10-Q 1 a18-14111_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 June 30, 2018

 

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 0-51084

 

ML WINTON FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

 

Delaware

 

20-1227904

(State or other jurisdiction of

 

(I.R.S. Employer Identification No.)

incorporation or organization)

 

 

 

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10281

(Address of principal executive offices)

(Zip Code)

 

609-274-5838

(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 website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

 

Yes x No o

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company.  See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth 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)

 

 

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

 

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 June 30, 2018, 382,891,265 units of limited liability company interest were outstanding.

 

 

 



 

ML WINTON FUTURESACCESS LLC

 

QUARTERLY REPORT FOR JUNE 30, 2018 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

18

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

26

 

 

 

Item 4.

Controls and Procedures

31

 

 

 

PART II—OTHER INFORMATION

 

 

 

Item 1.

Legal Proceedings

31

 

 

 

Item 1A.

Risk Factors

31

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

31

 

 

 

Item 3.

Defaults Upon Senior Securities

34

 

 

 

Item 4.

Mine Safety Disclosures

34

 

 

 

Item 5.

Other Information

34

 

 

 

Item 6.

Exhibits

34

 



 

PART I - FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

June 30,

 

December 31,

 

 

 

2018

 

2017

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $33,669,366 for 2018 and $64,470,217 for 2017)

 

$

605,150,753

 

$

662,002,685

 

Receivable from broker due to variation margin

 

9,467,336

 

 

Unrealized profit on open futures contracts

 

6,131,374

 

26,926,899

 

Unrealized profit on open forwards contracts

 

1,684,231

 

8,014,190

 

Cash and cash equivalents

 

555,960

 

548,789

 

Other assets

 

395,836

 

606,748

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

623,385,490

 

$

698,099,311

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Brokerage commissions payable

 

$

5,540

 

$

7,475

 

Sponsor and Advisory fees payable

 

898,717

 

1,033,066

 

Redemptions payable

 

7,606,041

 

4,592,527

 

Unrealized loss on open futures contracts

 

4,422,985

 

15,093,936

 

Unrealized loss on open forwards contracts

 

2,636,767

 

3,291,347

 

Other liabilities

 

432,643

 

698,588

 

 

 

 

 

 

 

Total liabilities

 

16,002,693

 

24,716,939

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Capital (382,891,265 Units and 421,581,510 Units outstanding; unlimited Units authorized)

 

607,382,797

 

673,382,372

 

Total Members’ Capital

 

607,382,797

 

673,382,372

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

623,385,490

 

$

698,099,311

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

1.9427

 

$

1.9438

 

Class C

 

$

1.7004

 

$

1.7099

 

Class D

 

$

2.1751

 

$

2.1682

 

Class I

 

$

2.0336

 

$

2.0307

 

Class M

 

$

1.2298

 

$

1.2214

 

Class F

 

$

1.2394

 

$

1.2305

 

Class F1

 

$

1.2699

 

$

1.2609

 

Class DI

 

$

1.0276

 

$

1.0205

 

 

See notes to financial statements.

 

1



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 

 

 

For the three

 

For the three

 

For the six

 

For the six

 

 

 

months ended

 

months ended

 

months ended

 

months ended

 

 

 

June 30,

 

June 30,

 

June 30,

 

June 30,

 

 

 

2018

 

2017

 

2018

 

2017

 

 

 

 

 

 

 

 

 

 

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

Realized, net

 

$

14,895,521

 

$

(9,627,630

)

$

11,029,237

 

$

12,338,649

 

Change in unrealized, net

 

2,593,408

 

(10,018,067

)

(6,332,617

)

(22,528,374

)

Brokerage commissions

 

(145,001

)

(209,347

)

(327,105

)

(418,317

)

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss), net

 

17,343,928

 

(19,855,044

)

4,369,515

 

(10,608,042

)

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

 

 

 

 

Interest, net

 

1,631,862

 

1,440,272

 

3,664,755

 

2,488,170

 

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Management fee

 

1,393,107

 

3,597,579

 

2,870,794

 

7,646,021

 

Sponsor fee

 

1,386,329

 

2,442,115

 

2,898,829

 

5,283,977

 

Performance fee

 

 

 

61,972

 

 

Other

 

582,055

 

498,271

 

1,187,376

 

1,025,444

 

Total expenses

 

3,361,491

 

6,537,965

 

7,018,971

 

13,955,442

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(1,729,629

)

(5,097,693

)

(3,354,216

)

(11,467,272

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

15,614,299

 

$

(24,952,737

)

$

1,015,299

 

$

(22,075,314

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

148,846,977

 

57,166,271

 

152,016,031

 

59,027,872

 

Class C

 

11,241,812

 

188,476,086

 

13,921,140

 

203,799,434

 

Class D

 

19,058,421

 

33,894,880

 

20,757,756

 

35,015,503

 

Class I

 

20,627,606

 

24,206,227

 

20,813,819

 

25,555,873

 

Class M

 

95,296,088

 

98,299,703

 

96,614,448

 

102,158,357

 

Class F

 

46,520,691

 

46,520,691

 

46,520,691

 

46,520,691

 

Class F1

 

32,348,368

 

32,348,368

 

32,348,368

 

32,348,368

 

Class DI

 

21,493,667

 

34,074,406

 

22,151,612

 

35,618,312

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

0.0464

 

$

(0.0617

)

$

(0.0013

)

$

(0.0550

)

Class C

 

$

0.0253

 

$

(0.0586

)

$

(0.0286

)

$

(0.0537

)

Class D

 

$

0.0512

 

$

(0.0595

)

$

(0.0048

)

$

(0.0446

)

Class I

 

$

0.0497

 

$

(0.0621

)

$

0.0055

 

$

(0.0517

)

Class M

 

$

0.0331

 

$

(0.0345

)

$

0.0078

 

$

(0.0246

)

Class F

 

$

0.0336

 

$

(0.0318

)

$

0.0089

 

$

(0.0220

)

Class F1

 

$

0.0345

 

$

(0.0326

)

$

0.0091

 

$

(0.0226

)

Class DI

 

$

0.0277

 

$

(0.0276

)

$

0.0065

 

$

(0.0206

)

 

See notes to financial statements.

 

2



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2018 AND 2017

(unaudited) (in Units)

 

 

 

Members’ Units
December 31, 2016

 

Subscriptions

 

Redemptions

 

Members’ Units
June 30, 2017

 

Members’ Units
December 31, 2017

 

Subscriptions

 

Redemptions

 

Members’ Units
June 30, 2018

 

Class A*

 

61,945,513

 

1,032,815

 

(9,443,809

)

53,534,519

 

156,671,363

 

12,235,353

 

(21,485,918

)

147,420,798

 

Class C**

 

232,428,092

 

430,907

 

(54,734,468

)

178,124,531

 

19,603,674

 

 

(14,420,601

)

5,183,073

 

Class D

 

36,734,074

 

50,207

 

(3,920,891

)

32,863,390

 

22,451,556

 

5,535

 

(6,186,826

)

16,270,265

 

Class I

 

28,092,830

 

712,812

 

(5,920,387

)

22,885,255

 

21,581,463

 

184,253

 

(1,744,089

)

20,021,627

 

Class M

 

108,834,546

 

13,347,632

 

(26,842,061

)

95,340,117

 

98,977,602

 

2,036,109

 

(6,895,820

)

94,117,891

 

Class F

 

46,520,691

 

 

 

46,520,691

 

46,520,691

 

 

 

46,520,691

 

Class F1

 

32,348,368

 

 

 

32,348,368

 

32,348,368

 

 

 

32,348,368

 

Class DI

 

41,570,588

 

1,387,038

 

(12,331,374

)

30,626,252

 

23,426,793

 

 

(2,418,241

)

21,008,552

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

588,474,702

 

16,961,411

 

(113,192,990

)

492,243,123

 

421,581,510

 

14,461,250

 

(53,151,495

)

382,891,265

 

 


*Subscription units include conversion in of 11,415,318 units which were converted from Class C in 2018.

**Redemption units include conversion out of 13,026,233 units which were converted to Class A in 2018.

 

See notes to financial statements.

 

3



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2018 AND 2017

(unaudited)

 

 

 

Members’ Capital
December 31, 2016

 

Subscriptions

 

Redemptions

 

Net Income (Loss)

 

Members’ Capital
June 30, 2017

 

Members’ Capital
December 31, 2017

 

Subscriptions

 

Redemptions

 

Net Income (Loss)

 

Members’ Capital
June 30, 2018

 

Class A*

 

$

115,326,344

 

$

1,917,494

 

$

(17,449,040

)

$

(3,247,681

)

$

96,547,117

 

$

304,532,437

 

$

23,514,568

 

$

(41,458,285

)

$

(201,434

)

$

286,387,286

 

Class C**

 

384,498,441

 

707,990

 

(90,253,593

)

(10,935,787

)

284,017,051

 

33,519,419

 

 

(24,308,589

)

(397,507

)

8,813,323

 

Class D

 

75,339,626

 

104,000

 

(8,098,188

)

(1,562,560

)

65,782,878

 

48,680,095

 

12,000

 

(13,201,875

)

(100,180

)

35,390,040

 

Class I

 

54,423,920

 

1,380,000

 

(11,448,041

)

(1,322,436

)

43,033,443

 

43,826,226

 

369,000

 

(3,592,093

)

113,641

 

40,716,774

 

Class M

 

125,421,076

 

15,383,478

 

(31,056,437

)

(2,515,751

)

107,232,366

 

120,886,365

 

2,490,760

 

(8,377,388

)

750,687

 

115,750,424

 

Class F

 

53,645,210

 

 

 

(1,025,384

)

52,619,826

 

57,244,901

 

 

 

412,127

 

57,657,028

 

Class F1

 

38,222,098

 

 

 

(730,584

)

37,491,514

 

40,786,870

 

 

 

293,639

 

41,080,509

 

Class DI

 

40,026,496

 

1,343,485

 

(11,854,275

)

(735,131

)

28,780,575

 

23,906,059

 

 

(2,462,972

)

144,326

 

21,587,413

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

886,903,211

 

$

20,836,447

 

$

(170,159,574

)

$

(22,075,314

)

$

715,504,770

 

$

673,382,372

 

$

26,386,328

 

$

(93,401,202

)

$

1,015,299

 

$

607,382,797

 

 


*Subscription  includes conversion in the amount of $21,942,450 which was converted from Class C in 2018.

**Redemption  includes conversion out in the amount of $21,942,450 which was converted to Class A in 2018.

 

See notes to financial statements.

 

4



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2018 (unaudited)

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

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

Class F

 

Class F1

 

Class DI

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.8973

 

$

1.6648

 

$

2.1203

 

$

1.9841

 

$

1.1966

 

$

1.2057

 

$

1.2355

 

$

0.9998

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0542

 

0.0475

 

0.0606

 

0.0567

 

0.0342

 

0.0345

 

0.0353

 

0.0286

 

Brokerage commissions

 

(0.0004

)

(0.0004

)

(0.0005

)

(0.0005

)

(0.0003

)

(0.0003

)

(0.0003

)

(0.0002

)

Interest income, net

 

0.0050

 

0.0044

 

0.0056

 

0.0053

 

0.0032

 

0.0032

 

0.0033

 

0.0027

 

Expenses

 

(0.0134

)

(0.0159

)

(0.0109

)

(0.0120

)

(0.0039

)

(0.0037

)

(0.0039

)

(0.0033

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.9427

 

$

1.7004

 

$

2.1751

 

$

2.0336

 

$

1.2298

 

$

1.2394

 

$

1.2699

 

$

1.0276

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

2.39

%

2.14

%

2.59

%

2.50

%

2.77

%

2.80

%

2.78

%

2.78

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

2.39

%

2.14

%

2.59

%

2.50

%

2.77

%

2.80

%

2.78

%

2.78

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

0.70

%

0.95

%

0.51

%

0.59

%

0.32

%

0.31

%

0.31

%

0.32

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

0.70

%

0.95

%

0.51

%

0.59

%

0.32

%

0.31

%

0.31

%

0.32

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.43

%

-0.68

%

-0.25

%

-0.33

%

-0.06

%

-0.04

%

-0.04

%

-0.06

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Net investment income (loss) (including Performance fees)

 

-0.43

%

-0.68

%

-0.25

%

-0.33

%

-0.06

%

-0.04

%

-0.04

%

-0.06

%

 


(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

 

(b) The expense ratios do not include brokerage commissions.

 

(c) The ratios and total return are not annualized.

 

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

 

See notes to financial statements.

 

5



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2018 (unaudited)

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

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

Class F

 

Class F1

 

Class DI

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.9438

 

$

1.7099

 

$

2.1682

 

$

2.0307

 

$

1.2214

 

$

1.2305

 

$

1.2609

 

$

1.0205

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0157

 

0.0137

 

0.0175

 

0.0164

 

0.0099

 

0.0100

 

0.0102

 

0.0083

 

Brokerage commissions

 

(0.0010

)

(0.0009

)

(0.0011

)

(0.0010

)

(0.0006

)

(0.0006

)

(0.0006

)

(0.0005

)

Interest income, net

 

0.0110

 

0.0096

 

0.0123

 

0.0115

 

0.0069

 

0.0070

 

0.0072

 

0.0058

 

Expenses

 

(0.0268

)

(0.0319

)

(0.0218

)

(0.0240

)

(0.0078

)

(0.0075

)

(0.0078

)

(0.0065

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.9427

 

$

1.7004

 

$

2.1751

 

$

2.0336

 

$

1.2298

 

$

1.2394

 

$

1.2699

 

$

1.0276

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-0.06

%

-0.56

%

0.32

%

0.14

%

0.69

%

0.72

%

0.72

%

0.70

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-0.06

%

-0.56

%

0.32

%

0.14

%

0.69

%

0.72

%

0.72

%

0.70

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

1.37

%

1.87

%

1.00

%

1.17

%

0.62

%

0.61

%

0.61

%

0.62

%

Performance fees

 

0.01

%

0.01

%

0.01

%

0.01

%

0.01

%

0.00

%

0.00

%

0.01

%

Expenses (including Performance fees)

 

1.38

%

1.88

%

1.01

%

1.18

%

0.63

%

0.61

%

0.61

%

0.63

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.80

%

-1.30

%

-0.43

%

-0.60

%

-0.05

%

-0.04

%

-0.04

%

-0.05

%

Performance fees

 

-0.01

%

-0.01

%

-0.01

%

-0.01

%

-0.01

%

0.00

%

0.00

%

-0.01

%

Net investment income (loss) (including Performance fees)

 

-0.81

%

-1.31

%

-0.44

%

-0.61

%

-0.06

%

-0.04

%

-0.04

%

-0.06

%

 


(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

 

(b) The expense ratios do not include brokerage commissions.

 

(c) The ratios and total return are not annualized.

 

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

 

See notes to financial statements.

 

6



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2017 (unaudited)

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

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

Class F

 

Class F1

 

Class DI

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.8658

 

$

1.6538

 

$

2.0632

 

$

1.9435

 

$

1.1593

 

$

1.1629

 

$

1.1916

 

$

0.9686

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.0481

)

(0.0425

)

(0.0533

)

(0.0501

)

(0.0299

)

(0.0301

)

(0.0308

)

(0.0250

)

Brokerage commissions

 

(0.0005

)

(0.0004

)

(0.0006

)

(0.0005

)

(0.0003

)

(0.0003

)

(0.0003

)

(0.0003

)

Interest income, net

 

0.0035

 

0.0031

 

0.0038

 

0.0036

 

0.0022

 

0.0022

 

0.0022

 

0.0018

 

Expenses

 

(0.0172

)

(0.0195

)

(0.0114

)

(0.0161

)

(0.0066

)

(0.0036

)

(0.0037

)

(0.0054

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.8035

 

$

1.5945

 

$

2.0017

 

$

1.8804

 

$

1.1247

 

$

1.1311

 

$

1.1590

 

$

0.9397

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-3.34

%

-3.59

%

-2.98

%

-3.25

%

-2.99

%

-2.73

%

-2.74

%

-2.98

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-3.34

%

-3.59

%

-2.98

%

-3.25

%

-2.99

%

-2.73

%

-2.74

%

-2.98

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

0.94

%

1.19

%

0.57

%

0.84

%

0.57

%

0.32

%

0.32

%

0.57

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

0.94

%

1.19

%

0.57

%

0.84

%

0.57

%

0.32

%

0.32

%

0.57

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.75

%

-1.00

%

-0.38

%

-0.65

%

-0.38

%

-0.13

%

-0.13

%

-0.38

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Net investment income (loss) (including Performance fees)

 

-0.75

%

-1.00

%

-0.38

%

-0.65

%

-0.38

%

-0.13

%

-0.13

%

-0.38

%

 


(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

 

(b) The expense ratios do not include brokerage commissions.

 

(c) The ratios and total return are not annualized.

 

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

 

See notes to financial statements.

 

7



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2017 (unaudited)

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

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

Class F

 

Class F1

 

Class DI

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.8617

 

$

1.6543

 

$

2.0509

 

$

1.9373

 

$

1.1524

 

$

1.1531

 

$

1.1816

 

$

0.9629

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.0283

)

(0.0250

)

(0.0314

)

(0.0295

)

(0.0177

)

(0.0178

)

(0.0182

)

(0.0148

)

Brokerage commissions

 

(0.0010

)

(0.0009

)

(0.0011

)

(0.0010

)

(0.0006

)

(0.0006

)

(0.0006

)

(0.0005

)

Interest income, net

 

0.0058

 

0.0051

 

0.0064

 

0.0060

 

0.0036

 

0.0036

 

0.0037

 

0.0030

 

Expenses

 

(0.0347

)

(0.0390

)

(0.0231

)

(0.0324

)

(0.0130

)

(0.0072

)

(0.0075

)

(0.0109

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.8035

 

$

1.5945

 

$

2.0017

 

$

1.8804

 

$

1.1247

 

$

1.1311

 

$

1.1590

 

$

0.9397

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (c) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-3.13

%

-3.61

%

-2.40

%

-2.94

%

-2.41

%

-1.91

%

-1.91

%

-2.40

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-3.13

%

-3.61

%

-2.40

%

-2.94

%

-2.41

%

-1.91

%

-1.91

%

-2.40

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Members’ Capital: (c) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

1.88

%

2.38

%

1.13

%

1.68

%

1.13

%

0.63

%

0.63

%

1.13

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

1.88

%

2.38

%

1.13

%

1.68

%

1.13

%

0.63

%

0.63

%

1.13

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-1.56

%

-2.06

%

-0.81

%

-1.36

%

-0.81

%

-0.31

%

-0.31

%

-0.81

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Net investment income (loss) (including Performance fees)

 

-1.56

%

-2.06

%

-0.81

%

-1.36

%

-0.81

%

-0.31

%

-0.31

%

-0.81

%

 


(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

 

(b) The expense ratios do not include brokerage commissions.

 

(c) The ratios and total return are not annualized.

 

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

 

See notes to financial statements.

 

8



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.              ORGANIZATION

 

ML Winton FuturesAccess LLC (the “Fund”), a FuturesAccessTM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (“Winton” or the “Trading Advisor”) is the trading advisor of the Fund.  The Trading Advisor trades the Winton Futures Program (the “Trading Program”) for the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) 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 “BofA Corp.”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. MLAI may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. MLAI may select other of its affiliates, or third parties, as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BofA Corp. 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 BofA Corp.  FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor. 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, BofA Corp. or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

 

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents classified as Level II within the fair value hierarchy discussed in Note 3. As of June 30, 2018, the Fund held no cash equivalents. Cash was held at a nationally recognized financial institution.

 

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  June 30, 2018 and December 31, 2017 and the results of its operations for the three and six month periods ended June 30, 2018 and 2017.  However, the operating results for the interim periods may not be indicative of the results for the full year.

 

9



 

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, 2017.

 

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.

 

10



 

2.              CONDENSED SCHEDULES OF INVESTMENTS

 

The Fund’s investments as of June 30, 2018 and December 31, 2017 are as follows:

 

June 30, 2018 (a)

 

 

 

Long Positions

 

Short Positions

 

Net Unrealized

 

 

 

 

 

Commodity Industry
Sector

 

Number of

 

Unrealized

 

Percent of

 

Number of

 

Unrealized

 

Percent of

 

Profit (Loss)

 

Percent of

 

 

 

 

Contracts/Notional*

 

Profit (Loss)

 

Members’ Capital

 

Contracts/Notional*

 

Profit (Loss)

 

Members’ Capital

 

on Open Positions

 

Members’ Capital

 

Maturity Dates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture - Futures

 

186

 

$

(45,985

)

-0.01

%

(3,656

)

$

1,409,747

 

0.23

%

$

1,363,762

 

0.22

%

July 2018 - March 2019

 

Currencies - Futures

 

610

 

382,692

 

0.06

%

(1,642

)

1,546,254

 

0.25

%

1,928,946

 

0.31

%

September 2018

 

Currencies - Forwards*

 

153,548,799

 

(2,288,723

)

-0.38

%

(79,707,666

)

1,336,187

 

0.22

%

(952,536

)

-0.16

%

July 2018 - October 2018

 

Energy - Futures

 

1,445

 

3,972,720

 

0.65

%

 

 

0.00

%

3,972,720

 

0.65

%

July 2018 - September 2018

 

Interest rates - Futures

 

5,869

 

1,778,542

 

0.29

%

(3,585

)

919,177

 

0.15

%

2,697,719

 

0.44

%

September 2018 - June 2021

 

Metals - Futures

 

957

 

(2,812,549

)

-0.46

%

(1,641

)

4,584,760

 

0.75

%

1,772,211

 

0.29

%

July 2018 - October 2018

 

Stock indices - Futures

 

406

 

(564,432

)

-0.09

%

(108

)

4,799

 

0.00

%

(559,633

)

-0.09

%

July 2018 - September 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

422,265

 

0.06

%

 

 

$

9,800,924

 

1.60

%

$

10,223,189

 

1.66

%

 

 

 


(a) Certain exchanges have modified their rulebook from the collateralized-to-market model to the settled-to-market model, resulting in the characterization of variation margin postings as settlement payments, as opposed to adjustments to collateral. As a result, the Fund has classified such amounts within the receivable from broker due to variation margin account on the Statement of Financial Condition.  This receivable from broker due to variation margin account combined with the unrealized profit (loss) on open futures and forwards accounts on the Statement of Financial Condition represents the total net unrealized profit (loss) on open positions in the above condensed schedule of investments as of June 30, 2018. At this time, the Chicago Mercantile Exchange and its related exchanges are the only central clearing parties of the Fund where variation margin payments are considered settlement payments.

 

11



 

December 31, 2017

 

 

 

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 - Futures

 

715

 

$

417,818

 

0.06

%

(3,905

)

$

955,207

 

0.14

%

$

1,373,025

 

0.20

%

January 2018 - May 2018

 

Currencies - Futures

 

1,658

 

158,923

 

0.02

%

(2,544

)

(1,639,851

)

-0.24

%

(1,480,928

)

-0.22

%

March 2018

 

Currencies - Forwards*

 

452,280,118

 

7,024,065

 

1.04

%

(230,152,972

)

(2,301,222

)

-0.34

%

4,722,843

 

0.70

%

January 2018 - March 2018

 

Energy - Futures

 

1,611

 

4,997,898

 

0.74

%

(1,002

)

(1,887,240

)

-0.28

%

3,110,658

 

0.46

%

January 2018 - March 2018

 

Interest rates - Futures

 

4,024

 

(1,844,918

)

-0.27

%

(6,336

)

1,298,694

 

0.19

%

(546,224

)

-0.08

%

March 2018 - December 2020

 

Metals - Futures

 

2,426

 

11,997,664

 

1.78

%

(973

)

(4,374,250

)

-0.65

%

7,623,414

 

1.13

%

January 2018 - May 2018

 

Stock indices - Futures

 

5,975

 

2,342,568

 

0.35

%

(1,031

)

(589,550

)

-0.09

%

1,753,018

 

0.26

%

January 2018 - March 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

25,094,018

 

3.72

%

 

 

$

(8,538,212

)

-1.27

%

$

16,555,806

 

2.45

%

 

 

 


*Currencies — Forwards present notional amounts as converted to USD.

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of June 30, 2018 and December 31, 2017. With respect to each commodity industry sector listed in the above charts, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions, netting unrealized losses against unrealized profits as applicable.  Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

 

12



 

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 and receivable from broker due to variation margin are included in Equity in commodity trading accounts on the Statements of Financial Condition.  Any change in net unrealized profit or loss and receivable from broker due to variation margin 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 hierarchical 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.

 

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.

 

13



 

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 the process for determining fair values.

 

The Fund has determined that Level I investments would include its futures and options contracts where 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 observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts.

 

Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level during the three or six month periods ended June 30, 2018 or the year ended December 31, 2017.

 

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of June 30, 2018 and December 31, 2017, are as follows:

 

2018

Net unrealized profit (loss) (a)

on open contracts

 

Total

 

Level I

 

Level II

 

Level III

 

Assets

 

 

 

 

 

 

 

 

 

Futures

 

$

17,601,728

 

$

15,138,389

 

$

2,463,339

 

$

 

Forwards

 

1,684,231

 

 

1,684,231

 

 

 

 

$

19,285,959

 

$

15,138,389

 

$

4,147,570

 

$

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

Futures

 

$

6,426,003

 

$