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Merrill Lynch - Alternative Investments LLC
1200 Merrill Lynch Drive (1 B) Pennington, New Jersey 08534
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Bank of America Corporation
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Re:
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ML Systematic Momentum FuturesAccess LLC
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Form 10-K for Fiscal Year Ended December 31, 2010
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Filed March 15, 2011
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File No. 000-52505;
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ML Trend-Following Futures Fund L.P.
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Form 10-K for Fiscal Year Ended December 31, 2010
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Filed March 15, 2011
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File No. 000-28928;
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ML Aspect FuturesAccess LLC
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Form 10-K for Fiscal Year Ended December 31, 2010
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Filed March 15, 2011
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File No. 000-51085;
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ML Select Futures I L.P.
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Form 10-K for Fiscal Year Ended December 31, 2010
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Filed March 15, 2011
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File No. 000-50269;
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ML Transtrend DTP Enhanced FuturesAccess LLC
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Form 10-K for Fiscal Year Ended December 31, 2010
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Filed March 15, 2011
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File No. 000-52701;
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ML Winton FuturesAccess LLC
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Form 10-K for Fiscal Year Ended December 31, 2010
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Filed March 15, 2011
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File No. 000-51084; and
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ML BlueTrend FuturesAccess LLC
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Form 10-K for Fiscal Year Ended December 31, 2010
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Filed March 15, 2011
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File No. 000-53794
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1.
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The audit opinion from PricewaterhouseCoopers LLP does not properly refer to "the standards of the Public Company Accounting Oversight Board (United States)" in accordance with PCAOB Auditing Standard No. 1. Please revise your filing to include a revised audit opinion from your auditors.
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2.
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Please provide us with your Rule 3-09 significance test calculations for 2010.
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3.
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Please clarify in future filings if each trading advisor is registered as an investment adviser under the Investment Advisers Act of 1940.
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4.
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Please discuss in future filings how you determine the allocation of assets among the trading advisors and how you appoint and remove your trading advisors. Please also discuss if you have terminated any of your trading advisors during the last fiscal year. If so, discuss the reasons and considerations for such terminations.
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5.
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We note that your underlying funds may invest in swaps and forwards. Please tell us your positions in swaps and forwards as of December 31, 2010. Please also tell us the number of counterparties to these swaps and forward contracts and their credit standings. To the extent your swap or forward positions were limited to a few material counterparties, please tell us the names. Please also discuss the principal terms of the agreements used and clarify whether they are based on an industry standard master agreement. Confirm that you will include similar disclosure in future filings.
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6.
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In future filings, please disclose the allocation by sector of your assets as of the end of the fiscal year.
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7.
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Please clarify in future filings if your trading advisor is registered as an investment adviser under the Investment Advisers Act of 1940. Also, we note that you describe some of the terms of your Advisory Agreement in the notes to your financial statements. In future filings, please also describe how you appoint and remove your advisor.
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8.
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We note that as of December 31, 2010 you had long and short forward positions. Please tell us the number of counterparties to these forward contracts and their credit standings. To the extent your forward positions were limited to a few material counterparties, please tell us the names. Please also discuss the principal terms of the agreements used and clarify whether they are based on an industry standard master agreement. Confirm that you will include similar disclosure in future filings.
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9.
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In future filings, please also describe the fees and the duration and termination provisions of your Advisory Agreement.
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1.
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the Fund is responsible for the adequacy and accuracy of the disclosure in the filing;
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2.
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staff comments or changes to disclosure in response to staff comments do not foreclose the Commission from taking any action with respect to the filing; and
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3.
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the Fund may not assert staff comments as a defense in any proceeding initiated by the Commission or any person under the federal securities laws of the United States.
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Very truly yours, | ||
/s/ Barbara E. Kocsis | |||
Barbara E. Kocsis | |||
cc:
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Mark Borrelli
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Income Test for Systematic Momentum FuturesAccess
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Income from
Statement of Changes
in Members Capital
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Percentage of Income to Momentum Systematic FuturesAccess
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Altis FuturesAccess
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$ | 12,597,945 | 11.07 | % | ||||
Aspect FuturesAccess
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$ | 14,049,609 | 12.35 | % | ||||
BlueTrend FuturesAccess
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$ | 18,370,900 | 16.15 | % | ||||
Chesapeake FuturesAccess
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$ | 2,598,008 | 2.28 | % | ||||
John Locke FuturesAccesss
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$ | 10,500,284 | 9.23 | % | ||||
Transtrend DTP Enhanced FuturesAccess
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$ | 29,487,583 | 25.92 | % | ||||
Tudor Tensor FuturesAccess
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$ | 5,257,749 | 4.62 | % | ||||
Winton FuturesAccess
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$ | 20,913,669 | 18.38 | % | ||||
$ | 113,775,747 |
Asset Test for Systematic Momentum FuturesAccess
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Assets from
Statement of Changes
in Members Capital
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Percentage of Income to Systematic Momentum FuturesAccess
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Altis FuturesAccess
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$ | 134,071,501 | 12.91 | % | ||||
Aspect FuturesAccess
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$ | 103,143,350 | 9.93 | % | ||||
BlueTrend FuturesAccess
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$ | 159,599,856 | 15.37 | % | ||||
Chesapeake FuturesAccess
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— | 0.00 | % | |||||
John Locke FuturesAccess
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$ | 144,646,855 | 13.93 | % | ||||
Transtrend FuturesAccess
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$ | 183,611,518 | 17.68 | % | ||||
Tudor Tensor FuturesAccess
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$ | 131,352,427 | 12.64 | % | ||||
Winton FuturesAccess
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$ | 182,235,678 | 17.55 | % | ||||
$ | 1,038,634,185 |