10-Q

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended March 31, 2013

OR

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

For the transition period from                  to

Commission File Number  0-54573

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(Exact Name of Registrant as specified in its charter)

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

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)

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

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

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

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

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

As of March 31, 2013, 84,842,657 units of limited liability company interest were outstanding.

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

QUARTERLY REPORT FOR MARCH 31, 2013 ON FORM 10-Q

Table of Contents

		PAGE
PART I—FINANCIAL INFORMATION
Item 1.	Financial Statements	1
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	15
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	21
Item 4.	Controls and Procedures	25
PART II—OTHER INFORMATION
Item 1.	Legal Proceedings	26
Item 1A.	Risk Factors	26
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	26
Item 3.	Defaults Upon Senior Securities	26
Item 4.	Mine Safety Disclosures	27
Item 5.	Other Information	27
Item 6	Exhibits	27

PART I - FINANCIAL INFORMATION

Item 1.   Financial Statements

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	March 31,		December 31 ,
	2013		2012
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $5,856,409 for 2013)	$	59,414,646	$	—
Net unrealized profit on open futures contracts	70,470		—
Receivable from Highbridge Commodities FuturesAccess Master Fund LTD	—		39,709,301
Cash	4,365,817		33,998
Other assets	75,000		75,000
TOTAL ASSETS	$	63,925,933	$	39,818,299
LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Sponsor and Advisory fees payable	$	144,892	$	53,701
Redemptions payable	867,879		592,620
Net unrealized loss on open futures contracts	1,062,664		—
Other liabilities	202,891		175,072
Total liabilities	2,278,326		821,393
MEMBERS’ CAPITAL:
Members’ Interest (84,842,657 Units and 52,081,850 Units outstanding; unlimited Units authorized)	61,647,607		38,996,906
Total members’ capital	61,647,607		38,996,906
TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	63,925,933	$	39,818,299
NET ASSET VALUE PER UNIT:
(Based on 84,842,657 and 52,081,850 Units outstanding, unlimited Units authorized)
Class A	$	0.7163	$	0.7434
Class C	$	0.7062	$	0.7348
Class D	$	0.7554	$	0.7811
Class I	$	0.7204	$	0.7470
Class M	$	0.9040	$	0.9347

See notes to financial statements.

1

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three months ended			For the three months ended
	March 31, 2013			March 31, 2012
TRADING PROFIT (LOSS):
Realized, net	$	(691,911	)	$	966,139
Change in unrealized, net	(992,194		)	1,080,470
Brokerage commissions	(38,031		)	(17,272		)
Total trading profit (loss), net	(1,722,136		)	2,029,337
INVESTMENT INCOME (EXPENSE):
Interest, net	(3		)	—
EXPENSES*:
Management fee	242,510			77,806
Sponsor fee	205,532			54,738
Performance fee	—			108,455
Other*	156,556			140,034
Total expenses	604,598			381,033
NET INVESTMENT INCOME (LOSS)	(604,601		)	(381,033		)
NET INCOME (LOSS)	$	(2,326,737	)	$	1,648,304
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding
Class A	11,711,009			3,812,415
Class C	25,335,806			5,652,413
Class D	19,647,770			3,988,980
Class I	28,538,145			1,732,628
Class Z**	—			7,965,776
Class M	1,305,208			—
Net income (loss) per weighted average Unit
Class A	$	(0.0262	)	$	0.0506
Class C	$	(0.0289	)	$	0.0459
Class D	$	(0.0257	)	$	0.0697
Class I	$	(0.0260	)	$	0.0586
Class Z**	$	—		$	0.1024
Class M	$	(0.0307	)	$	—

*Audit, legal and printing are the primary operating expenses of the Fund.

**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.)

See notes to financial statements.

2

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENT OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2013 AND 2012

(unaudited) (in Units)

	Members’ Capital December 31, 2011	Subscriptions	Redemptions		Members’ Capital March 31, 2012	Members’ Capital December 31, 2012	Subscriptions	Redemptions		Members’ Capital March 31, 2013
Class A	1,067,047	4,776,140	—		5,843,187	11,922,019	353,415	(1,512,677	)	10,762,757
Class C	1,858,272	6,764,348	(29,526	)	8,593,094	24,250,181	1,887,862	(950,370	)	25,187,673
Class D	2,313,375	1,998,634	—		4,312,009	8,564,682	11,083,088	—		19,647,770
Class I	78,014	2,367,062	—		2,445,076	6,612,136	22,421,637	(1,094,524	)	27,939,249
Class Z**	13,217,877	—	(13,217,877	)	—	—	—	—		—
Class M*	—	—	—		—	732,832	572,376	—		1,305,208
Total Members’ Units	18,534,585	15,906,184	(13,247,403	)	21,193,366	52,081,850	36,318,378	(3,557,571	)	84,842,657

*Units issued on December 1, 2012.

**Units fully redeemed as of February 29, 2012.

See notes to financial statements.

3

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENT OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2013 AND 2012

(unaudited)

	Members’ Capital December 31, 2011		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital March 31, 2012		Members’ Capital December 31, 2012		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital March 31, 2013
Class A	$	1,001,468	$	4,708,432	$	—		$	192,986	$	5,902,886	$	8,863,293	$	267,150	$	(1,114,465	)	$	(306,722	)	$	7,709,256
Class C	1,741,170		6,674,183		(29,706		)	259,578		8,645,225		17,820,122		1,393,000		(691,905		)	(732,730		)	17,788,487
Class D	2,246,958		2,000,000		—			278,217		4,525,175		6,689,457		8,657,000		—			(504,844		)	14,841,613
Class I	73,268		2,299,448		—			101,610		2,474,326		4,939,046		16,749,052		(817,394		)	(742,308		)	20,128,396
Class Z**	12,436,398		—		(13,252,311		)	815,913		—		—		—		—			—			—
Class M*	—		—		—			—		—		684,988		535,000		—			(40,133		)	1,179,855
Total Members’ Capital	$	17,499,262	$	15,682,063	$	(13,282,017	)	$	1,648,304	$	21,547,612	$	38,996,906	$	27,601,202	$	(2,623,764	)	$	(2,326,737	)	$	61,647,607

*Units issued on December 1, 2012.

**Units fully redeemed as of February 29, 2012.

See notes to financial statements.

4

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2013 (unaudited)

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

	Class A			Class C			Class D			Class I			Class M
Per Unit Operating Performance:
Net asset value, beginning of period	$	0.7434		$	0.7348		$	0.7811		$	0.7470		$	0.9347
Net realized and net change in unrealized trading profit(loss)	(0.0194		)	(0.0191		)	(0.0205		)	(0.0195		)	(0.0245		)
Brokerage commissions	(0.0004		)	(0.0004		)	(0.0005		)	(0.0004		)	(0.0005		)
Interest Income, net (c)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)
Expenses	(0.0073		)	(0.0091		)	(0.0047		)	(0.0067		)	(0.0057		)
Net asset value, end of period	$	0.7163		$	0.7062		$	0.7554		$	0.7204		$	0.9040
Total Return: (a)
Total return before Performance fees	-3.65		%	-3.89		%	-3.29		%	-3.56		%	-3.29		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-3.65		%	-3.89		%	-3.29		%	-3.56		%	-3.29		%
Ratios to Average Member’s Capital: (b)
Expenses (excluding Performance fees)	0.99		%	1.24		%	0.61		%	0.89		%	0.61		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.99		%	1.24		%	0.61		%	0.89		%	0.61		%
Net investment income (loss)	-0.99		%	-1.24		%	-0.61		%	-0.89		%	-0.61		%

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

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

(c) Interest income, net is less than $0.0001 per Unit

See notes to financial statements.

5

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 (unaudited)

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

	Class A			Class C			Class D			Class I			Class Z*
Per Unit Operating Performance:
Net asset value, beginning of period	$	0.9385		$	0.9370		$	0.9713		$	0.9392		$	0.9409
Net realized and net change in unrealized trading profit	0.0798			0.0797			0.0827			0.0799			0.0764
Expenses	(0.0081		)	(0.0106		)	(0.0046		)	(0.0071		)	(0.0031		)
Net asset value, before liquidation	1.0102			1.0061			1.0494			1.0120			1.0142
Less liquidating distribution	—			—			—			—			1.0142
Net asset value, end of period	$	1.0102		$	1.0061		$	1.0494		$	1.0120		$	—
Total Return: (b)
Total return before Performance fees	7.64		%	7.37		%	8.05		%	7.75		%	7.80		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	7.64		%	7.37		%	8.05		%	7.75		%	7.80		%
Ratios to Average Member’s Capital: (a)
Expenses (excluding Performance fees)	0.82		%	1.07		%	0.44		%	0.72		%	0.30		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.82		%	1.07		%	0.44		%	0.72		%	0.30		%
Net investment income (loss)	-0.82		%	-1.07		%	-0.44		%	-0.72		%	-0.30		%

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

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

*Units fully redeemed as of February 29, 2012.

See notes to financial statements.

6

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Highbridge Commodities FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccessSM 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 (“Highbridge” or “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor utilizes the Highbridge Quantitative Commodities Strategy (the “Trading Program”) for 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”). 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 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 liquidated and subscribed to the Fund as of January 1, 2013. The Master Fund liquidated as of January 1, 2013 and mandatorily redeemed the shares of the Master Fund held by the Fund and remitted the redemption proceeds in kind.

Merrill Lynch Alternative Investments LLC (“MLAI” or “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”) may 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 managed futures funds sponsored by MLAI (“FuturesAccess Funds”).  FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC.  FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors.  Each FuturesAccess Fund is generally similar in terms of fees, although redemption terms vary among FuturesAccess Funds.  Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary strategies.

7

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

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of  March 31, 2013 and December 31, 2012 and the results of its operations for the three months ended March 31, 2013.  However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted.  These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the period ended December 31, 2012.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material. Certain prior year items have been reclassified to conform to the current year presentation.

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. Actual costs incurred for the for the three month periods ended March 31, 2013  and 2012 were $3,678 and $6,832, respectively.

Margin

As of March 31, 2013, the Fund employed $5,856,409 as initial margin to support its futures positions, representing approximately 9% of the Fund’s total assets as of such date.  As of March, 31, 2013, the Fund had no forward positions.

8

2.CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as net unrealized profit (loss) on open contracts on the Statements of Financial Condition as of March 31, 2013 and the Master Fund’s investments, defined as net unrealized profit (loss) on open contracts as of December 31, 2012 are as follows:

March 31, 2013

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional	Profit (Loss)			Members’ Capital		Contracts/Notional		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	903	$	(866,810	)	-1.41	%	(389	)	$	(74,904	)	-0.12	%	$	(941,714	)	-1.53	%	April 2013- June 2013
Currencies	316	87,070			0.14	%	—		—			0.00	%	87,070			0.14	%	June 2013
Energy	263	360,592			0.58	%	(52	)	(71,244		)	-0.12	%	289,348			0.46	%	April 2013- May 2013
Metals	340	(1,145,074		)	-1.86	%	(305	)	718,176			1.16	%	(426,898		)	-0.70	%	April 2013- July 2013
Total		$	(1,564,222	)	-2.55	%			$	572,028		0.92	%	$	(992,194	)	-1.63	%

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/Notional	Profit (Loss)			Members’ Capital		Contracts/Notional		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		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	%

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of March 31, 2013 and December 31, 2012. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (loss) of long positions and short positions of the open contracts, netting unrealized losses against unrealized profits as applicable.  Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

9

3.   FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes.  The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date.  Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition.  Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations.

The fair value measurement guidance established by U.S. GAAP is a 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 in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed. 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.

10

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 investments that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of investments 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 investments, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using quoted prices of investments with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forward and certain futures contracts.

The Fund’s and the Master Fund’s, respectively, net unrealized profit (loss) on open forward and futures contracts, by the above fair value hierarchy levels as of March 31, 2013 and December 31, 2012, respectively, are as follows:

11

Net unrealized profit (loss) on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	(1,564,222	)	$	(728,818	)	$	(835,404	)	$	—
Short	572,028			(84,673		)	656,701			—
	$	(992,194	)	$	(813,491	)	$	(178,703	)	$	—
Forwards
Long	$	—		$	—		$	—		$	—
Short	—			—			—			—
	$	—		$	—		$	—		$	—
March 31, 2013	$	(992,194	)	$	(813,491	)	$	(178,703	)	$	—

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	)	$	—

The Fund’s volume of trading forwards and futures as of the three month period and year ended March 31, 2013 and December 31, 2012, respectively, are representative of the activity throughout these periods. There were no transfers to or from any level during the three month period ended March 31, 2013 or the year ended December 31, 2012.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the 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 Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, contract amount or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2, above.

12

The Fund presents their futures and forward contract amounts gross on the Statement of Financial Condition.  The Fund maintains initial and variation margin deposits and cash collateral with its futures and forward brokers, respectively, in amounts such broker determine, for open futures in the case of forwards, currency contracts.  At March 31, 2013, the initial and variation margin deposits and cash collateral are used to satisfy the margin requirements on open contracts and are presented on the Statement of Financial Condition as unrealized gain or loss on futures or forward contracts, respectively.

The following table indicates the trading profits and losses, before brokerage commissions, by type/commodity industry sector, on derivative instruments for each of the three month periods ended March 31, 2013 for the Fund and March 31, 2012 for the Master Fund:

	For the three months ended			For the three months ended
	March 31, 2013			March 31, 2012
Commodity Industry Sector	profit (loss) from trading, net			profit (loss) from trading, net
Agriculture	$	(109,900	)	$	76,742
Currencies	(330,331		)	339,020
Energy	501,382			2,855,635
Metals	(1,745,256		)	138,446
Total, net	$	(1,684,105	)	$	3,409,843

The Fund is subject to the risk of insolvency of counterparty, an exchange, a clearinghouse, MLPF&S or other BAC entities.  Fund assets could be lost or impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities.  There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4.   MARKET AND CREDIT RISKS

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

Market Risk

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s net unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so.  These procedures focus primarily on monitoring the trading of Highbridge, 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 Highbridge to reallocate

13

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

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse.  In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties.  Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition.  MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BAC affiliates, such as MLPF&S and MLIB, although MLAI may engage non-BAC affiliated service providers as clearing brokers or prime brokers for the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its clearing broker.  Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), MLPF&S has the right to net receivables and payables.

Indemnifications

In the normal course of business the Fund has entered, or may in the future enter, into agreements that obligate the Fund to indemnify third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

5.   RELATED PARTY TRANSACTIONS

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Registrar and Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Registrar and Transfer Agent performs the transfer agent and investor services functions for the Fund.  The agreement with the Registrar and Transfer Agent calls for a fee to be paid based on the collective net 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 quarter ended March 31, 2013, the rate was 0.02%. The fee is payable monthly in arrears. 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. The Registrar and Transfer Agent fee allocated to the Fund for the three month periods ended March 31, 2013 and 2012 amounted to $3,265 and $1,010, respectively, of which $2,662 and $1,376 was payable to the Registrar and Transfer Agent as of March 31, 2013 and December 31, 2012, respectively.

14

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

6.   SUBSEQUENT EVENTS

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

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

MONTH-END NET ASSET VALUE PER UNIT

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

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the 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.

15

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan.		Feb.		Mar.
2012	$	0.9958	$	1.0092	$	1.0102
2013	$	0.7660	$	0.7233	$	0.7163

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.
2012	$	0.9934	$	1.0059	$	1.0061
2013	$	0.7566	$	0.7137	$	0.7062

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.
2012	$	1.0319	$	1.0471	$	1.0494
2013	$	0.8058	$	0.7618	$	0.7554

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.
2012	$	0.9969	$	1.0106	$	1.0120
2013	$	0.7700	$	0.7272	$	0.7204

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS Z

	Jan.		Feb.		Mar.
2012	$	0.9996	$	1.0142	n/a
2013	n/a		n/a		n/a

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

	Jan.		Feb.		Mar.
2012	n/a		n/a		n/a
2013	$	0.9643	$	0.9117	$	0.9040

Liquidity and 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

16

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 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.

For the three months ended March 31, 2013, Fund capital increased 58.08% from $38,996,906 to $61,647,607.  This increase was attributable to the net loss from operations of $2,326,737 coupled with the redemption of 3,557,571 Redeemable Units resulting in an outflow of $2,623,764.  The cash outflow was offset with cash inflow of $27,601,202 due to subscriptions of 36,318,378 Units.  Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

Statement of Cash Flows

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

Investments

All investments (including derivatives) are held for trading purposes.  Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date.  Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date.  Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included as a component of equity in commodity trading accounts on the Statements of Financial Condition.  Realized profits or losses and any change in net unrealized profits or losses from the preceding period are reported in the Statements of Operations.

Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.  For more information on our treatment of fair value, see Note 3, Fair Value of Investments.

Futures Contracts

The Fund trades listed futures contracts.  A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration.  The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded.   Contracts may be settled in physical form or cash settled depending upon the contract.  Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction.  These amounts are considered restricted cash on the

17

HCFA Master Fund’s Statement of Financial Condition.  Contracts are priced daily by the Fund and the profit or loss based on the daily mark to market are recorded as unrealized profits.  When the contract is closed, the Fund records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.  Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited.  Realized profits (losses), net and changes in unrealized profits (losses), net on futures contracts are included in the Statements of Operations.  The Fund also trades futures contracts on the London Metals Exchange (LME).  The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bid and asks from open outcry sessions.

Forward Foreign Currency Contracts

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

Interest Rates and Income

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

Income Taxes

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

The Fund follows the Accounting Standards Codification guidance on accounting for uncertainty in income taxes.  This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year.  MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2012.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was signed into law on July 21, 2010. The Reform Act enacts financial regulatory reform, and may alter the way in which the Fund conducts certain trading activities. The Reform Act includes measures to broaden the scope of derivative instruments subject to regulation, including requiring clearing and exchange trading of certain derivatives, imposing new capital and margin reporting, registration and business conduct requirements for certain market participants and imposing position limits on certain over-the-counter derivatives. The Reform Act grants the

18

U.S. Commodity Futures Trading Commission and the Securities and Exchange Commission substantial new authority and requires numerous rulemakings by these agencies. The ultimate impact of these derivatives regulations, and the time it will take to comply, remains uncertain. The final regulations may impose additional operational and compliance costs on the Fund.

Results of Operations

January 1, 2013 to March 31, 2013

January 1, 2013 to March 31, 2013

The Fund experienced a net trading loss of $1,684,105 before brokerage commissions and related fees in the first quarter of 2013. Profits were attributable to the energy sector posting profits. The agriculture, currency and metals sectors posted losses.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The Trading Program’s positioning in the energy sector was the largest contributor to performance. The sector rallied in January as Brent crude oil, WTI crude oil and gasoline gained. Losses were posted to the Fund in the middle of the quarter. The sector sold-off in February as WTI crude oil, gasoline, heating oil and Brent Crude lost on news of the potential for increasing production. Profits were posted to the Fund at the end of the quarter. The Trading Program’s view of WTI crude oil evolved from neutral to mildly bullish as efforts to reduce the WTI crude oil supply/demand imbalance were showing signs of progress.  The Trading Program’s positioning around this view added value as WTI crude oil rallied during March.  The Trading Program’s bullish positioning in natural gas was a mild contributor to performance as the commodity rallied.  The remaining components of the Energy sector posted small gains during March.

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. All of the grains finished January in positive territory including corn and soybeans. Grains in connection with concerns around growing conditions in South America including dry weather in Argentina. Profits were posted to the Fund in the middle of the quarter. The grains detracted from performance as positive returns from bearish positioning in wheat were offset by negative performance from the Trading Program’s bullish positioning in corn and the soybean complex.  The Trading Program’s net short positioning in livestock was a strong contributor to performance. Live cattle and lean hog prices fell on news of decreasing foreign demand for U.S. livestock. Russia, the European Union and China banned livestock imports that contain certain growth promotion drugs that are permitted for use in the U.S. The Trading Program’s positioning in the soft commodities was a slight contributor to performance as the Trading Program’s bearish positioning in coffee benefitted from the commodity’s decline. Coffee futures slumped on news of increased production in Brazil, a key growing area. Losses were posted to the Fund at the end of the quarter. The Trading Program’s bullish positioning in the grains generated negative performance in March.  Grains were positive for the majority of March until the final trading day of the month when the complex fell following the release of a USDA crop report, which outlined that corn, soybeans and wheat stocks were above market expectations.  The Trading Program’s net short positioning in livestock did not materially impact performance as live cattle and lean hog prices were roughly flat for March.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. The Trading Program’s bullish positioning in financial commodities, specifically the Australian dollar, contributed to performance. Losses were posted to the Fund in the middle of the quarter due to the Trading Program’s bullish positioning as the U.S. dollar rallied against most major currencies on the market’s perception of improving economic conditions in the U.S. Profits were posted to the Fund at the end of the quarter.    The Trading Program’s long exposure in the Australian dollar contributed to performance primarily due to the Reserve Bank of Australia’s decision to hold interest rates at their current levels.

19

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Positive performance from Trading Program’s positioning in silver was offset by losses in gold. Losses were posted to the Fund in the middle of the quarter. Exposure to silver and gold triggered losses as both commodities were down in connection with generally more positive global economic growth prospects. Profits were posted to the Fund at the end of the quarter. Exposure to precious metals was largely flat as slight gains from gold were offset by losses in silver.

January 1, 2012 to March 31, 2012

January 1, 2012 to March 31, 2012

The Master Fund experienced a net trading profit of $3,409,843, in the first quarter of 2012. The Fund’s profits were attributable to the energy, metals, currencies and agriculture sectors posting profits.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Energy was a positive contributor on an absolute and relative basis 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 the month on strong global demand and escalating tensions with Iran. Warmer than expected weather in the U.S. and record gas volumes in storage put downward pressure on natural gas. Profits were posted to the Fund in the middle of the quarter. Energy was a positive contributor on an absolute and relative basis 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 the month on strong global demand and escalating tensions with Iran. Warmer than expected weather in the U.S. and record gas volumes in storage put downward pressure on natural gas. Profits were posted to the Fund at the end of the quarter.  The Funds 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 record gas volumes in storage put downward pressure on natural gas, as it fell during the month of March. Concerns related to the lack of storage capacity entering the summer months may have also contributed to the decline. Gasoline was up as refinery halts in the U.S. and Europe raised supply concerns as we approach the summer driving season.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as this sector had strong performance as aluminum, copper, zinc and nickel were all up for the month in response to positive economic data, including stronger than expected Chinese industrial production. 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 quarter. Nickel was down on the month based on record production and 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 quarter led by aluminum and nickel, based on expectations for slowing demand out of China. Silver and gold were both down. India’s government announced an increase in the gold-import tax which is expected to impact demand from one of the world’s biggest buyers. Losses were posted to the Fund at the end of the quarter.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter as commodity currencies rallied. Losses were posted to the Fund at the end of the quarter as commodity currencies sold off during the month leading to the Fund’s negative performance.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Grains gave back some of the profits from December as the U.S. Department of Agriculture released slightly higher than expected inventories for most crops.  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 the month. 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

20

Coast threatened output. Profits were posted to the Fund in the middle of the 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 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 even as both commodities rallied at the end of the month following the U.S. Department of Agriculture’s Prospective Plantings report. Overall, the Fund’s positioning in the sector resulted in positive performance for the month.

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

Item 3.  Quantitative and Qualitative Disclosures About Market Risk

Introduction

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

Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.

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

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

21

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act 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 Highbridge is quantified below in terms of Value at Risk.  Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have been used by the Fund as the measure of its Value at Risk.  Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels.  The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Fund), the margin requirements for the equivalent futures positions have been used as Value at Risk.  In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

100% positive correlation in the different positions held in each market risk category has been assumed.  Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate Value at Risk.  The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.

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

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period March 31, 2013. The following table also indicates the average, highest and lowest trading Value at Risk associated with the Master Fund’s open positions by market category for the fiscal period March 31, 2012. For the three months ended March 31, 2013 the Fund’s average month-end Net Asset Value was approximately $57,483,214.

22

March 31, 2013

	Average Value		% of Average		Highest Value		Lowest Value
Market Sector	at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	2,344,312	4.08	%	$	2,685,672	$	1,862,317
Currencies	216,753		0.38	%	248,315		172,188
Energy	720,306		1.25	%	825,191		572,210
Metals	1,062,724		1.85	%	1,217,470		844,226
Total	$	4,344,095	7.56	%	$	4,976,648	$	3,450,941

March 31, 2012

	Average		% of Average		Highest Value		Lowest Value
Market Sector	Value at Risk		Capitalization		At Risk		At Risk
Agricultural Commodities	$	1,346,281	4.83	%	$	1,553,446	$	1,196,353
Currencies	792,078		2.84	%	913,962		703,868
Energy	424,330		1.52	%	489,626		377,075
Metals	1,122,541		4.03	%	1,295,277		997,530
Total	$	3,685,230	13.22	%	$	4,252,311	$	3,274,826

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

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

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S.

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

23

well as the strategies used and to be used by MLAI and Highbridge 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, 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 value of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of March 31, 2013, by market sector.

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.

Metals

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

Agricultural Commodities

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of March 31, 2013. 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.

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 only non-trading risk exposures of the Fund as of March 31, 2013.

U.S. Dollar Cash Balance

The Fund holds U.S. dollars 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.

24

Item 4. Controls and Procedures

MLAI, the Sponsor of Highbridge Commodities FuturesAccess LLC, with the participation of the Sponsor’s Chief Executive Officer and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Fund as of the end of the period covered by this quarterly report. Based on this evaluation, the Chief Executive Officer and Chief Financial Officer have concluded that these disclosure controls and procedures are effective.  No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended March 31, 2013 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

25

PART II - OTHER INFORMATION

Item 1.Legal Proceedings

None.

Item 1A.Risk Factors

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2012, filed with the Securities and Exchange Commission on March 27, 2013.

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

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

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-13	$	94,575	127,220	$	0.7434
Feb-13	160,875		210,020	0.7660
Mar-13	11,700		16,175	0.7233
Apr-13	97,500		136,116	0.7163

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-13	$	8,657,000	11,083,088	$	0.7811
Feb-13	—		—	0.8058
Mar-13	—		—	0.7618
Apr-13	—		—	0.7554

CLASS M

	Subscription
	Amount		Units	NAV (1)
Jan-13	$	535,000	572,376	$	0.9347
Feb-13	—		—	0.9643
Mar-13	—		—	0.9117
Apr-13	1,100,000		1,216,814	0.9040

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-13	$	590,000	802,940	$	0.7348
Feb-13	506,000		668,781	0.7566
Mar-13	297,000		416,141	0.7137
Apr-13	254,000		359,671	0.7062

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-13	$	16,746,052	22,417,740	$	0.7470
Feb-13	3,000		3,897	0.7700
Mar-13	—		—	0.7272
Apr-13	10,000		13,881	0.7204

(1) Beginning of the month Net Asset Value

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 and Class M Units are not subject to any sales commissions.

(b) Not applicable.

(c) Not applicable.

Item 3.Defaults Upon Senior Securities

None.

26

Item 4.Mine Safety Disclosures

Not applicable.

Item 5.Other Information

None.

Item 6.Exhibits

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

31.01 and

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

Exhibit 31.01

and 31.02: Are filed herewith.

32.01 and

32.02 Section 1350 Certifications

Exhibit 32.01

and 32.02Are filed herewith.

Exhibit 101 Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three month period ended March 31, 2013 formatted in XBRL (Extensible Business Reporting Language): ( i ) Statements of Financial Condition (ii) Statement of Operations (iii) Statements of  Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text. (1)

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

27

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	HIGHBRIDGE COMMODITIES FUTURESACCESS LLC
.
		By:	MERRILL LYNCH ALTERNATIVE
			INVESTMENTS LLC
			(Manager)
Date: May 15, 2013		By:	/s/ DEANN MORGAN
			Deann Morgan
			Chief Executive Officer and President
			(Principal Executive Officer)
Date: May 15, 2013		By:	/s/ BARBRA E. KOCSIS
			Barbra E. Kocsis
			Chief Financial Officer
			(Principal Financial Officer)

28

EX-31.01

EXHIBIT 31.01

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

I, Deann Morgan, certify that:

1. I have reviewed this quarterly report on Form 10-Q 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: May 15, 2013	By:	/s/ DEANN MORGAN
		Deann Morgan
		Chief Executive Officer and President
		(Principal Executive Officer)
		Merrill Lynch Alternative Investments LLC
		Manager of the registrant

1

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 quarterly report on Form 10-Q 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: May 15, 2013	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial Officer)
		Merrill Lynch Alternative Investments LLC
		Manager of the registrant

1

EX-32.01

EXHIBIT 32.01

Section 1350 Certification

In connection with this quarterly report of Highbridge Commodities FuturesAccess LLC (the “Company”) on Form 10-Q for the quarter ended March 31, 2013 as filed with the Securities and Exchange Commission on the date hereof (this “Report”), I, Deann Morgan, Chief Executive Officer and President 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:  May 15, 2013

By:	/s/ DEANN MORGAN
	Deann Morgan
	Chief Executive Officer and President
	(Principal Executive Officer)

1

EX-32.02

EXHIBIT 32.02

Section 1350 Certification

In connection with this quarterly report of Highbridge Commodities FuturesAccess LLC (the “Company”) on Form 10-Q for the quarter ended March 31, 2013 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: May 15, 2013

By:	/s/ BARBRA E. KOCSIS
	Barbra E. Kocsis
	Chief Financial Officer
	(Principal Financial Officer)

1

XML

CONDENSED SCHEDULES OF INVESTMENTS

3 Months Ended

Mar. 31, 2013

CONDENSED SCHEDULES OF INVESTMENTS

CONDENSED SCHEDULES OF INVESTMENTS

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as net unrealized profit (loss) on open contracts on the Statements of Financial Condition as of March 31, 2013 and the Master Fund’s investments, defined as net unrealized profit (loss) on open contracts as of December 31, 2012 are as follows:

March 31, 2013

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional	Profit (Loss)			Members’ Capital		Contracts/Notional		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	903	$	(866,810	)	-1.41	%	(389	)	$	(74,904	)	-0.12	%	$	(941,714	)	-1.53	%	April 2013- June 2013
Currencies	316	87,070			0.14	%	—		—			0.00	%	87,070			0.14	%	June 2013
Energy	263	360,592			0.58	%	(52	)	(71,244		)	-0.12	%	289,348			0.46	%	April 2013- May 2013
Metals	340	(1,145,074		)	-1.86	%	(305	)	718,176			1.16	%	(426,898		)	-0.70	%	April 2013- July 2013
Total		$	(1,564,222	)	-2.55	%			$	572,028		0.92	%	$	(992,194	)	-1.63	%

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/Notional	Profit (Loss)			Members’ Capital		Contracts/Notional		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		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	%

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of March 31, 2013 and December 31, 2012. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (loss) of long positions and short positions of the open contracts, netting unrealized losses against unrealized profits as applicable.  Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

XML

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

3 Months Ended

Mar. 31, 2013

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Highbridge Commodities FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccessSM 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 (“Highbridge” or “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor utilizes the Highbridge Quantitative Commodities Strategy (the “Trading Program”) for 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”). 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 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 liquidated and subscribed to the Fund as of January 1, 2013. The Master Fund liquidated as of January 1, 2013 and mandatorily redeemed the shares of the Master Fund held by the Fund and remitted the redemption proceeds in kind.

Merrill Lynch Alternative Investments LLC (“MLAI” or “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”) may 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 managed futures funds sponsored by MLAI (“FuturesAccess Funds”).  FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC.  FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors.  Each FuturesAccess Fund is generally similar in terms of fees, although redemption terms vary among FuturesAccess Funds.  Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary 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.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of  March 31, 2013 and December 31, 2012 and the results of its operations for the three months ended March 31, 2013.  However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted.  These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the period ended December 31, 2012.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material. Certain prior year items have been reclassified to conform to the current year presentation.

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. Actual costs incurred for the for the three month periods ended March 31, 2013  and 2012 were $3,678 and $6,832, respectively.

Margin

As of March 31, 2013, the Fund employed $5,856,409 as initial margin to support its futures positions, representing approximately 9% of the Fund’s total assets as of such date.  As of March, 31, 2013, the Fund had no forward positions.

XML

STATEMENTS OF FINANCIAL CONDITION (USD $)	Mar. 31, 2013	Dec. 31, 2012
Equity in commodity trading accounts:
Cash (including restricted cash of $5,856,409 for 2013)	$ 59,414,646
Net unrealized profit on open futures contracts	70,470
Receivable from Highbridge Commodities FuturesAccess Master Fund LTD		39,709,301
Cash	4,365,817	33,998
Other assets	75,000	75,000
TOTAL ASSETS	63,925,933	39,818,299
LIABILITIES:
Sponsor and Advisory fees payable	144,892	53,701
Redemptions payable	867,879	592,620
Net unrealized loss on open futures contracts	1,062,664
Other liabilities	202,891	175,072
Total liabilities	2,278,326	821,393
MEMBERS' CAPITAL:
Members' Interest (84,842,657 Units and 52,081,850 Units outstanding; unlimited Units authorized)	61,647,607	38,996,906
Total members' capital	61,647,607	38,996,906
TOTAL LIABILITIES AND MEMBERS' CAPITAL	$ 63,925,933	$ 39,818,299
Class A
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)	$ 0.7163	$ 0.7434
Class C
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)	$ 0.7062	$ 0.7348
Class D
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)	$ 0.7554	$ 0.7811
Class I
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)	$ 0.7204	$ 0.7470
Class M
NET ASSET VALUE PER UNIT:
Net asset value per unit (in dollars per unit)	$ 0.9040	$ 0.9347

XML

FINANCIAL DATA HIGHLIGHTS (USD $)	3 Months Ended
	Mar. 31, 2013		Mar. 31, 2012
Class A
Per Unit Operating Performance:
Net asset value, beginning of period	$ 0.7434		$ 0.9385
Net realized and net change in unrealized trading profit (loss)	$ (0.0194)		$ 0.0798
Brokerage commissions	$ (0.0004)
Interest Income, net	$ 0.0000	[1]
Expenses	$ (0.0073)		$ (0.0081)
Net asset value, before liquidation			$ 1.0102
Net asset value, end of period	$ 0.7163		$ 1.0102
Total Return:
Total return before Performance fees (as a percent)	(3.65%)	[2]	7.64%	[2]
Performance fees (as a percent)	0.00%	[2]	0.00%	[2]
Total return after Performance fees (as a percent)	(3.65%)	[2]	7.64%	[2]
Ratios to Average Member's Capital:
Expenses (excluding Performance fees) (as a percent)	0.99%	[3]	0.82%	[3]
Performance fees (as a percent)	0.00%	[3]	0.00%	[3]
Expenses (including Performance fees) (as a percent)	0.99%	[3]	0.82%	[3]
Net investment income (loss) (as a percent)	(0.99%)	[3]	(0.82%)	[3]
Class C
Per Unit Operating Performance:
Net asset value, beginning of period	$ 0.7348		$ 0.9370
Net realized and net change in unrealized trading profit (loss)	$ (0.0191)		$ 0.0797
Brokerage commissions	$ (0.0004)
Interest Income, net	$ 0.0000	[1]
Expenses	$ (0.0091)		$ (0.0106)
Net asset value, before liquidation			$ 1.0061
Net asset value, end of period	$ 0.7062		$ 1.0061
Total Return:
Total return before Performance fees (as a percent)	(3.89%)	[2]	7.37%	[2]
Performance fees (as a percent)	0.00%	[2]	0.00%	[2]
Total return after Performance fees (as a percent)	(3.89%)	[2]	7.37%	[2]
Ratios to Average Member's Capital:
Expenses (excluding Performance fees) (as a percent)	1.24%	[3]	1.07%	[3]
Performance fees (as a percent)	0.00%	[3]	0.00%	[3]
Expenses (including Performance fees) (as a percent)	1.24%	[3]	1.07%	[3]
Net investment income (loss) (as a percent)	(1.24%)	[3]	(1.07%)	[3]
Class D
Per Unit Operating Performance:
Net asset value, beginning of period	$ 0.7811		$ 0.9713
Net realized and net change in unrealized trading profit (loss)	$ (0.0205)		$ 0.0827
Brokerage commissions	$ (0.0005)
Interest Income, net	$ 0.0000	[1]
Expenses	$ (0.0047)		$ (0.0046)
Net asset value, before liquidation			$ 1.0494
Net asset value, end of period	$ 0.7554		$ 1.0494
Total Return:
Total return before Performance fees (as a percent)	(3.29%)	[2]	8.05%	[2]
Performance fees (as a percent)	0.00%	[2]	0.00%	[2]
Total return after Performance fees (as a percent)	(3.29%)	[2]	8.05%	[2]
Ratios to Average Member's Capital:
Expenses (excluding Performance fees) (as a percent)	0.61%	[3]	0.44%	[3]
Performance fees (as a percent)	0.00%	[3]	0.00%	[3]
Expenses (including Performance fees) (as a percent)	0.61%	[3]	0.44%	[3]
Net investment income (loss) (as a percent)	(0.61%)	[3]	(0.44%)	[3]
Class I
Per Unit Operating Performance:
Net asset value, beginning of period	$ 0.7470		$ 0.9392
Net realized and net change in unrealized trading profit (loss)	$ (0.0195)		$ 0.0799
Brokerage commissions	$ (0.0004)
Interest Income, net	$ 0.0000	[1]
Expenses	$ (0.0067)		$ (0.0071)
Net asset value, before liquidation			$ 1.0120
Net asset value, end of period	$ 0.7204		$ 1.0120
Total Return:
Total return before Performance fees (as a percent)	(3.56%)	[2]	7.75%	[2]
Performance fees (as a percent)	0.00%	[2]	0.00%	[2]
Total return after Performance fees (as a percent)	(3.56%)	[2]	7.75%	[2]
Ratios to Average Member's Capital:
Expenses (excluding Performance fees) (as a percent)	0.89%	[3]	0.72%	[3]
Performance fees (as a percent)	0.00%	[3]	0.00%	[3]
Expenses (including Performance fees) (as a percent)	0.89%	[3]	0.72%	[3]
Net investment income (loss) (as a percent)	(0.89%)	[3]	(0.72%)	[3]
Class Z
Per Unit Operating Performance:
Net asset value, beginning of period			$ 0.9409	[4]
Net realized and net change in unrealized trading profit (loss)			$ 0.0764	[4]
Expenses			$ (0.0031)	[4]
Net asset value, before liquidation			$ 1.0142	[4]
Less liquidating distribution			$ 1.0142	[4]
Total Return:
Total return before Performance fees (as a percent)			7.80%	[2],[4]
Performance fees (as a percent)			0.00%	[2],[4]
Total return after Performance fees (as a percent)			7.80%	[2],[4]
Ratios to Average Member's Capital:
Expenses (excluding Performance fees) (as a percent)			0.30%	[3],[4]
Performance fees (as a percent)			0.00%	[3],[4]
Expenses (including Performance fees) (as a percent)			0.30%	[3],[4]
Net investment income (loss) (as a percent)			(0.30%)	[3],[4]
Class M
Per Unit Operating Performance:
Net asset value, beginning of period	$ 0.9347
Net realized and net change in unrealized trading profit (loss)	$ (0.0245)
Brokerage commissions	$ (0.0005)
Interest Income, net	$ 0.0000	[1]
Expenses	$ (0.0057)
Net asset value, end of period	$ 0.9040
Total Return:
Total return before Performance fees (as a percent)	(3.29%)	[2]
Performance fees (as a percent)	0.00%	[2]
Total return after Performance fees (as a percent)	(3.29%)	[2]
Ratios to Average Member's Capital:
Expenses (excluding Performance fees) (as a percent)	0.61%	[3]
Performance fees (as a percent)	0.00%	[3]
Expenses (including Performance fees) (as a percent)	0.61%	[3]
Net investment income (loss) (as a percent)	(0.61%)	[3]

[1] Interest income, net is less than $0.0001 per Unit

[2] 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.

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

[4] Units fully redeemed as of February 29, 2012.

XML

RELATED PARTY TRANSACTIONS (Details) (Financial Data Services, Inc., USD $)	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012	Dec. 31, 2012
Related party transactions
Fee rate based on aggregate asset level (as a percent)	0.02%
Fee allocated to the Fund	$ 3,265	$ 1,010
Fees payable	$ 2,662		$ 1,376
Minimum
Related party transactions
Fee rate paid by MLAI based on aggregate net assets (as a percent)	0.016%
Maximum
Related party transactions
Fee rate paid by MLAI based on aggregate net assets (as a percent)	0.02%

XML

FINANCIAL DATA HIGHLIGHTS (Parenthetical) (Maximum, USD $)	3 Months Ended
	Mar. 31, 2013
Maximum
Interest Income, net	$ 0.0001

XML

STATEMENTS OF FINANCIAL CONDITION (Parenthetical) (USD $)	Mar. 31, 2013	Dec. 31, 2012
STATEMENTS OF FINANCIAL CONDITION
Cash, restricted cash (in dollars)	$ 5,856,409
Units outstanding	84,842,657	52,081,850

XML

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details) (USD $)	3 Months Ended
	Mar. 31, 2013 item	Mar. 31, 2012
Organization
Number of funds in operations reorganized	2
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
Actual initial offering and organizational costs	$ 3,678	$ 6,832
Margin
Initial margin to support futures positions	$ 5,856,409
Percentage of initial margin	9.00%
Number of forward positions	0

XML

Document and Entity Information	3 Months Ended
	Mar. 31, 2013
Document and Entity Information
Entity Registrant Name	Highbridge Commodities FuturesAccess LLC
Entity Central Index Key	0001534977
Document Type	10-Q
Document Period End Date	Mar. 31, 2013
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Current Reporting Status	Yes
Entity Filer Category	Non-accelerated Filer
Entity Common Stock, Shares Outstanding	84,842,657
Document Fiscal Year Focus	2013
Document Fiscal Period Focus	Q1

XML

CONDENSED SCHEDULE OF INVESTMENTS (Details) (USD $)	Mar. 31, 2013	Dec. 31, 2012
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	(992,194)
Percent of Members' Capital	(1.63%)
HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions		(1,284,493)
Percent of Members' Capital		0.00%
Maximum
CONDENSED SCHEDULES OF INVESTMENTS
Percent of Members' Capital	5.00%	5.00%
Agriculture
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	(941,714)
Percent of Members' Capital	(1.53%)
Agriculture | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions		(774,725)
Percent of Members' Capital		0.00%
Currencies
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	87,070
Percent of Members' Capital	0.14%
Currencies | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions		(284,530)
Percent of Members' Capital		0.00%
Energy
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	289,348
Percent of Members' Capital	0.46%
Energy | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions		483,473
Percent of Members' Capital		0.00%
Metals
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	(426,898)
Percent of Members' Capital	(0.70%)
Metals | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions		(708,711)
Percent of Members' Capital		0.00%
Long Positions
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	(1,564,222)
Percent of Members' Capital	(2.55%)
Long Positions | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions		(913,525)
Percent of Members' Capital		0.00%
Long Positions | Agriculture
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional	903
Net Unrealized Profit (Loss) on Open Positions	(866,810)
Percent of Members' Capital	(1.41%)
Long Positions | Agriculture | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional		707
Net Unrealized Profit (Loss) on Open Positions		(820,670)
Percent of Members' Capital		0.00%
Long Positions | Currencies
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional	316
Net Unrealized Profit (Loss) on Open Positions	87,070
Percent of Members' Capital	0.14%
Long Positions | Currencies | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional		377
Net Unrealized Profit (Loss) on Open Positions		(284,530)
Percent of Members' Capital		0.00%
Long Positions | Energy
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional	263
Net Unrealized Profit (Loss) on Open Positions	360,592
Percent of Members' Capital	0.58%
Long Positions | Energy | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional		288
Net Unrealized Profit (Loss) on Open Positions		599,893
Percent of Members' Capital		0.00%
Long Positions | Metals
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional	340
Net Unrealized Profit (Loss) on Open Positions	(1,145,074)
Percent of Members' Capital	(1.86%)
Long Positions | Metals | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional		307
Net Unrealized Profit (Loss) on Open Positions		(408,218)
Percent of Members' Capital		0.00%
Short Positions
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions	572,028
Percent of Members' Capital	0.92%
Short Positions | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Net Unrealized Profit (Loss) on Open Positions		(370,968)
Percent of Members' Capital		0.00%
Short Positions | Agriculture
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional	(389)
Net Unrealized Profit (Loss) on Open Positions	(74,904)
Percent of Members' Capital	(0.12%)
Short Positions | Agriculture | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional		(239)
Net Unrealized Profit (Loss) on Open Positions		45,945
Percent of Members' Capital		0.00%
Short Positions | Currencies
CONDENSED SCHEDULES OF INVESTMENTS
Percent of Members' Capital	0.00%
Short Positions | Currencies | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Percent of Members' Capital		0.00%
Short Positions | Energy
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional	(52)
Net Unrealized Profit (Loss) on Open Positions	(71,244)
Percent of Members' Capital	(0.12%)
Short Positions | Energy | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional		(44)
Net Unrealized Profit (Loss) on Open Positions		(116,420)
Percent of Members' Capital		0.00%
Short Positions | Metals
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional	(305)
Net Unrealized Profit (Loss) on Open Positions	718,176
Percent of Members' Capital	1.16%
Short Positions | Metals | HCFA Master Fund
CONDENSED SCHEDULES OF INVESTMENTS
Number of Contracts/Notional		(226)
Net Unrealized Profit (Loss) on Open Positions		(300,493)
Percent of Members' Capital		0.00%

XML

STATEMENTS OF OPERATIONS (USD $)	3 Months Ended
	Mar. 31, 2013		Mar. 31, 2012
TRADING PROFIT (LOSS):
Realized, net	$ (691,911)		$ 966,139
Change in unrealized, net	(992,194)		1,080,470
Brokerage commissions	(38,031)		(17,272)
Total trading profit (loss), net	(1,722,136)		2,029,337
INVESTMENT INCOME (EXPENSE):
Interest, net	(3)
EXPENSES:
Management fee	242,510	[1]	77,806	[1]
Sponsor fees	205,532	[1]	54,738	[1]
Performance fee			108,455	[1]
Other	156,556	[1]	140,034	[1]
Total expenses	604,598	[1]	381,033	[1]
NET INVESTMENT INCOME (LOSS)	(604,601)		(381,033)
NET INCOME (LOSS)	$ (2,326,737)		$ 1,648,304
Class A
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	11,711,009		3,812,415
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0262)		$ 0.0506
Class C
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	25,335,806		5,652,413
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0289)		$ 0.0459
Class D
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	19,647,770		3,988,980
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0257)		$ 0.0697
Class I
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	28,538,145		1,732,628
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0260)		$ 0.0586
Class Z
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)			7,965,776	[2]
Net income (loss) per weighted average Unit (in dollars per unit)			$ 0.1024	[2]
Class M
NET INCOME (LOSS) PER UNIT:
Weighted average number of Units outstanding (in units)	1,305,208
Net income (loss) per weighted average Unit (in dollars per unit)	$ (0.0307)

[1] Audit, legal and printing are the primary operating expenses of the Fund.

[2] 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.)

XML

RELATED PARTY TRANSACTIONS

3 Months Ended

Mar. 31, 2013

RELATED PARTY TRANSACTIONS

RELATED PARTY TRANSACTIONS

5.   RELATED PARTY TRANSACTIONS

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Registrar and Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Registrar and Transfer Agent performs the transfer agent and investor services functions for the Fund.  The agreement with the Registrar and Transfer Agent calls for a fee to be paid based on the collective net 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 quarter ended March 31, 2013, the rate was 0.02%. The fee is payable monthly in arrears. 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. The Registrar and Transfer Agent fee allocated to the Fund for the three month periods ended March 31, 2013 and 2012 amounted to $3,265 and $1,010, respectively, of which $2,662 and $1,376 was payable to the Registrar and Transfer Agent as of March 31, 2013 and December 31, 2012, respectively.

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

XML

MARKET AND CREDIT RISKS

3 Months Ended

Mar. 31, 2013

MARKET AND CREDIT RISKS

MARKET AND CREDIT RISKS

4.   MARKET AND CREDIT RISKS

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

Market Risk

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s net unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition.  The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so.  These procedures focus primarily on monitoring the trading of Highbridge, 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 Highbridge to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected to be unusual.  It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of Trading Advisor monitoring, with the market risk controls being applied by Highbridge.

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse.  In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties.  Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition.  MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BAC affiliates, such as MLPF&S and MLIB, although MLAI may engage non-BAC affiliated service providers as clearing brokers or prime brokers for the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its clearing broker.  Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), MLPF&S has the right to net receivables and payables.

Indemnifications

In the normal course of business the Fund has entered, or may in the future enter, into agreements that obligate the Fund to indemnify third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

XML

SUBSEQUENT EVENTS (Details) (Subsequent events, USD $)	3 Months Ended
	Mar. 31, 2013
Subsequent events
Subsequent events
Subsequent events amount	$ 0

XML

FAIR VALUE OF INVESTMENTS (Details) (USD $)	Mar. 31, 2013	Dec. 31, 2012
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	$ (992,194)
Fair value assets, amount transferred between measurement levels	0	0
Fair value liabilities, amount transferred between measurement levels	0	0
HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(1,284,493)
Long
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(1,564,222)
Long | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(913,525)
Short
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	572,028
Short | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(370,968)
Total
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(992,194)
Total | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(1,284,493)
Total | Futures
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(992,194)
Total | Futures | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(1,284,493)
Total | Futures | Long
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(1,564,222)
Total | Futures | Long | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(913,525)
Total | Futures | Short
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	572,028
Total | Futures | Short | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(370,968)
Level I
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(813,491)
Level I | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(1,220,904)
Level I | Futures
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(813,491)
Level I | Futures | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(1,220,904)
Level I | Futures | Long
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(728,818)
Level I | Futures | Long | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(1,117,092)
Level I | Futures | Short
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(84,673)
Level I | Futures | Short | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(103,812)
Level II
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(178,703)
Level II | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(63,589)
Level II | Futures
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(178,703)
Level II | Futures | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		(63,589)
Level II | Futures | Long
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	(835,404)
Level II | Futures | Long | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		203,567
Level II | Futures | Short
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts	656,701
Level II | Futures | Short | HCFA Master Fund
Fair Value Of Investments
Net unrealized Profit (Loss) on open contracts		$ (267,156)

XML

CONDENSED SCHEDULE OF INVESTMENTS (Tables)

3 Months Ended

12 Months Ended

Mar. 31, 2013

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

March 31, 2013

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional	Profit (Loss)			Members’ Capital		Contracts/Notional		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	903	$	(866,810	)	-1.41	%	(389	)	$	(74,904	)	-0.12	%	$	(941,714	)	-1.53	%	April 2013- June 2013
Currencies	316	87,070			0.14	%	—		—			0.00	%	87,070			0.14	%	June 2013
Energy	263	360,592			0.58	%	(52	)	(71,244		)	-0.12	%	289,348			0.46	%	April 2013- May 2013
Metals	340	(1,145,074		)	-1.86	%	(305	)	718,176			1.16	%	(426,898		)	-0.70	%	April 2013- July 2013
Total		$	(1,564,222	)	-2.55	%			$	572,028		0.92	%	$	(992,194	)	-1.63	%

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/Notional	Profit (Loss)			Members’ Capital		Contracts/Notional		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		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	%

XML

SUBSEQUENT EVENTS

3 Months Ended

Mar. 31, 2013

SUBSEQUENT EVENTS

SUBSEQUENT EVENTS

6.   SUBSEQUENT EVENTS

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

XML

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies)

3 Months Ended

Mar. 31, 2013

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Estimates

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material. Certain prior year items have been reclassified to conform to the current year presentation.

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. Actual costs incurred for the for the three month periods ended March 31, 2013  and 2012 were $3,678 and $6,832, respectively.

Margin

Margin

As of March 31, 2013, the Fund employed $5,856,409 as initial margin to support its futures positions, representing approximately 9% of the Fund’s total assets as of such date.  As of March, 31, 2013, the Fund had no forward positions.

XML

FAIR VALUE OF INVESTMENTS (Tables)

3 Months Ended

12 Months Ended

Mar. 31, 2013

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

Net unrealized profit (loss) on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	(1,564,222	)	$	(728,818	)	$	(835,404	)	$	—
Short	572,028			(84,673		)	656,701			—
	$	(992,194	)	$	(813,491	)	$	(178,703	)	$	—
Forwards
Long	$	—		$	—		$	—		$	—
Short	—			—			—			—
	$	—		$	—		$	—		$	—
March 31, 2013	$	(992,194	)	$	(813,491	)	$	(178,703	)	$	—

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	)	$	—

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

	For the three months ended
	March 31, 2013
Commodity Industry Sector	profit (loss) from trading, net
Agriculture	$	(109,900	)
Currencies	(330,331		)
Energy	501,382
Metals	(1,745,256		)
Total, net	$	(1,684,105	)

For the three months ended
	March 31, 2012
Commodity Industry Sector	profit (loss) from trading, net
Agriculture	$	76,742
Currencies	339,020
Energy	2,855,635
Metals	138,446
Total, net	$	3,409,843

XML

MARKET AND CREDIT RISKS (Details) (USD $)	3 Months Ended
	Mar. 31, 2013 item
Indemnifications
Number of claims made with respect to indemnities	0
Provision for loss contingency	$ 0

XML

STATEMENT OF CHANGES IN MEMBERS' CAPITAL (USD $)	3 Months Ended
	Mar. 31, 2013		Mar. 31, 2012
Increase (Decrease) in Members' Capital
Members' Capital	$ 38,996,906
Net Income (Loss)	(2,326,737)		1,648,304
Members' Capital	61,647,607
Members' Capital
Increase (Decrease) in Members' Capital
Members' Capital	38,996,906		17,499,262
Members' Capital (in Units)	52,081,850		18,534,585
Subscriptions	27,601,202		15,682,063
Subscriptions (in Units)	36,318,378		15,906,184
Redemptions	(2,623,764)		(13,282,017)
Redemptions (in Units)	(3,557,571)		(13,247,403)
Net Income (Loss)	(2,326,737)		1,648,304
Members' Capital	61,647,607		21,547,612
Members' Capital (in Units)	84,842,657		21,193,366
Class A
Increase (Decrease) in Members' Capital
Members' Capital	8,863,293		1,001,468
Members' Capital (in Units)	11,922,019		1,067,047
Subscriptions	267,150		4,708,432
Subscriptions (in Units)	353,415		4,776,140
Redemptions	(1,114,465)
Redemptions (in Units)	(1,512,677)
Net Income (Loss)	(306,722)		192,986
Members' Capital	7,709,256		5,902,886
Members' Capital (in Units)	10,762,757		5,843,187
Class C
Increase (Decrease) in Members' Capital
Members' Capital	17,820,122		1,741,170
Members' Capital (in Units)	24,250,181		1,858,272
Subscriptions	1,393,000		6,674,183
Subscriptions (in Units)	1,887,862		6,764,348
Redemptions	(691,905)		(29,706)
Redemptions (in Units)	(950,370)		(29,526)
Net Income (Loss)	(732,730)		259,578
Members' Capital	17,788,487		8,645,225
Members' Capital (in Units)	25,187,673		8,593,094
Class D
Increase (Decrease) in Members' Capital
Members' Capital	6,689,457		2,246,958
Members' Capital (in Units)	8,564,682		2,313,375
Subscriptions	8,657,000		2,000,000
Subscriptions (in Units)	11,083,088		1,998,634
Net Income (Loss)	(504,844)		278,217
Members' Capital	14,841,613		4,525,175
Members' Capital (in Units)	19,647,770		4,312,009
Class I
Increase (Decrease) in Members' Capital
Members' Capital	4,939,046		73,268
Members' Capital (in Units)	6,612,136		78,014
Subscriptions	16,749,052		2,299,448
Subscriptions (in Units)	22,421,637		2,367,062
Redemptions	(817,394)
Redemptions (in Units)	(1,094,524)
Net Income (Loss)	(742,308)		101,610
Members' Capital	20,128,396		2,474,326
Members' Capital (in Units)	27,939,249		2,445,076
Class Z
Increase (Decrease) in Members' Capital
Members' Capital			12,436,398	[1]
Members' Capital (in Units)			13,217,877	[1]
Redemptions			(13,252,311)	[1]
Redemptions (in Units)			(13,217,877)	[1]
Net Income (Loss)			815,913	[1]
Class M
Increase (Decrease) in Members' Capital
Members' Capital	684,988	[2]
Members' Capital (in Units)	732,832	[2]
Subscriptions	535,000	[2]
Subscriptions (in Units)	572,376	[2]
Net Income (Loss)	(40,133)	[2]
Members' Capital	$ 1,179,855	[2]
Members' Capital (in Units)	1,305,208	[2]

[1] Units fully redeemed as of February 29, 2012.

[2] Units issued on December 1, 2012.

XML

FAIR VALUE OF INVESTMENTS

3 Months Ended

Mar. 31, 2013

FAIR VALUE OF INVESTMENTS

FAIR VALUE OF INVESTMENTS

3.   FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes.  The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date.  Profits or losses are realized when contracts are liquidated.  Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition.  Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations.

The fair value measurement guidance established by U.S. GAAP is a 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 in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed. 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 investments that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of investments 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 investments, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

The Fund has determined that Level I investments would include its futures and options contracts where it believes that quoted prices are available in an active market.

Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using quoted prices of investments with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forward and certain futures contracts.

The Fund’s and the Master Fund’s, respectively, net unrealized profit (loss) on open forward and futures contracts, by the above fair value hierarchy levels as of March 31, 2013 and December 31, 2012, respectively, are as follows:

Net unrealized profit (loss) on open contracts	Total			Level I			Level II			Level III
Futures
Long	$	(1,564,222	)	$	(728,818	)	$	(835,404	)	$	—
Short	572,028			(84,673		)	656,701			—
	$	(992,194	)	$	(813,491	)	$	(178,703	)	$	—
Forwards
Long	$	—		$	—		$	—		$	—
Short	—			—			—			—
	$	—		$	—		$	—		$	—
March 31, 2013	$	(992,194	)	$	(813,491	)	$	(178,703	)	$	—

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	)	$	—

The Fund’s volume of trading forwards and futures as of the three month period and year ended March 31, 2013 and December 31, 2012, respectively, are representative of the activity throughout these periods. There were no transfers to or from any level during the three month period ended March 31, 2013 or the year ended December 31, 2012.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the 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 Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, contract amount or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2, above.

The Fund presents their futures and forward contract amounts gross on the Statement of Financial Condition.  The Fund maintains initial and variation margin deposits and cash collateral with its futures and forward brokers, respectively, in amounts such broker determine, for open futures in the case of forwards, currency contracts.  At March 31, 2013, the initial and variation margin deposits and cash collateral are used to satisfy the margin requirements on open contracts and are presented on the Statement of Financial Condition as unrealized gain or loss on futures or forward contracts, respectively.

The following table indicates the trading profits and losses, before brokerage commissions, by type/commodity industry sector, on derivative instruments for each of the three month periods ended March 31, 2013 for the Fund and March 31, 2012 for the Master Fund:

	For the three months ended			For the three months ended
	March 31, 2013			March 31, 2012
Commodity Industry Sector	profit (loss) from trading, net			profit (loss) from trading, net
Agriculture	$	(109,900	)	$	76,742
Currencies	(330,331		)	339,020
Energy	501,382			2,855,635
Metals	(1,745,256		)	138,446
Total, net	$	(1,684,105	)	$	3,409,843

The Fund is subject to the risk of insolvency of counterparty, an exchange, a clearinghouse, MLPF&S or other BAC entities.  Fund assets could be lost or impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities.  There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

XML

FAIR VALUE OF INVESTMENTS (Details 2) (USD $)	3 Months Ended
	Mar. 31, 2013	Mar. 31, 2012 HCFA Master Fund	Mar. 31, 2013 Agriculture	Mar. 31, 2012 Agriculture HCFA Master Fund	Mar. 31, 2013 Currencies	Mar. 31, 2012 Currencies HCFA Master Fund	Mar. 31, 2013 Energy	Mar. 31, 2012 Energy HCFA Master Fund	Mar. 31, 2013 Metals	Mar. 31, 2012 Metals HCFA Master Fund
Trading profits and losses
Profit (loss) from trading, net	$ (1,684,105)	$ 3,409,843	$ (109,900)	$ 76,742	$ (330,331)	$ 339,020	$ 501,382	$ 2,855,635	$ (1,745,256)	$ 138,446