10-Q 1 a13-19746_110q.htm 10-Q

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM 10-Q

 

(Mark One)

 

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

 

For the quarterly period ended September 30, 2013

 

OR

 

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

 

For the transition period from                  to                 

 

Commission File Number    0-54573

 

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 September 30, 2013, 50,212,546 units of limited liability company interest were outstanding.

 

 

 

 


 

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

 

QUARTERLY REPORT FOR SEPTEMBER 30, 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

17

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

28

 

 

 

Item 4.

Controls and Procedures

31

 

 

 

PART II—OTHER INFORMATION

 

 

 

 

Item 1.

Legal Proceedings

32

 

 

 

Item 1A.

Risk Factors

32

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

32

 

 

 

Item 3.

Defaults Upon Senior Securities

33

 

 

 

Item 4.

Mine Safety Disclosures

33

 

 

 

Item 5.

Other Information

33

 

 

 

Item 6

Exhibits

33

 

 


 

PART I - FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

September 30,

 

December 31 ,

 

 

 

2013

 

2012

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $1,959,029 for 2013 and $0 for 2012)

 

$

37,810,765

 

$

—

 

Net unrealized profit on open futures contracts

 

774

 

—

 

Receivable from Highbridge Commodities FuturesAccess Master Fund LTD

 

—

 

39,709,301

 

Cash

 

416,817

 

33,998

 

Other assets

 

75,000

 

75,000

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

38,303,356

 

$

39,818,299

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Sponsor and Advisory fees payable

 

$

83,054

 

$

53,701

 

Redemptions payable

 

5,274,866

 

592,620

 

Net unrealized loss on open futures contracts

 

557,493

 

—

 

Other liabilities

 

227,140

 

175,072

 

 

 

 

 

 

 

Total liabilities

 

6,142,553

 

821,393

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Interest (50,212,546 Units and 52,081,850 Units outstanding; unlimited Units authorized)

 

32,160,803

 

38,996,906

 

Total members’ capital

 

32,160,803

 

38,996,906

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

38,303,356

 

$

39,818,299

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

(Based on 50,212,546 and 52,081,850 Units outstanding, unlimited Units authorized)

 

 

 

 

 

Class A

 

$

0.6235

 

$

0.7434

 

Class C

 

$

0.6117

 

$

0.7348

 

Class D

 

$

0.6625

 

$

0.7811

 

Class I

 

$

0.6284

 

$

0.7470

 

Class M

 

$

0.7928

 

$

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

 

For the nine months
ended

 

For the nine months
ended

 

 

 

September 30, 2013

 

September 30, 2012

 

September 30, 2013

 

September 30, 2012

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

(87,787

)

$

(272,744

)

$

(7,671,248

)

$

(2,262,953

)

Change in unrealized, net

 

707,538

 

233,590

 

(556,719

)

223,122

 

Brokerage commissions

 

(25,267

)

(23,003

)

(105,926

)

(69,806

)

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss), net

 

594,484

 

(62,157

)

(8,333,893

)

(2,109,637

)

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

 

 

 

 

Interest, net

 

2

 

—

 

(15

)

—

 

 

 

 

 

 

 

 

 

 

 

EXPENSES*:

 

 

 

 

 

 

 

 

 

Management fee

 

158,914

 

145,540

 

603,650

 

331,246

 

Sponsor fee

 

124,458

 

163,666

 

496,741

 

335,085

 

Performance fee

 

—

 

 

 

—

 

15,312

 

Other*

 

110,330

 

135,668

 

386,467

 

398,362

 

Total expenses

 

393,702

 

444,874

 

1,486,858

 

1,080,005

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(393,700

)

(444,874

)

(1,486,873

)

(1,080,005

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

200,784

 

$

(507,031

)

$

(9,820,766

)

$

(3,189,642

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

5,636,655

 

11,813,871

 

8,876,334

 

8,312,296

 

Class C

 

20,055,392

 

19,948,837

 

23,291,859

 

12,900,785

 

Class D

 

18,583,913

 

6,140,976

 

19,261,489

 

5,062,405

 

Class I

 

19,260,079

 

5,308,522

 

24,297,074

 

3,605,235

 

Class Z**

 

—

 

—

 

—

 

7,965,776

 

Class M***

 

2,192,270

 

—

 

1,984,783

 

—

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

0.0006

 

$

(0.0069

)

$

(0.1339

)

$

(0.1367

)

Class C

 

$

0.0017

 

$

(0.0153

)

$

(0.1287

)

$

(0.1425

)

Class D

 

$

0.0055

 

$

(0.0053

)

$

(0.1182

)

$

(0.0963

)

Class I

 

$

0.0028

 

$

(0.0164

)

$

(0.1253

)

$

(0.1508

)

Class Z**

 

$

—

 

$

—

 

$

—

 

$

0.1024

 

Class M***

 

$

0.0035

 

$

—

 

$

(0.1589

)

$

—

 

 

*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 unit for this share class is for the period January 1, 2012 to February 29, 2012.)

***Units issued on December 1, 2012.

 

See notes to financial statements.

 

2

 


 

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENT OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited) (in Units)

 

 

 

Members’ Capital
December 31, 2011

 

Subscriptions

 

Redemptions

 

Members’ Capital
September 30, 2012

 

Members’ Capital
December 31, 2012

 

Subscriptions

 

Redemptions

 

Members’ Capital
September 30, 2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Class A

 

1,067,047

 

11,339,403

 

(557,384

)

11,849,066

 

11,922,019

 

532,464

 

(7,318,106

)

5,136,377

 

Class C

 

1,858,272

 

19,970,503

 

(464,023

)

21,364,752

 

24,250,181

 

3,056,454

 

(11,672,529

)

15,634,106

 

Class D

 

2,313,375

 

4,038,683

 

—

 

6,352,058

 

8,564,682

 

11,460,450

 

(4,107,198

)

15,917,934

 

Class I

 

78,014

 

6,070,211

 

—

 

6,148,225

 

6,612,136

 

22,437,047

 

(17,668,176

)

11,381,007

 

Class Z**

 

13,217,877

 

—

 

(13,217,877

)

—

 

—

 

—

 

—

 

—

 

Class M*

 

—

 

—

 

—

 

—

 

732,832

 

1,825,199

 

(414,909

)

2,143,122

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

18,534,585

 

41,418,800

 

(14,239,284

)

45,714,101

 

52,081,850

 

39,311,614

 

(41,180,918

)

50,212,546

 

 

*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 NINE MONTHS ENDED SEPTEMBER 30, 2013 AND 2012

(unaudited)

 

 

 

Members’ Capital
December 31, 2011

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital
September 30, 2012

 

Members’ Capital
December 31, 2012

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’ Capital
September 30, 2013

 

Class A

 

$

1,001,468

 

$

10,965,976

 

$

(514,500

)

$

(1,136,365

)

$

10,316,579

 

$

8,863,293

 

$

393,900

 

$

(4,866,349

)

$

(1,188,296

)

$

3,202,548

 

Class C

 

1,741,170

 

18,941,272

 

(411,446

)

(1,838,289

)

$

18,432,707

 

17,820,122

 

2,174,619

 

(7,435,276

)

(2,996,631

)

9,562,834

 

Class D

 

2,246,958

 

4,028,957

 

—

 

(487,331

)

$

5,788,584

 

6,689,457

 

8,906,625

 

(2,774,005

)

(2,276,794

)

10,545,283

 

Class I

 

73,268

 

5,843,393

 

—

 

(543,570

)

$

5,373,091

 

4,939,046

 

16,760,052

 

(11,504,342

)

(3,043,659

)

7,151,097

 

Class Z**

 

12,436,398

 

—

 

(13,252,311

)

815,913

 

$

—

 

—

 

—

 

—

 

—

 

—

 

Class M*

 

—

 

—

 

—

 

—

 

$

—

 

684,988

 

1,666,000

 

(336,561

)

(315,386

)

1,699,041

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

17,499,262

 

$

39,779,598

 

$

(14,178,257

)

$

(3,189,642

)

$

39,910,961

 

$

38,996,906

 

$

29,901,196

 

$

(26,916,533

)

$

(9,820,766

)

$

32,160,803

 

 

*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 SEPTEMBER 30, 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

 

$

0.6232

 

$

0.6129

 

$

0.6596

 

$

0.6274

 

$

0.7894

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0071

 

0.0070

 

0.0075

 

0.0071

 

0.0090

 

Brokerage commissions

 

(0.0004

)

(0.0004

)

(0.0004

)

(0.0004

)

(0.0005

)

Interest Income, net (c)

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

0.0000

 

Expenses

 

(0.0064

)

(0.0078

)

(0.0042

)

(0.0057

)

(0.0051

)

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

0.6235

 

$

0.6117

 

$

0.6625

 

$

0.6284

 

$

0.7928

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

0.05

%

-0.20

%

0.43

%

0.16

%

0.43

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

0.05

%

-0.20

%

0.43

%

0.16

%

0.43

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

1.02

%

1.27

%

0.64

%

0.91

%

0.64

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

1.02

%

1.27

%

0.64

%

0.91

%

0.64

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-1.02

%

-1.27

%

-0.64

%

-0.91

%

-0.64

%

 

(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 performance fee 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 NINE MONTHS ENDED SEPTEMBER 30, 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)

 

(0.0986

)

(0.0972

)

(0.1041

)

(0.0992

)

(0.1245

)

Brokerage commissions

 

(0.0013

)

(0.0013

)

(0.0014

)

(0.0013

)

(0.0017

)

Interest Income, net (c)

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0200

)

(0.0246

)

(0.0131

)

(0.0181

)

(0.0157

)

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

0.6235

 

$

0.6117

 

$

0.6625

 

$

0.6284

 

$

0.7928

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-16.13

%

-16.76

%

-15.19

%

-15.88

%

-15.19

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-16.13

%

-16.76

%

-15.19

%

-15.88

%

-15.19

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

2.95

%

3.70

%

1.84

%

2.65

%

1.84

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

2.95

%

3.70

%

1.84

%

2.65

%

1.84

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-2.95

%

-3.70

%

-1.84

%

-2.65

%

-1.84

%

 

(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 performance fee ratios are not annualized.

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

 

See notes to financial statements.

 

6


 

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

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

 

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

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

0.8773

 

$

0.8715

 

$

0.9148

 

$

0.8797

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.0010

)

(0.0010

)

(0.0012

)

(0.0011

)

Expenses

 

(0.0056

)

(0.0077

)

(0.0023

)

(0.0047

)

Net asset value, end of period

 

$

0.8707

 

$

0.8628

 

$

0.9113

 

$

0.8739

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-0.76

%

-1.00

%

-0.38

%

-0.66

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-0.76

%

-1.00

%

-0.38

%

-0.66

%

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

0.62

%

0.87

%

0.25

%

0.52

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

0.62

%

0.87

%

0.25

%

0.52

%

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-0.62

%

-0.87

%

-0.25

%

-0.52

%

 

(a) 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.

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

 

See notes to financial statements.

 

7


 

HIGHBRIDGE COMMODITIES FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

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

 

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

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class 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 (loss)

 

(0.0481

)

(0.0476

)

(0.0506

)

(0.0484

)

0.0764

 

Expenses

 

(0.0197

)

(0.0266

)

(0.0094

)

(0.0169

)

(0.0031

)

Net asset value, before liquidation

 

0.8707

 

0.8628

 

0.9113

 

0.8739

 

1.0142

 

Less liquidating distribution

 

—

 

—

 

—

 

—

 

1.0142

 

Net asset value, end of period

 

$

0.8707

 

$

0.8628

 

$

0.9113

 

$

0.8739

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-7.23

%

-7.92

%

-6.18

%

-6.95

%

7.80

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-7.23

%

-7.92

%

-6.18

%

-6.95

%

7.80

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (a) 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees)

 

2.07

%

2.82

%

0.95

%

1.77

%

0.30

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

2.07

%

2.82

%

0.95

%

1.77

%

0.30

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-2.07

%

-2.82

%

-0.95

%

-1.77

%

-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 member’s 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.

 

8


 

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 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 all of its assets through an account advised by the Trading Advisor rather than through the Master Fund, which was liquidated. The units of limited liability company interest of the BA Feeder were converted into units of limited liability company interest (“Units”) of the Fund, resulting in the effective combination of operations of the two funds.

 

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”) will act as 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 Merrill Lynch International (“MLI”).  MLPF&S, MLIB and MLI are BAC affiliates.

 

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”).  FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC.  FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds.  Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

 

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.

 

9


 

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of  September 30, 2013 and December 31, 2012 and the results of its operations for the three and nine month periods ended September 30, 2013 and 2012.  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 year 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. Accrued costs incurred for the nine month periods ended September 30, 2013 and 2012 were $11,034 and $14,188, respectively.

 

Margin

 

As of September 30, 2013, the Fund employed $1,959,029 as initial margin to support its futures positions, representing approximately 5% of the Fund’s total assets as of such date.  As of September 30, 2013, the Fund had no forward positions and no swap positions.

 

10


 

2.                    CONDENSED SCHEDULES OF INVESTMENTS

 

The Fund’s investments, defined as net unrealized profit (loss) on open contracts on the Statements of Financial Condition as of September 30, 2013 and the Master Fund’s investments, defined as net unrealized profit (loss) on open contracts as of December 31, 2012 are as follows:

 

September 30, 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

 

379

 

$

(100,193

)

-0.31

%

(86

)

$

31,887

 

0.10

%

$

(68,306

)

-0.21

%

November 2013 - February 2014

 

Currencies

 

98

 

9,120

 

0.03

%

—

 

—

 

0.00

%

$

9,120

 

0.03

%

December 2013

 

Energy

 

199

 

(541,190

)

-1.68

%

(18

)

17,724

 

0.06

%

$

(523,466

)

-1.62

%

October 2013 - November 2013

 

Metals

 

100

 

16,032

 

0.05

%

(118

)

9,901

 

0.03

%

25,933

 

0.08

%

October 2013 - December 2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

(616,231

)

-1.91

%

 

 

$

59,512

 

0.19

%

$

(556,719

)

-1.72

%

 

 

 

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 September 30, 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 an approximate measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

 

11


 

3.              FAIR VALUE OF INVESTMENTS

 

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

 

The fair value measurement guidance established by U.S. GAAP is a 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.

 

12


 

The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

 

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded.  These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into 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 September 30, 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

 

$

(616,231

)

$

(628,343

)

$

12,112

 

$

—

 

Short

 

59,512

 

52,383

 

7,129

 

—

 

 

 

$

(556,719

)

$

(575,960

)

$

19,241

 

$

—

 

 

 

 

 

 

 

 

 

 

 

Forwards

 

 

 

 

 

 

 

 

 

Long

 

$

—

 

$

—

 

$

—

 

$

—

 

Short

 

—

 

—

 

—

 

—

 

 

 

$

—

 

$

—

 

$

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

September 30, 2013

 

$

(556,719

)

$

(575,960

)

$

19,241

 

$

—

 

 

13


 

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 nine month period ended September 30, 2013 and year ended December 31, 2012 are representative of the activity throughout these periods. There were no transfers to or from any level during the three or nine month periods ended September 30, 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 derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, contract amount or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2, above.

 

The Fund presents its futures and forward contract amounts gross on the Statement of Financial Condition. The Fund maintains margin deposits and cash collateral with its futures and forward brokers, respectively, in amounts determined by the respective broker. At September 30, 2013 and December 31, 2012, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statement of Financial Condition as Cash on deposit with Broker and the variation margin on open contracts 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 and nine month periods ended September 30, 2013 for the Fund and September 30, 2012 for the Master Fund:

 

14


 

 

 

For the three months ended

 

For the nine months ended

 

 

 

September 30, 2013

 

September 30, 2013

 

Commodity Industry Sector

 

profit (loss) from trading, net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

(107,240

)

$

(837,808

)

Currencies

 

(44,333

)

(1,668,876

)

Energy

 

427,177

 

(1,576,398

)

Metals

 

344,147

 

(4,144,885

)

 

 

 

 

 

 

Total, net

 

$

619,751

 

$

(8,227,967

)

 

 

 

For the three months ended

 

For the nine months ended

 

 

 

September 30, 2012

 

September 30, 2012

 

Commodity Industry Sector

 

profit (loss) from trading, net

 

profit (loss) from trading, net

 

 

 

 

 

 

 

Agriculture

 

$

(2,304,050

)

$

(4,512,342

)

Currencies

 

895,121

 

1,239,469

 

Energy

 

153,571

 

(371,041

)

Metals

 

1,388,544

 

(336,976

)

 

 

 

 

 

 

Total, net

 

$

133,186

 

$

(3,980,890

)

 

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

 

4.              MARKET AND CREDIT RISKS

 

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

 

Market Risk

 

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

 

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so.  These procedures focus primarily on monitoring the trading of Highbridge, calculating the Net Asset Value of the Fund as of the close of business on each day

 

15


 

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 futures 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 certain parties, including BAC affiliates, 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 “Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services are based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets. During the quarter ended September 30, 2013, the rate was 0.02%. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Fund, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended September 30, 2013, and 2012 amounted to $1,459 and $1,299, respectively. The Transfer Agent fee allocated to the Fund for the nine month periods ended September 30, 2013 and 2012 amounted to $7,542 and $3,645, respectively, of which $1,094 and $1,376 was payable to the Transfer Agent as of September 30, 2013 and December 31, 2012, respectively.

 

16


 

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.            RECENT ACCOUNTING PRONOUNCEMENTS

 

In June 2013, the Financial Accounting Standards Board (“FASB”) issued an update relating to the criteria used in defining an investment company under US GAAP. It also sets forth certain measurement and disclosure requirements.   Under the new standard the typical characteristics of an investment company will be: (i) it has more than one investment and more than one investor, (ii) it has investors that are not related parties of the entity or the investment manager, (iii) it has ownership interests in the form of equity or partnership interests, and (iv) it manages substantially all of its investments on a fair value basis. The standard also reaffirms that a noncontrolling interest in another investment company should be measured at fair value instead of the equity method. It also includes additional disclosure requirements for an entity to disclose the fact that it is an investment company, and to provide information about changes, if any, in its status as an investment company. Finally, an entity will also need to include disclosures around financial support that has been provided or is contractually required to be provided to any of its investees. The requirements of the standard are effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013, with early application prohibited. The Sponsor is currently evaluating the standard and does not believe it will have a material impact to the Fund’s financial statements.

 

7.              SUBSEQUENT EVENTS

 

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

 

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

 

MONTH-END NET ASSET VALUE PER UNIT

 

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

 

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the close of business on the last 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.

 

17


 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

Jun.

 

Jul.

 

Aug.

 

Sep.

 

2012

 

0.9958

 

$

1.0092

 

$

1.0102

 

$

1.0105

 

$

0.8901

 

$

0.8773

 

$

0.9099

 

$

0.9064

 

$

0.8707

 

2013

 

$

0.7660

 

$

0.7233

 

$

0.7163

 

$

0.6813

 

$

0.6496

 

$

0.6232

 

$

0.6242

 

$

0.6384

 

$

0.6235

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

Jun.

 

Jul.

 

Aug.

 

Sep.

 

2012

 

$

0.9934

 

$

1.0059

 

$

1.0061

 

$

1.0055

 

$

0.8850

 

$

0.8715

 

$

0.9031

 

$

0.8990

 

$

0.8628

 

2013

 

$

0.7566

 

$

0.7137

 

$

0.7062

 

$

0.6712

 

$

0.6394

 

$

0.6129

 

$

0.6134

 

$

0.6268

 

$

0.6117

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

Jun.

 

Jul.

 

Aug.

 

Sep.

 

2012

 

$

1.0319

 

$

1.0471

 

$

1.0494

 

$

1.0511

 

$

0.9270

 

$

0.9148

 

$

0.9500

 

$

0.9475

 

$

0.9113

 

2013

 

$

0.8058

 

$

0.7618

 

$

0.7554

 

$

0.7194

 

$

0.6868

 

$

0.6596

 

$

0.6615

 

$

0.6774

 

$

0.6625

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

Jun.

 

Jul.

 

Aug.

 

Sep.

 

2012

 

$

0.9969

 

$

1.0106

 

$

1.0120

 

$

1.0126

 

$

0.8923

 

$

0.8797

 

$

0.9127

 

$

0.9095

 

$

0.8739

 

2013

 

$

0.7700

 

$

0.7272

 

$

0.7204

 

$

0.6854

 

$

0.6538

 

$

0.6274

 

$

0.6286

 

$

0.6432

 

$

0.6284

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS Z

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

Jun.

 

Jul.

 

Aug.

 

Sep.

 

2012

 

$

0.9996

 

$

1.0142

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

2013

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

Jun.

 

Jul.

 

Aug.

 

Sep.

 

2012

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

n/a

 

2013

 

$

0.9643

 

$

0.9117

 

$

0.9040

 

$

0.8609

 

$

0.8219

 

$

0.7894

 

$

0.7917

 

$

0.8107

 

$

0.7928

 

 

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 request and the applicable redemption date.

 

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.

 

18

 


 

For the nine month period ended September 30, 2013, Fund capital decreased 17.53% from $38,996,906 to $32,160,803.  This decrease was attributable to the net loss from operations of $9,820,766 coupled with the redemption of 41,180,918 Redeemable Units resulting in an outflow of $26,916,533.  The cash outflow was offset with cash inflow of $29,901,196 due to subscriptions of 39,311,614 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 the Fund’s treatment of fair value, see Note 3, Fair Value of Investments.

 

Futures Contracts

 

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

 

19


 

Forward Foreign Currency Contracts

 

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

 

Interest Rates and Income

 

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

 

Income Taxes

 

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

 

The Fund follows the 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.  A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Fund, including reducing the net asset value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2012.

 

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 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.

 

20


 

Results of Operations

 

January 1, 2013 to September 30, 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.

 

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

 

21


 

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.

 

April 1, 2013 to June 30, 2013

 

The Fund experienced a net trading loss of $7,163,613 before brokerage commissions and related fees in the second quarter of 2013. The agriculture, currency, energy and metals sectors posted losses.

 

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The Trading Program’s bullish positioning in corn contributed to underperformance as prices sold-off slightly.  However, corn rebounded towards the end of April due to news that wet weather in the U.S. is causing significant delays in planting.    Profits from the Trading Program’s bullish positioning in cocoa were offset by losses in cotton.  Cocoa futures jumped during April on speculation that production will slow in West Africa, a major growing region, and further reduce supplies. Profits were posted to the Fund in the middle of the quarter resulting from the Trading Program’s bullish positioning in the soybean complex and corn.   Soybeans and corn rallied on reports that wet weather in the Mid-Western U.S. has curbed planting causing concerns that the grains will be forced to pollinate under hotter and drier conditions.  Increased demand from China provided further support for soybean prices. Losses were posted to the Fund at the end of the quarter resulting from the Trading Program’s bullish positioning in corn and the soybean complex.  Corn and soybeans sold-off after spending much of June in positive territory.  Grain returns were pushed into negative territory as a U.S. Department of Agriculture (“USDA”) report released  in June detailed increasing soybean crop ratings and planting progress, and a separate report released on the last trading day of June citied higher than expected planting for corn.

 

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter resulting from the Trading Program’s positioning in the Australian dollar. Losses were posted to the Fund in the middle of the quarter. The majority of the month- to-date losses were attributable to the Australian dollar falling on news of economic weakness in the Australian economy and a broad rally in the U.S. dollar against many foreign currencies. Losses were posted to the Fund at the end of the quarter. The Trading Program’s positioning in the Australian dollar detracted as the currency fell on news of economic weakness in the Australian economy and the continued sell-off in broad commodity markets.

 

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Commodities in the energy sector, with the exception of natural gas, traded down on news of increasing stocks as oil refineries ramped up production after completing annual maintenance programs, and of slowing energy demand in Europe.  More specifically, WTI crude, Brent crude, heating oil and gasoline fell in April. Losses were posted to the Fund in the middle of the quarter resulting from the Trading Program’s bullish long positioning in natural gas. WTI crude, Brent crude, heating oil and gasoline also fell in May. Losses were posted to the Fund at the end of the quarter resulting from the Trading Program’s bullish positioning in natural gas, as the commodity fell on news of higher than expected inventories and mild weather forecasts.

 

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter resulting from silver and gold falling.  Losses were posted to the Fund in the middle of the quarter. The Trading Program’s positioning in silver and gold detracted as the commodities fell in May driven by speculation that the U.S.  Federal Reserve  will  scale  back  stimulus  efforts  earlier  than  expected  and  investor bullishness around other global risk assets. Losses were posted to the Fund at the end of the quarter. The majority of the losses were attributable to silver and gold falling.  Precious metals fell following the announcement by the U.S Federal Reserve in late June which outlined conditions for tapering ongoing QE programs.

 

22


 

July 1, 2013 to September 30, 2013

 

The Fund experienced a net trading profit of $619,751 before brokerage commissions and related fees in the third quarter of 2013. The Fund’s profits were primarily attributable to the energy and metals sectors posting profits. The currency and agriculture sectors posted losses.

 

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. West Texas Intermediate crude oil was up during July in connection with positive economic data released in the U.S.  coupled  with  continued  progress  around  reducing  the  West Texas Intermediate crude  oil supply/demand  imbalance  in  Cushing,  Oklahoma. Brent crude oil traded higher primarily due to speculation that unrest in the Middle East may disrupt supplies.  The Trading Program’s bullish positioning in gasoline also contributed to performance as the commodity advanced due to reports of strong inventory draws. The Trading Program’s long  positioning  in  natural  gas  detracted  from  performance  as  the  commodity  fell  due  to expectations for cooler weather in the Eastern United States. Profits were posted to the Fund in the middle of the quarter. The energy sector was the portfolio’s largest contributor to performance in August, primarily driven by bullish positioning in West Texas Intermediate and Brent crude oil as the commodities rallied.  West Texas Intermediate crude oil prices were up during August due to continued progress around reducing the West Texas Intermediate crude oil supply/demand imbalance in Cushing, Oklahoma. Additionally, speculation that unrest in the Middle East may disrupt supplies supported crude oil prices globally. Losses were posted to the Fund at the end of the quarter. The Trading Program’s bullish positioning in West Texas Intermediate and Brent crude was the largest source of negative performance as supply concerns eased following the postponement of U.S. military intervention in Syria and an improvement in Libyan output. Gasoline was down during September which also detracted as supplies reached a higher level.

 

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as gold rallied on speculation that the U.S. Federal Reserve will maintain its economic stimulus programs. The Trading Program’s small exposures in industrial metals served as a minor source of underperformance as the sector traded up driven by positive economic data released in July. Profits were posted to the Fund in the middle of the quarter. Silver and gold rallied in August due to dampening of speculation that the U.S. Federal Reserve will scale back stimulus efforts. The Trading Program’s small exposures in industrial metals served as a minor source of positive performance.  The sector traded up primarily due to the release of better than expected global economic data. Profits were posted to the Fund at the end of the quarter. Gold and silver did not have a material impact on performance as exposures decreased over the summer months given the continued negative trend in prices. The  Trading Program’s  small  exposures  in  industrial  metals  served  as  a minor source of negative performance as the sector traded up due to the rally in copper.

 

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter due to the Trading Program’s positioning in the Australian dollar, which detracted as the currency fell on news of economic weakness in the Australian economy. Losses were posted to the Fund in the middle of the quarter. The majority of the loss was attributable to the Trading Program’s positioning in the Australian dollar, as the currency fell on news of economic weakness in the Australian economy. Profits were posted to the Fund at the end of the quarter.  The Australian dollar was up on news that the Australian economy accelerated more than expected in the second quarter and the Reserve Bank of Australia’s decision to keep overnight rates unchanged.

 

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter due to the Trading Program’s bullish positioning in corn and the soy complex. Corn and soybeans sold-off as rainfall in the Midwest improved prospects for robust crop yields.  The Trading Program’s positioning in the remaining grains and livestock did not materially impact performance.   Within the grains, the strength of the Trading Program’s bullish view continued to decline due to improvements in weather conditions and

 

23


 

planting progress in the Midwest. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s bullish exposure to the soy complex. Soybeans rallied as dry weather in the Midwest threatened yields. Gains across the soybean complex were partially offset by long positioning in corn, which was down due to expectations for a strong harvest in the United States. Softs detracted moderately from performance due to the Trading Program’s bullish exposure to sugar and cotton.   Sugar prices fell on market concerns that Brazil, a key growing area, will boost production.   Additionally, cotton detracted on signs of improving yields in the United States and India. Bearish positioning in coffee partially offset losses in the sector as the commodity was down by news of decreasing demand, evidenced by slowing sales in Brazil, the world’s largest exporter.  Cocoa rallied which benefited the Trading Program’s bullish positioning, on increasing concerns that dry weather will impair crop yields in the Ivory Coast and Ghana, the largest global producers. Losses were posted to the Fund at the end of the quarter. due to the Trading Program’s bullish exposure across the soybean complex.  Soybeans were down during September as a result of favorable weather conditions and the U.S. Department of Agriculture’s report of higher inventories.  The Trading Program’s Softs contributed to performance due to bullish exposure to sugar and cocoa. Cocoa rallied due to dry weather in the Ivory Coast, the world’s largest producer, and strong demand.  Sugar prices were also up due to a drop in output from Brazil following a period of wet weather earlier in September.

 

January 1, 2012 to September 30, 2012

 

January 1, 2012 to March 31, 2012

 

The Master Fund experienced a net trading profit of $3,409,843, before brokerage commissions and related fees 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.

 

24


 

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 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.

 

April 1, 2012 to June 30, 2012

 

The Master Fund experienced a net trading loss of $7,523,918, before brokerage commissions and related fees

in the second quarter of 2012. The Fund’s profits were attributable to the currency sector posting profits while the metals, agriculture, and energy sectors posted losses.

 

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning and end of the quarter with losses in the middle of the quarter.

 

The metals sector posted losses to the Fund.  Losses were posted to the Fund at the beginning of the quarter. Industrial metals had mixed performance during the month of April.  Aluminum was down while lead and zinc were up. Zinc has been one of the best performing industrial metals year-to-date based on concerns that upcoming mine closures and lack of investment in new mines will leave the market undersupplied. Silver and gold was down which contributed to the sector’s negative performance.  Losses were posted to the Fund in the middle of the quarter. Precious metals were a negative contributor during the month of May as gold and silver were down.  While precious metals were not immune to the broad delevering that occurred during May, they maintained their value. Losses were posted to the Fund at the end of the quarter. The industrials metals sector generated negative performance in June as copper and nickel rallied, respectively.  The sector spent the majority of the month in negative territory due to concerns around global economic growth. Precious metals were a positive contributor as gold advanced and silver detracted marginally.

 

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Soybeans were up as drought conditions in South America continued to impact supply expectations. Losses were posted to the Fund in the middle of the quarter.  Agriculture detracted from May performance as soybeans fell given favorable weather reports in key growing areas in the Midwestern United States, which increased yield projections. The negative contribution of soybeans was partially offset by the Trading Program’s bearish positioning on corn, which was down in May due to expectations of a record harvest in the

 

25


 

U.S. The Trading Program’s positioning within the softs led to mildly negative performance as cotton, coffee and sugar were down. Losses were posted to the Fund at the end of the quarter. The Trading Program’s bearish positioning in corn, based on expectations for the planting of record acreage, detracted and as the best performing commodity in June. The performance of corn reflected the expected impact of extreme weather in the U.S. during the critical pollination stage. The Trading Program’s bullish positioning in soybeans, up during the month of June, contributed to performance.  Despite abundant supplies, sugar and coffee rallied due to reports of below normal rainfall in India and unseasonably wet weather in Brazil.

 

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The Trading Program’s bearish view on natural gas detracted from returns as the commodity rallied during the second half of the month of April on cooler than expected weather and evidence of potential production decreases. Gasoline fell on robust global production and signs that demand could be slowing. Losses were posted to the Fund in the middle of the quarter as natural gas rallied on news that U.S. power plants increased natural gas use due to switching from more traditional electric generation sources, such as coal.  Heating oil and gasoline fell in May on signs that demand could be slowing with weaker levels of economic activity.  The Trading Program’s short positioning in West Texas Intermediate crude oil, which was down partially offset negative performance from the Trading Program’s long positions in the energy products.  Losses were posted to the Fund at the end of the quarter. Energy detracted in June as natural gas rallied despite continued elevated inventory levels, partly in response to fears that Tropical Storm Debby would impact natural gas production as it approached coastal Florida in late June.  The Trading Program’s short positioning in West Texas Intermediate crude oil, which was down in June, partially offset negative performance.  Despite the reversal of the Seaway pipeline, West Texas Intermediate crude oil remains well supplied benefiting from increases in production and weakening demand. Brent crude and West Texas Intermediate crude oil were down significantly for the majority of June, but, rallied on the last trading day of the month on the stronger than expected news out of Europe, renewed fears of escalating tensions with Iran and oil industry labor strikes in Norway.

 

July 1, 2012 to September 30, 2012

 

The Master Fund experienced a net trading profit of $133,186 before brokerage commissions and related fees in the third quarter of 2012. The Fund’s profits were attributable to the metals, currency and energy sector posting profits while agriculture sector posted losses.

 

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Mildly positive performance in the industrial metals sector was a result of the trading program’s overall bearish positioning within the sector.  Most metals in the sector traded in-line with expectations for slowing demand from China.  Nickel experienced the largest sell-off during the month of July as a result of ample supply levels and weak demand. Precious metals posted profits to the Fund as gold and silver were up during the month of July. Profits were posted to the Fund in the middle of the quarter.  The trading program maintained small position sizes across the industrial metals but was overall short the sector.  Performance for the individual metals was muted during August with the headwinds out of China, Europe and the U.S. overshadowing the longer-term bullish prospects for certain industrial metals.  Gold and silver were up due to expectations for continued easing of monetary policy globally. Profits were posted to the Fund at the end of the quarter. The industrial metals sector rallied primarily in response to the U.S. Federal Reserve’s announcement for additional quantitative easing, and was the largest contributor to broad market performance. The precious metals sector also appeared to benefit from the announcement of QE3 and expectations for interest rates in the U.S. to remain low for the near term. Silver and gold were up in September.

 

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as the commodity currencies were up during the month of July only to be reversed in the middle of the quarter. The performance of commodity currencies was the primary driver of negative performance resulting in losses

 

26


 

posted to the Fund in the middle of the quarter.  Profits were posted to the Fund at the end of the quarter due to the trading program’s positioning.

 

The energy sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. Energy detracted slightly in July as each commodity in the sector was up during the month. Natural gas continued the rally which began in mid-April as strong performance was influenced by increased use for electricity generation, production cuts as a result of low prices and de-risking/delevering.  Warm weather during July added further pressure as increased air conditioning use led to elevated demand for electricity. The trading program’s short positioning in West Texas Intermediate crude oil was up during July which detracted from performance.  West Texas Intermediate crude oil advanced as it was supported by increased U.S. led sanctions against Iran and production problems in the North Sea Buzzard Oilfield.  Gasoline rallied during the month of July partly due to unexpected refinery closure. Profits were posted to the Fund in the middle of the quarter. Positioning across the energy sector was a moderate contributor as the trading program’s long positions in the energy products, gasoline and heating oil, added value while bearish positioning in West Texas Intermediate crude oil detracted.  All of the commodities in the energy sector rallied, with the exception of natural gas, due to the impact of the sanctions against Iran and production cuts ahead of Hurricane Isaac’s arrival in the Gulf of Mexico.   Gasoline, heating oil, Brent crude and West Texas Intermediate crude oil rallied. Losses were posted to the Fund at the end of the quarter.  The trading program’s short position in natural gas, reflecting continued high inventory levels, negatively impacted performance as the commodity rallied during the month of September. The trading program’s bearish positioning in West Texas Intermediate crude oil contributed to performance as it fell during the month of September driven, in part, by concerns over global economic growth and reports of OPEC increasing production to stabilize prices at approximately $100 a barrel.

 

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. The trading program’s positioning within the agriculture sector generated strong performance as the Midwestern U.S. continued to experience severe heat and drought conditions throughout July.  By the end of the month, approximately half of the U.S. corn crop was rated poor/very poor by the U.S. Department of Agriculture.  As a result, corn experienced another large price increase. Soybeans were up modestly less than corn, as there was a possibility of the crop recovering with an improvement in weather conditions. Volatility was higher in the grains sector, which also contributed to the trading program’s lower exposure. Profits were posted to the Fund in the middle of the quarter. For the grains sector, the trading program’s bullish positioning across the soybean complex was a positive contributor to returns.  Soybeans were up due to the continued impact of extreme heat and drought conditions in key growing areas of the Midwestern U.S.  Prior to the emergence of poor weather conditions in June, soybean supplies were already tight due to production issues in South America earlier in the year.  Corn and wheat, were each approximately flat during the month of August as the condition of both crops was already poor and did not significantly deteriorate further. The trading program’s overweight position in sugar detracted as the commodity fell during the month of August due to improved weather conditions in Brazil, which supported the cane crushing process.  A delayed monsoon in India and heavy rains in Brazil impacted expectations for the current crop. The trading program’s bearish positioning in cotton also detracted from performance.  Despite ample supplies of cotton, the potential impact of Hurricane Isaac, perceived carryover effects from the heat wave in the Midwestern U.S. and reports of stockpiling in China caused cotton to rally.  The Fund’s bearish positioning in coffee added value as the commodity fell.  Supportive weather in Brazil put pressure on already ample supply levels. Losses were posted to the Fund at the end of the quarter. The trading program’s bullish positioning within the grains was the primary detractor from performance as soybeans and corn were down in September.  Despite historically tight inventory levels, both commodities fell on news of supportive growing conditions in Brazil and a less bearish than expected supply report released by the U.S. Department of Agriculture.    The trading program’s positioning within the softs generated slightly positive performance with gains from the bearish positioning in cotton offset by mild losses in both cocoa and coffee.  Cotton fell during the month of September, reversing the rally which took place in August, primarily on expectations for increasing inventories and weakening demand.

 

27


 

(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.

 

Quantifying The Fund’s Trading Value At Risk

 

Quantitative Forward-Looking Statements

 

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

 

The Fund’s risk exposure in the various market sectors traded by 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

 

28

 


 

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 September 30, 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 September 30, 2012. For the nine month periods ended September 30, 2013 and 2012 the Fund’s and the Master Fund’s, respectively, average month-end Net Asset Value was approximately $49,389,971 and $50,535,195.

 

September 30, 2013

 

 

 

Average Value

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

at Risk

 

Capitalization

 

at Risk

 

at Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

1,355,166

 

2.74

%

$

2,685,672

 

$

643,179

 

Currencies

 

123,345

 

0.25

%

248,315

 

10,970

 

Energy

 

709,787

 

1.44

%

1,661,532

 

99,575

 

Metals

 

728,793

 

1.48

%

1,367,197

 

12,762

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

2,917,091

 

5.91

%

$

5,962,716

 

$

766,486

 

 

September 30, 2012

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

1,427,017

 

2.82

%

$

2,591,255

 

$

590,467

 

Currencies

 

874,973

 

1.73

%

1,517,976

 

446,850

 

Energy

 

1,134,105

 

2.24

%

2,055,566

 

377,075

 

Metals

 

1,477,422

 

2.92

%

2,102,338

 

997,530

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

4,913,517

 

9.71

%

$

8,267,135

 

$

2,411,922

 

 

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. 

 

29


 

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 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 of 1933 and Section 21E of the Securities Exchange Act of 1934. The Fund’s primary market risk exposures as 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 September 30, 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 September 30, 2013. However, it is

 

30


 

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 September 30, 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.

 

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 September 30, 2013 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

 

31


 

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

 

May-13

 

29,250

 

42,933

 

0.6813

 

Jun-13

 

—

 

—

 

0.6496

 

Jul-13

 

—

 

—

 

0.6232

 

Aug-13

 

—

 

—

 

0.6242

 

Sep-13

 

—

 

—

 

0.6384

 

Oct-13

 

—

 

—

 

0.6235

 

 

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

 

359,672

 

0.7062

 

May-13

 

296,000

 

441,001

 

0.6712

 

Jun-13

 

138,619

 

216,795

 

0.6394

 

Jul-13

 

25,000

 

40,790

 

0.6129

 

Aug-13

 

53,000

 

86,404

 

0.6134

 

Sep-13

 

15,000

 

23,930

 

0.6268

 

Oct-13

 

—

 

—

 

0.6117

 

 

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

 

May-13

 

—

 

—

 

0.7194

 

Jun-13

 

—

 

—

 

0.6868

 

Jul-13

 

—

 

—

 

0.6596

 

Aug-13

 

249,625

 

377,362

 

0.6615

 

Sep-13

 

—

 

—

 

0.6774

 

Oct-13

 

—

 

—

 

0.6625

 

 

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

 

May-13

 

—

 

—

 

0.6854

 

Jun-13

 

1,000

 

1,529

 

0.6538

 

Jul-13

 

—

 

—

 

0.6274

 

Aug-13

 

—

 

—

 

0.6286

 

Sep-13

 

—

 

—

 

0.6432

 

Oct-13

 

—

 

—

 

0.6284

 

 

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

 

May-13

 

31,000

 

36,009

 

0.8609

 

Jun-13

 

—

 

—

 

0.8219

 

Jul-13

 

—

 

—

 

0.7894

 

Aug-13

 

—

 

—

 

0.7917

 

Sep-13

 

—

 

—

 

0.8107

 

Oct-13

 

—

 

—

 

0.7928

 

 

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

 

 

(b)  Not applicable.

 

 

 

(c)  Not applicable.

 

32


 

Item 3.

Defaults Upon Senior Securities

 

 

 

None.

 

 

Item 4.

Mine Safety Disclosures

 

 

 

Not applicable.

 

 

Item 5.

Other Information

 

 

 

None.

 

 

Item 6.

Exhibits

 

 

 

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

 

31.01 and

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

 

Exhibit 31.01

and 31.02:             Are filed herewith.

 

32.01 and

32.02                                         Section 1350 Certifications

 

Exhibit 32.01

and 32.02                    Are filed herewith.

 

Exhibit 101            Are filed herewith.

 

The following materials from the Fund’s quarterly Report on Form 10-Q for the three and nine month periods ended September 30, 2013 formatted in XBRL (Extensible Business Reporting Language): ( i ) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of  Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text. (1)

 

(1)  These interactive data files shall not be deemed filed for purposes of Sections 11 or 12 of the Securities Act of 1933 or Section 18 of the Securities Exchange Act of 1934 or otherwise subject to  liability under those sections.

 

33


 

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: November 14, 2013

By:

/s/ KEITH GLENFIELD

 

 

Keith Glenfield

 

 

Chief Executive Officer and President

 

 

(Principal Executive Officer)

 

 

 

 

 

 

Date: November 14, 2013

By:

/s/ BARBRA E. KOCSIS

 

 

Barbra E. Kocsis

 

 

Chief Financial Officer

 

 

(Principal Financial Officer)

 

34