly to influence prices and may, together with other factors, cause all of such markets to move rapidly in the same direction because of, among other things, interest rate fluctuations.

There was substantial disruption in the derivatives markets related to the bankruptcy of Lehman Brothers Holdings, Inc. and uncertainty relating to the government bailout of American International Group, Inc. This disruption and uncertainty can cause substantial losses if transactions are prematurely terminated, especially due to default when payment may be delayed or completely lost.  Uncertainties in the derivatives markets continue due to proposed regulatory initiatives, new regulations requiring OTC derivatives clearing, and allegations of inappropriate behavior by market participants to cause or avoid payments under credit default swaps.  See “Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges” in this section below.

Trading in Options

The Trading Advisor may trade options on futures contracts or options on F/X forward contracts.  Although successful options trading requires many of the same skills as successful futures and forward trading, the risks involved are

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different.  For example, the assessment of near-term market volatility, which is directly reflected in the price of outstanding options, can be of much greater significance in trading options than it is in many long-term futures strategies.  The use of options can be extremely expensive if market volatility is incorrectly predicted.  A purchaser of options is exposed to the risk of loss of the entire premium paid; a seller, or writer, of call options is exposed to the risk of theoretically unlimited loss, and the seller of put options is exposed to the risk of substantial loss far in excess of the premium received.

Exchange of Futures for Physicals

The Trading Advisor may engage in exchange of futures for physical (“EFP”) transactions on behalf of the Fund.  As is the case with executing a transaction purely on an exchange or purely in the OTC market, EFP transactions, which are done partially on a futures exchange and partially in the OTC market, involve higher transaction costs.

Physical Commodities Trading in General

The Trading Advisor may engage in transactions that involve taking delivery of physical commodity assets such as agricultural commodities, freight, coal, oil, gas and electric power.  These investments are subject to risks that are not typically directly applicable to other financial instruments, such as:  destruction; loss; industry-specific regulation, such as pollution control regulation; operating failures; and work stoppages.

Physical commodities trading, as opposed to commodity futures trading, is substantially unregulated, and if the Fund engages in this type of trading, it will not be assured the same access to these markets as it might have in a regulated context.

Exchange Rate Risks; Currency Hedging

The Fund may invest and trade in currencies for speculative and/or hedging purposes.  In addition, the Units are denominated, and the Fund values its assets, in U.S. dollars and the Fund may trade and invest in assets denominated in non-U.S. currencies.

Currency-related investments are subject to the risk that the value of a particular currency will change in relation to the U.S. dollar, and the exchange rates of currencies may be highly volatile.  Among the factors that may affect currency values are direct government intervention, which is often intended specifically to change currency values, trade balances, the level of short-term interest rates, differences in the relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation and political developments.

While the Trading Advisor may from time-to-time hedge a certain amount of risks associated with currency trading, it is under no obligation to do so.  Even if it chooses to do so, it is not economically feasible and often simply not possible to fully or effectively hedge exchange-rate risks.  In a number of cases, otherwise highly successful investment funds have incurred significant, and in certain instances total, losses due to the decline in the value of the currencies in which their investments were denominated or in which they were invested for speculative purposes.

Off-Balance Sheet Risk

The Fund may invest in financial instruments with off-balance sheet risk.  These instruments include futures and forward contracts, swap and options contracts sold short.  In entering into these contracts there exists a market risk that the contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in the contracts’ becoming less valuable.  An off-balance sheet risk is associated with a financial instrument if it exposes the investor to a loss in excess of the investor’s recognized asset carrying value in the financial instrument, if any, or if the ultimate liability associated with the financial instrument has the potential to exceed the amount that the investor recognizes as a liability in the investor’s statement of assets and liabilities.

Recently it has been alleged that certain interest rate benchmarks that underlie various swap agreements have been manipulated.  In entering into swap agreements, the Fund relies on the integrity of interest rates and other benchmarks.  If the level of these benchmarks is artificially influenced by market participants, the Fund could suffer losses.

Increased Assets Under Management

There appears to be a tendency for the rates of return achieved by managed futures advisors to decline as assets under management increase.  The Trading Advisor has not agreed to limit the amount of additional equity which it may manage and may be at or near its all-time high in assets under management.

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The aggregate capital committed to the managed futures sector in general is also at an all-time high.  The more capital that is traded in these markets, or that is committed to any particular strategy, the greater the competition for a finite number of positions and the less the profit potential for all strategies or for any particular strategy.

Dependence on Key Individuals

The success of the Fund is significantly dependent upon the expertise of one or more of the Trading Advisor’s principals.  The loss of any one of these principal’s services may have a substantial impact on the performance of the Fund and may result in liquidation of the Fund which, if made at an inopportune time, may result in losses for the Fund.

Trading Advisor Risk

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

Redemptions by Other Trading Advisor Fund Investors

Investors in other funds or accounts implementing the Trading Program or similar strategies may be able to redeem their investments more frequently or on less prior notice than Investors in the Fund.  Redemptions by investors in these funds or withdrawals from accounts that have less restrictive redemption terms could have a material adverse impact on the Fund’s portfolio and could disadvantage investors in certain circumstances.

Trade Execution Risk

The Trading Advisor may use executing brokers unaffiliated with BAC.  In the event of a trading error, the Fund may have no effective remedy against these executing brokers.

Changes in Trading Program

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

Illiquid Markets

Certain positions held by the Fund may become illiquid, preventing the Trading Advisor from acquiring positions otherwise indicated by the Trading Program or making it impossible for the Trading Advisor to close out positions against which the market is moving.

Most U.S. futures exchanges limit fluctuations in some futures contract prices during a single day by regulations referred to as “daily price limits.”  During a single trading day no trades may be executed in these contracts at prices beyond the daily price limit.  Once the price of a futures contract has increased or decreased to the limit point, positions can be neither taken nor liquidated.  Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading.  Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses.  Also, the CFTC or exchanges may suspend or limit trading.  Trading on non-U.S. exchanges may also be subject to price fluctuation limits and subject to periods of significant illiquidity.  Trading in the F/X Markets and other OTC markets is not subject to daily limits, although OTC trading is also subject to periods of significant illiquidity.

Possible Effects of Speculative Position Limits

The CFTC and U.S. commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options on futures contracts traded on U.S. commodities exchanges.  All proprietary or client accounts owned or managed by the Trading Advisor are combined for purposes of calculating position limits.  The Trading Advisor could be required to liquidate positions held for the Fund, or may not be able to fully implement the Trading Program, in order to

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comply with such limits, even though the positions attributable to the Fund do not themselves trigger the position limits or are a small portion of the aggregate positions directed by the Trading Advisor.  Position limits could force the Fund to liquidate profitable positions, result in a tracking error between the Fund’s portfolio and the Trading Advisor’s standard trading program and cause the Fund to incur substantial transaction costs.

In October 2011, the CFTC adopted rules that, among other things, established a separate position limits regime for 28 so-called “exempt,” i.e., metals and energy, and agricultural futures and options contracts and their economically equivalent swap contracts.  Position limits in spot months are generally set at 25% of the official estimated deliverable supply of the underlying commodity while position limits related to non-spot months are generally set at 10% of open interest in the first 25,000 contracts and 2.5% of the open interest thereafter.  On September 28, 2012, the United States District Court for the District of Columbia issued an opinion that vacated these rules.  There remains considerable uncertainty about what, if any, actions the CFTC may take in response to the court’s decision and whether the CFTC will publish any future rulemakings addressing “exempt” futures and options contracts and their economically equivalent swap contracts.  In addition, the Reform Act significantly expands the CFTC’s authority to impose position limits with respect to futures contracts, options on futures contracts, swaps that are economically equivalent to futures or options on futures, swaps that are traded on a regulated exchange and certain swaps that perform a significant price discovery function.

MLAI is subject to CFTC-imposed position limits through its control of the Fund, and will have to aggregate positions of certain FuturesAccess Funds in determining whether the position limits are reached.  The rules adopted by the CFTC in October 2011, in addition to expanding the contracts subject to CFTC-imposed position limits, narrow certain exemptions from the aggregation requirements, making it more likely that a party such as the Fund hiring multiple trading advisors may be required to aggregate the positions controlled by the various trading advisors.  Although MLAI may claim exemption from the aggregation requirements for the majority of FuturesAccess Funds, the aggregation of certain FuturesAccess Funds is required.  If the aggregation is required in the Fund’s case, the Trading Advisor may not be able to implement the Trading Program for the Fund in the same manner as for its other clients, causing the Fund to underperform other accounts utilizing the Trading Program, or the Fund may have to liquidate trading positions when the Trading Advisor would otherwise not advise doing so, resulting in losses to the Fund.

Any of the regulations discussed above could adversely affect the Fund in certain circumstances.

Trading on Non-U.S. Exchanges

The Trading Advisor may trade on futures exchanges outside the United States on behalf of the Fund.  Trading on non-U.S. exchanges is not regulated by any U.S. government agency and may involve certain risks not applicable to trading on U.S. exchanges.

For example, some non-U.S. exchanges, in contrast to U.S. exchanges, are “principals’ markets” similar to the forward markets in which performance is the responsibility only of the individual member with whom the Fund has entered into a futures contract and not of any exchange or clearing corporation.  In these cases, the Fund will be subject to the risk of the inability or refusal to perform with respect to the individual member with whom the Fund has entered into a futures contract.

Trading on non-U.S. exchanges may involve the additional risks of expropriation, burdensome or confiscatory taxation (including taxes on specific trading activities), moratoriums, exchange or investment controls and political or diplomatic disruptions, each of which might materially adversely affect the Fund’s trading activities.  The Fund could incur substantial losses trading on non-U.S. exchanges to which it would not have been subject had the Trading Advisor limited its trading to U.S. markets.

The U.S. tax treatment of non-U.S. futures trading may be adverse compared to the tax treatment of U.S. futures trading.  The profits and losses derived from trading non-U.S. futures and options will generally be denominated in non-U.S. currencies.  Consequently, the Fund will be subject to exchange-rate risk in trading those contracts.

Foreign Exchange Controls

Governments in non-U.S. markets may impose F/X controls at will, making it impossible to convert local currency into other currencies.  Should the Fund trade on futures exchanges outside the United States or otherwise invest in non-U.S. markets, these controls may effectively prevent Fund capital from being removed from a country where its futures contracts and other investments are traded.  In addition, certain countries do not have fully convertible currencies as a matter of policy, adding cost or delay to the trading of currency investments by the Fund.  The imposition of currency controls by a non-U.S. government may negatively affect performance and liquidity in the Fund as capital becomes trapped in that country.

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Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges

The Fund is exposed to the risk that the bankruptcy or insolvency of its trading counterparties and other entities holding Fund assets — such as broker-dealers, FCMs, futures exchanges, clearinghouses, banks or other financial institutions, particularly MLPF&S, MLIB and their affiliates — could result in all or a substantial portion of the Fund’s assets being lost permanently or impounded for a matter of years pending the final disposition of legal proceedings.  A bankruptcy or insolvency of this kind, or the threat of one, may cause MLAI to decide to liquidate the Fund or suspend, limit or otherwise alter trading, perhaps causing the Fund to miss significant profit opportunities.

MLAI has historically preferred BAC affiliates in clearing and prime brokerage relationships, and as a result has maintained the vast majority of its cash in futures brokerage accounts with its affiliates.  This policy exposes the Fund to the specific credit risk of these BAC affiliates because balances in these accounts are not subject to FDIC or other form of deposit insurance against loss from failure of the BAC affiliate.  Balances maintained with clearing brokers are, however, subject to the protections for customer segregated and secured accounts discussed below.

MLAI’s policy that the Trading Advisor use MLPF&S and MLIB may increase the risks of insolvency described above by preventing the diversification of brokers and counterparties used by the Fund.

Although the Fund must use MLPF&S and MLIB, in certain circumstances MLAI may have limited control over the selection of counterparties by the Fund.  The Fund also may not be restricted from dealing with any particular counterparty, regulated or unregulated, or from concentrating any or all of its transactions with a single counterparty or limited number of counterparties or from initially transacting, clearing or brokering with a non-BAC broker and from “giving up” those trades to MLPF&S or the MLIB.  In addition, to the extent assets are held at entities other than MLPF&S and the MLIB, MLAI may have limited ability to assess the extent to which the Trading Advisor maintains the Fund’s assets in unregulated accounts subject to the bankruptcy of the counterparties holding such assets.

The following paragraphs discuss the various uses of the Fund’s assets and the risks of loss — in addition to losses from trading — associated with each use.

Margin for Commodities Trading.  Although MLAI believes that MLPF&S is appropriately capitalized to function as the Fund’s FCM, cash posted as margin for commodities trading with MLPF&S is nevertheless subject to the risk of insolvency of MLPF&S.  The Fund maintains cash deposits with MLPF&S in segregated accounts, which are required by CFTC regulations to be separate from its proprietary assets for futures and options trading on U.S. exchanges.  Funds held in segregated accounts are intended to be readily identifiable as customer funds in the event of MLPF&S’s bankruptcy and are expected to be reserved for distribution to customers of MLPF&S.  If MLPF&S did not comply with the segregation requirement, however, the assets of the Fund might not be fully protected.  Even given proper segregation, the Fund may be subject to a risk of loss of its funds because, although CFTC regulations require that FCMs invest customer funds only in certain types of interest bearing financial instruments, these instruments are still subject to credit and market risk.  As a result, if the instruments in which customer segregated funds are invested lose value, there would be a shortfall in customer segregated funds held by MLPF&S in the event of MLPF&S’s insolvency.

In addition, there may be a shortfall in customer segregated funds held by MLPF&S in the event of a substantial default by one or more of MLPF&S’s other customers.  If MLPF&S becomes insolvent, only a pro rata share of all property available for distribution to all of MLPF&S’s customers would be recovered, whether or not another customer also defaults and even if this property is held in segregated accounts.

In addition, if BAC directly or indirectly owns 10% or more of the Fund, which would typically result from BAC’s providing seed capital to the Fund to help ensure that the Fund has enough capital to commence trading activities, the Fund’s account at MLPF&S would be considered a “proprietary account” under CFTC regulations and the Fund’s assets, including assets used to margin U.S. exchange-traded futures and options, would not be protected as “customer funds.”  If MLPF&S became insolvent at a time when the Fund’s assets on deposit with MLPF&S were not considered customer funds, the Fund would likely lose significantly more as a result of the bankruptcy than would otherwise be the case.  Where BAC provides seed capital it also establishes a regular redemption schedule providing for withdrawal of the capital when the Fund capitalization reaches a certain level.  Once BAC’s ownership of a FuturesAccess Fund falls below 10%, the account of the FuturesAccess Fund will be considered a customer account rather than a proprietary account.

MLPF&S is required by CFTC regulations to maintain in a secured account the amount required to margin futures and options positions established on non-U.S. futures exchanges in order to protect customer funds in the event of

19

MLPF&S’s bankruptcy.  While the secured account requirement relating to trading non-U.S. futures exchanges is similar in some respects to the segregation requirement relating to trading on U.S. futures exchanges, they are not identical and there are special risks associated with funds maintained in a secured account.  Funds held in a secured account may be commingled with funds of non-U.S. persons and, because they are by necessity held in a non-U.S. jurisdiction, are subject to different insolvency laws and customer protection regulations, which may be less favorable than U.S. laws and regulations.  Moreover, funds transferred from a secured account to a non-U.S. FCM, exchange or clearing agency to margin trading on non-U.S. futures exchanges are not subject to the same limitations on permissible investments as funds held by U.S. FCMs.  In addition to these special risks, funds held in a secured account are subject to risks comparable to those applicable to funds in a segregated account, namely that MLPF&S will not comply with the relevant regulations, that investments in the account will decline in value, of a shortfall in the event of the default by another customer, and that, if, BAC owns 10% or more of the Fund, the Fund’s assets will not be protected as “customer funds.”

If the Fund deposits assets with a particular entity and those assets are not held in segregation or in a secured account as “customer funds” for any of the reasons discussed above, in the event of the entity’s insolvency the Fund could be a general creditor of the entity even with regard to property specifically traceable to the Fund’s account.  As a result, the Fund’s claim would be paid along with the claims of other general creditors and the Fund would be subject to the loss of its entire deposit with the party.

Collateral for OTC Transactions.  Cash pledged as collateral with MLIB or any other OTC prime broker for OTC trades is subject to the risk of the insolvency of the prime broker.  Unlike cash posted as margin for commodities trading on regulated exchanges is not required to be segregated or held in a secured account.

Bank Deposits.  The vast majority of the cash deposited with banks would be in excess of the limits on federal insurance for deposits, and thus not insured by the FDIC, and would be subject to the risk of bank failure.  However, amounts held in non-interest bearing demand deposit accounts are fully insured under current law through the end of 2012.  Beginning in January 2013, only up to $250,000 held in non-interest bearing demand deposit accounts will be insured under the FDIC’s general deposit insurance rules.

Cash in Securities Brokerage Accounts.  Cash in securities brokerage accounts with MLPF&S is subject to the risk of insolvency of MLPF&S.  While brokers are required to keep customer cash in a special reserve account for the benefit of customers, it is possible that a shortfall could exist in this account, in which case the Fund, along with other customers, would suffer losses.  The Securities Investor Protection Corporation provides protection against these losses, up to a limit, but the cash deposited by the Fund in a securities brokerage account would far exceed the limit.

Direct Investments.  Fund investments in U.S. government securities are backed by the full faith and credit of the U.S. government.  To the extent the Fund makes investments in non-government securities it would be subject to a risk of loss that depended on the type of security.

Recent events underscore the risks described above.  Significant losses incurred by many investment funds in relation to the bankruptcy and/or administration of Lehman Brothers Holdings Inc. and its affiliates illustrate the risks incurred in both derivatives trading and custody/brokerage arrangements.  The ongoing bankruptcy liquidation of MF Global Inc. also demonstrates that even customer funds subject to segregation requirements may be difficult for an FCM to locate, and customer funds held by an FCM in bankruptcy may not be distributed promptly and may be subject to a lengthy claims process.

Insolvency of Dual-Registered Entities

MLPF&S is registered as both an FCM with the CFTC and as a broker-dealer with the SEC.  Other counterparties and entities holding Fund assets may also be entities registered with both the SEC and the CFTC.  In the event of an insolvency of a dual-registered entity, the distribution of CFTC regulated customer funds would be governed by the CFTC’s bankruptcy rules and Chapter 7 of the U.S. Bankruptcy Code, while the distribution of SEC regulated customer funds would be governed by the Securities Investor Protection Act of 1970 and applicable provisions of the U.S. Bankruptcy Code.  Uncertainty exists regarding the application of the two separate insolvency regimes to the insolvency of a single entity.

Risk of Loss Due to Trading Errors and the Failure of Trading Systems

The Fund is subject to the risk of failures or inaccuracies in the trading systems of the Trading Advisor. Trades for the Fund may be placed or executed in error due to technical errors such as coding or programming errors in software, hardware problems and inaccurate pricing information provided by third parties or execution errors such as

20

keystroke, typographic or inadvertent drafting errors.  Many exchanges have adopted “obvious error” rules that prevent the entry and execution of trades more than a specified amount away from the current best price on the exchange.  However, these rules may not be in place on the exchanges on which the Trading Advisor trades on behalf of the Fund and may not be enforced even if in effect.  These rules likely would not prevent the entry and execution of a trade entered close to the market price but at the wrong size.

The Fund is subject to the risk of the unavailability or failure of the computer systems of the exchanges on which the Trading Advisor trades.  Any such errors or failures could subject the Fund to substantial losses.

Market Disruptions; Government Intervention

The global financial markets have recently experienced pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention.  Government intervention has in certain cases been implemented on an “emergency” basis, suddenly and substantially eliminating market participants’ ability, at least on a temporary basis, to continue to implement certain strategies or manage the risk of their outstanding positions.  In addition, as one would expect given the complexities of the financial markets and the limited time frame within which governments have taken action, these interventions typically have been difficult to interpret and unclear in scope and application, resulting in confusion and uncertainty.  This confusion and uncertainty in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies.

The Fund may incur substantial losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted, the availability of credit is restricted or the ability to trade or invest capital, including exiting existing positions, is otherwise impaired.  The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving.  The financing available to private investment funds such as the Fund from banks, dealers and other counterparties, is typically reduced in disrupted markets.  Any reduction may result in substantial losses to the Fund.  Market disruptions may from time to time cause dramatic losses for the Fund and these events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk.

Regulatory Changes Could Restrict the Fund’s Operations

The Fund implements speculative, highly leveraged strategies.  From time to time there is governmental scrutiny of these types of strategies and political pressure to regulate their activities.  The CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading.  The regulation of futures, forward and options transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action.  In addition, as described in further detail above under “Possible Effects of Speculative Position Limits,” the U.S. Congress and the CFTC have expressed the concern that speculative traders, and commodity funds in particular, may be responsible for unwarranted and dramatic swings in the prices of commodities and the CFTC enacted position limits designed to address such speculative trading.  Non-U.S. governments have from time to time blamed the declines of their currencies on speculative currency trading and imposed restrictions on speculative trading in certain markets.

Regulatory changes could adversely affect the Fund by restricting the markets in which it trades, otherwise limiting its trading and/or increasing the taxes to which Investors are subject.  Adverse regulatory initiatives could develop suddenly and without notice.

The Reform Act includes provisions that substantially increase the regulation of the OTC derivatives markets.  Regulations implementing the Reform Act may require that a substantial portion of derivatives currently traded over the counter be executed in regulated markets and submitted for clearing to regulated clearinghouses.  Those OTC derivatives may include OTC F/X forwards and swaps which may be traded by the Fund.

The U.S. Treasury has determined that F/X forwards and swaps will not be regulated as “swaps” under the CEA, although these will remain subject to mandatory reporting and business conduct standards for swap dealers and major swap participants to the extent otherwise applicable to swaps under the CEA and applicable rules of the CFTC. However, the Reform Act may require other OTC derivatives traded by the Fund, if any, to be cleared or traded on a regulated exchange.  This may subject the Fund, the Trading Advisor, MLAI and/or the Fund’s counterparties to additional regulatory requirements including minimum initial and variation margin requirements, minimum capital requirements, registration with the SEC and/or the CFTC, new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency

21

requirements, position limits, limitations on conflicts of interest and other regulatory burdens.   Certain of these regulatory requirements could impact the Fund, the Trading Advisor, or MLAI directly, while others could impact the Fund, the Trading Advisor or MLAI indirectly due to the impact of the requirements on the Fund’s counterparties.  These new regulatory burdens would further increase the counterparties’ costs, which are expected to be passed through to other market participants such as the Fund in the form of higher fees and less favorable dealer marks.  They may also render certain strategies in which the Trading Advisor might otherwise engage impossible, or so costly that they will no longer be economical, to implement.

Banking Regulation

BAC is subject to certain U.S. banking laws, including the Bank Holding Company Act of 1956, and to regulation by the Board of Governors of the Federal Reserve System (the “Federal Reserve”).  If BAC directly, or indirectly through its subsidiaries, makes capital contributions to the Fund in an aggregate amount such that BAC may be deemed to control the Fund for purposes of the BHCA, or if BAC is otherwise deemed to control the Fund for purposes of the BHCA, the Fund may be subject to certain investment and other limitations.

In addition, recent legislative changes in the United States are relevant to BAC, the Fund and its investors.  On July 21, 2010, President Obama signed into law the Reform Act.  The Reform Act includes certain provisions (known as the “Volcker Rule”) that restrict a banking entity, such as BAC, from acquiring or retaining any equity, partnership or other ownership interest in, or sponsoring, a Covered Fund, such as the Fund, and prohibit certain transactions between Covered Funds, on the one hand, and BAC, on the other.  The Reform Act includes certain provisions known as the “Volcker Rule” that restricts a banking entity, such as BAC, from acquiring or retaining any equity, partnership or other ownership interest in, or sponsoring a private equity fund or hedge fund or similar fund as the regulatory agencies may determine (each a “Covered Fund”), such as the Fund, unless permitted under a special exemption.  The Volcker Rule prohibits certain transactions between Covered Funds, on the one hand, and BAC, on the other.

However, the Volcker Rule permits a banking entity, such as BAC, to organize and offer Covered Funds, including serving as a general partner, managing member or trustee of such fund and in any manner selecting or controlling (or having employees, officers, directors or agents who constitute) a majority of the directors, trustees or management of such fund, if certain conditions are cumulatively satisfied.  Those conditions include, among other things, the requirements that:  (a) the banking entity provides bona fide trust, fiduciary or investment advisory services; (b) the Covered Fund is organized and offered only in connection with the provision of bona fide trust, fiduciary or investment advisory services and is offered only to persons that are customers of such services of the banking entity; (c) the banking entity does not acquire or retain an equity interest, partnership interest or other ownership interest in the Covered Fund except for a de minimis investment (generally an investment by a banking entity in a Covered Fund will be considered de minimis if the investment is not more than 3% of the total ownership interest of the fund and is immaterial to the banking entity (as defined by rule), but in no case may the aggregate of all of the interests of the banking entity in all such funds exceed 3% of the Tier 1 capital of the banking entity); (d) (i) neither the banking entity that serves, directly or indirectly, as the investment manager, investment adviser or sponsor to a Covered Fund or that organizes and offers a Covered Fund, nor any affiliate of the banking entity, may enter into a transaction with the Covered Fund or with any other Covered Fund that is controlled by such Covered Fund, that would be a “covered transaction”, as defined in section 23A of the Federal Reserve Act (including, among other things, a loan or extension of credit to an affiliate, a purchase of or an investment in securities issued by an affiliate, a purchase of assets from an affiliate, and the issuance of a guarantee or letter of credit on behalf of an affiliate), with the Covered Fund, as if the banking entity and the affiliate thereof were a member bank and the Covered Fund were an affiliate thereof and (ii) the banking entity that serves, directly or indirectly, as the investment manager, investment adviser or sponsor to a Covered Fund or that organizes and offers a Covered Fund complies with section 23B of the Federal Reserve Act (which generally requires that the terms of transactions be substantially the same, or at least as favorable to the banking entity, as those prevailing at the time for comparable transactions with non-affiliated companies) as if the banking entity were a member bank and such Covered Fund were an affiliate thereof; (e) the banking entity does not, directly or indirectly, guarantee, assume or otherwise insure the obligations or performance of the Covered Fund or of any fund in which the Covered Fund invests; (f) the banking entity does not share with the Covered Fund, for corporate, marketing, promotional or other purposes, the same name or a variation of the same name; (g) no director or employee of the banking entity takes or retains an equity interest, partnership interest or other ownership interest in the Covered Fund, except for any director or employee of the banking entity who is directly engaged in providing investment advisory or other services to the Covered Fund; and (h) the banking entity discloses to prospective and actual investors in the Covered Fund, in writing, that any losses in such fund are borne solely by investors in the Covered Fund and not by the banking entity, and otherwise complies with any additional rules designed to ensure that losses in the Covered Fund are borne solely by investors in such fund and not by the banking entity.

In addition, no transaction, class of transactions or activity that is otherwise allowed under the Volcker Rule will be permitted by a banking entity if it would (i) involve or result in a material conflict of interest (as such term will be

22

defined by rule) between the banking entity and its clients, customers or counterparties; (ii) result, directly or indirectly, in a material exposure by the banking entity to high-risk assets or high-risk trading strategies (both such terms, as will be defined by rule); (iii) pose a threat to the safety and soundness of such banking entity; or (iv) pose a threat to the financial stability of the United States.

On October 11, 2011, the Federal Reserve, the Office of the Comptroller of the Currency, the FDIC and the SEC issued for public comment a joint notice containing the proposed rule.  Though the final Volcker Rule has not yet been issued, the effective date was July 21, 2012.  Within two years after the effective date, a banking entity is required to bring its activities and investments into compliance with the Volcker Rule.  The Federal Reserve may grant up to three one-year extensions of the compliance transition period if the extension would be consistent with the purposes of the Volcker Rule and would not be detrimental to the public interest.  For certain “illiquid funds”, an additional extension of up to five-years may be available to the extent necessary to fulfill a contractual obligation that was in effect on May 1, 2010.

Although it is not certain what form the final rules will take or the impact such final rules will have on the Fund or BAC’s relationship to the Fund, certain impacts are likely.  At the termination of the applicable compliance transition period, all activities and investments of BAC will have to comply with the Volcker Rule.  That means, for example, that some or all of the following changes may have to be implemented:  (1) BAC’s investment in the Fund will have to be reduced to no more than 3% of the ownership interests in the Fund, if applicable; (2) BAC will have to reduce its aggregate investments in all Covered Funds to the maximum amount permitted by the final rules, which amount cannot be more than 3% of BAC’s Tier 1 capital; (3) to the extent that any directors or employees of BAC not directly engaged in providing investment advisory or other services to the Fund hold any Units in the Fund, those Units will have to be redeemed or transferred; and/or (4) any “covered transactions” between the Fund, on the one hand, and BAC, on the other, will have to be terminated.  In addition, the trading and other investment opportunities of the Fund may be limited in order to comply with the restriction on material conflicts of interest, or to prevent a material exposure by BAC to high-risk assets or high-risk strategies.

Redemptions by BAC or certain of its employees as a result of, or in connection with, the Volcker Rule could require the Fund to liquidate positions sooner than would otherwise be desirable, which could adversely affect the performance of the Fund.  In addition, regardless of the period of time in which such redemptions occur, the resulting reduction in the Fund’s net assets, and thus in its equity bases, could make it more difficult for the Fund to diversify its holdings and achieve its investment objective.  Substantial redemptions by BAC or certain of its employees could cause the Fund to distribute a considerable percentage of its liquid assets, leaving the Fund’s remaining assets, and its remaining Units, comparatively less liquid, and could significantly increase the remaining Investors’ pro rata shares of the Fund’s expenses.  Similarly, BAC or certain of its employees may be required to transfer their Units to a third party as a result of, or in connection with, the Volcker Rule and such transfers may have an adverse effect on the Fund.

In addition to the changes in the regulation of U.S. markets described above, it is impossible to predict what additional interim or permanent governmental regulations, restrictions or limitations may be imposed, whether in the U.S. or non-U.S. markets, on, for example:  (x) the markets in which the Fund invests and the strategies of the Fund; and (y) BAC.  Such measures could have a material and adverse effect on the Fund, including expenses that result from increased compliance requirements.

Concerns Regarding the Downgrade of the U.S. Credit Rating and the Sovereign Debt Crisis in Europe

On August 5, 2011, Standard & Poor’s lowered its long term sovereign credit rating on the United States of America from AAA to AA+.  This downgrade could have material adverse impacts on financial markets and economic conditions in the United States and throughout the world and, in turn, the market’s anticipation of these impacts could have a material adverse effect on the investments made by the Fund and thereby the Fund’s financial condition and liquidity.  The ultimate impact on global markets and the Fund’s business is unpredictable.

Global markets and economic conditions have been negatively affected by the ability of E.U. member states to service their sovereign debt obligations.  The continued uncertainty over the outcome of the E.U.’s financial support programs and financial troubles could have an adverse effect on the Fund.

Item 1B: Unresolved Staff Comments

Not applicable.

23

Item 2:Properties

The Fund does not use any physical properties in the conduct of its business.

The Fund’s offices are the administrative offices of MLAI (Merrill Lynch Alternative Investments LLC, Four World Financial Center, 11h Floor, 250 Vesey Street New York, New York 10080).  MLAI performs administrative services for the Fund from MLAI’s offices.

Item 3:Legal Proceedings

None.

Item 4:Mine Safety Disclosures

Not applicable.

PART II

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

Item 5(a)

(a)Market Information:

There is no established public trading market for the Units, and none is likely to develop.  Investors generally may redeem any or all of their Units, in whole or fractional Units, effective as of the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”) upon providing at least eight business days’ prior notice.  MLAI, at any time in its discretion, may discontinue allowing redemptions as of the 15th calendar day of each month on a going forward basis.

(b)Holders:

As of December 31, 2012, there were 657 holders of Units including MLAI, none of whom owned 5% or more of the Fund’s Units.

(c)Distributions:

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

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

Not applicable.

(e)Performance Graph:

Not applicable.

24

(f)            Recent Sales of Unregistered Securities:

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 (although Class Z Units may be issued solely in reliance on the exemption provided by Section 4(2)).  The selling agent of the following Class of Units was MLPF&S.

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	1,395,668	1,487,126	$	0.9385
Feb-12	483,671		485,711	0.9958
Mar-12	2,829,093		2,803,303	1.0092
Apr-12	2,198,525		2,176,327	1.0102
May-12	1,325,524		1,311,751	1.0105
Jun-12	1,265,767		1,422,049	0.8901
Jul-12	968,120		1,103,522	0.8773
Aug-12	373,833		410,851	0.9099
Sep-12	125,775		138,763	0.9064
Oct-12	268,958		308,898	0.8707
Nov-12	257,374		315,680	0.8153
Dec-12	474,824		596,214	0.7964
Jan-13	94,575		127,220	0.7434
Feb-13	160,875		210,020	0.7660

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	1,544,195	1,648,020	$	0.9370
Feb-12	1,313,310		1,322,035	0.9934
Mar-12	3,816,678		3,794,293	1.0059
Apr-12	2,523,183		2,507,885	1.0061
May-12	2,043,962		2,032,781	1.0055
Jun-12	1,712,314		1,934,819	0.8850
Jul-12	2,358,954		2,706,775	0.8715
Aug-12	2,465,480		2,730,019	0.9031
Sep-12	1,163,196		1,293,876	0.8990
Oct-12	430,125		498,522	0.8628
Nov-12	719,000		890,733	0.8072
Dec-12	1,690,085		2,145,323	0.7878
Jan-13	590,000		802,940	0.7348
Feb-13	506,000		668,781	0.7566

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	1,000,000	1,029,548	$	0.9713
Feb-12	1,000,000		969,086	1.0319
Mar-12	—		—	1.0471
Apr-12	—		—	1.0494
May-12	1,175,000		1,117,877	1.0511
Jun-12	—		—	0.9270
Jul-12	553,957		605,550	0.9148
Aug-12	—		—	0.9500
Sep-12	300,000		316,622	0.9475
Oct-12	766,000		840,557	0.9113
Nov-12	250,000		292,603	0.8544
Dec-12	902,000		1,079,464	0.8356
Jan-13	8,657,000		11,083,088	0.7811
Feb-13	—		—	0.8058

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	1,219,448	1,298,390	$	0.9392
Feb-12	—		—	0.9969
Mar-12	1,080,000		1,068,672	1.0106
Apr-12	453,750		448,370	1.0120
May-12	1,338,315		1,321,662	1.0126
Jun-12	—		—	0.8923
Jul-12	257,598		292,825	0.8797
Aug-12	695,000		761,477	0.9127
Sep-12	799,282		878,815	0.9095
Oct-12	165,000		188,809	0.8739
Nov-12	60,875		74,365	0.8186
Dec-12	185,000		231,278	0.7999
Jan-13	16,746,052		22,417,740	0.7470
Feb-13	3,000		3,896	0.7700

CLASS Z

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	—	—	$	0.9409
Feb-12	—		—	0.9996
Mar-12	—		—	1.0142
Apr-12	—		—	—
May-12	—		—	—
Jun-12	—		—	—
Jul-12	—		—	—
Aug-12	—		—	—
Sep-12	—		—	—
Oct-12	—		—	—
Nov-12	—		—	—
Dec-12	—		—	—
Jan-13	—		—	—
Feb-13	—		—	—

(1) Beginning of the month Net Asset Value

CLASS M

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	—	—	$	—
Feb-12	—		—	—
Mar-12	—		—	—
Apr-12	—		—	—
May-12	—		—	—
Jun-12	—		—	—
Jul-12	—		—	—
Aug-12	—		—	—
Sep-12	—		—	—
Oct-12	—		—	—
Nov-12	—		—	—
Dec-12	732,832		732,832	1.0000
Jan-13	535,000		572,376	0.9347
Feb-13	—		—	0.9643

(1) Beginning of the month Net Asset Value

25

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%.  Class D Units and Class I Units are subject to sales commissions paid to MLPF&S up to 0.5%.  The rate assessed to a given subscription is based upon the subscription amount.  Sales commissions are directly deducted from subscription amounts.  Class C, Class M Units and Class Z Units are not subject to any sales commissions.

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

26

Item 6:   Selected Financial Data

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

Statements of Operations	For the year ended  December 31, 2012			For the period  from November 1, 2011 to  December 31,  2011
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD:
Management fees	$	(478,590	)	$	(65,076	)
Performance fees	(15,312		)	—
Other	(182,682		)	(195,641		)
Total net investment income (loss) allocated from Highbridge Commodities FuturesAccess Master Fund Ltd	(676,584		)	(260,717		)
FUND EXPENSES:
Sponsor fees	497,258			7,013
Other	469,583			161,972
Total Fund expenses	966,841			168,985
NET INVESTMENT INCOME PROFIT (LOSS)	(1,643,425		)	(429,702		)
REALIZED AND UNREALIZED PROFIT (LOSS) ON INVESTMENTS ALLOCATED FROM HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD:
Realized, net	(7,468,034		)	(633,036		)
Change in unrealized, net	(387,404		)	(527,355		)
Brokerage commissions	(98,163		)	(16,544		)
Net profit (loss) from derivative contracts (net of brokerage commissions on futures contracts of $98,163)	(7,953,601		)	(1,176,935		)
NET PROFIT (LOSS)	$	(9,597,026	)	$	(1,606,637	)

Balance Sheet Data	December 31, 2012		December 31,  2011
Shareholders’ Equity	$	38,996,906	$	17,499,262
Net Asset Value per Series A Unit*	$	0.7434	$	0.9385
Net Asset Value per Series C Unit*	$	0.7348	$	0.9370
Net Asset Value per Series D Unit**	$	0.7811	$	0.9713
Net Asset Value per Series I Unit*	$	0.7470	$	0.9392
Net Asset Value per Series Z Unit***	$	—	$	0.9409
Net Asset Value per Series M Unit****	$	0.9347	$	—

*Units issued on November 1, 2011.

**Units issued on December 1, 2011.

***Units issued on November 1, 2011 and Units fully redeemed as of February 29, 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 February 29, 2012.)

****Units issued on December 1, 2012.

27

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and report performance to investors throughout the period is useful information for the members of the Fund.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2011	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		$	0.9675	$	0.9385
2012	$	0.9958	$	1.0092	$	1.0102	$	1.0105	$	0.8901	$	0.8773	$	0.9099	$	0.9064	$	0.8707	$	0.8153	$	0.7964	$	0.7434

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2011	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		$	0.9667	$	0.9370
2012	$	0.9934	$	1.0059	$	1.0061	$	1.0055	$	0.8850	$	0.8715	$	0.9031	$	0.8990	$	0.8628	$	0.8072	$	0.7878	$	0.7348

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2011	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		0.9713
2012	$	1.0319	$	1.0471	$	1.0494	$	1.0511	$	0.9270	$	0.9148	$	0.9500	$	0.9475	$	0.9113	$	0.8544	$	0.8356	$	0.7811

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		June		July		Aug.		Sept.		Oct.		Nov.		Dec.
2011	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		$	0.9678	$	0.9392
2012	$	0.9969	$	1.0106	$	1.0120	$	1.0126	$	0.8923	$	0.8797	$	0.9127	$	0.9095	$	0.8739	$	0.8186	$	0.7999	$	0.7470

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS Z

Jan.

Feb.

Mar.

Apr.

May

June

July

Aug.

Sept.

Oct.

Nov.

Dec.

2011

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

$

0.9687

$

0.9409

2012

$

0.9996

$

1.0142

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

Jan.

Feb.

Mar.

Apr.

May

June

July

Aug.

Sept.

Oct.

Nov.

Dec.

2012

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

n/a

$

0.9347

28

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(CLASS A UNITS) (5)

December 31, 2012

Type of Pool:  Single Advisor Non-“Principal Protected”(1)

Inception of Trading: November 30, 2011

Aggregate Subscriptions: $13,019,363

Current Capitalization:   $8,863,293

Worst Monthly Drawdown(2):  (11.91)% (May 2012)

Worst Peak-to-Valley Drawdown(3):  (26.43)% (May 2012 — December 2012)

Net Asset Value per Unit for Class A, December 31, 2012:   $0.7434

Monthly Rates of Return (4)
Month	2012		2011
January	6.11	%	0.00	%
February	1.35		—
March	0.10		—
April	0.03		—
May	(11.91	)	—
June	(1.44	)	—
July	3.72		—
August	(0.38	)	—
September	(3.95	)	—
October	(6.36	)	—
November	(2.32	)	(3.25	)
December	(6.65	)	(2.99	)
Compound Annual Rate of Return	(20.79	)%	(6.15	)%

(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principal protected”. The Fund has no such feature.

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since November 1, 2011 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since November 1, 2011 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is (25.66)%.

29

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(CLASS C UNITS) (5)

December 31, 2012

Type of Pool:  Single Advisor Non-“Principal Protected”(1)

Inception of Trading: November 1, 2011

Aggregate Subscriptions:    $23,622,158

Current Capitalization:   $17,820,122

Worst Monthly Drawdown(2):  (11.98)% (May 2012)

Worst Peak-to-Valley Drawdown(3):  (26.97)% (April 2012 — December 2012)

Net Asset Value per Unit for Class C, December 31, 2012:   $0.7348

Monthly Rates of Return (4)
Month	2012		2011
January	6.02	%	0.00	%
February	1.26		—
March	0.02		—
April	(0.06	)	—
May	(11.98	)	—
June	(1.53	)	—
July	3.63		—
August	(0.46	)	—
September	(4.03	)	—
October	(6.44	)	—
November	(2.40	)	(3.33	)
December	(6.73	)	(3.07	)
Compound Annual Rate of Return	(21.58	)%	(6.30	)%

(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principal protected”. The Fund has no such feature.

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since November 1, 2011 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since November 1, 2011 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is (26.52)%.

30

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(CLASS D UNITS) (5)

December 31, 2012

Type of Pool:  Single Advisor Non-“Principal Protected”(1)

Inception of Trading: December 1, 2011

Aggregate Subscriptions:  $8,260,332

Current Capitalization:   $6,689,457

Worst Monthly Drawdown(2):  (11.81)% (May 2012)

Worst Peak-to-Valley Drawdown(3):  (25.69)% (May 2012 — December 2012)

Net Asset Value per Unit for Class D, December 31, 2012:   $0.7811

Monthly Rates of Return (4)
Month	2012		2011
January	6.24	%	0.00	%
February	1.47		—
March	0.22		—
April	0.16		—
May	(11.81	)	—
June	(1.32	)	—
July	3.85		—
August	(0.26	)	—
September	(3.83	)	—
October	(6.24	)	—
November	(2.20	)	—
December	(6.52	)	(2.87	)
Compound Annual Rate of Return	(19.58	)%	(2.87	)%

(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principal protected”. The Fund has no such feature.

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since December 1, 2011 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since December 1, 2011 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is (21.89)%.

31

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(CLASS I UNITS) (5)

December 31, 2012

Type of Pool:  Single Advisor Non-“Principal Protected”(1)

Inception of Trading: November 1, 2011

Aggregate Subscriptions:   $6,331,118

Current Capitalization:   $4,939,046

Worst Monthly Drawdown(2):  (11.88)% (May 2012)

Worst Peak-to-Valley Drawdown(3):  (26.23)% (May 2012 — December 2012)

Net Asset Value per Unit for Class I, December 31, 2012:  $0.7470

Monthly Rates of Return (4)
Month	2012		2011
January	6.14	%	0.00	%
February	1.37		—
March	0.14		—
April	0.06		—
May	(11.88	)	—
June	(1.41	)	—
July	3.75		—
August	(0.35	)	—
September	(3.91	)	—
October	(6.33	)	—
November	(2.28	)	(3.22	)
December	(6.61	)	(2.96	)
Compound Annual Rate of Return	(20.46	)%	(6.08	)%

(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principal protected”. The Fund has no such feature.

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since November 1, 2011 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since November 1, 2011 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is (25.30)%.

32

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(CLASS Z UNITS) (5)

December 31, 2012

Type of Pool:  Single Advisor Non-“Principal Protected”(1)

Inception of Trading: November 1, 2011

Aggregate Subscriptions:   $23,846,000

Current Capitalization:   $0

Worst Monthly Drawdown(2):  (3.13)% (November 2011)

Worst Peak-to-Valley Drawdown(3):  (5.91)% (November 2011— February 2012)

Net Asset Value per Unit for Class Z, December 31, 2012:  $0.0000

Monthly Rates of Return (4)
Month	2012		2011
January	6.24	%	0.00	%
February	1.46		—
March	—		—
April	—		—
May	—		—
June	—		—
July	—		—
August	—		—
September	—		—
October	—		—
November	—		(3.13	)
December	—		(2.87	)
Compound Annual Rate of Return	7.80	%	(5.91	)%

(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principal protected”. The Fund has no such feature.

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since November 1, 2011 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since November 1, 2011 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is (100)%.

33

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(CLASS M UNITS) (5)

December 31, 2012

Type of Pool:  Single Advisor Non-“Principal Protected”(1)

Inception of Trading: December 1, 2012

Aggregate Subscriptions: $732,832

Current Capitalization:   $684,988

Worst Monthly Drawdown(2):  (6.53)% ( December 2012)

Worst Peak-to-Valley Drawdown(3):  (6.53)% ( December 2012)

Net Asset Value per Unit for Class M, December 31, 2012:   $0.9347

Monthly Rates of Return (4)
Month	2012
January	0.00	%
February	—
March	—
April	—
May	—
June	—
July	—
August	—
September	—
October	—
November	—
December	(6.53	)
Compound Annual Rate of Return	(6.53	)%

(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principal protected”. The Fund has no such feature.

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since December 1, 2012 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since December 1, 2012 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is (6.53)%.

34

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

Operational Overview

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

The Fund is unlikely to be profitable in markets in which such trends do not occur.  Static or erratic prices are likely to result in losses.  Similarly, unexpected events (for example, a political upheaval, natural disaster or governmental intervention) can lead to major short-term losses, as well as gains.

While there can be no assurance that the Fund will be profitable under any given market condition, markets in which substantial and sustained price movements occur typically offer the best profit potential for the Fund.

Results of Operations

General

The Master Fund’s objective in providing trading management services for the Fund is to provide a positive return on capital by pursuing trading strategies focused on commodity-related investments, primarily investing in futures contracts, although the Trading Program may in the future increase the utilization of OTC derivatives such as forward contracts, as well as other instruments.

Performance Summary

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

Period ended December 31, 2012

	Total Trading
	Profit (Loss)
Metals	$	(3,430,772	)
Agricultural Commodities	(9,509,275		)
Currencies	1,141,450
Energy	(2,097,309		)
Subtotal	(13,895,906		)
Change in Brokerage Commissions Payable	(185,858		)
Total	$	(14,081,764	)

For the Year Ended December 31, 2012

The Master Fund experienced a net trading loss before brokerage commissions and related fees for the year ended December 31, 2012 of $13,895,906. The Fund’s profits were attributable to the currency sector posting profits. The energy, metals and agriculture sectors posted losses.

The currency sector posted profits to the Fund.  Profits were posted to the Fund at the beginning through the middle of the first quarter as commodity currencies rallied.  Losses were posted to the Fund at the end of the first quarter as commodity currencies sold off during the month leading to the Fund’s negative performance.  Profits were posted to the Fund at the beginning and end of the second quarter with losses in the middle of the second quarter.  Profits were posted to the Fund at the beginning of the third quarter as the commodity currencies were up during the month of July only to be reversed in the middle of the third quarter.  The performance of commodity currencies was the primary driver of negative performance resulting in losses posted to the Fund in the middle of the third quarter.  Profits were posted to the Fund at the end of the third quarter due to the Trading Program’s positioning.  Losses were posted to the Fund at the beginning and end of the fourth quarter.  Profits were posted to the Fund in the middle of the fourth quarter.

35

The energy sector posted losses to the Fund.  Profits were posted to the Fund at the beginning of the first quarter.  Energy was a positive contributor as a result of short exposure to natural gas and long exposure to the energy products.  Most of the energy products had positive performance for January on strong global demand and escalating tensions with Iran.  Warmer than expected weather in the U.S. and high gas volumes in storage put downward pressure on natural gas.  Profits were posted to the Fund in the middle of the first quarter.  Most of the energy products had positive performance for February on strong global demand and escalating tensions with Iran.  Profits were posted to the Fund at the end of the first quarter.  The Fund’s short position in natural gas was a strong contributor while the long positions in the energy products were moderately positive.  Warmer than expected weather in the U.S. and continued high gas volumes in storage put downward pressure on natural gas, as it fell during March.  Concerns related to the lack of storage capacity entering the summer months may have also contributed to the decline.  Losses were posted to the Fund at the beginning of the second quarter.  The Trading Program’s bearish view on natural gas detracted from returns as the commodity rallied during the second half of April on cooler than expected weather and evidence of potential production decreases.  Gasoline fell on robust global production and signs that demand could be slowing.  Losses were posted to the Fund in the middle of the second quarter as natural gas rallied on news that U.S. power plants increased natural gas use due to switching from more traditional electric generation sources, such as coal.  Heating oil and gasoline fell in May on signs that demand could be slowing with weaker levels of economic activity.  The Trading Program’s short positioning in West Texas Intermediate crude oil, which was down partially offset negative performance from the Trading Program’s long positions in the energy products.  Losses were posted to the Fund at the end of the second quarter.  Energy detracted in June as natural gas rallied despite continued elevated inventory levels, partly in response to fears that Tropical Storm Debby would impact natural gas production as it approached coastal Florida in late June.  The Trading Program’s short positioning in West Texas Intermediate crude oil, which was down in June, partially offset negative performance.  Brent crude and West Texas Intermediate crude oil were down significantly for the majority of June, but, rallied on the last trading day of the month on the stronger than expected news out of Europe, renewed fears of escalating tensions with Iran and oil industry labor strikes in Norway.  Losses were posted to the Fund at the beginning of the third quarter.  Energy detracted slightly in July as each commodity in the sector was up during the month.  Natural gas continued the rally which began in mid-April as strong performance was influenced by increased use for electricity generation, production cuts as a result of low prices and de-risking/delevering.  Warm weather during July added further pressure as increased air conditioning use led to elevated demand for electricity.  The Trading Program’s short positioning in West Texas Intermediate crude oil was up during July which detracted from performance.  West Texas Intermediate crude oil advanced as it was supported by increased U.S. led sanctions against Iran and production problems in the North Sea Buzzard Oilfield.  Gasoline rallied during July partly due to refinery closure.  Profits were posted to the Fund in the middle of the third quarter.  Positioning across the energy sector was a moderate contributor as the Trading Program’s long positions in the energy products, gasoline and heating oil, added value while bearish positioning in West Texas Intermediate crude oil detracted.  All of the commodities in the energy sector rallied, with the exception of natural gas, due to the impact of the sanctions against Iran and production cuts ahead of Hurricane Isaac’s arrival in the Gulf of Mexico.  Gasoline, heating oil, Brent crude and West Texas Intermediate crude oil rallied.  Losses were posted to the Fund at the end of the third quarter.  The Trading Program’s short position in natural gas, reflecting continued high inventory levels, negatively impacted performance as the commodity rallied during September.  The Trading Program’s bearish positioning in West Texas Intermediate crude oil contributed to performance as it fell during September driven, in part, by concerns over global economic growth and reports of OPEC increasing production to stabilize prices.  Losses were posted to the Fund at the beginning of the fourth quarter.  The Trading Program’s bullish positioning in the energy products detracted from performance as gasoline fell and heating oil was down.  Losses were posted to the Fund in the middle of the fourth quarter.  The Trading Program’s bearish positioning in West Texas Intermediate crude oil, detracted from performance.  Losses were posted to the Fund at the end of the fourth quarter due to the Trading Program’s positioning in natural gas was a slight detractor as the commodity was down during December.  West Texas Intermediate crude oil gained in December supported, in part, by news that the flow of the Seaway pipeline will be increased during the first quarter of 2013.  As a result, the Trading Program’s bearish positioning in West Texas Intermediate crude oil was a slight detractor from performance.  The Trading Program’s overweight positioning within the energy products was also slightly negative as heating oil was down while gasoline was roughly flat.

The metals sector posted losses to the Fund.  Profits were posted to the Fund at the beginning of the first quarter as this sector had strong performance as aluminum, copper, zinc and nickel were all up for January.  Volatility in silver remained high as this commodity was up in January after declining in December.  Losses were posted to the Fund in the middle of the first quarter.  Nickel was down on the month with supply growth coming out of Brazil and Australia.  Silver profited, gold was down modestly and overall short exposure to the sector detracted from returns.  Losses were posted to the Fund at the end of the first quarter led by aluminum and nickel.  Silver and gold were both down.  Losses were posted to the Fund at the beginning of the second quarter.  Industrial metals had mixed performance during April.  Aluminum was down while lead and zinc were up.  Zinc had been one of the best performing industrial metals year-to-date based on concerns that upcoming mine closures and lack of investment in new mines may leave the market undersupplied.  Silver and gold was down

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which contributed to the sector’s negative performance.  Losses were posted to the Fund in the middle of the second quarter.  Precious metals were a negative contributor during May as gold and silver were down.  While precious metals were not immune to the broad delevering that occurred during May, they maintained their value.  Losses were posted to the Fund at the end of the second quarter.  The industrials metals sector generated negative performance in June as copper and nickel rallied.  The sector spent the majority of the month in negative territory due to concerns around global economic growth.  Precious metals were a positive contributor as gold advanced and silver detracted marginally.  Profits were posted to the Fund at the beginning of the third quarter.  Mildly positive performance in the industrial metals sector was a result of the Trading Program’s overall bearish positioning within the sector.  Nickel experienced the largest sell-off during July as a result of ample supply levels and weak demand.  Precious metals posted profits to the Fund as gold and silver were up during July.  Profits were posted to the Fund in the middle of the third quarter.  The Trading Program maintained small position sizes across the industrial metals but was overall short the sector.  Performance for the individual metals was muted during August with the headwinds out of China, Europe and the U.S. overshadowing the longer-term bullish prospects for certain industrial metals.  Gold and silver were up due to expectations for continued easing of monetary policy globally.  Profits were posted to the Fund at the end of the third quarter.  The industrial metals sector rallied in response to the U.S. Federal Reserve’s announcement for additional quantitative easing. The precious metals sector also appeared to benefit from the announcement of QE3 and expectations for interest rates in the U.S. to remain low for the near term.  Silver and gold were up in September.  Losses were posted to the Fund at the beginning of the fourth quarter.  The Trading Program’s bullish positioning in gold and silver detracted from performance as both commodities were down during October.  Losses were posted to the Fund in the middle of the fourth quarter.  The Trading Program’s overall net short position detracted from performance as nickel, zinc and aluminum were up in November.  Losses were posted to the Fund at the end of the fourth quarter.  Silver, was the primary source of underperformance during December.  The Trading Program’s small exposures and net bearish positioning across the industrial metals sector was a mild positive contributor to performance which was not enough to offset losses.

The agriculture sector posted losses to the Fund.  Losses were posted to the Fund at the beginning of the first quarter.  However, downward pressure was partially offset by concerns related to volatile weather in South America.  The Fund’s overweight corn/underweight wheat position detracted from performance as corn was slightly down and wheat was modestly up.  Performance of the softs was mixed for January.  Profits in coffee, fell due to the outlook for increased inventories and production, were offset by losses in cocoa, which increased as stockpiles fell and dry weather in the Ivory Coast threatened output.  Profits were posted to the Fund in the middle of the first quarter.  Soybeans and sugar were both up contributing to the sector’s positive performance.  Dry weather in Argentina and Brazil reduced soybean supply expectations while the market continued to experience strong demand from China.  Sugar was up on concerns that weather conditions will limit the rebuilding of production by major buyers including China and Indonesia.  In a reversal from January, coffee was down as supply concerns eased on upwardly revised inventory figures in Brazil and expected production increases in Indonesia and Honduras.  The overweight corn/underweight wheat position was positive as corn outperformed wheat.  Profits were posted to the Fund at the end of the first quarter.  Soybeans were up as dry weather in Argentina and Brazil reduced supply expectations.  Cotton was up on news that India, the world’s second largest exporter, imposed a ban on cotton exports until September.  Coffee was down on forecasts for a record crop out of Brazil.  Performance for the Fund’s overweight corn/underweight wheat position was negative as corn underperformed wheat.  Profits were posted to the Fund at the beginning of the second quarter.  Soybeans were up as drought conditions in South America continued to impact supply expectations.  Losses were posted to the Fund in the middle of the second quarter.  Agriculture detracted from May performance as soybeans fell given favorable weather reports in key growing areas in the Midwestern United States, which increased yield projections.  The negative contribution of soybeans was partially offset by the Trading Program’s bearish positioning on corn, which was down in May due to expectations of a record harvest in the U.S. the Trading Program’s positioning within the softs led to mildly negative performance as cotton, coffee and sugar were down.  Losses were posted to the Fund at the end of the second quarter.  The Trading Program’s bullish positioning in soybeans, up during June, contributed to performance.  Despite abundant supplies, sugar and coffee rallied due to reports of below normal rainfall in India and unseasonably wet weather in Brazil.  Profits were posted to the Fund at the beginning of the third quarter.  The Trading Program’s positioning within the agriculture sector generated strong performance as the Midwestern U.S. continued to experience severe heat and drought conditions throughout July.  By the end of July, approximately half of the U.S. corn crop was rated poor/very poor by the U.S. Department of Agriculture.  As a result, corn experienced another large price increase.  Soybeans were up modestly less than corn, as there was a possibility of the crop recovering with an improvement in weather conditions.  Volatility was higher in the grains sector, which also contributed to the Trading Program’s lower exposure.  Profits were posted to the Fund in the middle of the third quarter.  For the grains sector, the Trading Program’s bullish positioning across the soybean complex was a positive contributor to returns.  Soybeans were up due to the continued impact of extreme heat and drought conditions in key growing areas of the Midwestern United States.  Corn and wheat, were each generally flat during August.  The Trading Program’s overweight position in sugar detracted as the commodity fell during August due to improved weather conditions in Brazil, which supported the cane crushing process.  A delayed monsoon in India and heavy rains in Brazil impacted expectations for the current crop.  The Trading Program’s bearish positioning in cotton also detracted from performance.  Despite ample supplies of cotton, the potential impact of Hurricane Isaac, perceived

37

carryover effects from the heat wave in the Midwestern United States and reports of stockpiling in China caused cotton to rally.  The Fund’s bearish positioning in coffee added value as the commodity fell.  Supportive weather in Brazil put pressure on already ample supply levels.  Losses were posted to the Fund at the end of the third quarter.  The Trading Program’s bullish positioning within the grains was the primary detractor from performance as soybeans and corn were down in September.  Despite tight inventory levels, both commodities fell on news of supportive growing conditions in Brazil and a less bearish than expected supply report released by the U.S. Department of Agriculture.  The Trading Program’s positioning within the softs generated slightly positive performance with gains from the bearish positioning in cotton offset by mild losses in both cocoa and coffee.  Cotton fell during September, reversing the rally which took place in August, primarily on expectations for increasing inventories and weakening demand.  Losses were posted to the Fund at the beginning of the fourth quarter.  The Trading Program’s bullish positioning within the grains, especially across the soybean complex, detracted from performance as each commodity was down during October.  Soybeans were down during October, partially driven by supportive weather conditions in South America and signs of slowing demand.  The Trading Program’s bearish positioning within coffee contributed positively to the performance of the softs but was more than offset by negative performance from bullish positioning in sugar and cocoa.  Sugar fell as dry weather conditions in Brazil supported the cane crushing process and helped mills recover from difficulties experienced earlier in the harvest.  Losses were posted to the Fund in the middle of the fourth quarter.  The Trading Program’s overweight in grains detracted from performance as each commodity was down during November.  Within grains, soybeans were down the most, partially driven by supportive weather conditions in South America and signs of slowing demand.  Positioning within the softs contributed to positive performance during November.  Coffee prices fell during November due to expectations for strong production in Brazil and Columbia, the world’s largest and second largest producers, respectively.  The President of the Ivory Coast, the world’s largest producer of cocoa, dissolved the government in early November which, along with production issues in other countries, helped drive prices higher.  Losses were posted to the Fund at the end of the fourth quarter.  All of the grains finished December in negative territory due to supportive growing conditions in South America.  The Trading Program’s positioning in the softs detracted from performance due to overweight exposure to cocoa.  Cocoa fell during December following an easing of political tensions in the Ivory Coast and rains in other key growing areas across Africa.

For the Period Ended December 31, 2011

Period ended December 31, 2011

	Total Trading
	Profit (Loss)
Metals	$	(867,829	)
Agricultural Commodities	(167,845		)
Currencies	(714,656		)
Energy	589,939
Subtotal	(1,160,391		)
Change in Brokerage Commissions Payable	(16,544		)
Total	$	(1,176,935	)

The Master Fund experienced a net trading loss before brokerage commissions and related fees for the period November 1, 2011 (commencement of operations) to December 31, 2011 of $1,160,391.

In the portfolio, the energy complex, industrial metals and softs contributed positively. Precious metals and financial commodities and agricultural segments detracted. The Fund’s overweight exposure to corn, driven by a tight supply picture, was a headwind to performance as corn prices declined Year to date corn is down and is holding up better than the rest of the sector, especially against wheat. In the energy sector, the Fund’s outlook on West Texas Intermediate crude oil has evolved from bearish earlier in the year to now mildly bullish in November as West Texas Intermediate crude oil rallied in November. Natural gas declined in part due to warmer weather earlier in the month. The Fund’s short exposure to natural gas added value as the commodity sold off. In metals, the sector sold off as weakening demand for industrial metals reflected an uncertain economic outlook in Europe and China. The Fund’s short exposure to the industrial metals group contributed positively. Precious metals & financial commodities was the Fund’s biggest detractor as they were net long. Although gold was up for the month, silver and the Australian dollar were down.

The market’s appetite for risk remained subdued in December as concerns over Eurozone stability and global economic recovery extended into 2012. Most commodities traded down and grains rallied. In the agriculture sector grains gained back some of the lost ground from the prior month, while softs and livestock commodities pulled back. In 2011, corn was the best performing commodity within the complex, ending the year flat, while wheat was the worst performer. The

38

energy sector had losses from long positions which were offset by gains from the Fund’s short exposure to natural gas. Warmer than expected weather in the U.S. put downward pressure on natural gas prices and supplies soared. In the industrial metals, the sector sold off as weakening demand for industrial metals reflected a worsening economic outlook in Europe and China. The Fund’s short exposure to industrial metals contributed positively on both an absolute and a relative basis. Precious metals and financial commodities was the Fund’s biggest detractor as the Fund maintained its long exposure. Gold and silver sold off on liquidity pressure from European banks.

Variables Affecting Performance

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

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

The Master Fund’s management fees and Fund’s Sponsor fees are a constant percentage of the Fund’s assets.  Brokerage commissions, which are not based on a percentage of the Fund’s assets, are based on actual round turns.  The Performance Fees payable to HCM are based on the New Trading Profits generated by the Fund excluding interest and after reduction of the brokerage commissions.

Unlike many investment fields, there is no meaningful distinction in the operation of the Fund between realized and unrealized profits.  Most of the contracts traded by the Fund are highly liquid and can be closed out at any time.

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

Liquidity; Capital Resources

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

Substantially all of the Fund’s assets are held in cash.  The Net Asset Value of the Fund’s cash is not affected by inflation.  However, changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit potential generally increases.  Inflation in commodity prices could also generate price movements, which the strategies might successfully follow.  The Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances.  This typically permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, effective as of the last calendar day of each month, upon providing notice 38 days prior to the first of every month.  Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption requests and the applicable redemption date.

MLAI may delay or suspend both the payment of redemption proceeds and the effective date of redemptions if MLAI determines that that doing so would have adverse consequences for the non-redeeming investors.  The following is a non-inclusive of list certain circumstances that may influence MLAI, in its discretion, to delay or suspend payment of redemption proceeds or the effective date of redemptions:  (i) market disruptions, including a situation in which any market on which a significant portion of the Fund’s investments are traded closes other than for ordinary holidays or restricts or suspends trading; (ii) a state of emergency as a result of which it is not reasonably practicable to calculate the Fund’s net asset value; (iii) a breakdown in the means of communication normally used for determining prices of a significant

39

portion of the Fund’s portfolio; and (iv) where the transfer of funds involved in the realization or acquisition of certain investments in the Fund’s portfolio cannot, in the opinion of MLAI, be effected at normal rates of exchange.

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts.  This cash is also used to fund redemptions.  While the Fund has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions.  In the event that positions were liquidated to fund redemptions, MLAI, as the manager of the Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.

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

Recent Accounting Developments

Recent accounting developments are discussed in Exhibit 13.01.

Item 7A: Quantitative and Qualitative Disclosures About Market Risks

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 the Trading Advisor, rapidly acquires and liquidates both long and short positions in currency 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 statement” 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 and Section 21E of the Securities Exchange Act).  All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

The Fund’s risk exposure in the various market sectors traded by the Fund 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 (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

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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

December 31, 2012

	Average Value		% of Average		Highest Value		Lowest Value
Market Sector	at Risk		Capitalization		at Risk		at Risk
Agriculture	$	1,465,086	4.94	%	$	1,744,860	$	1,508,891
Currencies	943,110		3.18	%	1,267,820		1,096,364
Energy	858,107		2.89	%	33,272		28,772
Metals	1,627,697		5.49	%	2,296,425		1,985,864
Total	$	4,894,000	16.50	%	$	5,342,377	$	4,619,891

December 31, 2011

	Average Value		% of Average		Highest Value		Lowest Value
Market Sector	at Risk		Capitalization		at Risk		at Risk
Agriculture	$	51,604	0.25	%	$	63,052	$	40,157
Currencies	128,949		0.62	%	157,553		100,344
Energy	356,430		1.70	%	435,497		277,364
Metals	1,840,946		8.80	%	2,249,321		1,432,570
Total	$	2,377,929	11.37	%	$	2,905,423	$	1,850,435

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.”

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Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S

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% 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 the Trading Advisor 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 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 time value of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of December 31, 2012, by market sector.

Interest Rates

Interest rate movements directly affect the price of derivative sovereign bond positions held by the Master 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, Nikkei and German DAX 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 Master Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of December 31, 2012. However, it is anticipated that the Fund will maintain an emphasis on cotton, grains and sugar, in which the Fund has historically taken its largest positions.

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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.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of December 31, 2012.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Japanese Yen, Swedish Krona and Euros.

U.S. Dollar Cash Balance

The Fund holds U.S. dollars only in cash at MLPF&S. 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.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically, MLAI’s basic control procedures consist of simply of the ongoing process of monitoring the Trading Advisor with the market risk controls being applied by HCM itself.

Risk Management

HCM attempts to control risk in all aspects of the investment process — from confirmation of a trend to determining the optimal exposure in a given market, and to money management issues such as the startup or upgrade of investor accounts.  HCM double checks the accuracy of market data, and will not trade a market without multiple price sources for analytical input.  In constructing a portfolio, HCM seeks to control overall risk as well as the risk of any one position, and HCM trades only markets that have been identified as having positive performance characteristics.  Trading discipline requires plans for the exit of a market as well as for entry.  HCM factors the point of exit into the decision to enter (stop loss).  The size of the Funds’ positions in a particular market is not a matter of how large a return can be generated but of how much risk it is willing to take relative to that expected return.

To attempt to reduce the risk of volatility while maintaining the potential for excellent performance, proprietary research is conducted on an ongoing basis to refine the HCM investment strategies.  Research may suggest substitution of alternative investment methodologies with respect to particular contracts; this may occur, for example, when the testing of a new methodology has indicated that its use might have resulted in different historical performance.  In addition, risk management research and analysis may suggest modifications regarding the relative weighting among various contracts, the addition or deletion of particular contracts for a program, or a change in position size in relation to account equity.  The weighting of capital committed to various markets in the investment programs is dynamic, and HCM may vary the weighting at its discretion as market conditions, liquidity, position limit considerations and other factors warrant.

HCM may determine that risks arise when markets are illiquid or erratic, which may occur cyclically during holiday seasons, or on the basis of irregularly occurring market events.  In such cases, HCM at its sole discretion may override computer-generated signals and may at times use discretion in the application of its quantitative models, which may affect performance positively or negatively.

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Adjustments in position size in relation to account equity have been and continue to be an integral part of HCM’s investment strategy.  At its discretion, HCM may adjust the size of a position in relation to equity in certain markets or entire programs.  Such adjustments may be made at certain times for some programs but not for others.

Factors which may affect the decision to adjust the size of a position in relation to account equity include ongoing research, program volatility, assessments of current market volatility and risk exposure, subjective judgment, and evaluation of these and other general market conditions.

Non-Trading Risk

The Fund controls the non-trading exchange rate risk by regularly converting foreign balances back into U.S. dollars at least once per week, and more frequently if a particular foreign currency balance becomes unusually high.

The Fund has 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. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its cash held on deposit at MLPF&S.

Item 8: Financial Statements and Supplementary Data

Net Income(Loss) by Quarter

Five Quarters through December 31, 2012

	Fourth			Third			Second			First		Fourth (2)
	Quarter			Quarter			Quarter			Quarter		Quarter
	2012			2012			2012			2012		2011
Total Income (Loss)	$	(5,843,964	)	$	(62,157	)	$	(4,076,817	)	$	2,029,337	$	(1,176,935	)
Total Expenses allocated from Highbridge Commodities FuturesAccess Master Fund Ltd	193,089			185,314			59,779			238,402		260,717
Total Expenses	370,330			259,560			194,319			142,631		168,985
Net Income (Loss)	$	(6,407,383	)	$	(507,031	)	$	(4,330,915	)	$	1,648,304	$	(1,606,637	)
Net Income (Loss) per weighted average Unit (1)	$	(0.1286	)	$	(0.0117	)	$	(0.1386	)	$	0.0804	$	(0.0568	)

(1) The net income per weighted average unit is based on the weighted average of the total units for each quarter.

(2) Commencement of operations on November 1, 2011.

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

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

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

None.

Item 9A: Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund, 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) with respect to the Fund as of and for the year which ended December 31, 2012,

44

and, based on its evaluation, has concluded that these disclosure controls and procedures are effective.

Management’s Annual Report on Internal Control over Financial Reporting:

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

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

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

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

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

The Fund’s management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2012.  In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in “Internal Control-Integrated Framework”.

Based on its assessment the Fund’s management concluded that at December 31, 2012, the Fund’s internal control over financial reporting was effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended December 31, 2012 that has materially affected, or is reasonable likely to materially affect, the Fund’s internal control over financial reporting.

Item 9B:  Other Information

Not applicable.

45

PART III

Item 10: Directors, Executive Officers and Corporate Governance

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

As a limited liability company, the Fund has no officers or directors and is managed by MLAI. Trading decisions are made by HCM on behalf of the Fund.

The managers and executive officers of MLAI and their respective business backgrounds are as follows:

Deann Morgan	Chief Executive Officer, President and Manager
Barbra E. Kocsis	Chief Financial Officer and Vice President
James L. Costabile	Vice President and Manager
Colleen R. Rusch	Vice President and Manager
Steven L. Suss	Vice President and Manager

Deann Morgan, age 43, has been the Chief Executive Officer and President of MLAI since June 2012 and is a Managing Director within the Global Wealth and Retirement Solutions group (“GWRS”) which is a business unit within the BAC Global Wealth & Investment Management group (“GWIM”), a division of BAC.  As a Vice President of MLAI from March 2008 through June 2012, Ms. Morgan was responsible for overseeing GWRS Alternative Investments Origination.  From April 2006 until December 2008, Ms. Morgan was a Director for BAC’s Investments, Wealth Management & Insurance group, where she was responsible for origination of private equity and listed alternative investments.  She received her M.B.A. from the University of Chicago and her B.B.A. from University of Michigan and is a Chartered Financial Analyst (CFA) charterholder.   Ms. Morgan has been registered with the CFTC as an associated person and listed as a principal of MLAI since August 21, 2009.  Ms. Morgan has also been registered with the CFTC as an associated person of MLPF&S since April 13, 2009.

Barbra E. Kocsis, age 46, is the Chief Financial Officer for MLAI, has been listed with the CFTC as a principal of MLAI since May 21, 2007 and is a Director within BAC’s Global Wealth Investment Management Technology and Operations group, a position she has held since October 2006.  Ms. Kocsis’ responsibilities include providing a full range of specialized financial and tax accounting services for the Alternative Investment products offered through MLPF&S and US Trust.  She graduated cum laude from Monmouth College with a Bachelor of Science in Business Administration/Accounting.

James L. Costabile, age 37, has been a Vice President of MLAI and a Managing Director within GWRS responsible for alternative investment distribution for BAC since July 2007 and U.S. Trust since January 2009.  U.S. Trust is a division of BAC. Mr. Costabile has been listed as a principal of MLAI since July 14, 2010.  He has also been registered with the CFTC as an associated person of the MLPF&S since August 20, 2007.  Mr. Costabile received a B.S. from Fordham University and holds the Chartered Alternative Investment Analyst designation.

46

Colleen R. Rusch, age 45, is a Managing Director and Head of Alternative Investments Platform Management within the Global Wealth and Retirement Solutions Group (“GWRS”) and has been a Vice President of MLAI and a Director within GWRS since January 2008.  She is responsible for overseeing GWRS Alternative Investments operations, service and trading platform since January 2008.  From December 2007 to February 2012, she was a Director of MLAI.  Ms. Rusch has been listed as a principal of MLAI since September 14, 2010.  Ms. Rusch holds a B.S. degree in Business Administration from Saint Peter’s College.

Steven L. Suss, age 53, has been a Vice President of MLAI since June 2012.  He has been a Managing Director within GWIM’s Alternative Investments Group, a division within BAC that provides advisory and other services to high net worth clients, since January 2008, responsible for managing finance, operational and other business aspects of BAC’s alternative investment platform.  Mr. Suss has been listed as a principal of MLAI since June 12, 2012.  Mr. Suss is also a director and the President of BACAP Alternative Advisors Inc. (“BACAP”), an alternative investment advisor affiliated with BAC.  He has held these positions at BACAP since July 1, 2007, and is responsible for the management and supervision of the overall business of BACAP.  Mr. Suss has also served as Senior Vice President of Bank of America Capital Advisors LLC (“BACA”) since July 2007.  BACA is an investment advisor focusing on alternative investment products and Mr. Suss is responsible within that entity for the management of financial reporting and the operational affairs of the investment vehicles managed by BACA.  Prior to these existing roles, Mr. Suss has performed various other roles within BAC:  he has served as Senior Vice President at Banc of America Investment Advisors Inc. (“BAIA”), another alternative investment advisor affiliated with BAC, from July 2007 to March 2010; he was Senior Vice President of U.S. Trust Hedge Fund Management, Inc., a hedge fund manager associated with BAC, from June 2007 to March 2010, and served as its Chief Financial Officer and Treasurer from October 2007 to March 2010; and he was Senior Vice President of UST Advisers, Inc., an investment adviser associated with BAC, from July 2007 to May 2008.  In the above roles with BAIA, U.S. Trust Hedge Fund Management, Inc. and UST Advisers, Inc., Mr. Suss was responsible for the management of financial reporting and operational matters of alternative investment funds managed by those entities.  Mr. Suss received a B.B.A. from the University of Texas at Austin.

MLAI acts as the sponsor, general partner or manager to ten public futures funds whose units of limited partnership or limited liability company interest are registered under the Securities Exchange Act: Aspect FuturesAccess LLC, ML BlueTrend FuturesAccess LLC, Highbridge Commodities FuturesAccess LLC, Man AHL FuturesAccess LLC, Ortus Currency FuturesAccess LLC ML Select Futures I L.P., Systematic Momentum FuturesAccess LLC, ML Transtrend DTP Enhanced FuturesAccess LLC, ML Trend-Following Futures Fund L.P, and ML Winton FuturesAccess LLC. Because MLAI serves as the sole sponsor, general partner or manager of each of these funds, the officers and managers of MLAI effectively manage them as officers and directors of such funds.

(c)Identification of Certain Significant Employees:

None.

47

(d)Family Relationships:

None.

(e)Business Experience:

See Item 10(a) and (b) above.

(f)Involvement in Certain Legal Proceedings:

None.

(g)Promoters and Control Persons:

Not applicable.

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

To the Fund’s knowledge, all required Section 16(a) filings during the fiscal year ended December 31, 2012 were timely and correctly made.

Code of Ethics:

MLAI and BAC have adopted a code of ethics which applies to the Fund’s (MLAI’s) principal executive officer and principal financial officer or persons performing similar functions on behalf of the Fund.  A copy of the code of ethics is available to any person, without charge, upon request by calling 1-866-MER-ALTS.

Nominating Committee:

Not applicable. (Neither the Fund nor MLAI has a nominating committee.)

Audit Committee: Audit Committee Financial Expert:

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

Item 11: Executive Compensation

The managers and officers of MLAI are remunerated by BAC in their respective positions. The Fund does not have any officers, managers or employees.  The Fund pays brokerage commissions to MLPF&S an affiliate of MLAI and Sponsor fees and management fees to MLAI.  MLAI or its affiliates may also receive certain economic benefits from possession of the Fund’s U.S. dollar assets.  The managers and officers receive no “other compensation” from the Fund, and the managers receive no compensation for serving as managers of MLAI.  There are no compensation plans or arrangements relating to a change in control of either the Fund or MLAI.

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

(a)Security Ownership of Certain Beneficial Owners:

Not applicable. (The Units represent limited liability company interests. The Fund is managed by its Manager, MLAI.)

(b)Security Ownership of Management:

As of December 31, 2012 MLAI owned no Unit-equivalent member interests, and the principals of MLAI did not own any Units.

(c)Changes in Control:

None.

48

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

Not applicable.

Item 13: Certain Relationships and Related Transactions, and Director Independence

(a)Transactions between BAC and the Fund

Many of the primary service providers to the Fund are BAC affiliates, including MLPF&S and MLIB.  The fees paid by the Fund to any BAC parties were established by the BAC parties based on rates charged to similarly-situated customers rather than being negotiated.  These fees are likely higher than would have been obtained in arms-length bargaining.

The Fund pays BAC substantial brokerage commissions as well as prime brokerage fees and bid-ask spreads on F/X and other OTC trades. The Fund pays MLAI Sponsor fees, management fees and performance fees.

The Fund maintains, cash, collateral and margin balances with MLFP&S and MLIB, providing these BAC affiliates funding benefits from possession of the Fund’s capital.

No loans have been, outstanding between MLAI or any of its principals and the Fund.

MLAI pays selling commissions and trailing commissions to MLPF&S for distributing the Units.  MLAI is ultimately paid back for these expenditures from the revenues it receives from the Fund.

(b)Certain Business Relationships:

                MLPF&S, an affiliate of MLAI, acts as the principal commodity broker for the Fund.

In 2012 the Fund directly expensed:  (i) Brokerage Commissions of $0 to MLPF&S and $0 in management fees earned by HCM and MLAI, (ii) Sponsor Fees of $497,258 to MLAI. In addition, MLAI and its affiliates may have derived certain economic benefits from possession of a portion of the Fund’s assets, as well as from foreign exchange and EFP trading.

See Item 1(c), “Narrative Description of Business — Charges” and “— Description of Current Charges” for a discussion of other business dealings between MLAI affiliates and the Fund.

(c)Indebtedness of Management:

None.

(d)Transactions with Promoters:

Not applicable.

(e)Director Independence:

No person who served as a manager of MLAI would be considered independent (based on the definition of an independent director under NASDAQ rules).

Item 14: Principal Accounting Fees and Services

(a)Audit Fees

Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant, PricewaterhouseCoopers LLP, for audit of the Fund’s annual financial statements and review of financial statements included in the Fund’s forms 10Q or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the years ended December 31, 2012 and 2011 were $82,000 and $72,000, respectively.

(b)           Audit-Related Fees

There were no other audit-related fees billed for the year ended December 31, 2012 and 2011 related to the Fund.

(c)Tax Fees

No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and

49

their respective affiliates for the period ended December 31, 2012 and 2011 for professional services rendered to the Fund in connection with tax compliance, tax advice and tax planning.

(d)All Other Fees

No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2012 and 2011 for professional services rendered to the Fund.

Neither the Fund nor MLAI has an audit committee to pre-approve principal accountant fees and services.  In lieu of an audit committee, the managers and the principal financial officer pre-approve all billings prior to the commencement of services.

50

PART IV

Item 15: Exhibits and Financial Statement Schedules

1.             Financial Statements (found in Exhibit 13.01):

	Page:
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2012 and 2011	2
Statements of Operations for the year ended December 31, 2012 and for the period November 1, 2011 (commencement of operations) to December 31, 2011	3
Statements of Changes in Members’ Capital for the year ended December 31, 2012 and for the period November 1, 2011(commencement of operations) to December 31, 2011	4
Financial Data Highlights for the year ended December 31, 2012 and for the period November 1, 2011(commencement of operations) to December 31, 2011	6
Notes to Financial Statements	8

2.             Financial Statements (found in Exhibit 13.02):

	Page:
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2012 and 2011	2
Statements of Operations for the year ended December 31, 2012 and for the period November 1, 2011 (commencement of operations) to December 31, 2011	3
Statements of Changes in Shareholders’ Equity for the year ended December 31, 2012 and for the period November 1, 2011(commencement of operations) to December 31, 2011	4
Financial Data Highlights for the year ended December 31, 2012 and for the period November 1, 2011 (commencement of operations) to December 31, 2011	6
Notes to Financial Statements	8

51

3.Financial Statement Schedules:

Financial statement schedules not included in this Form 10-K have been omitted for the reason that they are not required or are not applicable or that equivalent information has been included in the financial statements or notes thereto.

4.Exhibits:

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

Designation	Description
3.01	Certificate of Formation of Highbridge Commodities FuturesAccess LLC.
Exhibit 3.01:	Is incorporated by reference from Exhibit 3.01 contained in the registrant’s Registration Statement on Form 10 filed on December 23, 2011 (“Registration Statement”).
3.02	Third Amended and Restated Limited Liability Company Operating Agreement of Highbridge Commodities FuturesAccess LLC.
Exhibit 3.02	Is incorporated by reference from Exhibit 3.02 contained in the registrant’s Report on Form 8-K filed on January 7, 2013.
10.01	Customer Agreement between Highbridge Commodities FuturesAccess LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated.
Exhibit 10.01:	Is incorporated by reference from Exhibit 10.1 contained in the Registration Statement.
10.02	Amended and Restated Advisory Agreement among Highbridge Commodities FuturesAccess Master Fund Ltd., Merrill Lynch Alternative Investments LLC and Highbridge Capital Management, LLC.
Exhibit 10.02:	Is incorporated by reference from Exhibit 10.02 contained in the Registration Statement.
10.03	Amendment to Amended and Restated Advisory Agreement among Highbridge Commodities FuturesAccess Master Fund Ltd., Merrill Lynch Alternative Investments LLC and Highbridge Capital Management, LLC.
Exhibit 10.03:	Is incorporated by reference from Exhibit 10.01 contained in the registrant’s Report on Form 8-K filed on April 5, 2012.
10.4	Assignment and Assumption Agreement among Highbridge Commodities FuturesAccess Master Fund Ltd., Highbridge Commodities FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and Highbridge Capital Management, LLC.
Exhibit 10.04:	Is incorporated by reference from Exhibit 10.01 contained in the registrant’s Report on Form 8-K filed on January 18, 2013.
10.5	Second Amendment to Amended and Restated Advisory Agreement among Highbridge Commodities Futures Access LLC, Merrill Lynch Alternative Investments LLC and Highbridge Capital Management, LLC.
Exhibit 10.05:	Is incorporated by reference from Exhibit 10.02 contained in the registrant’s Report on Form 8-K filed on January 18, 2013.

52

13.01	2012 Annual Report and Report of Independent Registered Public Accounting Firm.
Exhibit 13.01:	Is filed herewith.
13.02	2012 Annual Report and Report of Independent Registered Public Accounting Firm for The Master Fund.
Exhibit 13.02:	Is filed herewith.
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	The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 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.
Exhibit 101	Is filed herewith.
99.1	Amended and Restated Selling Agreement effective as of July 8, 2011 between Merrill Lynch Alternative Investments LLC (for itself, and as sponsor on behalf of the investment funds listed therein) and Merrill Lynch, Pierce, Fenner & Smith Incorporated (as selling agent).
Exhibit 99.1:	Is incorporated by reference from Exhibit 99.1 contained in the Registration Statement.

53

SIGNATURES

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

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC
By:	MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC, Manager
By:	/s/ Deann Morgan
Deann Morgan
Chief Executive Officer, President and Manager
(Principal Executive Officer)

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

Signature	Title	Date
/s/Deann Morgan	Chief Executive Officer, President and Manager	March 27, 2013
Deann Morgan
/s/ Barbra E. Kocsis	Chief Financial Officer and Vice President	March 27, 2013
Barbra E. Kocsis	(Principal Financial and Accounting Officer)
/s/Steven L. Suss	Vice President and Manager	March 27, 2013
Steven L. Suss
/s/James L. Costabile	Vice President and Manager	March 27, 2013
James L. Costabile
/s/Colleen R. Rusch	Vice President and Manager	March 27, 2013
Colleen R. Rusch

(Being the principal executive officer, the principal financial and accounting officer and a majority of the managers of Merrill Lynch Alternative Investments LLC)

54

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

2012 FORM 10-K

INDEX TO EXHIBITS

	Exhibit
Exhibit 13.01	2012 Annual Report and Report of Independent Registered Public Accounting Firm
Exhibit 13.02	Highbridge Commodities FuturesAccess Master Fund Ltd. Financial Statements as of and for the year ended December 31, 2012 and for the period November 1, 2011 (commencement of operations) to December 31, 2011 and Report of Independent Registered Public Accounting Firm (Expresses in United States Dollars)
Exhibit 31.01 and 31.02	Rule 13a - 14(a) / 15d - 14(a) Certifications
Exhibit 32.01 and 32.02	Sections 1350 Certifications
Exhibit 101	The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 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.

55

EX-13.01

Exhibit 13.01

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

Financial Statements as of and for the year ended December 31, 2012 and for the period November 1, 2011(commencement of operations) to December 31, 2011 and Report of Independent Registered Public Accounting Firm

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

TABLE OF CONTENTS

	Page
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2012 and 2011	2
Statements of Operations for the year ended December 31, 2012 and for the period November 1, 2011 (commencement of operations) to December 31, 2011	3
Statements of Changes in Members’ Capital for the year ended December 31, 2012 and for the period November 1, 2011(commencement of operations) to December 31, 2011	4
Financial Data Highlights for the year ended December 31, 2012 and for the period November 1, 2011(commencement of operations) to December 31, 2011	6
Notes to Financial Statements	8

Report of Independent Registered Public Accounting Firm

To the Members of Highbridge Commodities FuturesAccess LLC:

In our opinion, the accompanying statements of financial condition, and the related statements of operations, changes in members’ capital, and financial data highlights present fairly, in all material respects, the financial position of Highbridge Commodities FuturesAccess LLC (the “Fund”) at December 31, 2012 and 2011 and the results of its operations, the changes in its members’ capital and its financial data highlights for the year ended December 31, 2012, and the period from November 1, 2011 (commencement of operations) through December 31, 2011, in conformity with accounting principles generally accepted in the United States of America. These financial statements and the financial data highlights (hereafter referred to as the “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

New York, NY

March 27, 2013

PricewaterhouseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017

T: (646) 471 3000, F: (813) 286 6000, www.pwc.com/us

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

DECEMBER 31, 2012 AND 2011

	2012		2011
ASSETS:
Investment in Highbridge Commodities FuturesAccess Master Fund LTD	$	—	$	17,568,247
Receivable from Highbridge Commodities FuturesAccess Master Fund LTD	39,709,301		10,024,233
Cash	33,998		18,038
Other assets	75,000		33,955
TOTAL ASSETS	$	39,818,299	$	27,644,473
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Sponsor fee payable	$	53,701	$	5,006
Redemptions payable	592,620		10,024,233
Other liabilities	175,072		115,972
Total liabilities	821,393		10,145,211
MEMBERS’ CAPITAL:
Members’ Capital (52,081,850 Units and 18,534,585 Units)	38,996,906		17,499,262
Total members’ capital	38,996,906		17,499,262
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	39,818,299	$	27,644,473
NET ASSET VALUE PER UNIT:
(Based on 52,081,850 and 18,534,585 Units outstanding, unlimited Units authorized)
Class A	$	0.7434	$	0.9385
Class C	$	0.7348	$	0.9370
Class D	$	0.7811	$	0.9713
Class I	$	0.7470	$	0.9392
Class Z	$	—	$	0.9409
Class M	$	0.9347	$	—

See notes to financial statements.

2

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED DECEMBER 31, 2012 AND

FOR THE PERIOD NOVEMBER 1, 2011 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2011

	2012			2011
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD:
Management fees	$	(478,590	)	$	(65,076	)
Performance fees	(15,312		)	—
Other	(182,682		)	(195,641		)
Total net investment income (loss) allocated from Highbridge Commodities FuturesAccess Master Fund Ltd	(676,584		)	(260,717		)
FUND EXPENSES:
Sponsor fees	497,258			7,013
Other	469,583			161,972
Total Fund expenses	966,841			168,985
NET INVESTMENT INCOME PROFIT (LOSS)	(1,643,425		)	(429,702		)
REALIZED AND UNREALIZED PROFIT (LOSS) ON INVESTMENTS ALLOCATED FROM HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD:
Realized, net	(7,468,034		)	(633,036		)
Change in unrealized, net	(387,404		)	(527,355		)
Brokerage commissions	(98,163		)	(16,544		)
Net profit (loss) from derivative contracts (net of brokerage commissions on futures contracts of $98,163)	(7,953,601		)	(1,176,935		)
NET PROFIT (LOSS)	$	(9,597,026	)	$	(1,606,637	)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding
Class A*	9,327,969			839,111
Class C*	15,427,778			1,246,642
Class D**	5,733,680			2,313,375
Class I*	4,318,130			59,932
Class Z***	7,965,776			23,846,000
Class M****	732,832			—
Net income (loss) per weighted average Unit
Class A*	$	(0.2902	)	$	(0.0605	)
Class C*	$	(0.3104	)	$	(0.0612	)
Class D**	$	(0.2624	)	$	(0.0287	)
Class I*	$	(0.3160	)	$	(0.0598	)
Class Z***	$	0.1024		$	(0.0591	)
Class M****	$	(0.0653	)	$	—

*Units issued on November 1, 2011.

**Units issued on December 1, 2011.

***Units issued on November 1, 2011 and Units fully redeemed as of February 29, 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 February 29, 2012.)

****Units issued on December 1, 2012.

See notes to financial statements.

3

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEAR ENDED DECEMBER 31, 2012 AND

FOR THE PERIOD NOVEMBER 1, 2011 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2011 (IN UNITS)

	Initial Offering	Subscriptions	Redemptions		Members’ Capital December 31, 2011	Subscriptions	Redemptions		Members’ Capital December 31, 2012
Class A*	611,175	455,872	—		1,067,047	12,560,195	(1,705,223	)	11,922,019
Class C*	609,151	1,274,982	(25,861	)	1,858,272	23,505,081	(1,113,172	)	24,250,181
Class D**	2,313,375	—	—		2,313,375	6,251,307	—		8,564,682
Class I*	41,850	36,164	—		78,014	6,564,663	(30,541	)	6,612,136
Class Z***	23,846,000	—	(10,628,123	)	13,217,877	—	(13,217,877	)	—
Class M****	—	—	—		—	732,832	—		732,832
Total Members’ Units	27,421,551	1,767,018	(10,653,984	)	18,534,585	49,614,078	(16,066,813	)	52,081,850

*Units issued on November 1, 2011.

**Units issued on December 1, 2011.

***Units issued on November 1, 2011 and Units fully redeemed as of February 29, 2012.

****Units issued on December 1, 2012.

See notes to financial statements.

4

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE YEAR ENDED DECEMBER 31, 2012 AND

FOR THE PERIOD NOVEMBER 1, 2011 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2011

	Initial Offering		Subscriptions		Redemptions			Net Income(loss)			Members’ Capital December 31, 2011		Subscriptions		Redemptions			Net Income(loss)			Members’ Capital December 31, 2012
Class A*	$	611,175	$	441,056	$	—		$	(50,763	)	$	1,001,468	$	11,967,132	$	(1,398,358	)	$	(2,706,949	)	$	8,863,293
Class C*	609,151		1,232,525		(24,232		)	(76,274		)	1,741,170		21,780,482		(912,425		)	(4,789,105		)	17,820,122
Class D**	2,313,375		—		—			(66,417		)	2,246,958		5,946,957		—			(1,504,458		)	6,689,457
Class I*	41,850		35,000		—			(3,582		)	73,268		6,254,268		(23,907		)	(1,364,583		)	4,939,046
Class Z***	23,846,000		—		(10,000,001		)	(1,409,601		)	12,436,398		—		(13,252,311		)	815,913			—
Class M****	—		—		—			—			—		732,832		—			(47,844		)	684,988
Total Members’ Capital	$	27,421,551	$	1,708,581	$	(10,024,233	)	$	(1,606,637	)	$	17,499,262	$	46,681,671	$	(15,587,001	)	$	(9,597,026	)	$	38,996,906

*Units issued on November 1, 2011.

**Units issued on December 1, 2011.

***Units issued on November 1, 2011 and Units fully redeemed as of February 29, 2012.

****Units issued on December 1, 2012.

See notes to financial statements.

5

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2012

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

	Class A			Class C			Class D			Class I			Class Z*			Class M**
Per Unit Operating Performance:
Net asset value, beginning of year or at time of offer	$	0.9385		$	0.9370		$	0.9713		$	0.9392		$	0.9409		$	1.0000
Net realized and net change in unrealized trading profit (loss)	(0.1434		)	(0.1418		)	(0.1506		)	(0.1440		)	0.0861			(0.0608		)
Brokerage commissions	(0.0029		)	(0.0029		)	(0.0030		)	(0.0029		)	(0.0006		)	(0.0002		)
Expenses	(0.0488		)	(0.0575		)	(0.0366		)	(0.0453		)	(0.0122		)	(0.0043		)
Net asset value, before redemption	0.7434			0.7348			0.7811			0.7470			1.0142			0.9347
Less redemption distribution													1.0142
Net asset value, end of year	$	0.7434		$	0.7348		$	0.7811		$	0.7470		$	—		$	0.9347
Total Return: (b)
Total return before Performance fees	-20.61		%	-21.40		%	-19.41		%	-20.29		%	8.32		%	-6.53		%
Performance fees	-0.27		%	-0.27		%	-0.28		%	-0.27		%	-0.50		%	0.00		%
Total return after Performance fees	-20.88		%	-21.67		%	-19.69		%	-20.56		%	7.82		%	-6.53		%
Ratios to Average Member’s Capital: (a)
Expenses (excluding Performance fees)	5.06		%	6.05		%	3.57		%	4.66		%	4.39		%	5.26		%
Performance fees	0.26		%	0.26		%	0.26		%	0.26		%	0.49		%	0.00		%
Expenses (including Performance fees)	5.32		%	6.31		%	3.83		%	4.92		%	4.88		%	5.26		%
Net investment income (loss)	-5.32		%	-6.31		%	-3.83		%	-4.92		%	-4.88		%	-5.26		%

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized. The ratios include amounts allocated from the Master Fund.

(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 February 29, 2012

**Units issued on December 1, 2012.

See notes to financial statements.

6

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE PERIOD NOVEMBER 1, 2011

(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2011

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 Z*
Per Unit Operating Performance:
Net asset value at time of offer	$	1.0000		$	1.0000		$	1.0000		$	1.0000		$	1.0000
Net realized and net change in unrealized trading profit (loss)	(0.0531		)	(0.0531		)	(0.0258		)	(0.0531		)	(0.0531		)
Expenses	(0.0084		)	(0.0099		)	(0.0029		)	(0.0077		)	(0.0060		)
													—
Net asset value, end of year	$	0.9385		$	0.9370		$	0.9713		$	0.9392		$	0.9409
Total Return: (b)
Total return before Performance fees	-6.15		%	-6.30		%	-2.87		%	-6.08		%	-5.91		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-6.15		%	-6.30		%	-2.87		%	-6.08		%	-5.91		%
Ratios to Average Member’s Capital: (a)
Expenses (excluding Performance fees)	0.86		%	1.03		%	0.29		%	0.80		%	0.62		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.86		%	1.03		%	0.29		%	0.80		%	0.62		%
Net investment income (loss)	-0.86		%	-1.03		%	-0.29		%	-0.80		%	-0.62		%

(a) The ratios to average members’ capital have been annualized. The total return ratios are not annualized. The ratios include amounts allocated from the Master Fund.

(b) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole. An individual members’ return may vary from these returns based on timing of capital transactions.

*Units issued on November 1, 2011.

**Units issued on December 1, 2011.

See notes to financial statements.

7

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

1.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

Highbridge Commodities FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess SM Program (“FuturesAccess”) fund, was organized under the Delaware Limited Liability Company Act on June 15, 2011 and commenced trading activities on November 1, 2011. The Fund engages in the speculative trading of primarily futures contracts on a wide range of commodities.  Highbridge Capital Management, LLC (“HCM”) is the trading advisor of the Fund.

Prior to January 1, 2013 (the “Effective Date”), the Fund and BA Highbridge Commodities Fund LLC (the “BA Feeder”) were “feeder funds” in a master-feeder structure investing substantially all of their assets through Highbridge Commodities FuturesAccess Master Fund Ltd. (the “Master Fund”).  The financial statements of the HCFA Master Fund are attached to this report and should be read in conjunction with this report.  As of the Effective Date, the Fund and the Master Fund were reorganized such that the Fund became a direct-trading fund investing substantially all of its assets through an account advised by HCM rather than through the Master Fund (the “Reorganization”). In connection with the Reorganization, the units of the BA Feeder were also converted into Units of the Fund as of the Effective Date, effectively resulting in the operations of the two funds being combined.  BA Highbridge Commodities Fund LLC will be liquidated and shall subscribe to the Fund as of January 1, 2013. The Master Fund will liquidate as of January 1, 2013 and will mandatorily redeem the shares of the Master Fund held by the Fund and remit the redemption proceeds in kind.

FuturesAccess is a group of commodity pools sponsored by MLAI (each pool is a “FuturesAccess Fund” or collectively, “FuturesAccess Funds”) each of which places substantially all of its assets in a managed futures or forward trading account managed by a single or multiple commodity trading advisors. Each FuturesAccess Fund is generally similar in terms of fees, although redemption terms vary among FuturesAccess Funds.  Each of the FuturesAccess Funds implements a different trading strategy.

The Fund offers six Classes of Units:  Class A, Class C, Class I, Class D, Class Z and Class M.  Each Class of Units was offered at $1.00 per Unit during the initial offering period and subsequently is offered at the Net Asset Value per Unit. The five Classes of Units are subject to different Sponsor fees.

On December 1, 2012 the Fund opened Class M at $1.00 per Unit.  The Class M Units are for investors who are subscribing through a managed investment account program at MLPF&S and who satisfy other requirements as determined by the Sponsor from time to time. The Class M Units are not subject to an upfront sales commission and no ongoing compensation is paid to MLPF&S as selling agent. The Class M Units are not subject to Sponsor’s fees. However, a portion of the asset-based program fee applicable to a Managed Account, including the amounts invested in Class M Units, will be paid to the Managed Account’s Financial Advisor.

8

FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. Investors in FuturesAccess can select, allocate and reallocate capital among different FuturesAccess Funds, each advised by either a single trading advisor or by the Sponsor which then allocates capital among multiple commodity trading advisors. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

Estimates

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

Initial Offering and Organizational Costs

Organization and Offering costs are amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance. Initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

Statement of Cash Flows

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

Revenue Recognition

With respect to the period prior to the Reorganization, the Fund records its proportionate share of the HCFA Master Fund’s investment income and trading profits and losses.  Trading profits and losses include net realized, net change in unrealized and brokerage commissions.

Operating Expenses and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund.

Class A Units are subject to 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 up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount.  Sales commissions are directly deducted from subscription amounts.  Class C Units are not subject to any sales commissions.

In addition, the Fund also records its proportionate share of the Master Fund’s expenses.

9

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 Accounting Standard Codification (“ASC”) guidance on accounting for uncertainty in income taxes.  This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period.  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 are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2011.

Distributions

Each Member is entitled to receive, equally per Unit, any distributions which may be made by the Fund.  No such distributions have been declared for the period ended December 31, 2012 and 2011.

Subscriptions

Units are offered as of the close of business at the end of each month.  Units are purchased as of the first business day of any month at Net Asset Value, but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three calendar days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Redemptions and Exchanges

A Member may redeem or exchange any or all of such Member’s Units at Net Asset Value as of the close of business, on the last business day of any month, upon thirty eight calendar days’ notice (“notice period”).

An investor in the Fund can exchange their Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days prior notice.  The minimum exchange amount is $10,000.

Redemption requests are accepted within the notice period.  The Fund does not accept any redemption requests after the notice period.  All redemption requests received after the notice period will be processed for the following month.

Dissolution of the Fund

The Fund will dissolve if certain circumstances occur as set forth in the limited liability company operating agreement, which include:

a)Bankruptcy, dissolution, withdrawal or other termination of the last remaining manager of the Fund.

b)Any event which would make unlawful the continued existence of the Fund.

c)Withdrawal of the Sponsor unless at such time there is at least one remaining manager.

d)The determination by the Sponsor to liquidate the Fund and wind up its affairs.

10

2.VALUATION OF INVESTMENT IN HCFA MASTER FUND

With respect to the period prior to the Reorganization, the Fund recorded its investment in the HCFA Master Fund at fair value.  Valuation of investments held by the HCFA Master Fund, including, but not limited to the valuation techniques used and classification within the fair value hierarchy of investments, are discussed in the notes to the HCFA Master Fund financial statements included in this report.

3.RELATED PARTY TRANSACTIONS

The Fund has a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. During the year, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee allocated to the Fund for the year ended December 31, 2012 and the period ended December 31, 2011 amounted to $5,283 and $891, respectively, of which $1,376 and $891 was payable to the Transfer Agent as of December 31, 2012 and 2011, respectively.

The Fund charges Sponsor Fees on the month-end net assets after all other charges. There is not a Sponsor Fee charged at the HCFA Master Fund level. The Fund’s Class A Units and Class I Units pay MLAI a Sponsor Fee of 1/12 of 1.5% and 1/12 of 1.1%, respectively, of their month-end net asset value.  Class C Units pay MLAI a monthly Sponsor Fee of 1/12 of 2.5% of their month-end net asset value.  Class D Units pay no Sponsor Fee. Net asset value, for purposes of calculating the Sponsor Fees, is calculated prior to reduction for the Sponsor’s Fee being calculated.

Sponsor fees as presented on the Statement of Operations is paid to related parties.

4.ADVISORY AGREEMENT

The Master Fund, MLAI and HCM entered into an Amended and Restated Advisory Agreement dated as of October 31, 2011 as amended by that certain amendment dated March 30, 2012 (collectively, the “Underlying Advisory Agreement”).   The Fund, the Master Fund, MLAI and HCM entered into an Assignment and Assumption Agreement effective as of December 31, 2012 under which the Master Fund assigned all of its rights and obligations under the Underlying Advisory Agreement to the Fund. The Fund, MLAI and HCM entered into a Second Amendment to Amended and Restated Advisory Agreement effective as of January 1, 2013 (the “Second Amendment”) to reflect HCM’s trading on behalf of the Fund directly rather than through the Master Fund (the Underlying Advisory Agreement as amended by the Second Amendment, the “Advisory Agreement”).  The Advisory Agreement will continue in effect until December 31, 2013.  Thereafter, the Advisory Agreement will be automatically renewed for three successive one-year periods, on the same terms, unless terminated by HCM or the Fund upon 90 days written notice to the other party.  Pursuant to the Advisory Agreement, HCM has the sole and exclusive authority and responsibility for directing the Fund’s trading, subject to MLAI’s fiduciary authority to trade the Fund’s portfolio or otherwise intervene to effectively overrule trades, by causing the Fund to take positions opposite of existing positions, or unwind trades if MLAI deems that doing so is necessary or advisable for the protection of the Fund.

The Fund charges management fees on the month-end net asset value of each investor’s Units, after reduction for the brokerage commissions accrued with respect to such assets, and are payable to HCM at a rate equal to 1.5 % per year. HCM has agreed to share 40% of its management fees with MLAI in order to defray costs in connection with and in consideration of BAC’s providing certain administrative and support services for the Fund.

11

Performance fees are charged by the Fund on any New Trading Profit (as defined in the Advisory Agreement) and are payable to HCM as of the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. The Fund pays a 15% performance fee to HCM.

5.WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit.  The weighted average number of Units outstanding, for each Class, for the year ended December 31, 2012 and 2011 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the period.

6.RECENT ACCOUNTING PRONOUNCEMENTS

In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides for disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. The Fund is currently assessing the impact of this update on its financial statements.

7.MARKET AND CREDIT RISKS

With respect to the period prior to the Reorganization, the Fund was affected by the market and credit risks to which the HCFA Master is subject.   These risks are discussed in the notes to the HCFA Master Fund financial statements included in this report.

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 expected the risk of loss to be remote and, therefore, no provision has been recorded.

8.SUBSEQUENT EVENT

As discussed in Note 1 the transfer of the net assets of BA Highbridge Commodities Fund LLC and the HCFA Master Fund took place on January 1, 2013.

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

12

*     *     *     *     *     *     *     *     *     *      *

To the best of the knowledge and belief of the

undersigned, the information contained in this

report is accurate and complete.

/s/ Barbra E. Kocsis

Barbra E. Kocsis

Chief Financial Officer

Merrill Lynch Alternative Investments LLC

Sponsor of

Highbridge Commodities FuturesAccess LLC

13

EX-13.02

Exhibit 13.02

HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD.

(A Cayman Islands Company)

(Under the Liquidation Basis of Accounting)

Financial Statements as of December 31, 2012 and December 31, 2011 and for the year ended December 31, 2012 and for the period November 1, 2011 (commencement of operations) to December 31, 2011 and Report of Independent Auditors (Expressed in United States Dollars)

HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD.

(A Cayman Islands Company)

(Under the liquidation basis of accounting)

TABLE OF CONTENTS

	Page
REPORT OF INDEPENDENT AUDITORS	1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2012 and 2011	2
Statements of Operations for the year ended December 31, 2012 and for the period November 1, 2011 (commencement of operations) to December 31, 2011	3
Statements of Changes in Shareholders’ Equity for the year ended December 31, 2012 and for the period November 1, 2011(commencement of operations) to December 31, 2011	4
Financial Data Highlights for the year ended December 31, 2012 and for the period November 1, 2011 (commencement of operations) to December 31, 2011	6
Notes to Financial Statements	8

Independent Auditor’s Report

To the Shareholders of Highbridge Commodities FuturesAccess Master Fund Ltd.

We have audited the accompanying financial statements of Highbridge Commodities FuturesAccess Master Fund Ltd. (the “Fund”), which comprise the statement of financial condition as of December 31, 2012 and 2011, and the related statements of operations and of changes in shareholders’ equity and the financial data highlights for the year ended December 31, 2012 and the period from November 1, 2011 (commencement of operations) through December 31, 2011. These financial statements and financial data highlights are hereafter collectively referred to as “financial statements”.

Management’s Responsibility for the Financial Statements

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

Auditor’s Responsibility

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

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

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Highbridge Commodities FuturesAccess Master Fund Ltd. at December 31, 2012 and 2011, and the results of its operations and changes in its shareholders’ equity, and the financial data highlights for the year ended December 31, 2012 and the period from November 1, 2011 (commencement of operations) through December 31, 2011, in accordance with accounting principles generally accepted in the United States of America.

Emphasis of Matter

As discussed in Note 1 of the financial statements, a restructuring agreement was entered into on December 18, 2012 to liquidate the Fund effective December 31, 2012. As a result, the Fund’s basis of accounting for the year is the liquidation basis of accounting. Our opinion is not modified with respect to this matter.

March 27, 2013

PricewaterhouseCoopers, PO Box 258, Strathvale House, Grand Cayman KY1-1104, Cayman Islands

T: +1 (345) 949 7000, F: +1 (345) 949 7352, www.pwc.com/ky

HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD.

(A Cayman Islands Company)

(Under the liquidation basis of accounting)

STATEMENTS OF FINANCIAL CONDITION

DECEMBER 31, 2012 AND 2011

(Expressed in United States Dollars)

	2012		2011
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $5,369,620 for 2012 and $3,818,791 for 2011)	$	7,372,774	$	27,850,419
Net unrealized profit on open futures contracts	420		11,817
Cash	59,612,452		453,090
Other assets	100,000		10,000
TOTAL ASSETS	$	67,085,646	$	28,325,326
LIABILITIES AND SHAREHOLDERS’ EQUITY:
LIABILITIES:
Net unrealized loss on open futures contracts	$	1,284,913	$	539,172
Advisory fees payable	81,977		34,534
Redemptions payable	65,499,227		10,024,233
Other liabilities	219,529		159,140
Total liabilities	67,085,646		10,757,079
Shareholders Equity:
Shareholders’ Equity (0 Units and 18,554,920 Units outstanding, unlimited Units authorized)	—		17,568,247
Total shareholders’ equity	0		17,568,247
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	67,085,646	$	28,325,326
NET ASSET VALUE PER UNIT:
Class DA	$	—	$	0.9468
Class DI	$	—	$	—
Class DU	$	—	$	—

See notes to financial statements.

2

HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD.

(A Cayman Islands Company)

(Under the liquidation basis of accounting)

STATEMENT OF OPERATIONS

FOR THE YEAR ENDED DECEMBER 31, 2012 AND

FOR THE PERIOD NOVEMBER 1, 2011 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2011

(Expressed in United States Dollars)

	2012			2011
TRADING PROFIT (LOSS):
Realized, net	$	(13,138,768	)	$	(633,036	)
Change in unrealized, net	(757,138		)	(527,355		)
Brokerage commissions	(185,858		)	(16,544		)
Total trading profit (loss), net	(14,081,764		)	(1,176,935		)
EXPENSES:
Management fee	906,749			65,076
Performance fee	26,577			—
Other	345,651			195,641
Total expenses	1,278,977			260,717
NET INVESTMENT INCOME (LOSS)	(1,278,977		)	(260,717		)
NET INCOME (LOSS)	$	(15,360,741	)	$	(1,437,652	)
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding
Class DA*	35,345,663			27,125,851
Class DI**	10,556,473			—
Class DU***	23,044,837			—
Net income (loss) per weighted average Unit
Class DA*	$	(0.2442	)	$	(.0530	)
Class DI**	$	(0.1072	)	$	—
Class DU***	$	(0.2430	)	$	—

*Units issued on November 1, 2011 and collapsed December 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 December 31, 2012 and for the period November 1, 2011 to December 31, 2011.)

**Units issued on February 1, 2012 and fully liquidated 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 February 1, 2012 to September 30, 2012.)

***Units issued on January 1, 2012 and collapsed December 31, 2012. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the year 2012.)

See notes to financial statements.

3

HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD.

(A Cayman Islands Company)

(Under the liquidation basis of accounting)

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE YEAR ENDED DECEMBER 31, 2012 AND

FOR THE PERIOD NOVEMBER 1, 2011 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2011

(Expressed in Shares)

	Initial Offering	Subscriptions	Redemptions		Shareholders’ Equity December 31, 2011	Subscriptions	Redemptions		Shareholders’ Equity December 31, 2012
Class DA*	25,108,176	4,035,349	(10,588,605	)	18,554,920	47,141,133	(65,696,053	)	—
Class DI**	—	—	—		—	10,956,745	(10,956,745	)	—
Class DU***	—	—	—		—	43,160,050	(43,160,050	)	—
Total Shareholders’ Units	25,108,176	4,035,349	(10,588,605	)	18,554,920	101,257,928	(119,812,848	)	—

*Units issued on November 1, 2011 and collapsed December 31, 2012.

**Units issued on February 1, 2012 and fully liquidated September 30, 2012.

***Units issued on January 1, 2012 and collapsed December 31, 2012.

See notes to financial statements.

4

HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD.

(A Cayman Islands Company)

(Under the liquidation basis of accounting)

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE YEAR ENDED DECEMBER 31, 2012 AND

FOR THE PERIOD NOVEMBER 1, 2011 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2011

(Expressed in United States Dollars)

	Initial Offering		Subscriptions		Redemptions			Net Income(loss)			Shareholders’ Equity December 31, 2011		Subscriptions		Redemptions			Net Income(loss)			Shareholders’ Equity December 31, 2012
Class DA*	$	25,108,176	$	3,921,956	$	(10,024,233	)	$	(1,437,652	)	$	17,568,247	$	45,082,968	$	(54,021,031	)	$	(8,630,184	)	$	—
Class DI**	—		—		—			—			—		10,909,000		(9,777,638		)	(1,131,362		)	—
Class DU***	—		—		—			—			—		43,425,984		(37,826,789		)	(5,599,195		)	—
Total Sharholders’ Equity	$	25,108,176	$	3,921,956	$	(10,024,233	)	$	(1,437,652	)	$	17,568,247	$	99,417,952	$	(101,625,458	)	$	(15,360,741	)	$	—

*Units issued on November 1, 2011 and collapsed December 31, 2012.

**Units issued on February 1, 2012 and fully liquidated September 30, 2012.

***Units issued on January 1, 2012 and collapsed December 31, 2012.

See notes to financial statements.

5

HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD.

(A Cayman Islands Company)

(Under the liquidation basis of accounting)

FINANCIAL DATA HIGHLIGHTS

FOR THE YEAR ENDED DECEMBER 31, 2012

(Expressed in United States Dollars)

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

Per Unit Operating Performance:	Class DA*			Class DI**			Class DU***
Net asset value, beginning of year or at time of offer	$	0.9468		$	1.0000		$	1.0000
Net realized and net change in unrealized trading profit (loss)	(0.1491		)	(0.0935		)	(0.1565		)
Brokerage commissions	(0.0030		)	(0.0022		)	(0.0031		)
Expenses	(0.0227		)	(0.0137		)	(0.0264		)
Net asset value, before liquidation	0.7720			0.8906			0.8140
Less liquidating distribution	0.7720			0.8906			0.8140
Net asset value, end of year	$	—		$	—		$	—
Total Return: (b)
Total return before Performance fees	-18.27		%	-10.98		%	-18.27		%
Performance fees	-0.29		%	-0.01		%	-0.58		%
Total return after Performance fees	-18.56		%	-10.99		%	-18.85		%
Ratios to Average Shareholder’s Equity: (a)
Expenses (excluding Performance fees)	2.12		%	2.13		%	2.12		%
Performance fees	0.26		%	0.00		%	0.49		%
Expenses (including Performance fees)	2.38		%	2.13		%	2.61		%
Net investment income (loss)	-2.38		%	-2.13		%	-2.61		%

(a) The ratios to average shareholders’ equity 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 shareholders’ return may vary from these returns based on timing of capital transactions.

*Units collapsed December 31, 2012.

**Units issued on February 1, 2012 and fully liquidated September 30, 2012.

***Units issued on January 1, 2012 and collapsed December 31, 2012.

See notes to financial statements.

6

HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD.

(A Cayman Islands Company)

(Under the liquidation basis of accounting)

FINANCIAL DATA HIGHLIGHTS

FOR THE PERIOD NOVEMBER 1, 2011

(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2011

(Expressed in United States Dollars)

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

Per Unit Operating Performance:	Class DA*
Net asset value at time of offer	$	1.0000
Net realized and net change in unrealized trading profit (loss)	(0.0429		)
Brokerage commissions	(0.0006		)
Expenses	(0.0097		)
Net asset value, end of year	$	0.9468
Total Return: (b)
Total return before Performance fees	-5.32		%
Performance fees	0.00		%
Total return after Performance fees	-5.32		%
Ratios to Average Shareholder’s Equity: (a)
Expenses (excluding Performance fees)	0.99		%
Performance fees	0.00		%
Expenses (including Performance fees)	0.99		%
Net investment income (loss)	-0.99		%

(a) The ratios to average shareholders’ equity 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 shareholders’ return may vary from these returns based on timing of capital transactions.

*Units issued on November 1, 2011.

See notes to financial statements.

7

HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD.

(A Cayman Islands Company)

NOTES TO FINANCIAL STATEMENTS

(Expressed in United States Dollars)

1.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

Highbridge Commodities FuturesAccess Master Fund LTD. (the “Fund”), a Merrill Lynch FuturesAccessSM  Program (the “FuturesAccess”) fund, was organized under the laws of the Cayman Islands on June 28, 2011 and commenced trading activities on November 1, 2011. The Fund was registered under the Mutual Funds Law of the Cayman Islands on June 28, 2011. The Fund, which is the master part of a master-feeder structure invested substantially all of the feeder Fund’s assets which has the same investment objective as the feeder Funds. The Fund engaged in the speculative trading of futures on a wide range of commodities.

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) is the sponsor and manager of the Fund. MLAI has delegated commodities trading authority for the Fund to Highbridge Capital Management, LLC (“HCM” or “Trading Advisor”). MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) was the exclusive clearing broker for the Fund. The Sponsor may have selected other parties as clearing broker(s). Currently, the Fund did trade currency spot and forward contracts. In the event the Fund could have traded such contracts, Merrill Lynch International Bank, Ltd. (“MLIB”) could have been the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may have selected other parties as 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 is a group of commodity pools sponsored by MLAI (each pool is a “FuturesAccess Fund” or collectively, “FuturesAccess Funds”) each of which places substantially all of its assets in a managed futures or forward trading account managed by a single or multiple commodity trading advisors. Each FuturesAccess Fund is generally similar in terms of fees, although redemption terms vary among FuturesAccess Funds.  Each of the FuturesAccess Funds implements a different trading strategy.

The Fund offered, prior to the adopting of its plans to liquidating, three separate classes of shares which had identical terms. They were open to investment by the Highbridge Commodities FuturesAccess LLC (the “Onshore Fund”), Highbridge Commodities FuturesAccess Ltd. (the “Offshore Fund”) and BA Highbridge Commodities FuturesAccess LLC (the “BA Feeder”), respectively. Class DA is open exclusively to the Onshore Fund. Class DI is open exclusively to the Offshore Fund. Class DU is open exclusively to the BA Feeder.  The Offshore Fund liquidated as of September 30, 2012. The BA Feeder collapsed into the Onshore Fund as of December 31, 2012.

FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. Investors in FuturesAccess can select, allocate and reallocate capital among different FuturesAccess Funds, each

8

advised by either a single trading advisor or by the Sponsor which then allocates capital among multiple commodity trading advisors. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

Interests in the Fund were not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) on a liquidation basis. Liquidation basis financial statements required 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. All estimated expenses have been accrued for as of December 31, 2012 in accordance with U.S. GAAP on a liquidation basis.  Actual results could have differed from those estimates and such differences could have been material.

Initial Offering and Organizational Costs

Organization and Offering costs were amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance. Initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

Statement of Cash Flows

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

Revenue Recognition

Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statement of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss), net in the Statement of Operations.

Trading profit (loss) includes brokerage commission costs on commodity contracts.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the date of the

9

Statement of Financial Condition.  Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses resulting from the translation to U.S. dollars are included in Trading profit (loss) in the Statement of Operations.

Equity in Commodity Trading Accounts

A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements.

Operating Expenses and Selling Commissions

The Fund paid for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund.

Income Taxes

The Fund should not be subject to U.S. Federal income taxes on income or gains from its trading (except in respect of any U.S. source dividends received in the course of such trading), provided that they did not engage in a trade or business within the United States to which such income or gains were effectively connected. Pursuant to a safe harbor rule under the U.S. tax code, a foreign corporation which traded securities or commodities for its own account should not be treated as engaged in a trade or business within the United States, provided that the foreign corporation was not a dealer in securities or commodities. The Fund and HCM conduct business in a manner so as to have met the requirements of the safe harbor rule.

The Fund has obtained an undertaking from the Cayman Islands’ authorities that, for a period of 20 years starting from July 26, 2011, no law which is enacted in the Cayman Islands imposing any tax or duty to be levied on income, profits, gains, or appreciation shall apply to the Fund or its operations, and no such tax or any tax in the nature of estate duty or inheritance tax shall be payable on or in respect of the Shares, debentures or other obligations of the Fund or by way of withholding in whole or in part of any payment of dividends or other distributions of income or of capital by the Fund to its Shareholders or any payment of principal or interest or other sums due under a debenture or other obligation of the Fund.

Distributions

Each Shareholder was entitled to receive, equally per Share, any distributions which would have been made by the Fund.  No such distributions have been declared for the year and period ended December 31, 2012 and 2011, respectively.

Subscriptions

Shares were offered as of the close of business at the end of each month. Shares were purchased as of the first business day of any month at Net Asset Value, but the subscription request were submitted at least three calendar days before the end of the preceding month. Subscriptions submitted less than three calendar days before the end of a month would have been applied to Shares subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

10

Subscriptions were suspended on December 18, 2012 when the Fund adopted the liquidation basis of accounting.

Redemptions and Exchanges

A Shareholder may have redeemed or exchanged any or all of such Shareholder’s Shares at Net Asset Value as of the close of business, on the last business day of any month upon thirty eight calendar days’ notice (“notice period”).

A Shareholder in the Fund could have exchanged their Shares for Shares of the same Class in other Program Funds as of the beginning of each calendar month, upon thirty eight calendar days’ notice.  The minimum exchange amount was $10,000.

Redemption requests were accepted within the notice period.  The Fund did not accept any redemption requests after the notice period.  All redemption requests received after the notice period would have been processed for the following month.

Dissolution of the Fund and Basis of Presentation

On December 18, 2012, a Restructuring Agreement was among and executed by MLAI, the BA Feeder Fund, the Onshore Fund and the Fund. The Restructuring Agreement is to restructure the Funds such that the BA Feeder Fund will be liquidated and then the existing shareholders shall subscribe to the Onshore Fund as of January 1, 2013 (the “Effective Date”). The Fund on the effective date will contribute substantially all of its assets, including unamortized organizational and initial offering costs, cash (excluding only such cash as the BA Feeder Fund deems necessary to pay liquidation expenses) and its shares in the Fund to the Onshore Fund.  The Fund will liquidate and immediately following the BA Feeder Fund distribution, the Fund shall mandatorily redeem the shares of the Fund held by the Onshore Fund and pay the redemption proceeds in kind through the transfer of:

·cash from its account at MLPF&S or other custodian (except such cash as is necessary to pay liquidation expenses) to the account of the Onshore Fund or other custodian: and

·the open commodity positions in its account at MLPF&S to the account of the Onshore Fund.

Liquidation Basis of Accounting

As a result of the decision to place the fund into liquidation, the Fund changed its basis of accounting to be presented under the liquidation basis of accounting, which is another comprehensive basis of accounting under accounting principles generally accepted in the United States of America. Accordingly, the net assets of the Fund at December 31, 2012 are stated at liquidation value, i.e., the assets have been valued at their estimated fair values, and the liabilities include estimated amounts to be incurred through the date of liquidation of the Fund, which is in conformity with accounting principles generally accepted in the United States.

11

2.CONDENSED SCHEDULE OF INVESTMENTS

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

December 31, 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	Profit (Loss)			Shareholders’ Equity		Contracts		Profit (Loss)			Shareholders’ Equity		on Open Positions			Shareholders’ Equity		Maturity Dates
Agriculture	707	$	(820,670	)	0.00	%	(239	)	$	45,945		0.00	%	$	(774,725	)	0.00	%	February 2013 - March 2013
Currencies	377	(284,530		)	0.00	%	—		—			0.00	%	(284,530		)	0.00	%	March 2013
Energy	288	599,893			0.00	%	(44	)	(116,420		)	0.00	%	483,473			0.00	%	January 2013 - February 2013
Metals	307	(408,218		)	0.00	%	(226	)	(300,493		)	0.00	%	(708,711		)	0.00	%	January 2013 - April 2013
Total		$	(913,525	)	0.00	%			$	(370,968	)	0.00	%	$	(1,284,493	)	0.00	%

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	Profit (Loss)			Shareholders’ Equity		Contracts		Profit (Loss)			Shareholders’ Equity		on Open Positions			Shareholders’ Equity		Maturity Dates
Agriculture	480	$	23,249		0.13	%	(487	)	$	(2,379	)	-0.01	%	$	20,870		0.12	%	February 2012 - July 2012
Currencies	112	52,150			0.30	%	—		—			0.00	%	52,150			0.30	%	March 2012
Energy	165	(194,315		)	-1.11	%	(162	)	338,464			1.93	%	144,149			0.82	%	January 2012 - April 2012
Metals	366	(1,368,821		)	-7.79	%	(357	)	624,297			3.55	%	(744,524		)	-4.24	%	January 2012 - April 2012
Total		$	(1,487,737	)	-8.47	%			$	960,382		5.47	%	$	(527,355	)	-3.00	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Fund’s Shareholders’ Equity as of December 31, 2012.

12

3.FAIR VALUE OF INVESTMENTS

The Financial Accounting Standards Board (“FASB”) issued the Accounting Standards Codification (“ASC”) which provides authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.

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 account on the Statement of Financial Condition.  Any change in net unrealized profit or loss from the preceding period is reported in the respective Statement 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

13

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.

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 all of 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.

14

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

2012

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	(913,525	)	$	(1,117,092	)	$	203,567		$	—
Short	(370,968		)	(103,812		)	(267,156		)	—
	$	(1,284,493	)	$	(1,220,904	)	$	(63,589	)	$	—
Forwards
Long	$	—		$	—		$	—		$	—
Short	—			—			—			—
	$	—		$	—		$	—		$	—
December 31, 2012	$	(1,284,493	)	$	(1,220,904	)	$	(63,589	)	$	—

2011

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	(1,487,737	)	$	(884,372	)	$	(603,365	)	$	—
Short	960,382			345,200			615,182			—
	$	(527,355	)	$	(539,172	)	$	11,817		$	—
Forwards
Long	$	—		$	—		$	—		$	—
Short	—			—			—			—
	$	—		$	—		$	—		$	—
December 31, 2011	$	(527,355	)	$	(539,172	)	$	11,817		$	—

The Fund’s volume of trading forward and futures contracts at December 31, 2012 and 2011, respectively, are representative of the activity throughout the year. There were no transfers to or from Level I or Level II during 2012 and 2011.

The Fund engaged in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivatives and hedging activities. The fair value amounts of, and the

15

net profits and losses on, derivative instruments is disclosed in the Statement of Financial Condition and Statement 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 type/commodity industry sector, on derivative instruments for the year ended December 31, 2012 and the period ended December 31, 2011:

	December 31, 2012			December 31, 2011
Commodity Industry Sector	profit (loss) from trading, net			profit (loss) from trading, net
Agriculture	$	(9,509,275	)	$	(167,845	)
Currencies	1,141,450			(714,656		)
Energy	(2,097,309		)	589,939
Metals	(3,430,772		)	(867,829		)
Total	$	(13,895,906	)	$	(1,160,391	)

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.  Where a substantial portion of the Fund’s capital was tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities.  There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4.RELATED PARTY TRANSACTIONS

The Fund has 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 perform 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. 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 period ended December 31, 2012 and 2011 amounted to $6,443 and $891, respectively, of which $2,310 and $0  was payable to the Transfer Agent as of December 31, 2012 and 2011, respectively.

The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, MLPF&S credits the Fund with interest at the most favorable rate payable by MLPF&S to accounts of BAC but not less than 75% of such prevailing rate. The Fund is credited with interest on any of its assets and net profits actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by MLPF&S.  MLPF&S may derive certain economic benefit, in excess of the interest which MLPF&S pays to the Fund, from possession of such assets.

16

MLPF&S charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income due to the insignificance of such amounts.

The Fund does not charge Sponsor fees. The Sponsor fees are charged at the feeder fund level. The principal operating costs of the Fund are the per-trade brokerage commissions paid to MLPF&S (a portion of which is paid to the Fund’s executing brokers, which may or may not include MLPF&S, as commissions for their execution services).

The Fund pays brokerage commissions on actual cost per round-turn. The average round-turn commission rate charged to the Fund for the year and period ended December 31, 2012 and 2011, respectively, was approximately $5.85 and $8.54, respectively (not including, in calculating round-turn, forward contracts on a futures-equivalent basis).

Brokerage Commissions, Interest and Sponsor fees as presented on the Statement of Operations are all received from or paid to related parties. Equity in commodity trading accounts, including cash and net unrealized profit/loss, as seen on the Statement of Financial Condition are held with a related party.

5.ADVISORY AGREEMENT

The Fund and HCM have entered into an advisory agreement. This agreement shall continue in effect until October 1, 2013.  Thereafter, this agreement shall be automatically renewed for three successive one-year periods, on the same terms, unless terminated at any time by either HCM or the Fund upon 90 days written notice to the other party before the expiration of the then-current term. HCM determines the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI. This agreement terminated when the Fund adopted its plan of liquidation.

As of the last business day of each calendar month, the Fund shall pay the Trading Advisor a management fee equal to 1/12 of 1.50% (a 1.50% annual rate) of the month-end net asset value of the Fund, prior to reduction for any accrued Incentive Fees or for the management fee being calculated.

Performance fees are charged by the Fund on any New Trading Profit, as defined in the advisory agreement, and are payable to HCM as of either the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. The HCFA Master Fund pays a 15% performance fee to HCM.

In order to help defray the costs of MLAI’s sponsoring and providing ongoing administration and operational support to the Fund, HCM will pay, or direct the Fund to pay, MLAI an amount equal to 40% of the Management Fee.

17

6.WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each class is computed for purposes of calculating net income (loss) per weighted average Unit.  The weighted average number of Units outstanding, for each class, for the year ended December 31, 2012 and for the period November 1, 2011 to December 31, 2011 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year. There are no units outstanding as of December 31, 2012.

7.RECENT ACCOUNTING PRONOUNCEMENTS

In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides for disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. This update has no impact on the financial statements.

8.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 Statement 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 HCM, 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 HCM 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

18

will consist of the ongoing process of advisor monitoring, with the market risk controls being applied by HCM.

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 Statement of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.

The Fund, in its normal course of business, enters into various contracts with MLPF&S acting as its commodity broker.  Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Equity in commodity trading accounts on the Statement of Financial Condition.

Commitments and Contingencies

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 expected the risk of loss to be remote and, therefore, no provision has been recorded.

The Fund complied with the authoritative guidance on Accounting for Income Taxes which prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. MLAI analyzed the Fund’s tax positions taken on income tax returns in all jurisdictions for all open tax years (since inception date) and concluded that no provision for income tax is required in the Fund’s financial statements. MLAI is not aware of any tax events that are likely to occur in the next twelve months that would result in the amount of any unrecognized tax benefits or liabilities significantly increasing or decreasing for the Fund.

The Fund was considered a partnership for tax purposes and as such the income or loss is passed through to the Shareholders of the Fund. To the extent that the Fund may have taken an uncertain tax position in an associated tax exposure, any impact of this resulting exposure would be passed on to the Shareholders of the Fund.

19

9.SUBSEQUENT EVENTS

As discussed in Note 1 the transfer of the Fund’s net assets to the onshore fund officially took place on January 1, 2013.

Management has evaluated the impact of subsequent events on the Fund through March 27, 2013, the date the financial statements were available to be issued, and has determined that there were no other subsequent events that require adjustments to, or disclosure in, the financial statements.

20

          *     *     *     *     *     *     *     *     *     *      *

	To the best of the knowledge and belief of the
	undersigned, the information contained in this
	report is accurate and complete.
	/s/ Barbra E. Kocsis
	Barbra E. Kocsis
	Chief Financial Officer
	Merrill Lynch Alternative Investments LLC
	Sponsor of
Highbridge Commodities FuturesAccess Master Fund Ltd.

21

EX-31.01

EXHIBIT 31.01

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

I, Deann Morgan, certify that:

1. I have reviewed this annual report on Form 10-K of Highbridge Commodities FuturesAccess LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d)  Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: March 27, 2013
By	/s/ DEANN MORGAN
Deann Morgan
Chief Executive Officer, President and Manager
(Principal Executive Officer)

EX-31.02

EXHIBIT 31.02

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

I, Barbra E. Kocsis, certify that:

1. I have reviewed this annual report on Form 10-K of Highbridge Commodities FuturesAccess LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this annual report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d)  Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: March 27, 2013
By	/s/ BARBRA E. KOCSIS
Barbra E. Kocsis
Chief Financial Officer
(Principal Financial Officer)

EX-32.01

EXHIBIT 32.01

Section 1350 Certification

In connection with this annual report of Highbridge Commodities FuturesAccess LLC (the “Company”) on Form 10-K for the year ended December 31, 2012 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Deann Morgan, Chief Executive Officer, President and Manager of Merrill Lynch Alternative Investments, LLC the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: March 27, 2013
By	/s/ Deann Morgan
Deann Morgan
Chief Executive Officer, President and Manager
(Principal Executive Officer)

EX-32.02

EXHIBIT 32.02

Section 1350 Certification

In connection with this annual report of Highbridge Commodities FuturesAccess LLC, (the “Company”) on Form 10-K for the year ended December 31, 2012 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Barbra E. Kocsis, Chief Financial Officer of Merrill Lynch Alternative Investments LLC, the manager of the Company, certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to the Sarbanes-Oxley Act of 2002, that:

1. This Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in this Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: March 27, 2013
By	/s/ BARBRA E. KOCSIS
Barbra E. Kocsis
Chief Financial Officer
(Principal Financial Officer)

XML

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (HCFA Master Fund) (Details) (USD $)	0 Months Ended	12 Months Ended
	Jul. 26, 2011	Dec. 31, 2012 item
Organization
Number of classes of units		6
Initial Offering and Organizational Costs
Amortization period for organization and offering costs for operational and investor trading purposes		60 months
Amortization period for organization and offering costs for financial reporting purposes		12 months
Subscriptions
Minimum period for subscription of units before end of preceding month		3 days
Redemptions and Exchanges
Minimum notice period for redemption or exchange of units		38 days
Minimum notice period for exchange of units		10 days
Minimum
Redemptions and Exchanges
Minimum exchange amount		10,000
HCFA Master Fund
Organization
Number of classes of units		3
Initial Offering and Organizational Costs
Amortization period for organization and offering costs for operational and investor trading purposes		60 months
Amortization period for organization and offering costs for financial reporting purposes		12 months
Income Taxes
Period of undertaking obtained from Cayman Islands' authorities	20 years
Subscriptions
Minimum period for subscription of units before end of preceding month		3 days
Redemptions and Exchanges
Minimum notice period for redemption or exchange of units		38 days
Minimum notice period for exchange of units		38 days
HCFA Master Fund | Minimum
Redemptions and Exchanges
Minimum exchange amount		10,000

XML

RECENT ACCOUNTING PRONOUNCEMENTS

12 Months Ended

Dec. 31, 2012

RECENT ACCOUNTING PRONOUNCEMENTS

RECENT ACCOUNTING PRONOUNCEMENTS

6. RECENT ACCOUNTING PRONOUNCEMENTS

In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides for disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. The Fund is currently assessing the impact of this update on its financial statements.

HCFA Master Fund

RECENT ACCOUNTING PRONOUNCEMENTS

RECENT ACCOUNTING PRONOUNCEMENTS

7. RECENT ACCOUNTING PRONOUNCEMENTS

In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides for disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. This update has no impact on the financial statements.

XML

STATEMENTS OF CHANGES IN MEMBERS' CAPITAL (HCFA Master Fund) (USD $)	2 Months Ended		12 Months Ended
	Dec. 31, 2011		Dec. 31, 2012
Increase (Decrease) in Shareholders' Equity
Members' Capital			$ 17,499,262
Net Income (loss)	(1,606,637)		(9,597,026)
Members' Capital	17,499,262		38,996,906
Shareholders' Equity
Increase (Decrease) in Shareholders' Equity
Members' Capital			17,499,262
Members' Capital (in Units)			18,534,585
Initial Offering	27,421,551
Initial Offering (in Units)	27,421,551
Subscriptions	1,708,581		46,681,671
Subscriptions (in Units)	1,767,018		49,614,078
Redemptions	(10,024,233)		(15,587,001)
Redemptions (in Units)	(10,653,984)		(16,066,813)
Net Income (loss)	(1,606,637)		(9,597,026)
Members' Capital	17,499,262		38,996,906
Members' Capital (in Units)	18,534,585		52,081,850
HCFA Master Fund
Increase (Decrease) in Shareholders' Equity
Members' Capital			17,568,247
Members' Capital (in Units)			18,554,920
Initial Offering	25,108,176
Initial Offering (in Units)	25,108,176
Subscriptions	3,921,956		99,417,952
Subscriptions (in Units)	4,035,349		101,257,928
Redemptions	(10,024,233)		(101,625,458)
Redemptions (in Units)	(10,588,605)		(119,812,848)
Net Income (loss)	(1,437,652)		(15,360,741)
Members' Capital	17,568,247
Members' Capital (in Units)	18,554,920
HCFA Master Fund | Class DA
Increase (Decrease) in Shareholders' Equity
Members' Capital			17,568,247	[1]
Members' Capital (in Units)			18,554,920	[1]
Initial Offering	25,108,176	[1]
Initial Offering (in Units)	25,108,176	[1]
Subscriptions	3,921,956	[1]	45,082,968	[1]
Subscriptions (in Units)	4,035,349	[1]	47,141,133	[1]
Redemptions	(10,024,233)	[1]	(54,021,031)	[1]
Redemptions (in Units)	(10,588,605)	[1]	(65,696,053)	[1]
Net Income (loss)	(1,437,652)	[1]	(8,630,184)	[1]
Members' Capital	17,568,247	[1]
Members' Capital (in Units)	18,554,920	[1]
HCFA Master Fund | Class DI
Increase (Decrease) in Shareholders' Equity
Subscriptions			10,909,000	[2]
Subscriptions (in Units)			10,956,745	[2]
Redemptions			(9,777,638)	[2]
Redemptions (in Units)			(10,956,745)	[2]
Net Income (loss)			(1,131,362)	[2]
HCFA Master Fund | Class DU
Increase (Decrease) in Shareholders' Equity
Subscriptions			43,425,984	[3]
Subscriptions (in Units)			43,160,050	[3]
Redemptions			(37,826,789)	[3]
Redemptions (in Units)			(43,160,050)	[3]
Net Income (loss)			$ (5,599,195)	[3]

[1] Units issued on November 1, 2011 and collapsed December 31, 2012.

[2] Units issued on February 1, 2012 and fully liquidated September 30, 2012.

[3] Units issued on January 1, 2012 and collapsed December 31, 2012.

XML

FAIR VALUE OF INVESTMENTS (Details 2) (HCFA Master Fund, USD $)	12 Months Ended
	Dec. 31, 2012	Dec. 31, 2011
Trading profits and losses
Profit (loss) from trading, net	$ (13,895,906)	$ (1,160,391)
Agriculture
Trading profits and losses
Profit (loss) from trading, net	(9,509,275)	(167,845)
Currencies
Trading profits and losses
Profit (loss) from trading, net	1,141,450	(714,656)
Energy
Trading profits and losses
Profit (loss) from trading, net	(2,097,309)	589,939
Metals
Trading profits and losses
Profit (loss) from trading, net	$ (3,430,772)	$ (867,829)

XML

CONDENSED SCHEDULE OF INVESTMENTS (Tables) (HCFA Master Fund)

12 Months Ended

Dec. 31, 2012

HCFA Master Fund

Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations

Schedule of net unrealized profit (loss) on open contracts in the Statements of Financial Condition

December 31, 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	Profit (Loss)			Shareholders’ Equity		Contracts		Profit (Loss)			Shareholders’ Equity		on Open Positions			Shareholders’ Equity		Maturity Dates
Agriculture	707	$	(820,670	)	0.00	%	(239	)	$	45,945		0.00	%	$	(774,725	)	0.00	%	February 2013 - March 2013
Currencies	377	(284,530		)	0.00	%	—		—			0.00	%	(284,530		)	0.00	%	March 2013
Energy	288	599,893			0.00	%	(44	)	(116,420		)	0.00	%	483,473			0.00	%	January 2013 - February 2013
Metals	307	(408,218		)	0.00	%	(226	)	(300,493		)	0.00	%	(708,711		)	0.00	%	January 2013 - April 2013
Total		$	(913,525	)	0.00	%			$	(370,968	)	0.00	%	$	(1,284,493	)	0.00	%

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	Profit (Loss)			Shareholders’ Equity		Contracts		Profit (Loss)			Shareholders’ Equity		on Open Positions			Shareholders’ Equity		Maturity Dates
Agriculture	480	$	23,249		0.13	%	(487	)	$	(2,379	)	-0.01	%	$	20,870		0.12	%	February 2012 - July 2012
Currencies	112	52,150			0.30	%	—		—			0.00	%	52,150			0.30	%	March 2012
Energy	165	(194,315		)	-1.11	%	(162	)	338,464			1.93	%	144,149			0.82	%	January 2012 - April 2012
Metals	366	(1,368,821		)	-7.79	%	(357	)	624,297			3.55	%	(744,524		)	-4.24	%	January 2012 - April 2012
Total		$	(1,487,737	)	-8.47	%			$	960,382		5.47	%	$	(527,355	)	-3.00	%

XML

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

12 Months Ended

Dec. 31, 2012

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

Highbridge Commodities FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess SM Program (“FuturesAccess”) fund, was organized under the Delaware Limited Liability Company Act on June 15, 2011 and commenced trading activities on November 1, 2011. The Fund engages in the speculative trading of primarily futures contracts on a wide range of commodities.  Highbridge Capital Management, LLC (“HCM”) is the trading advisor of the Fund.

Prior to January 1, 2013 (the “Effective Date”), the Fund and BA Highbridge Commodities Fund LLC (the “BA Feeder”) were “feeder funds” in a master-feeder structure investing substantially all of their assets through Highbridge Commodities FuturesAccess Master Fund Ltd. (the “Master Fund”).  The financial statements of the HCFA Master Fund are attached to this report and should be read in conjunction with this report.  As of the Effective Date, the Fund and the Master Fund were reorganized such that the Fund became a direct-trading fund investing substantially all of its assets through an account advised by HCM rather than through the Master Fund (the “Reorganization”). In connection with the Reorganization, the units of the BA Feeder were also converted into Units of the Fund as of the Effective Date, effectively resulting in the operations of the two funds being combined.  BA Highbridge Commodities Fund LLC will be liquidated and shall subscribe to the Fund as of January 1, 2013. The Master Fund will liquidate as of January 1, 2013 and will mandatorily redeem the shares of the Master Fund held by the Fund and remit the redemption proceeds in kind.

FuturesAccess is a group of commodity pools sponsored by MLAI (each pool is a “FuturesAccess Fund” or collectively, “FuturesAccess Funds”) each of which places substantially all of its assets in a managed futures or forward trading account managed by a single or multiple commodity trading advisors. Each FuturesAccess Fund is generally similar in terms of fees, although redemption terms vary among FuturesAccess Funds.  Each of the FuturesAccess Funds implements a different trading strategy.

The Fund offers six Classes of Units:  Class A, Class C, Class I, Class D, Class Z and Class M.  Each Class of Units was offered at $1.00 per Unit during the initial offering period and subsequently is offered at the Net Asset Value per Unit. The five Classes of Units are subject to different Sponsor fees.

On December 1, 2012 the Fund opened Class M at $1.00 per Unit.  The Class M Units are for investors who are subscribing through a managed investment account program at MLPF&S and who satisfy other requirements as determined by the Sponsor from time to time. The Class M Units are not subject to an upfront sales commission and no ongoing compensation is paid to MLPF&S as selling agent. The Class M Units are not subject to Sponsor’s fees. However, a portion of the asset-based program fee applicable to a Managed Account, including the amounts invested in Class M Units, will be paid to the Managed Account’s Financial Advisor.

FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. Investors in FuturesAccess can select, allocate and reallocate capital among different FuturesAccess Funds, each advised by either a single trading advisor or by the Sponsor which then allocates capital among multiple commodity trading advisors. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

Estimates

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

Initial Offering and Organizational Costs

Organization and Offering costs are amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance. Initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

Statement of Cash Flows

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

Revenue Recognition

With respect to the period prior to the Reorganization, the Fund records its proportionate share of the HCFA Master Fund’s investment income and trading profits and losses.  Trading profits and losses include net realized, net change in unrealized and brokerage commissions.

Operating Expenses and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund.

Class A Units are subject to 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 up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount.  Sales commissions are directly deducted from subscription amounts.  Class C Units are not subject to any sales commissions.

In addition, the Fund also records its proportionate share of the Master Fund’s expenses.

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 Accounting Standard Codification (“ASC”) guidance on accounting for uncertainty in income taxes.  This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period.  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 are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2011.

Distributions

Each Member is entitled to receive, equally per Unit, any distributions which may be made by the Fund.  No such distributions have been declared for the period ended December 31, 2012 and 2011.

Subscriptions

Units are offered as of the close of business at the end of each month.  Units are purchased as of the first business day of any month at Net Asset Value, but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three calendar days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Redemptions and Exchanges

A Member may redeem or exchange any or all of such Member’s Units at Net Asset Value as of the close of business, on the last business day of any month, upon thirty eight calendar days’ notice (“notice period”).

An investor in the Fund can exchange their Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days prior notice.  The minimum exchange amount is $10,000.

Redemption requests are accepted within the notice period.  The Fund does not accept any redemption requests after the notice period.  All redemption requests received after the notice period will be processed for the following month.

Dissolution of the Fund

The Fund will dissolve if certain circumstances occur as set forth in the limited liability company operating agreement, which include:

a) Bankruptcy, dissolution, withdrawal or other termination of the last remaining manager of the Fund.

b) Any event which would make unlawful the continued existence of the Fund.

c) Withdrawal of the Sponsor unless at such time there is at least one remaining manager.

d) The determination by the Sponsor to liquidate the Fund and wind up its affairs.

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RELATED PARTY TRANSACTIONS ( HCFA Master Fund ) (Details) (HCFA Master Fund, USD $)	12 Months Ended
	Dec. 31, 2012	Dec. 31, 2011
Related Party Transactions
Minimum interest rate credited to fund by broker as a percentage of prevailing rate	75.00%
Average round-turn commission rate (in dollars per round turn)	5.85	8.54
Financial Data Services, Inc.
Related Party Transactions
Fee allocated to the Fund	$ 6,443	$ 891
Fees payable	$ 2,310	$ 0
Financial Data Services, Inc. | Minimum
Related Party Transactions
Fee rate paid by MLAI based on aggregate net assets (as a percent)	0.016%
Fee rate based on aggregate asset level (as a percent)	0.018%
Financial Data Services, Inc. | Maximum
Related Party Transactions
Fee rate paid by MLAI based on aggregate net assets (as a percent)	0.02%
Fee rate based on aggregate asset level (as a percent)	0.02%

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FAIR VALUE OF INVESTMENTS (HCFA Master Fund)

12 Months Ended

Dec. 31, 2012

HCFA Master Fund

FAIR VALUE OF INVESTMENTS

FAIR VALUE OF INVESTMENTS

3. FAIR VALUE OF INVESTMENTS

The Financial Accounting Standards Board (“FASB”) issued the Accounting Standards Codification (“ASC”) which provides authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.

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 account on the Statement of Financial Condition.  Any change in net unrealized profit or loss from the preceding period is reported in the respective Statement 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.

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 all of 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 December 31, 2012 and 2011 is as follows:

2012

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	(913,525	)	$	(1,117,092	)	$	203,567		$	—
Short	(370,968		)	(103,812		)	(267,156		)	—
	$	(1,284,493	)	$	(1,220,904	)	$	(63,589	)	$	—
Forwards
Long	$	—		$	—		$	—		$	—
Short	—			—			—			—
	$	—		$	—		$	—		$	—
December 31, 2012	$	(1,284,493	)	$	(1,220,904	)	$	(63,589	)	$	—

2011

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	(1,487,737	)	$	(884,372	)	$	(603,365	)	$	—
Short	960,382			345,200			615,182			—
	$	(527,355	)	$	(539,172	)	$	11,817		$	—
Forwards
Long	$	—		$	—		$	—		$	—
Short	—			—			—			—
	$	—		$	—		$	—		$	—
December 31, 2011	$	(527,355	)	$	(539,172	)	$	11,817		$	—

The Fund’s volume of trading forward and futures contracts at December 31, 2012 and 2011, respectively, are representative of the activity throughout the year. There were no transfers to or from Level I or Level II during 2012 and 2011.

The Fund engaged in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivatives and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments is disclosed in the Statement of Financial Condition and Statement 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 type/commodity industry sector, on derivative instruments for the year ended December 31, 2012 and the period ended December 31, 2011:

	December 31, 2012			December 31, 2011
Commodity Industry Sector	profit (loss) from trading, net			profit (loss) from trading, net
Agriculture	$	(9,509,275	)	$	(167,845	)
Currencies	1,141,450			(714,656		)
Energy	(2,097,309		)	589,939
Metals	(3,430,772		)	(867,829		)
Total	$	(13,895,906	)	$	(1,160,391	)

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.  Where a substantial portion of the Fund’s capital was 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.

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CONDENSED SCHEDULE OF INVESTMENTS (HCFA Master Fund)

12 Months Ended

Dec. 31, 2012

HCFA Master Fund

CONDENSED SCHEDULE OF INVESTMENTS

CONDENSED SCHEDULE OF INVESTMENTS

2. CONDENSED SCHEDULE OF INVESTMENTS

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

December 31, 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	Profit (Loss)			Shareholders’ Equity		Contracts		Profit (Loss)			Shareholders’ Equity		on Open Positions			Shareholders’ Equity		Maturity Dates
Agriculture	707	$	(820,670	)	0.00	%	(239	)	$	45,945		0.00	%	$	(774,725	)	0.00	%	February 2013 - March 2013
Currencies	377	(284,530		)	0.00	%	—		—			0.00	%	(284,530		)	0.00	%	March 2013
Energy	288	599,893			0.00	%	(44	)	(116,420		)	0.00	%	483,473			0.00	%	January 2013 - February 2013
Metals	307	(408,218		)	0.00	%	(226	)	(300,493		)	0.00	%	(708,711		)	0.00	%	January 2013 - April 2013
Total		$	(913,525	)	0.00	%			$	(370,968	)	0.00	%	$	(1,284,493	)	0.00	%

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	Profit (Loss)			Shareholders’ Equity		Contracts		Profit (Loss)			Shareholders’ Equity		on Open Positions			Shareholders’ Equity		Maturity Dates
Agriculture	480	$	23,249		0.13	%	(487	)	$	(2,379	)	-0.01	%	$	20,870		0.12	%	February 2012 - July 2012
Currencies	112	52,150			0.30	%	—		—			0.00	%	52,150			0.30	%	March 2012
Energy	165	(194,315		)	-1.11	%	(162	)	338,464			1.93	%	144,149			0.82	%	January 2012 - April 2012
Metals	366	(1,368,821		)	-7.79	%	(357	)	624,297			3.55	%	(744,524		)	-4.24	%	January 2012 - April 2012
Total		$	(1,487,737	)	-8.47	%			$	960,382		5.47	%	$	(527,355	)	-3.00	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Fund’s Shareholders’ Equity as of December 31, 2012.

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ADVISORY AGREEMENT (HCFA Master Fund) (Details) (HCM)	12 Months Ended
	Dec. 31, 2012 item
Advisory agreement
Number of successive renewal periods under the advisory agreement	3
Automatic renewal period of the advisory agreement	1 year
Notice period for termination of advisory agreement	90 days
Annual rate as a percentage of month-end net asset value	1.50%
Percentage of performance fee paid	15.00%
Percentage of fee payable for sponsoring and providing ongoing administration and operational support to the Fund	40.00%
HCFA Master Fund
Advisory agreement
Number of successive renewal periods under the advisory agreement	3
Automatic renewal period of the advisory agreement	1 year
Notice period for termination of advisory agreement	90 days
Management fee paid to Trading Advisor as a percentage of month-end net asset value	0.125%
Annual rate as a percentage of month-end net asset value	1.50%
Percentage of performance fee paid	15.00%
Percentage of fee payable for sponsoring and providing ongoing administration and operational support to the Fund	40.00%

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RELATED PARTY TRANSACTIONS ( HCFA Master Fund )

12 Months Ended

Dec. 31, 2012

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS

3. RELATED PARTY TRANSACTIONS

The Fund has a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. During the year, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee allocated to the Fund for the year ended December 31, 2012 and the period ended December 31, 2011 amounted to $5,283 and $891, respectively, of which $1,376 and $891 was payable to the Transfer Agent as of December 31, 2012 and 2011, respectively.

The Fund charges Sponsor Fees on the month-end net assets after all other charges. There is not a Sponsor Fee charged at the HCFA Master Fund level. The Fund’s Class A Units and Class I Units pay MLAI a Sponsor Fee of 1/12 of 1.5% and 1/12 of 1.1%, respectively, of their month-end net asset value.  Class C Units pay MLAI a monthly Sponsor Fee of 1/12 of 2.5% of their month-end net asset value.  Class D Units pay no Sponsor Fee. Net asset value, for purposes of calculating the Sponsor Fees, is calculated prior to reduction for the Sponsor’s Fee being calculated.

Sponsor fees as presented on the Statement of Operations is paid to related parties.

HCFA Master Fund

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS

4. RELATED PARTY TRANSACTIONS

The Fund has 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 perform 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. 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 period ended December 31, 2012 and 2011 amounted to $6,443 and $891, respectively, of which $2,310 and $0  was payable to the Transfer Agent as of December 31, 2012 and 2011, respectively.

The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, MLPF&S credits the Fund with interest at the most favorable rate payable by MLPF&S to accounts of BAC but not less than 75% of such prevailing rate. The Fund is credited with interest on any of its assets and net profits actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by MLPF&S.  MLPF&S may derive certain economic benefit, in excess of the interest which MLPF&S pays to the Fund, from possession of such assets.

MLPF&S charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income due to the insignificance of such amounts.

The Fund does not charge Sponsor fees. The Sponsor fees are charged at the feeder fund level. The principal operating costs of the Fund are the per-trade brokerage commissions paid to MLPF&S (a portion of which is paid to the Fund’s executing brokers, which may or may not include MLPF&S, as commissions for their execution services).

The Fund pays brokerage commissions on actual cost per round-turn. The average round-turn commission rate charged to the Fund for the year and period ended December 31, 2012 and 2011, respectively, was approximately $5.85 and $8.54, respectively (not including, in calculating round-turn, forward contracts on a futures-equivalent basis).

Brokerage Commissions, Interest and Sponsor fees as presented on the Statement of Operations are all received from or paid to related parties. Equity in commodity trading accounts, including cash and net unrealized profit/loss, as seen on the Statement of Financial Condition are held with a related party.

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ADVISORY AGREEMENT (HCFA Master Fund)

12 Months Ended

Dec. 31, 2012

ADVISORY AGREEMENT

ADVISORY AGREEMENT

4. ADVISORY AGREEMENT

The Master Fund, MLAI and HCM entered into an Amended and Restated Advisory Agreement dated as of October 31, 2011 as amended by that certain amendment dated March 30, 2012 (collectively, the “Underlying Advisory Agreement”).   The Fund, the Master Fund, MLAI and HCM entered into an Assignment and Assumption Agreement effective as of December 31, 2012 under which the Master Fund assigned all of its rights and obligations under the Underlying Advisory Agreement to the Fund. The Fund, MLAI and HCM entered into a Second Amendment to Amended and Restated Advisory Agreement effective as of January 1, 2013 (the “Second Amendment”) to reflect HCM’s trading on behalf of the Fund directly rather than through the Master Fund (the Underlying Advisory Agreement as amended by the Second Amendment, the “Advisory Agreement”).  The Advisory Agreement will continue in effect until December 31, 2013.  Thereafter, the Advisory Agreement will be automatically renewed for three successive one-year periods, on the same terms, unless terminated by HCM or the Fund upon 90 days written notice to the other party.  Pursuant to the Advisory Agreement, HCM has the sole and exclusive authority and responsibility for directing the Fund’s trading, subject to MLAI’s fiduciary authority to trade the Fund’s portfolio or otherwise intervene to effectively overrule trades, by causing the Fund to take positions opposite of existing positions, or unwind trades if MLAI deems that doing so is necessary or advisable for the protection of the Fund.

The Fund charges management fees on the month-end net asset value of each investor’s Units, after reduction for the brokerage commissions accrued with respect to such assets, and are payable to HCM at a rate equal to 1.5 % per year. HCM has agreed to share 40% of its management fees with MLAI in order to defray costs in connection with and in consideration of BAC’s providing certain administrative and support services for the Fund.

Performance fees are charged by the Fund on any New Trading Profit (as defined in the Advisory Agreement) and are payable to HCM as of the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. The Fund pays a 15% performance fee to HCM.

HCFA Master Fund

ADVISORY AGREEMENT

ADVISORY AGREEMENT

5. ADVISORY AGREEMENT

The Fund and HCM have entered into an advisory agreement. This agreement shall continue in effect until October 1, 2013.  Thereafter, this agreement shall be automatically renewed for three successive one-year periods, on the same terms, unless terminated at any time by either HCM or the Fund upon 90 days written notice to the other party before the expiration of the then-current term. HCM determines the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI. This agreement terminated when the Fund adopted its plan of liquidation.

As of the last business day of each calendar month, the Fund shall pay the Trading Advisor a management fee equal to 1/12 of 1.50% (a 1.50% annual rate) of the month-end net asset value of the Fund, prior to reduction for any accrued Incentive Fees or for the management fee being calculated.

Performance fees are charged by the Fund on any New Trading Profit, as defined in the advisory agreement, and are payable to HCM as of either the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. The HCFA Master Fund pays a 15% performance fee to HCM.

In order to help defray the costs of MLAI’s sponsoring and providing ongoing administration and operational support to the Fund, HCM will pay, or direct the Fund to pay, MLAI an amount equal to 40% of the Management Fee.

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FINANCIAL DATA HIGHLIGHTS (USD $)	2 Months Ended		12 Months Ended		2 Months Ended		12 Months Ended		1 Months Ended		12 Months Ended		2 Months Ended		12 Months Ended		2 Months Ended				1 Months Ended
	Dec. 31, 2011 Class A		Dec. 31, 2012 Class A		Dec. 31, 2011 Class C		Dec. 31, 2012 Class C		Dec. 31, 2011 Class D		Dec. 31, 2012 Class D		Dec. 31, 2011 Class I		Dec. 31, 2012 Class I		Feb. 29, 2012 Class Z		Dec. 31, 2011 Class Z		Dec. 31, 2012 Class M
Per Unit Operating Performance:
Net asset value, beginning of period or at time of offer	$ 1.0000	[1]	$ 0.9385	[1]	$ 1.0000	[1]	$ 0.9370	[1]	$ 1.0000	[2]	$ 0.9713	[2]	$ 1.0000	[1]	$ 0.9392	[1]	$ 0.9409	[1],[3]	$ 1.0000	[1]	$ 1.0000	[4]
Net realized and net change in unrealized trading profit (loss)	$ (0.0531)	[1]	$ (0.1434)		$ (0.0531)	[1]	$ (0.1418)		$ (0.0258)	[2]	$ (0.1506)		$ (0.0531)	[1]	$ (0.1440)		$ 0.0861	[3]	$ (0.0531)	[1]	$ (0.0608)	[4]
Brokerage commissions			$ (0.0029)				$ (0.0029)				$ (0.0030)				$ (0.0029)		$ (0.0006)	[3]			$ (0.0002)	[4]
Expenses	$ (0.0084)	[1]	$ (0.0488)		$ (0.0099)	[1]	$ (0.0575)		$ (0.0029)	[2]	$ (0.0366)		$ (0.0077)	[1]	$ (0.0453)		$ (0.0122)	[3]	$ (0.0060)	[1]	$ (0.0043)	[4]
Net asset value, before redemption			$ 0.7434				$ 0.7348				$ 0.7811				$ 0.7470		$ 1.0142	[3]			$ 0.9347	[4]
Less redemption distribution																	$ 1.0142	[3]
Net asset value, end of period	$ 0.9385	[1]	$ 0.7434		$ 0.9370	[1]	$ 0.7348		$ 0.9713	[2]	$ 0.7811		$ 0.9392	[1]	$ 0.7470				$ 0.9409	[1],[3]	$ 0.9347	[4]
Total Return:
Total return before Performance fees (as a percent)	(6.15%)	[1],[5]	(20.61%)	[5]	(6.30%)	[1],[5]	(21.40%)	[5]	(2.87%)	[2],[5]	(19.41%)	[5]	(6.08%)	[1],[5]	(20.29%)	[5]	8.32%	[3],[5]	(5.91%)	[1],[5]	(6.53%)	[4],[5]
Performance fees (as a percent)	0.00%	[1],[5]	(0.27%)	[5]	0.00%	[1],[5]	(0.27%)	[5]	0.00%	[2],[5]	(0.28%)	[5]	0.00%	[1],[5]	(0.27%)	[5]	(0.50%)	[3],[5]	0.00%	[1],[5]	0.00%	[4],[5]
Total return after Performance fees (as a percent)	(6.15%)	[1],[5]	(20.88%)	[5]	(6.30%)	[1],[5]	(21.67%)	[5]	(2.87%)	[2],[5]	(19.69%)	[5]	(6.08%)	[1],[5]	(20.56%)	[5]	7.82%	[3],[5]	(5.91%)	[1],[5]	(6.53%)	[4],[5]
Ratios to Average Member's Capital:
Expenses (excluding Performance fees) (as a percent)	0.86%	[1],[6]	5.06%	[6]	1.03%	[1],[6]	6.05%	[6]	0.29%	[2],[6]	3.57%	[6]	0.80%	[1],[6]	4.66%	[6]	4.39%	[3],[6]	0.62%	[1],[6]	5.26%	[4],[6]
Performance fees (as a percent)	0.00%	[1],[6]	0.26%	[6]	0.00%	[1],[6]	0.26%	[6]	0.00%	[2],[6]	0.26%	[6]	0.00%	[1],[6]	0.26%	[6]	0.49%	[3],[6]	0.00%	[1],[6]	0.00%	[4],[6]
Expenses (including Performance fees) (as a percent)	0.86%	[1],[6]	5.32%	[6]	1.03%	[1],[6]	6.31%	[6]	0.29%	[2],[6]	3.83%	[6]	0.80%	[1],[6]	4.92%	[6]	4.88%	[3],[6]	0.62%	[1],[6]	5.26%	[4],[6]
Net investment income (loss) (as a percent)	(0.86%)	[1]	(5.32%)		(1.03%)	[1]	(6.31%)		(0.29%)	[2]	(3.83%)		(0.80%)	[1]	(4.92%)		(4.88%)	[3]	(0.62%)	[1]	(5.26%)	[4]

[1] Units issued on November 1, 2011.

[2] Units issued on December 1, 2011.

[3] Units fully redeemed as of February 29, 2012

[4] Units issued on December 1, 2012.

[5] The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole. An individual members' return may vary from these returns based on timing of capital transactions.

[6] The ratios to average members' capital have been annualized. The total return ratios are not annualized. The ratios include amounts allocated from the Master Fund.

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WEIGHTED AVERAGE UNITS (HCFA Master Fund)

12 Months Ended

Dec. 31, 2012

WEIGHTED AVERAGE UNITS

WEIGHTED AVERAGE UNITS

5. WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit.  The weighted average number of Units outstanding, for each Class, for the year ended December 31, 2012 and 2011 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the period.

HCFA Master Fund

WEIGHTED AVERAGE UNITS

WEIGHTED AVERAGE UNITS

6. WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each class is computed for purposes of calculating net income (loss) per weighted average Unit.  The weighted average number of Units outstanding, for each class, for the year ended December 31, 2012 and for the period November 1, 2011 to December 31, 2011 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year. There are no units outstanding as of December 31, 2012.

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CONDENSED SCHEDULE OF INVESTMENTS (Details) (HCFA Master Fund, USD $)	Dec. 31, 2012	Dec. 31, 2011
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Net Unrealized Profit (Loss) on Open Positions	$ (1,284,493)	$ (527,355)
Percent of Shareholders' Equity	0.00%	(3.00%)
Maximum
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Percent of Shareholders' Equity	5.00%
Agriculture
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Net Unrealized Profit (Loss) on Open Positions	(774,725)	20,870
Percent of Shareholders' Equity	0.00%	0.12%
Currencies
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Net Unrealized Profit (Loss) on Open Positions	(284,530)	52,150
Percent of Shareholders' Equity	0.00%	0.30%
Energy
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Net Unrealized Profit (Loss) on Open Positions	483,473	144,149
Percent of Shareholders' Equity	0.00%	0.82%
Metals
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Net Unrealized Profit (Loss) on Open Positions	(708,711)	(744,524)
Percent of Shareholders' Equity	0.00%	(4.24%)
Long Positions
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Net Unrealized Profit (Loss) on Open Positions	(913,525)	(1,487,737)
Percent of Shareholders' Equity	0.00%	(8.47%)
Long Positions | Agriculture
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Number of Contracts/Notional	707	480
Net Unrealized Profit (Loss) on Open Positions	(820,670)	23,249
Percent of Shareholders' Equity	0.00%	0.13%
Long Positions | Currencies
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Number of Contracts/Notional	377	112
Net Unrealized Profit (Loss) on Open Positions	(284,530)	52,150
Percent of Shareholders' Equity	0.00%	0.30%
Long Positions | Energy
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Number of Contracts/Notional	288	165
Net Unrealized Profit (Loss) on Open Positions	599,893	(194,315)
Percent of Shareholders' Equity	0.00%	(1.11%)
Long Positions | Metals
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Number of Contracts/Notional	307	366
Net Unrealized Profit (Loss) on Open Positions	(408,218)	(1,368,821)
Percent of Shareholders' Equity	0.00%	(7.79%)
Short Positions
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Net Unrealized Profit (Loss) on Open Positions	(370,968)	960,382
Percent of Shareholders' Equity	0.00%	5.47%
Short Positions | Agriculture
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Number of Contracts/Notional	(239)	(487)
Net Unrealized Profit (Loss) on Open Positions	45,945	(2,379)
Percent of Shareholders' Equity	0.00%	(0.01%)
Short Positions | Currencies
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Percent of Shareholders' Equity	0.00%	0.00%
Short Positions | Energy
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Number of Contracts/Notional	(44)	(162)
Net Unrealized Profit (Loss) on Open Positions	(116,420)	338,464
Percent of Shareholders' Equity	0.00%	1.93%
Short Positions | Metals
Master Fund's Statement of Financial Condition and Schedule of Investments and Statement of Operations
Number of Contracts/Notional	(226)	(357)
Net Unrealized Profit (Loss) on Open Positions	$ (300,493)	$ 624,297
Percent of Shareholders' Equity	0.00%	3.55%

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STATEMENTS OF FINANCIAL CONDITION (USD $)	Dec. 31, 2012	Dec. 31, 2011
ASSETS:
Investment in Highbridge Commodities FuturesAccess Master Fund LTD		$ 17,568,247
Receivable from Highbridge Commodities FuturesAccess Master Fund LTD	39,709,301	10,024,233
Cash	33,998	18,038
Other assets	75,000	33,955
TOTAL ASSETS	39,818,299	27,644,473
LIABILITIES:
Sponsor fee payable	53,701	5,006
Redemptions payable	592,620	10,024,233
Other liabilities	175,072	115,972
Total liabilities	821,393	10,145,211
MEMBERS' CAPITAL:
Members' Capital (52,081,850 Units and 18,534,585 Units)	38,996,906	17,499,262
Total members' capital	38,996,906	17,499,262
TOTAL LIABILITIES AND MEMBERS' CAPITAL	$ 39,818,299	$ 27,644,473

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STATEMENTS OF OPERATIONS (Parenthetical) (USD $)	2 Months Ended	12 Months Ended
	Dec. 31, 2011	Dec. 31, 2012
STATEMENTS OF OPERATIONS
Brokerage commission on futures contracts	$ 16,544	$ 98,163

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SUBSEQUENT EVENT (HCFA Master Fund)

12 Months Ended

Dec. 31, 2012

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS

8. SUBSEQUENT EVENT

As discussed in Note 1 the transfer of the net assets of BA Highbridge Commodities Fund LLC and the HCFA Master Fund took place on January 1, 2013.

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

HCFA Master Fund

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS

9. SUBSEQUENT EVENTS

As discussed in Note 1 the transfer of the Fund’s net assets to the onshore fund officially took place on January 1, 2013.

Management has evaluated the impact of subsequent events on the Fund through March 27, 2013, the date the financial statements were available to be issued, and has determined that there were no other subsequent events that require adjustments to, or disclosure in, the financial statements.

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STATEMENTS OF FINANCIAL CONDITION - NET ASSET VALUE PER UNIT (HCFA Master Fund) (HCFA Master Fund, USD $)	Dec. 31, 2011 Class DA		Oct. 31, 2011 Class DA		Jan. 31, 2012 Class DI		Dec. 31, 2011 Class DU
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)	$ 0.9468	[1],[2]	$ 1.000	[1]	$ 1.0000	[3]	$ 1.0000	[4]

[1] Units issued on November 1, 2011.

[2] Units collapsed December 31, 2012.

[3] Units issued on February 1, 2012 and fully liquidated September 30, 2012.

[4] Units issued on January 1, 2012 and collapsed December 31, 2012.

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SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (HCFA Master Fund) (Policies)

12 Months Ended

Dec. 31, 2012

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Estimates

Estimates

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

Initial Offering and Organizational Costs

Initial Offering and Organizational Costs

Organization and Offering costs are amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance. Initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

Statement of Cash Flows

Statement of Cash Flows

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

Revenue Recognition

Revenue Recognition

With respect to the period prior to the Reorganization, the Fund records its proportionate share of the HCFA Master Fund’s investment income and trading profits and losses.  Trading profits and losses include net realized, net change in unrealized and brokerage commissions.

Operating Expenses and Selling Commissions

Operating Expenses and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund.

Class A Units are subject to 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 up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount.  Sales commissions are directly deducted from subscription amounts.  Class C Units are not subject to any sales commissions.

In addition, the Fund also records its proportionate share of the Master Fund’s expenses.

Income Taxes

Income Taxes

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

The Fund follows the Accounting Standard Codification (“ASC”) guidance on accounting for uncertainty in income taxes.  This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period.  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 are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2011.

Distributions

Distributions

Each Member is entitled to receive, equally per Unit, any distributions which may be made by the Fund.  No such distributions have been declared for the period ended December 31, 2012 and 2011.

Subscriptions

Subscriptions

Units are offered as of the close of business at the end of each month.  Units are purchased as of the first business day of any month at Net Asset Value, but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three calendar days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Redemptions and Exchanges

Redemptions and Exchanges

A Member may redeem or exchange any or all of such Member’s Units at Net Asset Value as of the close of business, on the last business day of any month, upon thirty eight calendar days’ notice (“notice period”).

An investor in the Fund can exchange their Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days prior notice.  The minimum exchange amount is $10,000.

Redemption requests are accepted within the notice period.  The Fund does not accept any redemption requests after the notice period.  All redemption requests received after the notice period will be processed for the following month.

HCFA Master Fund

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Estimates

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) on a liquidation basis. Liquidation basis financial statements required 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. All estimated expenses have been accrued for as of December 31, 2012 in accordance with U.S. GAAP on a liquidation basis.  Actual results could have differed from those estimates and such differences could have been material.

Initial Offering and Organizational Costs

Initial Offering and Organizational Costs

Organization and Offering costs were amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance. Initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

Statement of Cash Flows

Statement of Cash Flows

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

Revenue Recognition

Revenue Recognition

Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statement of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss), net in the Statement of Operations.

Trading profit (loss) includes brokerage commission costs on commodity contracts.

Foreign Currency Transactions

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the date of the Statement of Financial Condition.  Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses resulting from the translation to U.S. dollars are included in Trading profit (loss) in the Statement of Operations.

Equity in Commodity Trading Accounts

Equity in Commodity Trading Accounts

A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements.

Operating Expenses and Selling Commissions

Operating Expenses and Selling Commissions

The Fund paid for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund.

Income Taxes

Income Taxes

The Fund should not be subject to U.S. Federal income taxes on income or gains from its trading (except in respect of any U.S. source dividends received in the course of such trading), provided that they did not engage in a trade or business within the United States to which such income or gains were effectively connected. Pursuant to a safe harbor rule under the U.S. tax code, a foreign corporation which traded securities or commodities for its own account should not be treated as engaged in a trade or business within the United States, provided that the foreign corporation was not a dealer in securities or commodities. The Fund and HCM conduct business in a manner so as to have met the requirements of the safe harbor rule.

The Fund has obtained an undertaking from the Cayman Islands’ authorities that, for a period of 20 years starting from July 26, 2011, no law which is enacted in the Cayman Islands imposing any tax or duty to be levied on income, profits, gains, or appreciation shall apply to the Fund or its operations, and no such tax or any tax in the nature of estate duty or inheritance tax shall be payable on or in respect of the Shares, debentures or other obligations of the Fund or by way of withholding in whole or in part of any payment of dividends or other distributions of income or of capital by the Fund to its Shareholders or any payment of principal or interest or other sums due under a debenture or other obligation of the Fund.

Distributions

Distributions

Each Shareholder was entitled to receive, equally per Share, any distributions which would have been made by the Fund.  No such distributions have been declared for the year and period ended December 31, 2012 and 2011, respectively.

Subscriptions

Subscriptions

Shares were offered as of the close of business at the end of each month. Shares were purchased as of the first business day of any month at Net Asset Value, but the subscription request were submitted at least three calendar days before the end of the preceding month. Subscriptions submitted less than three calendar days before the end of a month would have been applied to Shares subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Subscriptions were suspended on December 18, 2012 when the Fund adopted the liquidation basis of accounting.

Redemptions and Exchanges

Redemptions and Exchanges

A Shareholder may have redeemed or exchanged any or all of such Shareholder’s Shares at Net Asset Value as of the close of business, on the last business day of any month upon thirty eight calendar days’ notice (“notice period”).

A Shareholder in the Fund could have exchanged their Shares for Shares of the same Class in other Program Funds as of the beginning of each calendar month, upon thirty eight calendar days’ notice.  The minimum exchange amount was $10,000.

Redemption requests were accepted within the notice period.  The Fund did not accept any redemption requests after the notice period.  All redemption requests received after the notice period would have been processed for the following month.

Dissolution of the Fund and Basis of Presentation

Dissolution of the Fund and Basis of Presentation

On December 18, 2012, a Restructuring Agreement was among and executed by MLAI, the BA Feeder Fund, the Onshore Fund and the Fund. The Restructuring Agreement is to restructure the Funds such that the BA Feeder Fund will be liquidated and then the existing shareholders shall subscribe to the Onshore Fund as of January 1, 2013 (the “Effective Date”). The Fund on the effective date will contribute substantially all of its assets, including unamortized organizational and initial offering costs, cash (excluding only such cash as the BA Feeder Fund deems necessary to pay liquidation expenses) and its shares in the Fund to the Onshore Fund.  The Fund will liquidate and immediately following the BA Feeder Fund distribution, the Fund shall mandatorily redeem the shares of the Fund held by the Onshore Fund and pay the redemption proceeds in kind through the transfer of:

· cash from its account at MLPF&S or other custodian (except such cash as is necessary to pay liquidation expenses) to the account of the Onshore Fund or other custodian: and

· the open commodity positions in its account at MLPF&S to the account of the Onshore Fund.

Liquidation Basis of Accounting

Liquidation Basis of Accounting

As a result of the decision to place the fund into liquidation, the Fund changed its basis of accounting to be presented under the liquidation basis of accounting, which is another comprehensive basis of accounting under accounting principles generally accepted in the United States of America. Accordingly, the net assets of the Fund at December 31, 2012 are stated at liquidation value, i.e., the assets have been valued at their estimated fair values, and the liabilities include estimated amounts to be incurred through the date of liquidation of the Fund, which is in conformity with accounting principles generally accepted in the United States.

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STATEMENTS OF OPERATIONS (HCFA Master Fund) (USD $)	2 Months Ended		12 Months Ended
	Dec. 31, 2011		Dec. 31, 2012
TRADING PROFIT (LOSS):
Realized, net	$ (633,036)		$ (7,468,034)
Change in unrealized, net	(527,355)		(387,404)
Brokerage commissions	(16,544)		(98,163)
EXPENSES:
Other	161,972		469,583
Total Fund expenses	168,985		966,841
NET INVESTMENT INCOME PROFIT (LOSS)	(429,702)		(1,643,425)
NET PROFIT (LOSS)	(1,606,637)		(9,597,026)
HCFA Master Fund
TRADING PROFIT (LOSS):
Realized, net	(633,036)		(13,138,768)
Change in unrealized, net	(527,355)		(757,138)
Brokerage commissions	(16,544)		(185,858)
Total trading profit (loss), net	(1,176,935)		(14,081,764)
EXPENSES:
Management fee	65,076		906,749
Performance fee			26,577
Other	195,641		345,651
Total Fund expenses	260,717		1,278,977
NET INVESTMENT INCOME PROFIT (LOSS)	(260,717)		(1,278,977)
NET PROFIT (LOSS)	(1,437,652)		(15,360,741)
HCFA Master Fund | Class DA
EXPENSES:
NET PROFIT (LOSS)	$ (1,437,652)	[1]
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	27,125,851	[2]	35,345,663	[2]
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0530)	[2]	$ (0.2442)	[2]
HCFA Master Fund | Class DI
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)			10,556,473	[3]
Net income (loss) per weighted average Unit (in dollars per unit)			$ (0.1072)	[3]
HCFA Master Fund | Class DU
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)			23,044,837	[4]
Net income (loss) per weighted average Unit (in dollars per unit)			$ (0.2430)	[4]

[1] Units issued on November 1, 2011 and collapsed December 31, 2012.

[2] Units issued on November 1, 2011 and collapsed December 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 December 31, 2012 and for the period November 1, 2011 to December 31, 2011.)

[3] Units issued on February 1, 2012 and fully liquidated 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 February 1, 2012 to September 30, 2012.)

[4] Units issued on January 1, 2012 and collapsed December 31, 2012. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the year 2012.)

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STATEMENTS OF CHANGES IN MEMBERS' CAPITAL (USD $)	2 Months Ended		12 Months Ended
	Dec. 31, 2011		Dec. 31, 2012
Increase (Decrease) in Members' Capital
Members' Capital			$ 17,499,262
Net Income (loss)	(1,606,637)		(9,597,026)
Members' Capital	17,499,262		38,996,906
Members' Capital
Increase (Decrease) in Members' Capital
Members' Capital			17,499,262
Members' Capital (in Units)			18,534,585
Initial Offering	27,421,551
Initial Offering (in Units)	27,421,551
Subscriptions	1,708,581		46,681,671
Subscriptions (in Units)	1,767,018		49,614,078
Redemptions	(10,024,233)		(15,587,001)
Redemptions (in Units)	(10,653,984)		(16,066,813)
Net Income (loss)	(1,606,637)		(9,597,026)
Members' Capital	17,499,262		38,996,906
Members' Capital (in Units)	18,534,585		52,081,850
Class A
Increase (Decrease) in Members' Capital
Members' Capital			1,001,468	[1]
Members' Capital (in Units)			1,067,047	[1]
Initial Offering	611,175	[1]
Initial Offering (in Units)	611,175	[1]
Subscriptions	441,056	[1]	11,967,132	[1]
Subscriptions (in Units)	455,872	[1]	12,560,195	[1]
Redemptions			(1,398,358)	[1]
Redemptions (in Units)			(1,705,223)	[1]
Net Income (loss)	(50,763)	[1]	(2,706,949)	[1]
Members' Capital	1,001,468	[1]	8,863,293	[1]
Members' Capital (in Units)	1,067,047	[1]	11,922,019	[1]
Class C
Increase (Decrease) in Members' Capital
Members' Capital			1,741,170	[1]
Members' Capital (in Units)			1,858,272	[1]
Initial Offering	609,151	[1]
Initial Offering (in Units)	609,151	[1]
Subscriptions	1,232,525	[1]	21,780,482	[1]
Subscriptions (in Units)	1,274,982	[1]	23,505,081	[1]
Redemptions	(24,232)	[1]	(912,425)	[1]
Redemptions (in Units)	(25,861)	[1]	(1,113,172)	[1]
Net Income (loss)	(76,274)	[1]	(4,789,105)	[1]
Members' Capital	1,741,170	[1]	17,820,122	[1]
Members' Capital (in Units)	1,858,272	[1]	24,250,181	[1]
Class D
Increase (Decrease) in Members' Capital
Members' Capital			2,246,958	[2]
Members' Capital (in Units)			2,313,375	[2]
Initial Offering	2,313,375	[2]
Initial Offering (in Units)	2,313,375	[2]
Subscriptions			5,946,957	[2]
Subscriptions (in Units)			6,251,307	[2]
Net Income (loss)	(66,417)	[2]	(1,504,458)	[2]
Members' Capital	2,246,958	[2]	6,689,457	[2]
Members' Capital (in Units)	2,313,375	[2]	8,564,682	[2]
Class I
Increase (Decrease) in Members' Capital
Members' Capital			73,268	[1]
Members' Capital (in Units)			78,014	[1]
Initial Offering	41,850	[1]
Initial Offering (in Units)	41,850	[1]
Subscriptions	35,000	[1]	6,254,268	[1]
Subscriptions (in Units)	36,164	[1]	6,564,663	[1]
Redemptions			(23,907)	[1]
Redemptions (in Units)			(30,541)	[1]
Net Income (loss)	(3,582)	[1]	(1,364,583)	[1]
Members' Capital	73,268	[1]	4,939,046	[1]
Members' Capital (in Units)	78,014	[1]	6,612,136	[1]
Class Z
Increase (Decrease) in Members' Capital
Members' Capital			12,436,398	[3]
Members' Capital (in Units)			13,217,877	[3]
Initial Offering	23,846,000	[3]
Initial Offering (in Units)	23,846,000	[3]
Redemptions	(10,000,001)	[3]	(13,252,311)	[3]
Redemptions (in Units)	(10,628,123)	[3]	(13,217,877)	[3]
Net Income (loss)	(1,409,601)	[3]	815,913	[3]
Members' Capital	12,436,398	[3]
Members' Capital (in Units)	13,217,877	[3]
Class M
Increase (Decrease) in Members' Capital
Subscriptions			732,832	[4]
Subscriptions (in Units)			732,832	[4]
Net Income (loss)			(47,844)	[4]
Members' Capital			$ 684,988	[4]
Members' Capital (in Units)			732,832	[4]

[1] Units issued on November 1, 2011.

[2] Units issued on December 1, 2011.

[3] Units issued on November 1, 2011 and Units fully redeemed as of February 29, 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 February 29, 2012.)

[4] Units issued on December 1, 2012.

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STATEMENTS OF FINANCIAL CONDITION - NET ASSET VALUE PER UNIT (USD $)	Dec. 31, 2012 Class A	Dec. 31, 2011 Class A		Oct. 31, 2011 Class A		Dec. 31, 2012 Class C	Dec. 31, 2011 Class C		Oct. 31, 2011 Class C		Dec. 31, 2012 Class D	Dec. 31, 2011 Class D		Nov. 30, 2011 Class D		Dec. 31, 2012 Class I	Dec. 31, 2011 Class I		Oct. 31, 2011 Class I		Dec. 31, 2011 Class Z		Oct. 31, 2011 Class Z		Dec. 31, 2012 Class M		Dec. 01, 2012 Class M
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit) (Based on 52,081,850 and 18,534,585 Units outstanding, unlimited Units authorized)	$ 0.7434	$ 0.9385	[1]	$ 1.0000	[1]	$ 0.7348	$ 0.9370	[1]	$ 1.0000	[1]	$ 0.7811	$ 0.9713	[2]	$ 1.0000	[2]	$ 0.7470	$ 0.9392	[1]	$ 1.0000	[1]	$ 0.9409	[1],[3]	$ 1.0000	[1]	$ 0.9347	[4]	$ 1.0000	[4]

[1] Units issued on November 1, 2011.

[2] Units issued on December 1, 2011.

[3] Units fully redeemed as of February 29, 2012

[4] Units issued on December 1, 2012.

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SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies)

12 Months Ended

Dec. 31, 2012

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Estimates

Estimates

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

Initial Offering and Organizational Costs

Initial Offering and Organizational Costs

Organization and Offering costs are amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance. Initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

Statement of Cash Flows

Statement of Cash Flows

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

Revenue Recognition

Revenue Recognition

With respect to the period prior to the Reorganization, the Fund records its proportionate share of the HCFA Master Fund’s investment income and trading profits and losses.  Trading profits and losses include net realized, net change in unrealized and brokerage commissions.

Operating Expenses and Selling Commissions

Operating Expenses and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund.

Class A Units are subject to 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 up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount.  Sales commissions are directly deducted from subscription amounts.  Class C Units are not subject to any sales commissions.

In addition, the Fund also records its proportionate share of the Master Fund’s expenses.

Income Taxes

Income Taxes

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

The Fund follows the Accounting Standard Codification (“ASC”) guidance on accounting for uncertainty in income taxes.  This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period.  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 are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2011.

Distributions

Distributions

Each Member is entitled to receive, equally per Unit, any distributions which may be made by the Fund.  No such distributions have been declared for the period ended December 31, 2012 and 2011.

Subscriptions

Subscriptions

Units are offered as of the close of business at the end of each month.  Units are purchased as of the first business day of any month at Net Asset Value, but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three calendar days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Redemptions and Exchanges

Redemptions and Exchanges

A Member may redeem or exchange any or all of such Member’s Units at Net Asset Value as of the close of business, on the last business day of any month, upon thirty eight calendar days’ notice (“notice period”).

An investor in the Fund can exchange their Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days prior notice.  The minimum exchange amount is $10,000.

Redemption requests are accepted within the notice period.  The Fund does not accept any redemption requests after the notice period.  All redemption requests received after the notice period will be processed for the following month.

Dissolution of the Fund

Dissolution of the Fund

The Fund will dissolve if certain circumstances occur as set forth in the limited liability company operating agreement, which include:

a) Bankruptcy, dissolution, withdrawal or other termination of the last remaining manager of the Fund.

b) Any event which would make unlawful the continued existence of the Fund.

c) Withdrawal of the Sponsor unless at such time there is at least one remaining manager.

d) The determination by the Sponsor to liquidate the Fund and wind up its affairs.

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Document and Entity Information (USD $)	12 Months Ended
	Dec. 31, 2012
Document and Entity Information
Entity Registrant Name	Highbridge Commodities FuturesAccess LLC
Entity Central Index Key	0001534977
Document Type	10-K
Document Period End Date	Dec. 31, 2012
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Smaller Reporting Company
Entity Public Float	$ 0
Entity Common Stock, Shares Outstanding	52,081,850
Document Fiscal Year Focus	2012
Document Fiscal Period Focus	FY

XML

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details) (USD $)	12 Months Ended			12 Months Ended				12 Months Ended		12 Months Ended
	Dec. 31, 2012 item	Dec. 31, 2012 Minimum item	Dec. 31, 2012 Class A	Dec. 31, 2012 Class A Minimum	Dec. 31, 2012 Class A Maximum	Dec. 31, 2012 Class C	Dec. 31, 2012 Class I	Dec. 31, 2012 Class I Maximum	Dec. 31, 2012 Class D	Dec. 31, 2012 Class D Maximum	Dec. 31, 2012 Class Z	Dec. 31, 2012 Class M	Dec. 01, 2012 Class M
Organization
Number of funds in operations reorganized	2
Number of classes of units	6
Initial offering price per unit			$ 1.00			$ 1.00	$ 1.00		$ 1.00		$ 1.00	$ 1.00	$ 1.00
Number of classes of units that are subject to different Sponsor fees	5
Initial Offering and Organizational Costs
Amortization period for organization and offering costs for operational and investor trading purposes	60 months
Amortization period for organization and offering costs for financial reporting purposes	12 months
Operating Expenses and Selling Commissions
Percentage of sales commission paid to broker				1.00%	2.50%			0.50%		0.50%
Subscriptions
Minimum period for subscription of units before end of preceding month	3 days
Redemptions and Exchanges
Minimum notice period for redemption or exchange of units	38 days
Minimum notice period for exchange of units	10 days
Minimum exchange amount		$ 10,000
Dissolution of the Fund
Number of managers to remain to avoid dissolution of the fund		1

XML

STATEMENTS OF FINANCIAL CONDITION (Parenthetical)	Dec. 31, 2012	Dec. 31, 2011
STATEMENTS OF FINANCIAL CONDITION
Units outstanding	52,081,850	18,534,585

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ADVISORY AGREEMENT

12 Months Ended

Dec. 31, 2012

ADVISORY AGREEMENT

ADVISORY AGREEMENT

4. ADVISORY AGREEMENT

The Master Fund, MLAI and HCM entered into an Amended and Restated Advisory Agreement dated as of October 31, 2011 as amended by that certain amendment dated March 30, 2012 (collectively, the “Underlying Advisory Agreement”).   The Fund, the Master Fund, MLAI and HCM entered into an Assignment and Assumption Agreement effective as of December 31, 2012 under which the Master Fund assigned all of its rights and obligations under the Underlying Advisory Agreement to the Fund. The Fund, MLAI and HCM entered into a Second Amendment to Amended and Restated Advisory Agreement effective as of January 1, 2013 (the “Second Amendment”) to reflect HCM’s trading on behalf of the Fund directly rather than through the Master Fund (the Underlying Advisory Agreement as amended by the Second Amendment, the “Advisory Agreement”).  The Advisory Agreement will continue in effect until December 31, 2013.  Thereafter, the Advisory Agreement will be automatically renewed for three successive one-year periods, on the same terms, unless terminated by HCM or the Fund upon 90 days written notice to the other party.  Pursuant to the Advisory Agreement, HCM has the sole and exclusive authority and responsibility for directing the Fund’s trading, subject to MLAI’s fiduciary authority to trade the Fund’s portfolio or otherwise intervene to effectively overrule trades, by causing the Fund to take positions opposite of existing positions, or unwind trades if MLAI deems that doing so is necessary or advisable for the protection of the Fund.

The Fund charges management fees on the month-end net asset value of each investor’s Units, after reduction for the brokerage commissions accrued with respect to such assets, and are payable to HCM at a rate equal to 1.5 % per year. HCM has agreed to share 40% of its management fees with MLAI in order to defray costs in connection with and in consideration of BAC’s providing certain administrative and support services for the Fund.

Performance fees are charged by the Fund on any New Trading Profit (as defined in the Advisory Agreement) and are payable to HCM as of the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable percentage of any New Trading Profit attributable to such Units. The Fund pays a 15% performance fee to HCM.

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RELATED PARTY TRANSACTIONS

12 Months Ended

Dec. 31, 2012

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS

3. RELATED PARTY TRANSACTIONS

The Fund has a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. During the year, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee allocated to the Fund for the year ended December 31, 2012 and the period ended December 31, 2011 amounted to $5,283 and $891, respectively, of which $1,376 and $891 was payable to the Transfer Agent as of December 31, 2012 and 2011, respectively.

The Fund charges Sponsor Fees on the month-end net assets after all other charges. There is not a Sponsor Fee charged at the HCFA Master Fund level. The Fund’s Class A Units and Class I Units pay MLAI a Sponsor Fee of 1/12 of 1.5% and 1/12 of 1.1%, respectively, of their month-end net asset value.  Class C Units pay MLAI a monthly Sponsor Fee of 1/12 of 2.5% of their month-end net asset value.  Class D Units pay no Sponsor Fee. Net asset value, for purposes of calculating the Sponsor Fees, is calculated prior to reduction for the Sponsor’s Fee being calculated.

Sponsor fees as presented on the Statement of Operations is paid to related parties.

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STATEMENTS OF FINANCIAL CONDITION (Parenthetical) (HCFA Master Fund) (USD $)	Dec. 31, 2012	Dec. 31, 2011
Units outstanding	52,081,850	18,534,585
HCFA Master Fund
Cash, restricted cash (in dollars)	5,369,620	3,818,791
Units outstanding	0	18,554,920

XML

RELATED PARTY TRANSACTIONS (Details) (USD $)	12 Months Ended
	Dec. 31, 2012	Dec. 31, 2011
Class A
Related party transactions
Annual percentage of sponsor fees charged by the Fund based on month-end net assets	0.125%
Class I
Related party transactions
Annual percentage of sponsor fees charged by the Fund based on month-end net assets	0.092%
Class C
Related party transactions
Annual percentage of sponsor fees charged by the Fund based on month-end net assets	0.208%
Financial Data Services, Inc.
Related party transactions
Fee allocated to the Fund	$ 5,283	$ 891
Fees payable	$ 1,376	$ 891
Financial Data Services, Inc. | Minimum
Related party transactions
Fee rate paid by MLAI based on aggregate net assets (as a percent)	0.016%
Fee rate based on aggregate asset level (as a percent)	0.018%
Financial Data Services, Inc. | Maximum
Related party transactions
Fee rate paid by MLAI based on aggregate net assets (as a percent)	0.02%
Fee rate based on aggregate asset level (as a percent)	0.02%

XML

MARKET AND CREDIT RISKS

12 Months Ended

Dec. 31, 2012

MARKET AND CREDIT RISKS

MARKET AND CREDIT RISKS

7. MARKET AND CREDIT RISKS

With respect to the period prior to the Reorganization, the Fund was affected by the market and credit risks to which the HCFA Master is subject.   These risks are discussed in the notes to the HCFA Master Fund financial statements included in this report.

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 expected the risk of loss to be remote and, therefore, no provision has been recorded.

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WEIGHTED AVERAGE UNITS

12 Months Ended

Dec. 31, 2012

WEIGHTED AVERAGE UNITS

WEIGHTED AVERAGE UNITS

5. WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit.  The weighted average number of Units outstanding, for each Class, for the year ended December 31, 2012 and 2011 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the period.

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RECENT ACCOUNTING PRONOUNCEMENTS

12 Months Ended

Dec. 31, 2012

RECENT ACCOUNTING PRONOUNCEMENTS

RECENT ACCOUNTING PRONOUNCEMENTS

6. RECENT ACCOUNTING PRONOUNCEMENTS

In December 2011, the FASB issued an update to Disclosures about Offsetting Assets and Liabilities. This update enhances disclosures and provides for disclosures about financial instruments and derivative instruments that are either offset on the statement of financial condition or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset on the statement of financial condition.  Entities are required to provide both net and gross information for these assets and liabilities.  An entity is required to apply the required disclosures for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.  An entity should provide the disclosures required by this update retrospectively for all comparative periods presented. The Fund is currently assessing the impact of this update on its financial statements.

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SUBSEQUENT EVENT

12 Months Ended

Dec. 31, 2012

SUBSEQUENT EVENT

SUBSEQUENT EVENT

8. SUBSEQUENT EVENT

As discussed in Note 1 the transfer of the net assets of BA Highbridge Commodities Fund LLC and the HCFA Master Fund took place on January 1, 2013.

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

XML

MARKET AND CREDIT RISKS (HCFA Master Fund)

12 Months Ended

Dec. 31, 2012

MARKET AND CREDIT RISKS

MARKET AND CREDIT RISKS

7. MARKET AND CREDIT RISKS

With respect to the period prior to the Reorganization, the Fund was affected by the market and credit risks to which the HCFA Master is subject.   These risks are discussed in the notes to the HCFA Master Fund financial statements included in this report.

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 expected the risk of loss to be remote and, therefore, no provision has been recorded.

HCFA Master Fund

MARKET AND CREDIT RISKS

MARKET AND CREDIT RISKS

8. 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 Statement 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 HCM, 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 HCM to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected to be unusual.  It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of advisor monitoring, with the market risk controls being applied by HCM.

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 Statement of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.

The Fund, in its normal course of business, enters into various contracts with MLPF&S acting as its commodity broker.  Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Equity in commodity trading accounts on the Statement of Financial Condition.

Commitments and Contingencies

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 expected the risk of loss to be remote and, therefore, no provision has been recorded.

The Fund complied with the authoritative guidance on Accounting for Income Taxes which prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. MLAI analyzed the Fund’s tax positions taken on income tax returns in all jurisdictions for all open tax years (since inception date) and concluded that no provision for income tax is required in the Fund’s financial statements. MLAI is not aware of any tax events that are likely to occur in the next twelve months that would result in the amount of any unrecognized tax benefits or liabilities significantly increasing or decreasing for the Fund.

The Fund was considered a partnership for tax purposes and as such the income or loss is passed through to the Shareholders of the Fund. To the extent that the Fund may have taken an uncertain tax position in an associated tax exposure, any impact of this resulting exposure would be passed on to the Shareholders of the Fund.

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STATEMENTS OF FINANCIAL CONDITION (HCFA Master Fund) (USD $)	Dec. 31, 2012	Dec. 31, 2011
Equity in commodity trading accounts:
Cash	$ 33,998	$ 18,038
Other assets	75,000	33,955
TOTAL ASSETS	39,818,299	27,644,473
LIABILITIES:
Advisory fees payable	53,701	5,006
Redemptions payable	592,620	10,024,233
Other liabilities	175,072	115,972
Total liabilities	821,393	10,145,211
Shareholders Equity:
Shareholders' Equity (0 Units and 18,554,920 Units outstanding, unlimited Units authorized)	38,996,906	17,499,262
Total members' capital	38,996,906	17,499,262
TOTAL LIABILITIES AND MEMBERS' CAPITAL	39,818,299	27,644,473
HCFA Master Fund
Equity in commodity trading accounts:
Cash (including restricted cash of $5,369,620 for 2012 and $3,818,791 for 2011)	7,372,774	27,850,419
Net unrealized profit on open futures contracts	420	11,817
Cash	59,612,452	453,090
Other assets	100,000	10,000
TOTAL ASSETS	67,085,646	28,325,326
LIABILITIES:
Net unrealized loss on open futures contracts	1,284,913	539,172
Advisory fees payable	81,977	34,534
Redemptions payable	65,499,227	10,024,233
Other liabilities	219,529	159,140
Total liabilities	67,085,646	10,757,079
Shareholders Equity:
Shareholders' Equity (0 Units and 18,554,920 Units outstanding, unlimited Units authorized)		17,568,247
Total members' capital		17,568,247
TOTAL LIABILITIES AND MEMBERS' CAPITAL	$ 67,085,646	$ 28,325,326

XML

FINANCIAL DATA HIGHLIGHTS (HCFA Master Fund) (HCFA Master Fund, USD $)	2 Months Ended		12 Months Ended		8 Months Ended		12 Months Ended
	Dec. 31, 2011 Class DA		Dec. 31, 2012 Class DA		Sep. 30, 2012 Class DI		Dec. 31, 2012 Class DU
Per Unit Operating Performance:
Net asset value, beginning of period or at time of offer	$ 1.000	[1]	$ 0.9468	[1],[2]	$ 1.0000	[3]	$ 1.0000	[4]
Net realized and net change in unrealized trading profit (loss)	$ (0.0429)	[1]	$ (0.1491)	[2]	$ (0.0935)	[3]	$ (0.1565)	[4]
Brokerage commissions	$ (0.0006)	[1]	$ (0.0030)	[2]	$ (0.0022)	[3]	$ (0.0031)	[4]
Expenses	$ (0.0097)	[1]	$ (0.0227)	[2]	$ (0.0137)	[3]	$ (0.0264)	[4]
Net asset value, before redemption			$ 0.7720	[2]	$ 0.8906	[3]	$ 0.8140	[4]
Less redemption distribution			$ 0.7720	[2]	$ 0.8906	[3]	$ 0.8140	[4]
Net asset value, end of period	$ 0.9468	[1],[2]
Total Return:
Total return before Performance fees (as a percent)	(5.32%)	[1],[5]	(18.27%)	[2],[5]	(10.98%)	[3],[5]	(18.27%)	[4],[5]
Performance fees (as a percent)	0.00%	[1],[5]	(0.29%)	[2],[5]	(0.01%)	[3],[5]	(0.58%)	[4],[5]
Total return after Performance fees (as a percent)	(5.32%)	[1],[5]	(18.56%)	[2],[5]	(10.99%)	[3],[5]	(18.85%)	[4],[5]
Ratios to Average Shareholder's Equity:
Expenses (excluding Performance fees) (as a percent)	0.99%	[1],[6]	2.12%	[2],[6]	2.13%	[3],[6]	2.12%	[4],[6]
Performance fees (as a percent)	0.00%	[1],[6]	0.26%	[2],[6]	0.00%	[3],[6]	0.49%	[4],[6]
Expenses (including Performance fees) (as a percent)	0.99%	[1],[6]	2.38%	[2],[6]	2.13%	[3],[6]	2.61%	[4],[6]
Net investment income (loss) (as a percent)	(0.99%)	[1]	(2.38%)	[2]	(2.13%)	[3]	(2.61%)	[4]

[1] Units issued on November 1, 2011.

[2] Units collapsed December 31, 2012.

[3] Units issued on February 1, 2012 and fully liquidated September 30, 2012.

[4] Units issued on January 1, 2012 and collapsed December 31, 2012.

[5] The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole. An individual shareholders' return may vary from these returns based on timing of capital transactions.

[6] The ratios to average shareholders' capital have been annualized. The total return ratios are not annualized.

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FAIR VALUE OF INVESTMENTS (Details) (HCFA Master Fund, USD $)	Dec. 31, 2012	Dec. 31, 2011
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	$ (1,284,493)	$ (527,355)
Long
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(913,525)	(1,487,737)
Short
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(370,968)	960,382
Total
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(1,284,493)	(527,355)
Total | Futures
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(1,284,493)	(527,355)
Total | Futures | Long
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(913,525)	(1,487,797)
Total | Futures | Short
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(370,968)	960,382
Level I
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(1,220,904)	(539,172)
Level I | Futures
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(1,220,904)	(539,172)
Level I | Futures | Long
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(1,117,092)	(884,372)
Level I | Futures | Short
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(103,812)	345,200
Level II
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(63,589)	11,817
Level II | Futures
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	(63,589)	11,817
Level II | Futures | Long
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	203,567	(603,365)
Level II | Futures | Short
Fair Value Of Investments
Net unrealized profit (loss) on open contracts	$ (267,156)	$ 615,182

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STATEMENTS OF OPERATIONS (USD $)	2 Months Ended		12 Months Ended
	Dec. 31, 2011		Dec. 31, 2012
NET INVESTMENT INCOME (LOSS) ALLOCATED FROM HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD:
Management fees	$ (65,076)		$ (478,590)
Performance fees			(15,312)
Other	(195,641)		(182,682)
Total net investment income (loss) allocated from Highbridge Commodities FuturesAccess Master Fund Ltd	(260,717)		(676,584)
FUND EXPENSES:
Sponsor fees	7,013		497,258
Other	161,972		469,583
Total Fund expenses	168,985		966,841
NET INVESTMENT INCOME PROFIT (LOSS)	(429,702)		(1,643,425)
REALIZED AND UNREALIZED PROFIT (LOSS) ON INVESTMENTS ALLOCATED FROM HIGHBRIDGE COMMODITIES FUTURESACCESS MASTER FUND LTD:
Realized, net	(633,036)		(7,468,034)
Change in unrealized, net	(527,355)		(387,404)
Brokerage commissions	(16,544)		(98,163)
Net profit (loss) from derivative contracts (net of brokerage commissions on futures contracts of $98,163)	(1,176,935)		(7,953,601)
NET PROFIT (LOSS)	$ (1,606,637)		$ (9,597,026)
Class A
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	839,111	[1]	9,327,969	[1]
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0605)	[1]	$ (0.2902)	[1]
Class C
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	1,246,642	[1]	15,427,778	[1]
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0612)	[1]	$ (0.3104)	[1]
Class D
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	2,313,375	[2]	5,733,680	[2]
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0287)	[2]	$ (0.2624)	[2]
Class I
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	59,932	[1]	4,318,130	[1]
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0598)	[1]	$ (0.3160)	[1]
Class Z
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	23,846,000	[3]	7,965,776	[3]
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0591)	[3]	$ 0.1024	[3]
Class M
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)			732,832	[4]
Net income (loss) per weighted average Unit (in dollars per unit)			$ (0.0653)	[4]

[1] Units issued on November 1, 2011.

[2] Units issued on December 1, 2011.

[3] Units issued on November 1, 2011 and Units fully redeemed as of February 29, 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 February 29, 2012.)

[4] Units issued on December 1, 2012.

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VALUATION OF INVESTMENT IN HCFA MASTER FUND

12 Months Ended

Dec. 31, 2012

VALUATION OF INVESTMENT IN HCFA MASTER FUND

VALUATION OF INVESTMENT IN HCFA MASTER FUND

2. VALUATION OF INVESTMENT IN HCFA MASTER FUND

With respect to the period prior to the Reorganization, the Fund recorded its investment in the HCFA Master Fund at fair value.  Valuation of investments held by the HCFA Master Fund, including, but not limited to the valuation techniques used and classification within the fair value hierarchy of investments, are discussed in the notes to the HCFA Master Fund financial statements included in this report.

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SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (HCFA Master Fund)

12 Months Ended

Dec. 31, 2012

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

Highbridge Commodities FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess SM Program (“FuturesAccess”) fund, was organized under the Delaware Limited Liability Company Act on June 15, 2011 and commenced trading activities on November 1, 2011. The Fund engages in the speculative trading of primarily futures contracts on a wide range of commodities.  Highbridge Capital Management, LLC (“HCM”) is the trading advisor of the Fund.

Prior to January 1, 2013 (the “Effective Date”), the Fund and BA Highbridge Commodities Fund LLC (the “BA Feeder”) were “feeder funds” in a master-feeder structure investing substantially all of their assets through Highbridge Commodities FuturesAccess Master Fund Ltd. (the “Master Fund”).  The financial statements of the HCFA Master Fund are attached to this report and should be read in conjunction with this report.  As of the Effective Date, the Fund and the Master Fund were reorganized such that the Fund became a direct-trading fund investing substantially all of its assets through an account advised by HCM rather than through the Master Fund (the “Reorganization”). In connection with the Reorganization, the units of the BA Feeder were also converted into Units of the Fund as of the Effective Date, effectively resulting in the operations of the two funds being combined.  BA Highbridge Commodities Fund LLC will be liquidated and shall subscribe to the Fund as of January 1, 2013. The Master Fund will liquidate as of January 1, 2013 and will mandatorily redeem the shares of the Master Fund held by the Fund and remit the redemption proceeds in kind.

FuturesAccess is a group of commodity pools sponsored by MLAI (each pool is a “FuturesAccess Fund” or collectively, “FuturesAccess Funds”) each of which places substantially all of its assets in a managed futures or forward trading account managed by a single or multiple commodity trading advisors. Each FuturesAccess Fund is generally similar in terms of fees, although redemption terms vary among FuturesAccess Funds.  Each of the FuturesAccess Funds implements a different trading strategy.

The Fund offers six Classes of Units:  Class A, Class C, Class I, Class D, Class Z and Class M.  Each Class of Units was offered at $1.00 per Unit during the initial offering period and subsequently is offered at the Net Asset Value per Unit. The five Classes of Units are subject to different Sponsor fees.

On December 1, 2012 the Fund opened Class M at $1.00 per Unit.  The Class M Units are for investors who are subscribing through a managed investment account program at MLPF&S and who satisfy other requirements as determined by the Sponsor from time to time. The Class M Units are not subject to an upfront sales commission and no ongoing compensation is paid to MLPF&S as selling agent. The Class M Units are not subject to Sponsor’s fees. However, a portion of the asset-based program fee applicable to a Managed Account, including the amounts invested in Class M Units, will be paid to the Managed Account’s Financial Advisor.

FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. Investors in FuturesAccess can select, allocate and reallocate capital among different FuturesAccess Funds, each advised by either a single trading advisor or by the Sponsor which then allocates capital among multiple commodity trading advisors. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

Estimates

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

Initial Offering and Organizational Costs

Organization and Offering costs are amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance. Initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

Statement of Cash Flows

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

Revenue Recognition

With respect to the period prior to the Reorganization, the Fund records its proportionate share of the HCFA Master Fund’s investment income and trading profits and losses.  Trading profits and losses include net realized, net change in unrealized and brokerage commissions.

Operating Expenses and Selling Commissions

The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund.

Class A Units are subject to 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 up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount.  Sales commissions are directly deducted from subscription amounts.  Class C Units are not subject to any sales commissions.

In addition, the Fund also records its proportionate share of the Master Fund’s expenses.

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 Accounting Standard Codification (“ASC”) guidance on accounting for uncertainty in income taxes.  This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period.  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 are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2011.

Distributions

Each Member is entitled to receive, equally per Unit, any distributions which may be made by the Fund.  No such distributions have been declared for the period ended December 31, 2012 and 2011.

Subscriptions

Units are offered as of the close of business at the end of each month.  Units are purchased as of the first business day of any month at Net Asset Value, but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three calendar days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Redemptions and Exchanges

A Member may redeem or exchange any or all of such Member’s Units at Net Asset Value as of the close of business, on the last business day of any month, upon thirty eight calendar days’ notice (“notice period”).

An investor in the Fund can exchange their Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days prior notice.  The minimum exchange amount is $10,000.

Redemption requests are accepted within the notice period.  The Fund does not accept any redemption requests after the notice period.  All redemption requests received after the notice period will be processed for the following month.

Dissolution of the Fund

The Fund will dissolve if certain circumstances occur as set forth in the limited liability company operating agreement, which include:

a) Bankruptcy, dissolution, withdrawal or other termination of the last remaining manager of the Fund.

b) Any event which would make unlawful the continued existence of the Fund.

c) Withdrawal of the Sponsor unless at such time there is at least one remaining manager.

d) The determination by the Sponsor to liquidate the Fund and wind up its affairs.

HCFA Master Fund

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Organization

Highbridge Commodities FuturesAccess Master Fund LTD. (the “Fund”), a Merrill Lynch FuturesAccessSM  Program (the “FuturesAccess”) fund, was organized under the laws of the Cayman Islands on June 28, 2011 and commenced trading activities on November 1, 2011. The Fund was registered under the Mutual Funds Law of the Cayman Islands on June 28, 2011. The Fund, which is the master part of a master-feeder structure invested substantially all of the feeder Fund’s assets which has the same investment objective as the feeder Funds. The Fund engaged in the speculative trading of futures on a wide range of commodities.

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) is the sponsor and manager of the Fund. MLAI has delegated commodities trading authority for the Fund to Highbridge Capital Management, LLC (“HCM” or “Trading Advisor”). MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) was the exclusive clearing broker for the Fund. The Sponsor may have selected other parties as clearing broker(s). Currently, the Fund did trade currency spot and forward contracts. In the event the Fund could have traded such contracts, Merrill Lynch International Bank, Ltd. (“MLIB”) could have been the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may have selected other parties as 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 is a group of commodity pools sponsored by MLAI (each pool is a “FuturesAccess Fund” or collectively, “FuturesAccess Funds”) each of which places substantially all of its assets in a managed futures or forward trading account managed by a single or multiple commodity trading advisors. Each FuturesAccess Fund is generally similar in terms of fees, although redemption terms vary among FuturesAccess Funds.  Each of the FuturesAccess Funds implements a different trading strategy.

The Fund offered, prior to the adopting of its plans to liquidating, three separate classes of shares which had identical terms. They were open to investment by the Highbridge Commodities FuturesAccess LLC (the “Onshore Fund”), Highbridge Commodities FuturesAccess Ltd. (the “Offshore Fund”) and BA Highbridge Commodities FuturesAccess LLC (the “BA Feeder”), respectively. Class DA is open exclusively to the Onshore Fund. Class DI is open exclusively to the Offshore Fund. Class DU is open exclusively to the BA Feeder.  The Offshore Fund liquidated as of September 30, 2012. The BA Feeder collapsed into the Onshore Fund as of December 31, 2012.

FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC. Investors in FuturesAccess can select, allocate and reallocate capital among different FuturesAccess Funds, each advised by either a single trading advisor or by the Sponsor which then allocates capital among multiple commodity trading advisors. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

Interests in the Fund were not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) on a liquidation basis. Liquidation basis financial statements required 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. All estimated expenses have been accrued for as of December 31, 2012 in accordance with U.S. GAAP on a liquidation basis.  Actual results could have differed from those estimates and such differences could have been material.

Initial Offering and Organizational Costs

Organization and Offering costs were amortized against the net asset value over 60 months, beginning with the first month-end after the initial issuance of Units for operational and investor trading purposes. However, for financial reporting purposes, organizational costs, to the extent material, will be shown as deducted from net asset value as of the date of such initial issuance. Initial offering costs, to the extent material, will be amortized over a 12-month period after the initial issuance of Units.

Statement of Cash Flows

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

Revenue Recognition

Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statement of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss), net in the Statement of Operations.

Trading profit (loss) includes brokerage commission costs on commodity contracts.

Foreign Currency Transactions

The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the date of the Statement of Financial Condition.  Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses resulting from the translation to U.S. dollars are included in Trading profit (loss) in the Statement of Operations.

Equity in Commodity Trading Accounts

A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements.

Operating Expenses and Selling Commissions

The Fund paid for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund.

Income Taxes

The Fund should not be subject to U.S. Federal income taxes on income or gains from its trading (except in respect of any U.S. source dividends received in the course of such trading), provided that they did not engage in a trade or business within the United States to which such income or gains were effectively connected. Pursuant to a safe harbor rule under the U.S. tax code, a foreign corporation which traded securities or commodities for its own account should not be treated as engaged in a trade or business within the United States, provided that the foreign corporation was not a dealer in securities or commodities. The Fund and HCM conduct business in a manner so as to have met the requirements of the safe harbor rule.

The Fund has obtained an undertaking from the Cayman Islands’ authorities that, for a period of 20 years starting from July 26, 2011, no law which is enacted in the Cayman Islands imposing any tax or duty to be levied on income, profits, gains, or appreciation shall apply to the Fund or its operations, and no such tax or any tax in the nature of estate duty or inheritance tax shall be payable on or in respect of the Shares, debentures or other obligations of the Fund or by way of withholding in whole or in part of any payment of dividends or other distributions of income or of capital by the Fund to its Shareholders or any payment of principal or interest or other sums due under a debenture or other obligation of the Fund.

Distributions

Each Shareholder was entitled to receive, equally per Share, any distributions which would have been made by the Fund.  No such distributions have been declared for the year and period ended December 31, 2012 and 2011, respectively.

Subscriptions

Shares were offered as of the close of business at the end of each month. Shares were purchased as of the first business day of any month at Net Asset Value, but the subscription request were submitted at least three calendar days before the end of the preceding month. Subscriptions submitted less than three calendar days before the end of a month would have been applied to Shares subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.

Subscriptions were suspended on December 18, 2012 when the Fund adopted the liquidation basis of accounting.

Redemptions and Exchanges

A Shareholder may have redeemed or exchanged any or all of such Shareholder’s Shares at Net Asset Value as of the close of business, on the last business day of any month upon thirty eight calendar days’ notice (“notice period”).

A Shareholder in the Fund could have exchanged their Shares for Shares of the same Class in other Program Funds as of the beginning of each calendar month, upon thirty eight calendar days’ notice.  The minimum exchange amount was $10,000.

Redemption requests were accepted within the notice period.  The Fund did not accept any redemption requests after the notice period.  All redemption requests received after the notice period would have been processed for the following month.

Dissolution of the Fund and Basis of Presentation

On December 18, 2012, a Restructuring Agreement was among and executed by MLAI, the BA Feeder Fund, the Onshore Fund and the Fund. The Restructuring Agreement is to restructure the Funds such that the BA Feeder Fund will be liquidated and then the existing shareholders shall subscribe to the Onshore Fund as of January 1, 2013 (the “Effective Date”). The Fund on the effective date will contribute substantially all of its assets, including unamortized organizational and initial offering costs, cash (excluding only such cash as the BA Feeder Fund deems necessary to pay liquidation expenses) and its shares in the Fund to the Onshore Fund.  The Fund will liquidate and immediately following the BA Feeder Fund distribution, the Fund shall mandatorily redeem the shares of the Fund held by the Onshore Fund and pay the redemption proceeds in kind through the transfer of:

· cash from its account at MLPF&S or other custodian (except such cash as is necessary to pay liquidation expenses) to the account of the Onshore Fund or other custodian: and

· the open commodity positions in its account at MLPF&S to the account of the Onshore Fund.

Liquidation Basis of Accounting

As a result of the decision to place the fund into liquidation, the Fund changed its basis of accounting to be presented under the liquidation basis of accounting, which is another comprehensive basis of accounting under accounting principles generally accepted in the United States of America. Accordingly, the net assets of the Fund at December 31, 2012 are stated at liquidation value, i.e., the assets have been valued at their estimated fair values, and the liabilities include estimated amounts to be incurred through the date of liquidation of the Fund, which is in conformity with accounting principles generally accepted in the United States.

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FAIR VALUE OF INVESTMENTS (Tables) (HCFA Master Fund)

12 Months Ended

Dec. 31, 2012

HCFA Master Fund

Fair value of investments and trading profits and losses

Schedule of net unrealized profit (loss) on open forward and futures contracts by the fair value hierarchy levels

2012

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	(913,525	)	$	(1,117,092	)	$	203,567		$	—
Short	(370,968		)	(103,812		)	(267,156		)	—
	$	(1,284,493	)	$	(1,220,904	)	$	(63,589	)	$	—
Forwards
Long	$	—		$	—		$	—		$	—
Short	—			—			—			—
	$	—		$	—		$	—		$	—
December 31, 2012	$	(1,284,493	)	$	(1,220,904	)	$	(63,589	)	$	—

2011

Net unrealized profit (loss)
on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	(1,487,737	)	$	(884,372	)	$	(603,365	)	$	—
Short	960,382			345,200			615,182			—
	$	(527,355	)	$	(539,172	)	$	11,817		$	—
Forwards
Long	$	—		$	—		$	—		$	—
Short	—			—			—			—
	$	—		$	—		$	—		$	—
December 31, 2011	$	(527,355	)	$	(539,172	)	$	11,817		$	—

Schedule of the trading profits and losses, before brokerage commissions, by commodity industry sector on derivative instruments

	December 31, 2012			December 31, 2011
Commodity Industry Sector	profit (loss) from trading, net			profit (loss) from trading, net
Agriculture	$	(9,509,275	)	$	(167,845	)
Currencies	1,141,450			(714,656		)
Energy	(2,097,309		)	589,939
Metals	(3,430,772		)	(867,829		)
Total	$	(13,895,906	)	$	(1,160,391	)

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ADVISORY AGREEMENT (Details) (HCM)	12 Months Ended
	Dec. 31, 2012 item
HCM
Advisory agreement
Number of successive renewal periods under the advisory agreement	3
Automatic renewal period of the advisory agreement	1 year
Notice period for termination of advisory agreement	90 days
Annual rate as a percentage of month-end net asset value	1.50%
Percentage of fee payable in connection with and in consideration of BAC's providing certain administrative and support services for the Fund	40.00%
Percentage of performance fee paid	15.00%