UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C.  20549

FORM 10-K

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

For the fiscal year ended: December 31, 2013

or

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

Commission file number: 0-52701

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware	30-0408288
(State or other jurisdiction of	(I.R.S. Employer
incorporation or organization)	Identification No.)

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 11th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

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

Securities registered pursuant to Section 12(g) of the Act: Units of Limited Liability Company Interest

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

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

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

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

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

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

Large accelerated filer o	Accelerated filer o
Non-accelerated filer 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 Act).  Yes o  No x

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

As of February 28, 2014 Units of limited liability company interest with an aggregate Net Asset Value of $79,878,602 were outstanding and held by non-affiliates.

Documents Incorporated by Reference

The registrant’s 2013 Annual Report and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the year ended December 31, 2013, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith. Copies of the annual report are available free of charge by contacting Alternative Investments Client Services at 1-866-MER-ALTS.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

ANNUAL REPORT FOR 2013 ON FORM 10-K

Table of Contents

		PAGE
	PART I
Item 1.	Business	1
Item 1A.	Risk Factors	10
Item 1B.	Unresolved Staff Comments	20
Item 2.	Properties	21
Item 3.	Legal Proceedings	21
Item 4.	Mine Safety Disclosures	21
	PART II
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	21
Item 6.	Selected Financial Data	24
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	33
Item 7A.	Quantitative and Qualitative Disclosures About Market Risk	42
Item 8.	Financial Statements and Supplementary Data	46
Item 9.	Changes in and Disagreements With Accountants on Accounting and Financial Disclosure	46
Item 9A.	Controls and Procedures	46
Item 9B.	Other Information	47
	PART III
Item 10.	Directors, Executive Officers and Corporate Governance	48
Item 11.	Executive Compensation	51
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	51
Item 13.	Certain Relationships and Related Transactions, and Director Independence	52
Item 14.	Principal Accounting Fees and Services	52
	PART IV
Item 15.	Exhibits, Financial Statement Schedules	52

PART I

Item 1:Business

(a)General Development of Business:

ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”), a FuturesAccessSM Program (“FuturesAccess”) fund, was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced trading activities on April 2, 2007. The Fund engages in the speculative trading of futures on a wide range of commodities. Transtrend B.V. (“Transtrend” or “Trading Advisor”) is the trading advisor of the Fund.  The Trading Advisor utilizes the Transtrend Diversified Trend Program (the “Trading Program”) for the Fund.

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). Merrill Lynch International Bank, Ltd. (“MLIB”) is 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 are composed of direct-trading funds advised by a single trading advisor or funds of funds for which the Sponsor acts as the advisor and allocates capital among multiple commodity trading advisors. Investors can allocate and reallocate capital among different FuturesAccess Funds. 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.

The Trading Program is systematic and is based on quantitative analysis of signaled price behavior of certain instruments traded and not on fundamental analysis. The Trading Program seeks to profit form recurring non-random characteristics of price behavior in markets and to exploit the directional price movements of single instruments and of intra-market and inter-market combination of instruments, see “Trading Advisor’s Trading Program,” below. The Trading Advisor is not registered under the Investment Advisers Act of 1940, as amended (the “Advisor Act”).

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

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the first and sixteenth calendar day of each month and as of any other dates MLAI may determine in its discretion (each, a “Calculation Date”). The Fund’s “Net Asset Value” as of any Calculation Date generally equals the value of the Fund’s account under the management of the Trading Advisor as of that date, plus any other assets held by the Fund, minus accrued Sponsor’s, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, amortized organizational and initial offering costs and all other liabilities of the Fund.  MLAI or its delegates are authorized to make all Net Asset Value determinations.

As of December 31, 2013, the Net Asset Value of the Fund was $86,331,490. As of December 31, 2013, the Net Asset Value per Unit was $1.1143 for Class A, $1.0114 for Class C, $0.9409 for Class D, $1.1254 for Class I, $1.4415 for Class DS, $1.5651 for Class DT and $0.9347 for Class M.

Since the Fund began trading activities, the highest and lowest month-end Net Asset Value per Unit are listed below. The highest month-end Net Asset Value per Units for Class A was $1.3886 (February 28, 2009) and the lowest was $1.0494 (October 15, 2013). The highest month-end Net Asset Value per Unit for Class C was $1.3228 (February 28, 2009) and the lowest was $0.9228 (August 31, 2007). The highest month-end Net Asset Value per Unit for Class D was $1.2380 (February 28, 2009) and the lowest was $0.8612 (January 31, 2010). The highest month-end Net Asset Value per Unit for Class I was $1.3760 (February 28, 2009) and the lowest was $1.0475 (November 30, 2007). The highest month-end Net Asset Value per Unit for Class DS was $1.6759 (May 31, 2012) and the lowest was $1.0532 (April 30, 2007).  The highest month-end Net Asset Value per Unit for Class DT was $1.7913 (May 31, 2012) and the lowest was $1.0950 (August

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31, 2007). The highest month-end Net Asset Value per Unit for Class M was $1.0000 (October 1, 2012) and the lowest was $.8775 (October 15, 2013).

(b)Financial Information about Segments:

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

(c)Narrative Description of Business:

Advisory Agreement Term

The advisory agreement will continue in effect until December 31, 2014. Following that date, the advisory agreement will be automatically renewed for successive one-year periods, on the same terms, unless terminated by either the Trading Advisor or the Fund upon 90 days’ notice to the other party. The advisory agreement may, however, be terminated at any time pursuant to any of the following: (i) the Trading Advisor may terminate the advisory agreement upon notice to the Fund and MLAI in the event that (a) the Fund or MLAI appoints a clearing broker other than a MLAI affiliate without the prior consent of the Tranding Advisor, or (b) MLAI overrides a trading instruction of the Trading Advisor (other than with respect to MLAI overriding a trade (x) as necessary or advisable for the protection of the Fund or (y) as necessary to fund distributions or redemptions, to pay Fund expenses, or to comply with speculative position limits); and (ii) the Fund and/or MLAI, on the one hand, or the Trading Advisor, on the other, may terminate the advisory agreement as a result of a material breach of the advisory agreement by the other party, after notice of such material breach is provided to the breaching party and such material breach has not been cured within 10 days following the giving of such notice.  The advisory agreement will also terminate immediately if the Fund is terminated and dissolved as determined by MLAI.

Trading Advisor’s Trading Program

The Trading Program has two risk profiles:  the Standard Risk Profile and the Enhanced Risk Profile, investable in various currencies.  The Enhanced Risk Profile is approximately 1.5 times the leverage of the Standard Risk Profile.  The Trading Advisor will trade the Trading Program - Enhanced Risk Profile (USD) for the Fund.

The Trading Advisor trades the following instruments on U.S. and non-U.S. exchanges and markets:  futures, options, options on futures, swaps, swaps on futures, and forward contracts on currencies, interest rates, interest rate instruments, commodities, equity-related indices and instruments, and other indices, in all cases traded on exchanges and/or OTC markets. The underlying values of these instruments traded may also include other economic variables which are now or may become the subject of organized futures, options, options on futures, swap, swaps on futures, and forward trading.  The instruments that the Trading Advisor trades may also include other derivative, margined instruments, traded on exchanges and/or OTC markets.  The Trading Program does not currently trade OTC F/X and derivatives on individual stocks for the Fund.

The applied principles of risk management play a dominant role in the Trading Advisor’s trading methodology.  The Trading Program is designed to pursue capital growth within the limits of a defined risk tolerance.  The Trading Program is essentially based on quantitative analysis of signaled price behavior of instruments traded and therefore not on fundamental analysis. The Trading Program is systematic by nature and requires a consistent application.  Discretionary inputs are not essential to the effectiveness of the program.

The applied market approach does not forecast markets or price levels but participates in a systematic and dynamic way in signaled price patterns.  The trading systems of the Trading Program are designed to profit from recurring, non-random characteristics of price behavior in markets.  In the trading systems there are elements which identify and respect the dominant market direction.  The trading systems exploit directional price movement of single instruments and of intra-market and inter-market combinations, synthetics, of instruments.

While the Trading Advisor generally will not use discretionary inputs in trading client accounts, in the event of exceptional market circumstances the Trading Advisor may use discretion in an attempt to limit risk to a position or an account.  The use of discretion by the Trading Advisor may have a positive or negative impact on the performance of the Fund.

The Trading Program may hold positions in different instruments with one or more trading systems.  The simultaneous application of diverging trading systems, each with a positive profit expectancy over the course of time, can

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contribute to a different timing of both purchase and sale transactions, thus enhancing smoother performance characteristics when compared to a single trading system.  However, the profitability of trading systems, individually or in combination, cannot be guaranteed and the Fund may incur substantial losses.

Once the acceptable portfolio components have been defined for an account, the Trading Advisor determines the relative proportions of all components within the portfolio on the basis of signaled correlation over the course of time, which is re-computed from time to time.  Correlation analysis contributes to the estimation of the risk of coinciding trended reversals at a portfolio level.

The allocation to instruments, i.e., the determination of portfolio components and their relative proportions, varies over the course of time, because, among other reasons, of changes to the list of instruments traded in the Trading Program and because of observed changes in price behavior, correlation and market liquidity.

The entry/exit tools used by the Trading Advisor may contain both proprietary trend-following and contra-trend elements and include techniques of dynamic profit targets and dynamic stop levels for individual trades.  The Trading Advisor may change its trading techniques at any time without prior notice to or approval from the Fund. The trading systems act at specific times or time intervals and upon specific price levels during a market session or during the day.

Although the Trading Advisor’s Trading Program is continually evolving, there were no fundamental or material changes to the Trading Program during 2013.

Forward Contracts and Counterparties

Currently, the only forward contracts entered into by the Fund are currency forwards. MLIB is the only counterparty to these forward contracts. In the future the Fund may enter into other types of forwards and/or use other counterparties.  The standard terms of forward contracts entered into by the Fund are the term, the currency, the exchange rate, the principal amount and, in some cases the definition of a “disruption event,” i.e., a contingency pricing and settlement mechanism if an event occurs that causes the unavailability of the relevant exchange rate.  Forwards are governed by International Swaps and Derivatives Association documentation, and, in some cases, also by EMTA, Inc. documentation.

Employees

The Fund has no employees.

Use of Proceeds and Cash Management Income

Subscription Proceeds

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

Markets

The Trading Advisor trades futures, options, options on futures, swaps, swaps on futures, and forward contracts on currencies, interest rates, interest rate interests commodities, equity-related indices and instruments, and other indices, in all cases treaded on exchanges and/or OTC markets.

The Fund’s commitments to different types of markets — U.S. and non-U.S., regulated and non-regulated — may differ from time to time, as well as over time.  The Fund has no policy restricting its relative commitment to any of these different types of markets.

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CONDENSED SCHEDULE OF INVESTMENTS

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

December 31, 2013

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)		Percent of
Sector	Contracts	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions		Members’ Capital		Maturity Dates
Agriculture	541	$	(109,641	)	-0.13	%	(1,296	)	$	1,022,304		1.18	%	$	912,663	1.05	%	January 2014 - December 2014
Currencies	655	1,056,453			1.22	%	(507	)	870,273			1.01	%	1,926,726		2.23	%	February 2014 - March 2014
Energy	760	159,271			0.18	%	(44	)	20,151			0.02	%	179,422		0.20	%	January 2014 - December 2015
Interest rates	1,161	(187,202		)	-0.22	%	(942	)	572,202			0.66	%	385,000		0.44	%	March 2014 - December 2017
Metals	518	385,034			0.45	%	(828	)	(295,853		)	-0.34	%	89,181		0.11	%	January 2014 - October 2014
Stock indices	848	1,235,820			1.43	%	(466	)	158,654			0.18	%	1,394,474		1.61	%	January 2014 - June 2014
Total		$	2,539,735		2.93	%			$	2,347,731		2.71	%	$	4,887,466	5.64	%

December 31, 2012

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts	Profit (Loss)			Members’ Capital		Contracts		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates
Agriculture	731	$	(931,174	)	-0.62	%	(1,641	)	$	1,594,170		1.07	%	$	662,996		0.45	%	January 2013 - December 2013
Currencies	1,703	(4,071		)	0.00	%	(486	)	480,758			0.32	%	476,687			0.32	%	March 2013
Energy	154	133,950			0.09	%	(880	)	824,023			0.55	%	957,973			0.64	%	January 2013 - December 2014
Interest rates	5,417	1,241,021			0.83	%	(3,174	)	(187,087		)	-0.13	%	1,053,934			0.70	%	March 2013 - December 2016
Metals	369	119,647			0.08	%	(312	)	(744,175		)	-0.50	%	(624,528		)	-0.42	%	January 2013 - May 2013
Stock indices	1,782	281,988			0.19	%	(179	)	(22,219		)	-0.01	%	259,769			0.18	%	January 2013 - June 2013
Total		$	841,361		0.57	%			$	1,945,470		1.30	%	$	2,786,831		1.87	%

No individual contract’s unrealized profit or loss comprised greater than 5% of the Fund’s Members’ Capital as of December 31, 2013 and 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.

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Margin

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

As of December 31, 2013 the Fund employed $14,999,063 as initial margin to support futures positions and $0 as collateral supporting its forward positions, representing approximately 15.38% and 0.00%, respectively, of the Fund’s total assets as of such date.

Custody of Assets

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

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

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

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

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

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

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

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

Typically the vast majority of the Fund’s assets are held in segregated or secured accounts with MLPF&S.  In general, approximately 10% to 30% of the Fund’s assets are expected to be required as margin or collateral at any one time.  Approximately 90% of the Fund’s assets are held in customer segregated accounts at MLPF&S pursuant to applicable Commodity Futures Trading Commission (“CFTC”) regulations to margin U.S. exchange-traded futures contracts and options thereon, or in customer secured accounts at MLPF&S and used to margin futures trading on non-U.S. exchanges pursuant to CFTC regulations.  The remaining approximately 10% is expected to be deposited with MLIB, other OTC prime brokers, or one or more third-party collateral custodians as margin for OTC trades.  These amounts could be substantially higher or lower and there is no obligation to maintain margin or collateral within these or any other specific ranges.

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

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

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

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

Cash Management and Interest

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

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

MLPF&S and any other BAC affiliates that hold the Fund’s cash receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little or no interest on these cash assets.

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

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

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MLPF&S, in the course of acting as commodity broker for the Fund, will have use of Fund cash and earn interest and receive other economic benefits as a result.  The interest income arrangements with regard to cash held with MLPF&S will be equivalent with those under the Interest Earning Program as discussed above.

Charges

The following table summarizes the charges incurred by the Fund for the years ended December 31, 2013, 2012 and 2011.

	2013				2012				2011
Charges	Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets		Dollar Amount		% of Average Month-End Net Assets
Other Expenses	$	545,922	0.45	%	$	656,058	0.36	%	$	644,087	0.26	%
Sponsor fees	520,856		0.43	%	630,871		0.35	%	673,816		0.27	%
Management fees	2,284,350		1.87	%	3,502,971		1.94	%	4,663,195		1.86	%
Performance fees	—		0.00	%	158,705		0.09	%	—		0.00	%
Total	$	3,351,128	2.75	%	$	4,948,605	2.74	%	$	5,981,098	2.39	%

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

The Fund’s average month-end Net Asset Values during 2013, 2012 and 2011 equaled $122,272,149, $180,136,434 and $250,238,270, respectively.

During 2013, interest expense for the Fund was $(3,284), or approximately 0.00% of the Fund’s average month-end Net Asset Values. During 2012, the Fund earned $7,111 in interest income, or approximately 0.00% of the Fund’s average month-end Net Asset Values. During 2011, the interest expense for the Fund was $(17,755), or approximately (0.01)% of the Fund’s average month-end Net Asset Values.

Description of Current Charges

Recipient	Nature of Payment	Amount of Payment
MLPF&S	Brokerage commissions	During 2013, 2012 and 2011 the round-turn (each purchase and sale or sale and purchase of a single futures contract) rate of the Fund’s flat-rate Brokerage Commissions were approximately $5.81, $5.91, and $6.10, respectively.
MLPF&S	Use of assets	BAC may derive an economic benefit from the deposit of certain of the Fund’s U.S. dollar assets in accounts maintained at MLPF&S.

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MLAI	Sponsor fees	A flat-rate monthly charge of 0.125 of 1% (1.50% annual rate) on Class A Units, flat-rate monthly charge of 0.2083 of 1% (2.50% annual rate) on Class C Units, a flat-rate monthly charge of 0.0917 of 1% (1.10% annual rate) on Class I Units. Class D, Class DS, Class DT and Class M Units do not pay Sponsor fees. No Sponsor fees are charged to Class M Units because investors purchasing Class M Units are subject to asset-based fees on BAC managed accounts in which the Class M Units are held.
MLPF&S	Sales commissions	Class A Units are subject to sales commissions paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions paid to MLPF&S up to 0.5%. The rate assessed to a subscription is based on the subscription amount. Sales commissions are deducted from subscription amounts. Units purchased and reflected in the Fund records are net of any commissions charged by MLPF&S. Class C, Class DS, Class DT and Class M Units are not subject to any sales commissions. No sales commission is charged to Class M Units because investors purchasing Class M Units are subject to asset-based fees on BAC managed accounts in which Class M Units are held.
MLIB (or an affiliate); Other counterparties	Bid—ask spreads	Bid—ask spreads are not accounted for separately as an accounting item because bid-ask spreads are an integral part of the price paid or received on all contracts for the purpose of generally accepted accounting principles.
MLIB (or an affiliate); Other counterparties	EFP differentials	Certain of the Fund’s currency trades may be executed in the form of “exchange of futures for physical” transactions, in which a counterparty (which may be MLIB or an affiliate) receives an additional “differential” spread for exchanging the Fund’s cash currency positions for equivalent futures positions.
Transtrend	Performance fees	The Fund pays a 25% annual performance fee to Transtrend with respect to all Classes of Units. The Fund calculates performance fees based on the aggregate performance of all classes subject to the same rate of performance fees (“Class Group”), rather than on the performance of the Fund as a whole or of specific Units of a particular class. The performance fee is also paid on net redemptions. The performance fee is based on New Trading Profits. “New Trading Profits” equal any increase in the Net Asset Value, prior to reduction for any accrued performance fee or Sponsor fees, as of the current performance fee calculation date over the High Water Mark in respect of the Class Group. The “High Water Mark” equals the highest Net Asset Value after

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		reduction for the performance fee then paid, as of any preceding performance fee calculation date. Net Asset Value for purposes of calculating the performance fee does not include any interest income earned by the Fund. Effective as of January 1, 2014, the performance fee percentage payable by the Fund to Transtrend reduces from 25% to 22.5%.
Transtrend and MLAI	Management fees	All Classes of Units pay a flat-rate monthly charge of 0.1667% of the Fund’s month-end net assets (a 2% annual rate) except for Class DT Units which is charged a 1% annual rate. Transtrend has agreed to share 50% of the management fees with MLAI in order to defray costs in connection with and in consideration of BAC’s providing certain administrative and operational support for the Fund. The fee sharing does not apply in respect of Class DT shares. Effective as of February 1, 2014: (i) the management fee percentage payable by the Fund to Transtrend reduces from 2.0% per annum to 1.0% per annum, and (ii) the Fund pays a 0.5% per annum management fee to MLAI, except in respect of Class DT Units, and (iii)  Transtrend no longer shares any portion of its management fees with MLAI.
Others	Operating expenses of the Fund including audit, legal and tax services	Actual payments to third parties.
MLAI; Others	Initial offering costs reimbursed	Actual costs incurred.

Regulation

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

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

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(d)Financial Information about Geographic Areas

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

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

Item 1A:  Risk Factors

Past Performance Not Necessarily Indicative of Future Results

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

Volatile Markets; Highly Leveraged Trading

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

Importance of General Market Conditions

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

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

Managed Futures Trading Strategies and Trading Systems

Trend-Following Systems

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

Discretionary Strategies

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

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Technical Analysis and Trading Systems

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

Fundamental Analysis

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

Quantitative Trading

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

Importance of Market Judgment

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

F/X Forward Trading

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

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

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counterparties are under no obligation to enter into forward transactions with the Fund, including transactions through which the Fund is attempting to liquidate open positions.  In addition, the prices offered for the same forward contract may vary significantly among different forward market participants.

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

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

Derivatives Risks Generally

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

The Fund 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. 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.

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

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

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

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move rapidly in the same direction because of, among other things, interest rate fluctuations.

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

Trading in Options

The Trading Advisor may trade options on futures contracts or options on F/X forward contracts.  Although successful options trading requires many of the same skills as successful futures and forward trading, the risks involved are different.  For example, the assessment of near-term market volatility, which is directly reflected in the price of outstanding options, can be of much greater significance in trading options than it is in many long-term futures strategies.  The use of options can be extremely expensive if market volatility is incorrectly predicted.  A purchaser of options is exposed to the risk of loss of the entire premium paid; a seller, or writer, of call options is exposed to the risk of theoretically unlimited loss, and the seller of put options is exposed to the risk of substantial loss far in excess of the premium received.

Exchange of Futures for Physicals

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

Physical Commodities Trading in General

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

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

Exchange Rate Risks; Currency Hedging

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

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

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

Off-Balance Sheet Risk

The Fund may invest in financial instruments with off-balance sheet risk.  These instruments include futures and forward contracts, swaps and options contracts sold short.  In entering into these contracts, there exists a market risk that the contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in the contracts becoming

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less valuable.  An off-balance sheet risk is associated with a financial instrument if it exposes the investor to a loss in excess of the investor’s recognized asset carrying value in the financial instrument, if any, or if the ultimate liability associated with the financial instrument has the potential to exceed the amount that the investor recognizes as a liability in the investor’s statement of assets and liabilities.

Recently it was alleged that certain interest rate benchmarks that underlie various swap agreements had been manipulated for several years and multiple banks involved in setting such benchmarks are currently under investigation for this manipulation.  Certain of these banks have been fined by, or entered into civil or criminal settlements with, various international regulators, involving the U.S. Department of Justice, CFTC, and U.K. Financial Conduct Authority.  In entering into swap agreements, the Fund relies on the integrity of interest rates and other benchmarks.  If the level of these benchmarks is artificially influenced by market participants, the Fund could suffer losses.

Increased Assets Under Management

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

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

Dependence on Key Individuals

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

Trading Advisor Risk

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

Redemptions by Other Trading Advisor Fund Investors

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

Trade Execution Risk

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

Changes in Trading Program

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

Illiquid Markets

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

Most U.S. futures exchanges limit fluctuations in some futures contract prices during a single day by regulations referred to as “daily price limits.”  During a single trading day no trades may be executed in these contracts at

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

Possible Effects of Speculative Position Limits

The CFTC and U.S. commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options on futures contracts traded on U.S. commodities exchanges.  All proprietary or client accounts owned or managed by the Trading Advisor are combined for purposes of calculating position limits.  The Trading Advisor could be required to liquidate positions held for the Fund, or may not be able to fully implement the Trading Program, in order to comply with such limits, even though the positions attributable to the Fund do not themselves trigger the position limits or are a small portion of the aggregate positions directed by the Trading Advisor.  Position limits could force the Fund to liquidate profitable positions, result in a tracking error between the Fund’s portfolio and the Trading Advisor’s standard Trading Program and cause the Fund to incur substantial transaction costs.

In October 2011, the CFTC adopted rules that, among other things, established a separate position limits regime for 28 so-called “exempt,” i.e., metals and energy, and agricultural futures and options contracts and their economically equivalent swap contracts.  Position limits in spot months were generally set at 25% of the official estimated deliverable supply of the underlying commodity while position limits related to non-spot months were generally set at 10% of open interest in the first 25,000 contracts and 2.5% of the open interest thereafter.  On September 28, 2012, the United States District Court for the District of Columbia issued an opinion that vacated these rules. In November 2013, the CFTC proposed a new set of speculative position rules which are not yet finalized (or effective).

In addition, the Reform Act significantly expands the CFTC’s authority to impose position limits with respect to futures contracts, options on futures contracts, swaps that are economically equivalent to futures or options on futures, swaps that are traded on a regulated exchange and certain swaps that perform a significant price discovery function.

MLAI is subject to CFTC-imposed position limits through its control of the Fund, and will have to aggregate positions of certain FuturesAccess Funds in determining whether the position limits are reached.  The rules proposed by the CFTC in November 2013, if implemented in substance, in addition to expanding the contracts subject to CFTC-imposed position limits, narrow certain exemptions from the aggregation requirements, making it more likely that a party such as the Fund hiring multiple trading advisors may be required to aggregate the positions controlled by the various trading advisors.  Although MLAI may claim exemption from the aggregation requirements for the majority of FuturesAccess Funds, the aggregation of positions of certain FuturesAccess Funds may be required.  If the aggregation is required in the Fund’s case, the Trading Advisor may not be able to implement the Trading Program for the Fund in the same manner as for its other clients, causing the Fund to underperform other accounts utilizing the Trading Program, or the Fund may have to liquidate trading positions when the Trading Advisor would otherwise not advise doing so, resulting in losses to the Fund.

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

Trading on Non-U.S. Exchanges

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

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

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

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

Foreign Exchange Controls

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

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

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

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

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

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

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

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

16

certain types of interest bearing financial instruments, these instruments are still subject to credit and market risk.  As a result, if the instruments in which customer segregated funds are invested lose value, there would be a shortfall in customer segregated funds held by MLPF&S in the event of MLPF&S’s insolvency.

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

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

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

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

To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with MLPF&S in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions.  Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds but provide certain additional protections to cleared swaps collateral in the event of an FCM or FCM customer default.  For example, in the event of a default of both the FCM and a customer of the FCM, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the FCM, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting FCM.

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

Bank Deposits.  The vast majority of the cash deposited with banks would be in excess of the limits on federal insurance for deposits, and thus not insured by the FDIC, and would be subject to the risk of bank failure. Only up to $250,000 held in non-interest bearing demand deposit accounts will be insured under the FDIC’s general deposit insurance rules.

17

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

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

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

Insolvency of Dual-Registered Entities

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

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

The Fund is subject to the risk of failures or inaccuracies in the trading systems of the Trading Advisor.  Trades for the Fund may be placed or executed in error due to technical errors such as coding or programming errors in software, hardware problems and inaccurate pricing information provided by third parties or execution errors such as keystroke, typographic or inadvertent drafting errors.  Many exchanges have adopted “obvious error” rules that prevent the entry and execution of trades more than a specified amount away from the current best price on the exchange.  However, these rules may not be in place on the exchanges on which the Trading Advisor trades on behalf of the Fund and may not be enforced even if in effect.  These rules likely would not prevent the entry and execution of a trade entered close to the market price but at the wrong size.

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

Government Intervention; Market Disruptions

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

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

18

Regulatory Changes Could Restrict the Fund’s Operations

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

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

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

Although the U.S. Treasury has the discretion to exclude F/X forwards and swaps from certain of the new regulatory requirements, it has done so to date only in limited circumstances.  Forwards and swaps that are not so excluded may be required by the Reform Act to be centrally cleared or traded on a regulated market.  The Reform Act may also require other OTC derivatives traded by the Fund, if any, to be centrally cleared or traded on a regulated market.  This may subject the Fund, the Trading Advisor, MLAI and/or the Fund’s counterparties to additional regulatory requirements including minimum initial and variation margin requirements, minimum capital requirements, registration with the SEC and/or the CFTC, new business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest and other regulatory burdens.  Certain of these requirements apply to currency forwards and swaps even if they are excluded by the U.S. Treasury.  Certain of these regulatory requirements could affect the Fund, the Trading Advisor, or MLAI directly, while others could impact the Fund, the Trading Advisor or MLAI indirectly due to the impact of the requirements on the Fund’s counterparties.  These new regulatory burdens would further increase the counterparties’ costs, which are expected to be passed through to other market participants such as the Fund in the form of higher fees and less favorable dealer marks.  They may also render certain strategies in which the Trading Advisor might otherwise engage impossible, or so costly that they will no longer be economical, to implement.

Although the Reform Act will require many OTC derivative transactions previously entered into on a principal-to-principal basis to be submitted for clearing by a regulated clearinghouse, some of the derivatives that may be traded by the Fund may not be centrally cleared.  The risk of counterparty non-performance can be significant in the case of these OTC instruments, and bid-ask spreads may be unusually wide in these heretofore substantially unregulated markets.  While the Reform Act is intended in part to reduce these risks, its success in this respect may not be evident for some time after the Reform Act is fully implemented a process that may take several years.  In addition, while the Reform Act’s requirement that certain swaps be traded on a regulated market is intended to improve transparency in the market for these swaps, and may for more liquid swaps decrease trading costs, it may actually increase trading costs for less liquid swaps.

Certain steps are underway to regulate derivative transactions in the European Union (“E.U.”).  On August 16, 2012, the E.U. Market Infrastructure Regulation on OTC derivatives, central counterparties and trade repositories (“EMIR”) became effective. EMIR will largely be implemented through secondary or “Level 2” measures, and it is uncertain when these measures will take effect given that they are still being negotiated. However, it is likely that some aspects of EMIR, such as the obligation to timely confirm uncleared OTC derivatives transactions, will become effective some time in 2013. EMIR introduces certain requirements in respect of OTC derivative contracts, which will apply primarily to “financial counterparties” such as E.U.-authorized investment firms, credit institutions, insurance companies, UCITS and alternative investment funds managed by E.U. authorized alternative investment fund managers, and non-financial counterparties exceeding a certain threshold. Certain obligations under EMIR will also apply to non-E.U. counterparties, such as the Fund, where the counterparties’ contracts would be subject to EMIR if they were established in the E.U. and where their contract has a “direct, substantial and foreseeable effect” within the E.U., or where the obligation is necessary to prevent evasion of

19

EMIR.  In particular, EMIR imposes a general obligation to clear OTC derivative contracts through a duly authorized central counterparty (“CCP”) where those contracts belong to a class of derivatives which has been declared subject to the clearing obligation.  Under EMIR, a CCP will be used to meet the clearing obligations by interposing itself between the counterparties to the eligible derivative contracts.  CCPs will connect with some derivative counterparties through their clearing members; other counterparties may clear via “indirect” clearing arrangements. Each derivative counterparty will be required to post both initial and variation margin to the clearing member, which in turn will be required to post margin to the CCP or to the clearing member’s client in an indirect arrangement.  EMIR requires CCPs to accept only highly liquid collateral with minimal credit and market risk.  In relation to OTC derivatives which are not subject to the clearing obligation, counterparties which are subject to EMIR will have to ensure that appropriate procedures and arrangements are in place to measure, monitor and mitigate operational and credit risk. For example, counterparties will have to confirm contracts in a timely fashion, set up reconciliation, dispute resolution and compression procedures, exchange collateral and mark contracts to market or model on a daily basis.  In addition, all counterparties and CCPs will be required to report their transactions in derivatives to a registered or recognized trade repository or, where no trade repository has been authorized in connection with a particular class of derivatives, to the European Securities and Markets Authority (“ESMA”).

Certain Level 2 measures that will provide more detailed rules that give effect to EMIR have not yet been finalized.  In addition, ESMA has not yet identified and approved the list of derivatives subject to the clearing obligation.  The E.U. regulatory framework relating to derivatives is established not only by EMIR but also by the proposals to “recast” the existing Markets in Financial Instruments Directive (“MiFID II”) which have not been finalized. In particular, MiFID II is expected to require transactions in derivatives to be traded on a regulated market and centrally cleared. In this respect, it is difficult to predict the full impact of these regulatory developments on the Fund. Prospective investors should be aware that the regulatory changes arising from EMIR and MiFID II may significantly raise the costs of entering into derivative contracts and may adversely affect the Fund’s ability to engage in transactions in derivatives.

Banking Regulation

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

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

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

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

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

Item 1B: Unresolved Staff Comments

Not applicable.

20

Item 2:Properties

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

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

Item 3:Legal Proceedings

None.

Item 4:Mine Safety Disclosures

Not applicable

PART II

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

Item 5(a)

(a)Market Information:

There is no established public trading market for the Units, and none is likely to develop.  Investors in the Fund generally may redeem any or all of their Units, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon providing oral or written notice by the “Redemption Notice Date,” which is eight business days prior to the 1st and 16th of every month.  MLAI, at any time in its discretion, may discontinue allowing redemptions as of the 15th calendar day of each month on a going forward basis.  The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date.

(b)Holders:

As of December 31, 2013, there were 543 holders of Units, none of whom owned 5% or more of the Fund’s Units.

(c)Dividends:

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

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

Not applicable.

(e)Performance Graph:

Not applicable.

21

(f)Recent Sales of Unregistered Securities:

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

CLASS A

	Subscription
	Amount		Units	NAV(1)
1/01/2013	$	32,273	28,317	$	1.1397
1/16/2013	—		—	1.1068
2/01/2013	9,800		8,669	1.1304
2/16/2013	—		—	1.1540
3/01/2013	—		—	1.1061
3/16/2013	—		—	1.1249
4/01/2013	—		—	1.1372
4/16/2013	39,000		33,848	1.1522
5/01/2013	—		—	1.1807
5/16/2013	—		—	1.1463
6/01/2013	—		—	1.1056
6/16/2013	—		—	1.0849
7/01/2013	—		—	1.0939
7/16/2013	—		—	1.1159
8/01/2013	—		—	1.1029
8/16/2013	904,625		821,117	1.1017
9/01/2013	—		—	1.0598
9/16/2013	—		—	1.0907
10/01/2013	—		—	1.0513
10/16/2013	—		—	1.0494
11/01/2013	—		—	1.0656
11/16/2013	—		—	1.0628
12/01/2013	—		—	1.0781
12/16/2013	—		—	1.0553
1/01/2014	—		—	1.1143
1/16/2014	—		—	1.0685
2/1/2014	—		—	1.0659

CLASS C

	Subscription
	Amount		Units	NAV(1)
1/01/2013	$	60,000	57,427	$	1.0448
1/16/2013	424,000		418,064	1.0142
2/01/2013	451,472		436,036	1.0354
2/16/2013	25,000		23,661	1.0566
3/01/2013	95,000		93,846	1.0123
3/16/2013	195,000		189,486	1.0291
4/01/2013	262,000		251,947	1.0399
4/16/2013	340,000		322,826	1.0532
5/01/2013	230,000		213,220	1.0787
5/16/2013	54,014		51,594	1.0469
6/01/2013	278,862		276,265	1.0094
6/16/2013	25,000		25,252	0.9900
7/01/2013	103,501		103,729	0.9978
7/16/2013	—		—	1.0174
8/01/2013	83,000		82,571	1.0052
8/16/2013	15,000		14,945	1.0037
9/01/2013	148,312		153,676	0.9651
9/16/2013	—		—	0.9928
10/01/2013	—		—	0.9565
10/16/2013	15,000		15,715	0.9545
11/01/2013	169,341		174,794	0.9688
11/16/2013	—		—	0.9658
12/01/2013	135,000		137,854	0.9793
12/16/2013	—		—	0.9582
1/01/2014	81,000		80,087	1.0114
1/16/2014	—		—	0.9694
2/1/2014	391,000		404,511	0.9666

CLASS D

	Subscription
	Amount		Units	NAV(1)
1/01/2013	$	135,000	142,405	$	0.9480
1/16/2013	—		—	0.9212
2/01/2013	100,000		106,213	0.9415
2/16/2013	—		—	0.9617
3/01/2013	—		—	0.9224
3/16/2013	—		—	0.9386
4/01/2013	—		—	0.9495
4/16/2013	—		—	0.9626
5/01/2013	—		—	0.9870
5/16/2013	—		—	0.9588
6/01/2013	—		—	0.9254
6/16/2013	—		—	0.9087
7/01/2013	—		—	0.9168
7/16/2013	—		—	0.9357
8/01/2013	—		—	0.9254
8/16/2013	—		—	0.9251
9/01/2013	—		—	0.8904
9/16/2013	—		—	0.9169
10/01/2013	—		—	0.8843
10/16/2013	—		—	0.8833
11/01/2013	—		—	0.8975
11/16/2013	—		—	0.8957
12/01/2013	—		—	0.9092
12/16/2013	—		—	0.8905
1/01/2014	—		—	0.9409
1/16/2014	—		—	0.9028
2/1/2014	145,000		160,897	0.9012

CLASS I

	Subscription
	Amount		Units	NAV(1)
1/01/2013	$	25,000	21,805	$	1.1465
1/16/2013	—		—	1.1135
2/01/2013	10,000		8,791	1.1375
2/16/2013	—		—	1.1614
3/01/2013	50,000		44,907	1.1134
3/16/2013	—		—	1.1325
4/01/2013	—		—	1.1451
4/16/2013	274,000		236,125	1.1604
5/01/2013	—		—	1.1893
5/16/2013	—		—	1.1548
6/01/2013	—		—	1.1141
6/16/2013	—		—	1.0934
7/01/2013	—		—	1.1026
7/16/2013	—		—	1.1249
8/01/2013	—		—	1.1120
8/16/2013	—		—	1.1110
9/01/2013	—		—	1.0690
9/16/2013	—		—	1.1003
10/01/2013	25,000		23,569	1.0607
10/16/2013	—		—	1.0590
11/01/2013	—		—	1.0755
11/16/2013	—		—	1.0729
12/01/2013	—		—	1.0884
12/16/2013	60,000		56,306	1.0656
1/01/2014	3,000		2,666	1.1254
1/16/2014	—		—	1.0793
2/1/2014	25,000		23,215	1.0769

22

CLASS DS

	Subscription
	Amount		Units	NAV(1)
1/01/2013	$	—	—	$	1.4524
1/16/2013	1,374,794		974,133	1.4113
2/01/2013	—		—	1.4423
2/16/2013	—		—	1.4733
3/01/2013	184,135		130,306	1.4131
3/16/2013	—		—	1.4380
4/01/2013	—		—	1.4547
4/16/2013	—		—	1.4748
5/01/2013	—		—	1.5121
5/16/2013	800,314		544,802	1.4690
6/01/2013	—		—	1.4178
6/16/2013	—		—	1.3921
7/01/2013	—		—	1.4045
7/16/2013	—		—	1.4336
8/01/2013	—		—	1.4178
8/16/2013	—		—	1.4172
9/01/2013	—		—	1.3641
9/16/2013	—		—	1.4048
10/01/2013	—		—	1.3548
10/16/2013	—		—	1.3533
11/01/2013	—		—	1.3750
11/16/2013	—		—	1.3723
12/01/2013	—		—	1.3928
12/16/2013	—		—	1.3643
1/01/2014	—		—	1.4415
1/16/2014	211,996		153,276	1.3831
2/1/2014	—		—	1.3806

CLASS DT

	Subscription
	Amount		Units	NAV(1)
1/01/2013	$	—	—	$	1.5612
1/16/2013	—		—	1.5176
2/01/2013	179,963		115,978	1.5517
2/16/2013	—		—	1.5857
3/01/2013	—		—	1.5215
3/16/2013	—		—	1.5489
4/01/2013	—		—	1.5675
4/16/2013	—		—	1.5899
5/01/2013	—		—	1.6308
5/16/2013	—		—	1.5849
6/01/2013	—		—	1.5304
6/16/2013	—		—	1.5033
7/01/2013	—		—	1.5173
7/16/2013	—		—	1.5493
8/01/2013	—		—	1.5329
8/16/2013	—		—	1.5329
9/01/2013	—		—	1.4761
9/16/2013	—		—	1.5207
10/01/2013	—		—	1.4673
10/16/2013	—		—	1.4662
11/01/2013	—		—	1.4904
11/16/2013	—		—	1.4881
12/01/2013	—		—	1.5110
12/16/2013	—		—	1.4806
1/01/2014	—		—	1.5651
1/16/2014	—		—	1.5022
2/1/2014	—		—	1.5002

CLASS M

	Subscription
	Amount		Units	NAV(1)
1/01/2013	$	450,000	477,808	$	0.9418
1/16/2013	—		—	0.9151
2/01/2013	—		—	0.9353
2/16/2013	—		—	0.9553
3/01/2013	130,000		141,875	0.9163
3/16/2013	—		—	0.9324
4/01/2013	300,000		318,066	0.9432
4/16/2013	65,000		67,970	0.9563
5/01/2013	29,000		29,577	0.9805
5/16/2013	20,000		20,997	0.9525
6/01/2013	—		—	0.9193
6/16/2013	—		—	0.9027
7/01/2013	27,000		29,648	0.9107
7/16/2013	—		—	0.9296
8/01/2013	—		—	0.9193
8/16/2013	—		—	0.9189
9/01/2013	—		—	0.8845
9/16/2013	—		—	0.9109
10/01/2013	—		—	0.8785
10/16/2013	—		—	0.8775
11/01/2013	125,000		140,197	0.8916
11/16/2013	25,000		28,096	0.8898
12/01/2013	—		—	0.9032
12/16/2013	16,000		18,087	0.8846
1/01/2014	—		—	0.9347
1/16/2014	—		—	0.8968
2/1/2014	51,000		56,971	0.8952

(1) Beginning of the period 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 0.50%. The rate assessed to a given

23

subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units, Class DS Units, Class DT Units and Class M Units are not subject to any sales commissions.

Item 5(b)

Not applicable.

Item 5(c)

Not applicable.

Item 6:Selected Financial Data

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

Statements of Operations	For the year ended December 31, 2013			For the year ended December 31, 2012			For the year ended December 31, 2011			For the year ended December 31, 2010			For the year ended December 31, 2009
Trading profit (loss)
Realized, net	$	(257,587	)	$	11,822,071		$	(19,290,462	)	$	41,966,162		$	(30,087,116	)
Change in unrealized, net	2,100,635			(5,010,392		)	(1,469,413		)	8,120,139			(5,594,032		)
Brokerage commissions	(802,619		)	(1,122,005		)	(1,084,608		)	(1,332,262		)	(1,209,739		)
Total trading profit (loss)	1,040,429			5,689,674			(21,844,483		)	48,754,039			(36,890,887		)
INVESTMENT INCOME:
Interest	(3,284		)	7,111			(17,755		)	474			17,531
EXPENSES:
Management fees	2,284,350			3,502,971			4,663,195			4,406,382			3,904,212
Performance fees	—			158,705			—			1,574,502			326
Sponsor fees	520,856			630,871			673,816			471,939			453,477
Other	545,922			656,058			644,087			671,538			572,395
Total Expenses	3,351,128			4,948,605			5,981,098			7,124,361			4,930,410
NET INVESTMENT INCOME (LOSS)	(3,354,412		)	(4,941,494		)	(5,998,853		)	(7,123,887		)	(4,912,879		)
NET INCOME (LOSS)	$	(2,313,983	)	$	748,180		$	(27,843,336	)	$	41,630,152		$	(41,803,766	)

Balance Sheet Data	December 31, 2013		December 31, 2012		December 31, 2011		December 31, 2010		December 31, 2009
Members’ Capital	$	86,331,490	$	149,052,432	$	221,046,309	$	255,959,800	$	235,900,686
Net Asset Value per Series A Unit	1.1143		1.1397		1.1801		1.3296		1.1440
Net Asset Value per Series C Unit	1.0114		1.0448		1.0927		1.2436		1.0807
Net Asset Value per Series D Unit	0.9409		0.9480		0.9670		1.0733		0.9097
Net Asset Value per Series I Unit	1.1254		1.1465		1.1823		1.3268		1.1369
Net Asset Value per Series DS Unit	1.4415		1.4524		1.4814		1.6443		1.3936
Net Asset Value per Series DT Unit	1.5651		1.5612		1.5771		1.7338		1.4551
Net Asset Value per Series M Unit*	0.9347		0.9418		—		—		—

*Units issued on October 1, 2012

24

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

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		June 15th		June
2009	n/a		$	1.3808	n/a		$	1.3886	n/a		$	1.3368	n/a		$	1.3365	n/a		$	1.3550	n/a		$	1.3301
2010	n/a		$	1.0816	n/a		$	1.0975	n/a		$	1.2139	n/a		$	1.2405	n/a		$	1.1682	n/a		$	1.1659
2011	n/a		$	1.3232	n/a		$	1.3463	n/a		$	1.3119	n/a		$	1.3439	n/a		$	1.2687	n/a		$	1.2231
2012	n/a		$	1.1928	n/a		$	1.2228	n/a		$	1.2093	n/a		$	1.2132	n/a		$	1.3267	n/a		$	1.2378
2013	$	1.1068	$	1.1304	$	1.1540	$	1.1061	$	1.1249	$	1.1372	$	1.1522	$	1.1807	$	1.1463	$	1.1056	$	1.0849	$	1.0939
	July 15th		July		Aug. 15th		Aug.		Sept. 15th		Sept.		Oct. 15th		Oct.		Nov. 15th		Nov.		Dec. 15th		Dec.
2009	n/a		$	1.2825	n/a		$	1.2892	n/a		$	1.2623	n/a		$	1.1991	n/a		$	1.2292	n/a		$	1.1440
2010	n/a		$	1.1497	n/a		$	1.1940	n/a		$	1.2333	n/a		$	1.2900	n/a		$	1.2786	n/a		$	1.3296
2011	n/a		$	1.2528	n/a		$	1.2058	n/a		$	1.1726	n/a		$	1.1419	n/a		$	1.1567	n/a		$	1.1801
2012	n/a		$	1.3023	n/a		$	1.2757	n/a		$	1.2148	$	1.1940	$	1.1486	$	1.1491	$	1.1386	$	1.1335	$	1.1397
2013	$	1.1159	$	1.1029	$	1.1017	$	1.0598	$	1.0907	$	1.0513	$	1.0494	$	1.0656	$	1.0628	$	1.0781	$	1.0553	$	1.1143

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		June 15th		June
2009	n/a		$	1.3165	n/a		$	1.3228	n/a		$	1.2724	n/a		$	1.2710	n/a		$	1.2876	n/a		$	1.2629
2010	n/a		$	1.0209	n/a		$	1.0351	n/a		$	1.1439	n/a		$	1.1680	n/a		$	1.0990	n/a		$	1.0959
2011	n/a		$	1.2365	n/a		$	1.2571	n/a		$	1.2239	n/a		$	1.2527	n/a		$	1.1816	n/a		$	1.1382
2012	n/a		$	1.1035	n/a		$	1.1304	n/a		$	1.1169	n/a		$	1.1196	n/a		$	1.2234	n/a		$	1.1404
2013	$	1.0142	$	1.0354	$	1.0566	$	1.0123	$	1.0291	$	1.0399	$	1.0532	$	1.0787	$	1.0469	$	1.0094	$	0.9900	$	0.9978
	July 15th		July		Aug. 15th		Aug.		Sept. 15th		Sept.		Oct. 15th		Oct.		Nov. 15th		Nov.		Dec. 15th		Dec.
2009	n/a		$	1.2166	n/a		$	1.2219	n/a		$	1.1954	n/a		$	1.1346	n/a		$	1.1621	n/a		$	1.0807
2010	n/a		$	1.0798	n/a		$	1.1205	n/a		$	1.1563	n/a		$	1.2085	n/a		$	1.1969	n/a		$	1.2436
2011	n/a		$	1.1649	n/a		$	1.1202	n/a		$	1.0885	n/a		$	1.0591	n/a		$	1.0719	n/a		$	1.0927
2012	n/a		$	1.1988	n/a		$	1.1734	n/a		$	1.1164	$	1.0968	$	1.0547	$	1.0547	$	1.0446	$	1.0396	$	1.0448
2013	$	1.0174	$	1.0052	$	1.0037	$	0.9651	$	0.9928	$	0.9565	$	0.9545	$	0.9688	$	0.9658	$	0.9793	$	0.9582	$	1.0114

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		June 15th		June
2009	n/a		$	1.2296	n/a		$	1.2380	n/a		$	1.1935	n/a		$	1.1946	n/a		$	1.2127	n/a		$	1.1919
2010	n/a		$	0.8612	n/a		$	0.8749	n/a		$	0.9689	n/a		$	0.9914	n/a		$	0.9348	n/a		$	0.9341
2011	n/a		$	1.0694	n/a		$	1.0895	n/a		$	1.0630	n/a		$	1.0903	n/a		$	1.0305	n/a		$	0.9947
2012	n/a		$	0.9786	n/a		$	1.0045	n/a		$	0.9946	n/a		$	0.9991	n/a		$	1.0940	n/a		$	1.0219
2013	$	0.9212	$	0.9415	$	0.9617	$	0.9224	$	0.9386	$	0.9495	$	0.9626	$	0.9870	$	0.9588	$	0.9254	$	0.9087	$	0.9168
	July 15th		July		Aug. 15th		Aug.		Sept. 15th		Sept.		Oct. 15th		Oct.		Nov. 15th		Nov.		Dec. 15th		Dec.
2009	n/a		$	1.1507	n/a		$	1.1581	n/a		$	1.0000	n/a		$	0.9511	n/a		$	0.9762	n/a		$	0.9097
2010	n/a		$	0.9223	n/a		$	0.9590	n/a		$	0.9918	n/a		$	1.0387	n/a		$	1.0308	n/a		$	1.0733
2011	n/a		$	1.0202	n/a		$	0.9831	n/a		$	0.9573	n/a		$	0.9334	n/a		$	0.9466	n/a		$	0.9670
2012	n/a		$	1.0765	n/a		$	1.0558	n/a		$	1.0067	$	0.9900	$	0.9530	$	0.9540	$	0.9459	$	0.9423	$	0.9480
2013	$	0.9357	$	0.9254	$	0.9251	$	0.8904	$	0.9169	$	0.8843	$	0.8833	$	0.8975	$	0.8957	$	0.9092	$	0.8905	$	0.9409

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		June 15th		June
2009	n/a		$	1.3678	n/a		$	1.3760	n/a		$	1.3246	n/a		$	1.3247	n/a		$	1.3435	n/a		$	1.3193
2010	n/a		$	1.0754	n/a		$	1.0915	n/a		$	1.2077	n/a		$	1.2346	n/a		$	1.1631	n/a		$	1.1612
2011	n/a		$	1.3208	n/a		$	1.3444	n/a		$	1.3105	n/a		$	1.3428	n/a		$	1.2681	n/a		$	1.2229
2012	n/a		$	1.1954	n/a		$	1.2260	n/a		$	1.2128	n/a		$	1.2171	n/a		$	1.3315	n/a		$	1.2426
2013	$	1.1135	$	1.1375	$	1.1614	$	1.1134	$	1.1325	$	1.1451	$	1.1604	$	1.1893	$	1.1548	$	1.1141	$	1.0934	$	1.1026
	July 15th		July		Aug. 15th		Aug.		Sept. 15th		Sept.		Oct. 15th		Oct.		Nov. 15th		Nov.		Dec. 15th		Dec.
2009	n/a		$	1.2725	n/a		$	1.2795	n/a		$	1.2533	n/a		$	1.1909	n/a		$	1.2212	n/a		$	1.1369
2010	n/a		$	1.1454	n/a		$	1.1899	n/a		$	1.2294	n/a		$	1.2864	n/a		$	1.2755	n/a		$	1.3268
2011	n/a		$	1.2531	n/a		$	1.2064	n/a		$	1.1737	n/a		$	1.1433	n/a		$	1.1585	n/a		$	1.1823
2012	n/a		$	1.3078	n/a		$	1.2815	n/a		$	1.2208	$	1.2000	$	1.1546	$	1.1553	$	1.1449	$	1.1400	$	1.1465
2013	$	1.1249	$	1.1120	$	1.1110	$	1.0690	$	1.1003	$	1.0607	$	1.0590	$	1.0755	$	1.0729	$	1.0884	$	1.0656	$	1.1254

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		June 15th		June
2009	n/a		$	1.6591	n/a		$	1.6705	n/a		$	1.6103	n/a		$	1.6119	n/a		$	1.6363	n/a		$	1.6082
2010	n/a		$	1.3193	n/a		$	1.3403	n/a		$	1.4843	n/a		$	1.5188	n/a		$	1.4321	n/a		$	1.4310
2011	n/a		$	1.6383	n/a		$	1.6690	n/a		$	1.6285	n/a		$	1.6702	n/a		$	1.5787	n/a		$	1.5239
2012	n/a		$	1.4992	n/a		$	1.5389	n/a		$	1.5238	n/a		$	1.5306	n/a		$	1.6759	n/a		$	1.5655
2013	$	1.4113	$	1.4423	$	1.4733	$	1.4131	$	1.4380	$	1.4547	$	1.4748	$	1.5121	$	1.4690	$	1.4178	$	1.3921	$	1.4045
	July 15th		July		Aug. 15th		Aug.		Sept. 15th		Sept.		Oct. 15th		Oct.		Nov. 15th		Nov.		Dec. 15th		Dec.
2009	n/a		$	1.5526	n/a		$	1.5626	n/a		$	1.5320	n/a		$	1.4571	n/a		$	1.4955	n/a		$	1.3936
2010	n/a		$	1.4129	n/a		$	1.4692	n/a		$	1.5194	n/a		$	1.5912	n/a		$	1.5792	n/a		$	1.6443
2011	n/a		$	1.5629	n/a		$	1.5061	n/a		$	1.4665	n/a		$	1.4299	n/a		$	1.4502	n/a		$	1.4814
2012	n/a		$	1.6492	n/a		$	1.6175	n/a		$	1.5423	$	1.5167	$	1.4600	$	1.4616	$	1.4491	$	1.4435	$	1.4524
2013	$	1.4336	$	1.4178	$	1.4172	$	1.3641	$	1.4048	$	1.3548	$	1.3533	$	1.3750	$	1.3723	$	1.3928	$	1.3643	$	1.4415

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		June 15th		June
2009	n/a		$	1.7163	n/a		$	1.7296	n/a		$	1.6688	n/a		$	1.6719	n/a		$	1.6986	n/a		$	1.6709
2010	n/a		$	1.3787	n/a		$	1.4019	n/a		$	1.5538	n/a		$	1.5912	n/a		$	1.5016	n/a		$	1.5017
2011	n/a		$	1.7290	n/a		$	1.7625	n/a		$	1.7211	n/a		$	1.7663	n/a		$	1.6710	n/a		$	1.6143
2012	n/a		$	1.5974	n/a		$	1.6411	n/a		$	1.6263	n/a		$	1.6350	n/a		$	1.7913	n/a		$	1.6747
2013	$	1.5176	$	1.5517	$	1.5857	$	1.5215	$	1.5489	$	1.5675	$	1.5899	$	1.6308	$	1.5849	$	1.5304	$	1.5033	$	1.5173
	July 15th		July		Aug. 15th		Aug.		Sept. 15th		Sept.		Oct. 15th		Oct.		Nov. 15th		Nov.		Dec. 15th		Dec.
2009	n/a		$	1.6144	n/a		$	1.6262	n/a		$	1.5956	n/a		$	1.5189	n/a		$	1.5602	n/a		$	1.4551
2010	n/a		$	1.4839	n/a		$	1.5443	n/a		$	1.5984	n/a		$	1.6754	n/a		$	1.6642	n/a		$	1.7338
2011	n/a		$	1.6570	n/a		$	1.5981	n/a		$	1.5574	n/a		$	1.5198	n/a		$	1.5426	n/a		$	1.5771
2012	n/a		$	1.7653	n/a		$	1.7329	n/a		$	1.6536	$	1.6269	$	1.5667	$	1.5691	$	1.5563	$	1.5510	$	1.5612
2013	$	1.5493	$	1.5329	$	1.5329	$	1.4761	$	1.5207	$	1.4673	$	1.4662	$	1.4904	$	1.4881	$	1.5110	$	1.4806	$	1.5651

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		June 15th		June
2012	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a
2013	$	0.9151	$	0.9353	$	0.9553	$	0.9163	$	0.9324	$	0.9432	$	0.9563	$	0.9805	$	0.9525	$	0.9193	$	0.9027	$	0.9107
	July 15th		July		Aug. 15th		Aug.		Sept. 15th		Sept.		Oct. 15th		Oct.		Nov. 15th		Nov.		Dec. 15th		Dec.
2012	n/a		n/a		n/a		n/a		n/a		$	1.0000	$	0.9834	$	0.9467	$	0.9477	$	0.9396	$	0.9360	$	0.9418
2013	$	0.9296	$	0.9193	$	0.9189	$	0.8845	$	0.9109	$	0.8785	$	0.8775	$	0.8916	$	0.8898	$	0.9032	$	0.8846	$	0.9347

25

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(CLASS A UNITS) (5)

December 31, 2013

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

Inception of Trading: September 1, 2007

Aggregate Subscriptions: $17,640,830

Current Capitalization:   $6,492,354

Worst Monthly Drawdown (2):  (6.93) % (December 2009)

Worst Peak-to-Valley Drawdown (3):  (24.30) % (March 2009 — December 2013)

Net Asset Value per Unit for Class A, December 31, 2013:   $1.1143

Monthly Rates of Return (4)

Month	2013		2012		2011		2010		2009
January	(0.82	)%	1.08	%	(0.48	)%	(5.45	)%	(.25	)%
February	(2.15	)	2.52		1.75		1.47		0.56
March	2.81		(1.10	)	(2.56	)	10.61		(3.73	)
April	3.83		0.32		2.44		2.19		(0.02	)
May	(6.36	)	9.36		(5.60	)	(5.83	)	1.38
June	(1.06	)	(6.70	)	(3.59	)	(0.20	)	(1.84	)
July	0.82		5.21		2.43		(1.39	)	(3.58	)
August	(3.91	)	(2.04	)	(3.75	)	3.85		0.52
September	(0.80	)	(4.77	)	(2.75	)	3.29		(2.09	)
October	1.36		(5.45	)	(2.62	)	4.60		(5.01	)
November	1.17		(0.87	)	1.30		(0.88	)	2.51
December	3.36		0.10		2.02		3.99		(6.93	)
Compound Annual Rate of Return	(2.23	)%	(3.42	)%	(11.25	)%	16.22	%	(17.37	)%

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

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since September 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since September 1, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

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

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 11.43%.

26

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(CLASS C UNITS) (5)

December 31, 2013

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

Inception of Trading: July 1, 2007

Aggregate Subscriptions:    $39,780,512

Current Capitalization:   $11,678,312

Worst Monthly Drawdown (2):  (7.00) % (December 2009)

Worst Peak-to-Valley Drawdown (3):  (27.69) % (March 2009 —December 2013)

Net Asset Value per Unit for Class C, December 31, 2013:   $1.0114

Monthly Rates of Return (4)

Month	2013		2012		2011		2010		2009
January	(0.90	)%	0.99	%	(0.57	)%	(5.53	)%	(.33	)%
February	(2.23	)	2.44		1.67		1.39		0.48
March	2.73		(1.19	)	(2.64	)	10.51		(3.81	)
April	3.73		0.24		2.35		2.11		(0.11	)
May	(6.42	)	9.27		(5.68	)	(5.91	)	1.31
June	(1.15	)	(6.78	)	(3.67	)	(0.28	)	(1.92	)
July	0.74		5.12		2.35		(1.47	)	(3.67	)
August	(3.99	)	(2.12	)	(3.84	)	3.77		0.44
September	(0.89	)	(4.85	)	(2.83	)	3.20		(2.17	)
October	1.29		(5.53	)	(2.70	)	4.51		(5.09	)
November	1.08		(0.96	)	1.21		(0.96	)	2.42
December	3.28		0.02		1.94		3.90		(7.00	)
Compound Annual Rate of Return	(3.20	)%	(4.38	)%	(12.13	)%	15.07	%	(18.19	)%

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

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since July 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since July 1, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

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

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 1.14%.

27

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(CLASS D UNITS) (5)

December 31, 2013

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

Inception of Trading: November 1, 2007

Aggregate Subscriptions:    $11,539,086

Current Capitalization:   $1,738,212

Worst Monthly Drawdown (2):  (6.81) % (December 2009)

Worst Peak-to-Valley Drawdown (3):  (21.20) % (March 2009 - May 2012)

Net Asset Value per Unit for Class D, December 31, 2013:   $0.9409

Monthly Rates of Return (4)

Month	2013		2012		2011		2010		2009
January	(0.69	)%	1.20	%	(0.36	)%	(5.33	)%	(.12	)%
February	(2.03	)	2.65		1.88		1.59		0.68
March	2.94		(0.99	)	(2.43	)	10.74		(3.59	)
April	3.95		0.45		2.57		2.32		0.09
May	(6.24	)	9.50		(5.48	)	(5.71	)	1.52
June	(0.93	)	(6.59	)	(3.47	)	(0.07	)	(1.72	)
July	0.94		5.34		2.56		(1.26	)	(3.46	)
August	(3.78	)	(1.92	)	(3.64	)	3.98		0.64
September	(0.69	)	(4.65	)	(2.62	)	3.42		—
October	1.49		(5.33	)	(2.50	)	4.73		(4.89	)
November	1.30		(0.75	)	1.41		(0.76	)	2.64
December	3.49		0.22		2.16		4.12		(6.81	)
Compound Annual Rate of Return	(.75	)%	(1.96	)%	(9.91	)%	17.98	%	(14.43	)%

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

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since November 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since November 1, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

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

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is (5.91)%.

28

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(CLASS I UNITS) (5)

December 31, 2013

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

Inception of Trading: October 1, 2007

Aggregate Subscriptions:  $5,155,444

Current Capitalization:   $1,337,151

Worst Monthly Drawdown (2):  (6.90) % (December 2009)

Worst Peak-to-Valley Drawdown (3):  (22.92) % (March 2009 — December 2013)

Net Asset Value per Unit for Class I, December 31, 2013:   $1.1254

Monthly Rates of Return (4)

Month	2013		2012		2011		2010		2009
January	(0.78	)%	1.11	%	(0.45	)%	(5.41	)%	(.21	)%
February	(2.12	)	2.56		1.79		1.50		0.60
March	2.85		(1.08	)	(2.52	)	10.65		(3.74	)
April	3.86		0.35		2.46		2.23		0.01
May	(6.32	)	9.40		(5.56	)	(5.79	)	1.42
June	(1.03	)	(6.68	)	(3.56	)	(0.16	)	(1.80	)
July	0.85		5.25		2.47		(1.36	)	(3.55	)
August	(3.87	)	(2.01	)	(3.73	)	3.89		0.55
September	(0.78	)	(4.74	)	(2.71	)	3.32		(2.05	)
October	1.40		(5.42	)	(2.59	)	4.64		(4.98	)
November	1.20		(0.84	)	1.33		(0.85	)	2.54
December	3.40		0.14		2.05		4.02		(6.90	)
Compound Annual Rate of Return	(1.84	)%	(3.03	)%	(10.89	)%	16.70	%	(17.07	)%

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

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since October 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since October 1, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

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

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 12.54%.

29

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(CLASS DS UNITS) (5)

December 31, 2013

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

Inception of Trading: April 2, 2007

Aggregate Subscriptions:   $199,289,515

Current Capitalization:   $47,609,112

Worst Monthly Drawdown (2):  (6.81) % (December 2009)

Worst Peak-to-Valley Drawdown (3):  (21.03) % (March 2009 — May 2012)

Net Asset Value per Unit for Class DS, December 31, 2013:   $1.4415

Monthly Rates of Return (4)

Month	2013		2012		2011		2010		2009
January	(0.70	)%	1.20	%	(0.36	)%	(5.33	)%	(.12	)%
February	(2.02	)	2.65		1.87		1.59		0.69
March	2.94		(0.98	)	(2.43	)	10.74		(3.60	)
April	3.95		0.45		2.56		2.32		0.10
May	(6.24	)	9.49		(5.48	)	(5.71	)	1.51
June	(0.94	)	(6.59	)	(3.47	)	(0.08	)	(1.72	)
July	0.95		5.34		2.56		(1.26	)	(3.46	)
August	(3.79	)	(1.92	)	(3.63	)	3.98		0.64
September	(0.68	)	(4.65	)	(2.63	)	3.42		(1.96	)
October	1.49		(5.34	)	(2.50	)	4.73		(4.89	)
November	1.29		(0.75	)	1.42		(0.75	)	2.64
December	3.50		0.23		2.15		4.12		(6.81	)
Compound Annual Rate of Return	(.75	)%	(1.96	)%	(9.91	)%	17.99	%	(16.11	)%

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

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since April 2, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since April 2, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

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

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 44.15%.

30

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(CLASS DT UNITS) (5)

December 31, 2013

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

Inception of Trading: June 1, 2007

Aggregate Subscriptions:    $122,132,857

Current Capitalization:   $14,111,528

Worst Monthly Drawdown (2):  (6.74) % (December 2009)

Worst Peak-to-Valley Drawdown (3):  (20.29) % (March 2009 - December 2010)

Net Asset Value per Unit for Class DT, December 31, 2013:  $1.5651

Monthly Rates of Return (4)

Month	2013		2012		2011		2010		2009
January	(0.61	)%	1.29	%	(0.28	)%	(5.25	)%	(.04	)%
February	(1.95	)	2.74		1.94		1.68		0.77
March	3.02		(0.90	)	(2.35	)	10.84		(3.52	)
April	4.04		0.53		2.63		2.41		0.19
May	(6.16	)	9.56		(5.40	)	(5.63	)	1.60
June	(0.86	)	(6.51	)	(3.39	)	0.01		(1.63	)
July	1.03		5.41		2.65		(1.19	)	(3.38	)
August	(3.71	)	(1.84	)	(3.55	)	4.07		0.73
September	(0.60	)	(4.57	)	(2.55	)	3.50		(1.88	)
October	1.57		(5.26	)	(2.41	)	4.82		(4.81	)
November	1.38		(0.66	)	1.50		(0.67	)	2.72
December	3.58		0.31		2.24		4.18		(6.74	)
Compound Annual Rate of Return	.25	%	(1.01	)%	(9.04	)%	19.15	%	(15.26	)%

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

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since June 1, 2007 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since June 1, 2007 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

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

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 40.75%.

31

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(CLASS M UNITS) (5)

December 31, 2013

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

Inception of Trading: October 1, 2013

Aggregate Subscriptions:  $4,686,318

Current Capitalization:   $3,364,821

Worst Monthly Drawdown (2):  (6.24) % (May 2013)

Worst Peak-to-Valley Drawdown (3):  (12.15) % (October 2012 —December 2013)

Net Asset Value per Unit for Class M, December 31, 2013:   $0.9347

Monthly Rates of Return (4)

Month	2013		2012
January	(0.69	)%	0.00	%
February	(2.03	)	—
March	2.94		—
April	3.95		—
May	(6.24	)	—
June	(0.94	)	—
July	0.94		—
August	(3.79	)	—
September	(0.68	)	—
October	1.49		(5.40	)
November	1.30		(0.75	)
December	3.49		0.23
Compound Annual Rate of Return	(.75	)%	(5.89	)%

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

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

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

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

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

32

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

Operational Overview

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

Results of Operations

General

The Trading Program trades the following instruments on U.S. and non-U.S. exchanges and markets: futures, options, options on futures, swaps, swaps on futures, and forward contracts on currencies, interest rates, interest rate instruments, commodities, equity-related indices and instruments, and other indices.

Performance Summary

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

Year ended December 31, 2013

	Total Trading
	Profit (Loss)
Stock Indices	$	12,903,880
Metals	3,012,643
Agricultural Commodities	567,255
Currencies	(3,024,130		)
Energy	(7,079,331		)
Interest Rates	(4,537,269		)
Subtotal	1,843,048
Brokerage Commissions	(802,619		)
Total	$	1,040,429

The Fund experienced a net trading profit before brokerage commissions and related fees for the year ended December 31, 2013 of $1,843,048.  The Fund’s profits were primarily attributable to the stock indices metals and agriculture sector posting profits. The currency, interest rates and energy sectors posted losses.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The market movement in the first few days of January broadly set the stage for the rest of the month. Equity markets were strong globally; positions anticipating this delivered the largest positive contribution to the monthly result. Profits were posted to the Fund in the middle of the first quarter. Losses on the Trading Program’s long positions in markets that from the beginning of February reacted (such as those in China, Russia, the Netherlands and Mexico), were compensated by gains earned on rising stock markets (especially in Australia, Switzerland and the U.S.). Profits were posted to the Fund at the end of the first quarter which was based on the strength in the United States. Although positions in Australia, Hong Kong, South Africa, and Greece and in European banks resulted in some losses, on balance the Trading Program did not score significantly negative in any time zone. Profits were posted to the Fund at the beginning of the second quarter resulting from stock markets driven by the low interest rate policy in the U.S. and Western Europe. Profits were posted to the Fund in the middle of the second quarter. The largest gains (on the long side) in the stock markets came mainly from the United States and continental Europe. During the continued development of the Trading Program’s long equity positions, the Trading Program increasingly moved to emerging economies, resulting in profits in Malaysia and South Africa. Losses were posted to the Fund at the end of the second quarter. Many stock markets in June reacted negatively to the approaching end of the quantitative easing program, and this was felt by the Trading Program especially on long positions in Western Europe. The Trading Program’s long positions in South Africa received relatively the biggest blow. Profits on the Trading Program’s short positions in other emerging economies (Brazil, China, Russia, Turkey), as well as positions anticipating increasing volatility

33

in the U.S., were not sufficient to compensate for these losses. Profits were posted to the Fund at the beginning of the third quarter. The biggest losses came from the Trading Program’s short positions, both in emerging economies (Russia, China, South Korea, Brazil, India and South Africa) as well as in some individual stocks and sector indices (e.g. banks). However, this was more than offset by gains on the Trading Program’s long positions in the U.S. and in Taiwan. The Trading Program was also able to score a net positive result in the zigzagging Europe with predominantly long positions. Losses were posted to the Fund in the middle of the third quarter. The Trading Program had a good start to August from rising equity markets in Europe, America and Japan but these trends soon reversed. The largest losses came from positions anticipating, - directly or indirectly - rising equity markets, especially those in the U.S. Profits were posted to the Fund at the end of the third quarter which were generated from the Trading Program’s long positions in equity markets. The stock indices posted profits to the Fund at the beginning of the fourth quarter. Most volatility manifested itself in the stock markets, which ultimately proved to be an important source of profits. The largest profits came from rising markets in Europe.  Profits were posted to the Fund in the middle of the fourth quarter due to rising equity markets in the U.S., Europe and Japan. Profits were posted to the Fund at the end of the fourth quarter. In mid-December Mr. Bernanke, Chairman of the U.S. Federal Reserved announced that the U.S. Federal Reserve would start tapering QE in January and freed from uncertainty about this, markets regained their upward momentum to finish higher.

The metals sector posted profits to the Fund.  Losses were posted to the Fund at the beginning of the first quarter only to be reversed in the middle of the first quarter. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s short positions in gold and silver. Profits were posted to the Fund at the end of the first quarter. Profits were posted to the Fund at the beginning of the second quarter. Disappointing economic growth in China contributed to a major drop in metal prices benefitting the Trading Program. Profits were posted to the Fund in the middle of the second quarter due to the Trading Program’s short positions. Profits were posted to the Fund at the end of the second quarter due to the downward trends in metals. Losses were posted to the Fund at the beginning through the middle of the third quarter due to the Trading Program’s short positions base metals. Losses were posted to the Fund at the end of the third quarter due to the Trading Program’s long positions in gold. Losses were posted to the Fund at the beginning of the fourth quarter due to the Trading Program’s short positions. By the end of October, the Trading Program had reversed from short to net long positions in metals. Profits were posted to the Fund in the middle of the fourth quarter due to the Trading Program’s net long positions. However, the metals in which the Trading Program still had short positions (gold, silver and copper) came down more than the longs did. Responding to the decline the Trading Program turned quickly to more shorts in metals. This position was an important contributor to the diversification as well as the result. Profits were posted to the Fund at the end of the fourth quarter due to the Trading Program’s short positions in precious metals.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter only to be reversed in the middle of the quarter. Profits were posted to the Fund in the middle of the first quarter by the Trading Program anticipating the continuing fall of the prices of wheat and beef. Profits were posted to the Fund at the end of the first quarter as the Trading Program anticipated further falling prices of coffee, sugar, wheat and meat. Losses were posted to the Fund at the beginning of the second quarter. The after-effects of a crop report from the end of March resulted in losses at the beginning of April. Profits were posted to the Fund in the middle of the second quarter. The sugar market experienced acceleration in its prevailing downward trend in May in which the Trading Program benefited from this development. The Trading Program benefitted from the rising price of soybeans due to the cold spring in the United States and delayed seeding of this crop. Profits were posted to the Fund at the end of the second quarter. Downward trends in wheat, soybean oil, milk and coffee; and upward trends in hogs resulted in profits posted to the Fund. Profits were posted to the Fund at the beginning of the third quarter due to the Trading Program’s positions in falling prices of corn and vegetable oils, and the rising prices of European potatoes. Losses were posted to the Fund in the middle of the third quarter. The Trading Program entered August with large short positions in grains, which proved to be successful at the beginning of August. But then grain prices started to rise. Especially the prices of oilseeds (soy, rapeseed, palm oil, etc.) shot up: a trend reversal resulting in losses. Losses were posted to the Fund at the end of the third quarter. Even though some of the divergent trends did pay off, such as the declining prices of corn, soybean oil and rape seed, and the rising prices of hogs and cocoa was not enough to offset losses in other positions. Losses were posted to the Fund at the beginning of the fourth quarter. In sugar and cotton, the Trading Program had already shifted earlier in October from short to long, to long positions but this did not work out well resulting in losses. Corn prices kept on declining, while soy meal and related commodities rose in November resulting in profits posted to the Fund in the middle of the fourth quarter. Profits were posted to the Fund at the end of the fourth quarter.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Profits were earned in the carry trades with the high yielding currencies of New Zealand, Turkey, Romania, or Mexico on the long side and the low yielding currencies of Japan, Great Britain or the United States on the short side. Losing positions were those with the high yielding currency of South Africa on the long side and positions with the low yielding euro

34

on the short side. This was taken advantage of with the Trading Program’s long positions versus the also low yielding currencies of Singapore, Hong Kong and Taiwan. Losses were posted to the Fund in the middle of the first quarter. The carry trades resulted in losses posted to the Fund when anticipating a falling U.S. dollar relative to the high yielding currencies of India, Hungary, Poland, Romania and Colombia. Profits were posted to the Fund at the end of the first quarter. The Trading Program was correctly positioned to profit from the falling euro and Japanese yen, and the strength of the currencies of Mexico, the U.S., Australia, Israel and Turkey.  Losses were posted to the Fund at the beginning of the second quarter. The Trading Program lost in the risk concentration around “short euro”. These losses were partially, but not enough to offset the losses, compensated by gains on “long carry” positions, in particular those with a long position in the high yielding currencies of Mexico, New Zealand, China, India and Romania. Losses were posted to the Fund in the middle of the second quarter. Significant movements in the currency markets were accelerating declines in the currencies of many emerging economies, such as those of Brazil, Chile, South Africa, Turkey and India; although the Chinese currency remained strong. The Trading Program suffered from its initially fairly large “long carry” and “short euro” positions. The Trading Program’s positions anticipating a further strengthening of currencies of resource-rich countries, such as Canada, Mexico, Russia, Australia and New Zealand, also suffered.  Although most of these positions were phased out over the course of May, losses prevailed. Eventually, the biggest risk concentration in the currency markets became “long U.S. dollar”, both versus Europe and versus emerging countries. Losses were posted to the Fund at the end of the second quarter. The “long carry” positions were largely phased out in May, so further losses on these positions remained limited in June. Greater were the losses due to a wide zigzag of the U.S. dollar versus the Western European currencies (euro, British pound, Swiss franc): from a stronger dollar to a weaker dollar and back to a stronger dollar again, the Trading Program that started at the beginning of June with a long dollar position was affected. The weakness of the currencies of emerging economies (e.g. Brazil, Turkey, Russia, India and Thailand) and positions profiting from the falling exchange rates of the currencies of Australia and New Zealand was not enough to offset the losses in the other currency markets. Losses were posted to the Fund at the beginning of the third quarter. The European zigzag produced losses in the euro, the Swiss franc and the British pound. The reaction at the end of July in the Japanese QE trend produced losses on short Japanese yen positions. And the turn from “short emerging” to “long oil” was accompanied by losses on the Mexican peso and the Russian ruble. Losses were posted to the Fund in the middle of the third quarter due to the Trading Program’s long positions. Profits were posted to the Fund at the end of the third quarter due to the Trading Program’s short U.S. dollar and Japanese yen. Losses were posted to the Fund at the beginning of the fourth quarter.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to the Trading Program’s long positions in European bond markets. Profits were posted to the Fund in the middle of the first quarter due to the Trading Program’s long positions in Korea and Japan, as well as on the shorter end of the yield curve in Great Britain. Profits were posted to the Fund at the end of the first quarter due to the Trading Program’s long positions in Korean and Japanese bonds. But most of the profits resulted from numerous, often hybrid, synthetic positions, of which a significant portion was “short euro” related.  Profits were posted to the Fund at the beginning of the second quarter. The upward trends of bonds in countries with a low interest rate policy resulted in profits to the Fund. Losses were posted to the Fund in the middle of the second quarter, resulting from the Trading Program’s long positions in the United States and continental Europe. Profits were posted to the Fund at the end of the second quarter from the Trading Program’s short positions, especially in the U.S., Canada, England, Germany and South Korea. Losses were posted to the Fund at the beginning of the third quarter. Losses were posted to the Fund in the middle of the third quarter. In and around the U.S., the Trading Program built on the ‘long inflation’ theme, with positions anticipating rising interest rates. The majority of these positions turned out to be unsuccessful. Losses were posted to the Fund at the end of the third quarter. Profits were posted to the Fund at the beginning of the fourth quarter due to a European recovery especially in the financial markets. Profits were posted to the Fund in the middle of the fourth quarter. In the U.S. bond markets the Trading Program turned from losing long positions to (in the second half of November profitable short positions on the longer end of the yield curve. Losses were posted to the Fund at the end of the fourth quarter. The Trading Program’s largest losses came from its long positions in European bond markets.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter when anticipating falling prices of electricity, coal and carbon emissions delivered positive results.  Losses were posted to the Fund in the middle through the end of the first quarter due to the oil markets. Losses were posted to the Fund at the beginning of the second quarter. Losses were posted to the Fund in the middle of the second quarter resulting from the Trading Program’s long positions in both oil and gas. Losses were posted to the Fund at the end of the second quarter due to oil markets. Profits were posted to the Fund at the beginning of the third quarter from rising oil markets. Profits continued to be posted to the Fund in the middle of the third quarter resulting from the Trading Program’s long positions in oil. Losses were posted to the Fund at the end of the third quarter. At the beginning of September the Trading Program held fairly large long positions in crude oil futures, and futures on derivatives such as gasoline. Oil markets declined at the end of September resulting in losses. Losses were posted to the Fund at the beginning through the middle of the fourth quarter. In November natural gas prices accelerated strongly coming from lows; a particularly unfavorable movement for a trend following strategy. Profits were posted to the Fund at the end of the fourth quarter.

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Year ended December 31, 2012

	Total Trading
	Profit (Loss)
Stock Indices	$	5,371,926
Metals	(1,858,621		)
Agricultural Commodities	(6,096,889		)
Currencies	1,497,662
Energy	(2,751,878		)
Interest Rates	10,649,479
Subtotal	6,811,679
Brokerage Commissions	(1,122,005		)
Total	$	5,689,674

The Fund experienced a net trading profit before brokerage commissions and related fees for the year ended December 31, 2012 of $6,811,679.  The profits were primarily attributable to the Fund trading in the interest rates, stock indices and the currencies sectors posting profits. The metals, energy and agriculture sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Positions anticipating continued falling interest rates ran into difficulty during January, but turned back to profit when the U.S. Federal Reserve announced continuation its low rate policy. This result is due to losses suffered on positions responding to changing spread levels between interest rates of different countries and of different maturities. Losses were posted to the Fund in the middle of the first quarter as interest rate markets were difficult for trend followers as the large recognized safe havens did not show continuing trends. Because the Fund is also in these markets shuns large concentrated risks, the losses in these markets were limited. Gains on various positions anticipating rising interest rates in commodity-rich countries like Australia and Canada was not enough to offset losses. Losses were posted to the Fund at the end of the first quarter.  The mid-month March fall in prices created losses on long positions in treasuries from the U.S., Europe and Japan. Profits were posted to the Fund at the beginning of the second quarter. Profits were earned with the global rise of long-term bond markets. At the shorter end of the yield curve, short positions suffered losses in Switzerland, but realized gains in Canada, and long positions were profitable in New Zealand, Germany and the U.S.   Profits were posted to the Fund in the middle of the second quarter.  A substantial part of May’s result came from rising global long-term government bonds, partly through positions which directly anticipated this, but a larger part through numerous positions in synthetic markets with a long bond leg.  Losses were posted to the Fund at the end of the second quarter. A substantial part of the loss came from the downward reaction of the longer-term government bonds of Germany, Switzerland, the U.K. and the U.S. Only the Mexican bonds continued their rise. And profits were also earned with the declining money market rates in the U.S. and the U.K. But this was not enough to prevent this from being one of the worst performing sectors. Profits were posted to the Fund at the beginning of the third quarter due to the rising global prices of interest rate instruments. The relatively largest rise was experienced in the Korean bond market, partly due to a rate cut by the Bank of Korea in July.  Losses were posted to the Fund in the middle of the third quarter with increasing confidence in economic recovery; the popularity of safe havens decreased due to the trading program’s long positions in interest rate instruments, in particular those of a longer term in North America. Losses were posted to the Fund at the end of the third quarter. As the popularity of the “safe havens” decreased further, only the trading program’s long positions in Italian government bonds produced a significant positive outcome. Losses were posted to the Fund at the beginning of the fourth quarter. The losses on long positions in interest rate instruments were not only incurred on mainly the shorter end of the yield curve in the U.S., but for example also in Australia and the U.K. Profits were posted to the Fund in the middle of the fourth quarter. Persistently low interest rates are a common element of all major ‘trends’. The trading program’s various positions anticipating this, mainly in continental Europe but also in the U.S. and Japan, resulted in profits posted to the Fund. Losses were posted to the Fund at the end of the fourth quarter as the long bond positions in the old economies did not prove to be successful; they were largely reduced, especially outside of Europe. In Europe, positions on the shorter end of the yield curve, partly through swaps and swap notes, delivered some modest gains which were not enough to offset losses.

The stock indices posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Positions anticipating declining equity markets, particularly those in the East, suffered losses. Growing positions responding to rising stock markets and a declining volatility offset the losses with their earnings. Profits were posted to the Fund in the middle of the first quarter in connection with the rising equity markets.  The Trading Program profited globally, but especially where it concerned oil-rich or technology stocks. Profits were posted to the Fund at the end of the first quarter. The U.S. and Japanese equities did not seem to be sensitive to signs of slowing growth in China. The trading program’s

36

positions in these markets provided profits for the Fund, despite some losses suffered on positions in several other countries including Hong Kong, Taiwan, Russia and South Africa. Losses were posted to the Fund at the beginning of the second quarter.  The turning stock markets were difficult. Losses suffered on long positions, in particular in commodity-rich and technology shares, as well as in Japanese shares, were only partly offset by gains earned on a number of European short positions.  Losses were posted to the Fund in the middle of the second quarter.  A number of stock markets, including various U.S. markets, looked strong (again) by the end of April such that the systems were (again or still) long. When the markets started to (again) fall from the first day of May, losses were the result. Gains on various short positions in Europe and Asia only partially compensated these losses.  Profits were posted to the Fund at the end of the second quarter. The negative results on short positions primarily in Europe and India were largely offset by profits on long positions in the U.S. and Mexico and/or through positions in synthetic markets. Losses were posted to the Fund at the beginning of the third quarter. Notable in the equity markets were the deviating positions and results, spread across regions and sectors. Losses came from reduced selective short positions, as well as from long positions in Japan. Profits were posted to the Fund in the middle of the third quarter. Profits were made with the decline of equities in China. Profits were posted to the Fund at the end of the third quarter. The gains earned on rising equity markets came mainly from the U.S., but Europe and Thailand also contributed positively. The best trends came from declining volatility, which the trading program benefitted from both in the U.S. and in Europe. Losses were posted to the Fund at the beginning of the fourth quarter due to the trading program’s on long positions in the U.S. were partially offset by gains on positions anticipating decreasing volatility. In Europe and Asia, predominantly long positions offered differing results, with few outliers. Profits were posted to the Fund in the middle of the fourth quarter due to the trading program’s newly built-up long positions in the last week of November and profits on positions anticipating a continuing declining volatility during the month of November. Profits were posted to the Fund at the end of the fourth quarter. The dominant trend in stock markets was upwards in December in which good results were achieved in, among others, Australia, Thailand, Northern Europe, Mexico and in the U.S. and also with the Russell 2000.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The largest gains stemmed from positions that consist of a short in a European currency versus a long in a commodity-rich currency. These provided for a positive outcome in the sector, despite losses on various other short positions in European currencies and various other long positions in the U.S. dollar. Profits were posted to the Fund in the middle of the first quarter as the largest gains again stemmed from long positions in commodity-rich currencies. Profits were posted to the Fund at the end of the first quarter. In March more via shorts in the U.S. dollar or the Japanese yen than via a short in the euro. Losses were posted to the Fund at the beginning of the second quarter. The biggest losses came from various long positions in the Mexican peso and various short positions in the Japanese yen. Profits came from short positions in the euro and long positions in the British pound and the Turkish lira. Profits were posted to the Fund in the middle of the second quarter. The U.S. dollar was the mirror image of the U.S. stock market. The dollar rose from the first day of May, which resulted in losses on short positions versus numerous South American and Asian currencies. Gains on many positions which anticipated a fall in the continental European currencies more than just compensated for those losses, resulting in a profit in this tumultuous cluster.  Losses were posted to the Fund at the end of the second quarter. The currency markets were bereft of trends. Almost all the losses came from positions anticipating a further rising (‘safe haven’) U.S. dollar, particularly against continental European currencies. Only positions anticipating a declining euro versus other currencies, such as those from Australia, South Korea and Turkey, brought some relief. Profits were posted to the Fund at the beginning of the third quarter due to the trading program’s short positions in continental European currencies. Not only versus currencies from elsewhere in the world, but also to a large extent versus the currencies of neighboring regions, such as Great Britain, Scandinavia, Poland, Russia and Turkey. Losses were posted to the Fund in the middle of the third quarter due to the trading program’s positions anticipating a further decline of the euro. Positions anticipating rising exchange rates of the currencies of oil-rich countries such as Norway and Mexico could not compensate for these losses. Losses were posted to the Fund at the end of the third quarter due to the trading program’s position versus the euro. Losses were posted to the Fund at the beginning of the fourth quarter. The largest losses came from positions anticipating a weaker euro, a weaker Swiss franc, or a stronger Indian rupee. Losses were posted to the Fund in the middle of the fourth quarter due to the trading program’s large position on declining European currencies being wrong. Profits were posted to the Fund at the end of the fourth quarter due to the gains from the carry trades, as long as they were not relying on a strong Hungarian forint or a strong Turkish lira. The weak Japanese yen yielded the largest positive contribution. In addition, profits were also earned with the strong British pound.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter as the trading program rotation from short to long was not accompanied by large losses. Profits were posted to the Fund in the middle of the first quarter due to the trading program’s short positions. Losses were posted to the Fund at the end of the first quarter. Losses were posted to the Fund at the beginning of the second quarter which reversed in the middle of the second quarter.  Profits were posted to the Fund in the middle of the second quarter with the fall in metal markets such as aluminum, copper and silver. Losses were posted to the Fund at the end of the second quarter. Profits were posted to the Fund at the beginning of the third quarter. Stuttering trends in metals were one reason. Losses were posted to the Fund in the middle of the third quarter due to the trading program’s short positions in metals remained fairly limited. Profits were posted to the

37

Fund at the end of the third quarter. Losses were posted to the Fund in the fourth quarter. The trading program’s long positions in silver and platinum resulted in losses posted to the Fund at the end of the fourth quarter.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the   first quarter with gains on both shorts (natural gas, electricity, coal) and longs (gasoline). Profits continued to be posted to the Fund in the middle to the end of the first quarter from short positions in natural gas and electricity. Losses were posted to the Fund at the beginning of the second quarter. The initially significant energy positions barely produced any significant results, other than the profit earned due to falling coal prices. Profits were posted to the Fund in the middle of the second quarter. The systems were barely able to profit from the seemingly downtrend in oil markets (including its derived products) but, they were very successful with the fall in other (smaller) energy markets. Losses were posted to the Fund at the end of the second quarter as the oil markets showed the most promising (downward) trends. Losses were posted to the Fund at the beginning of the third quarter due to stuttering trends in the energy markets.  Profits were posted to the Fund in the middle of the third quarter. Although positions in the oil markets were smaller than those in oil-rich currencies, the trading program benefited from the upswing in North Sea oil and gasoline prices. Losses were posted to the Fund at the end of the third quarter due to the trading program’s long positions in oil. Losses were posted to the Fund at the beginning of the fourth quarter due to the discontinued rise of oil prices, especially North Sea oil. Losses were posted to the Fund in the middle of the fourth quarter only to be reversed at the end of the fourth quarter.  Anticipating falling prices of electricity and gas resulted in profits posted to the Fund at the end of the fourth quarter.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Particularly difficult were the agricultural markets, partly due to the release of figures from the U.S. corn crop report. Losses were posted to the Fund in the middle through the end of the first quarter. Most commodities weakened in March resulting in losses on long positions such as sugar. Profits were posted to the Fund at the beginning of the second quarter where oil-rich plant prices remained strong and profits were also earned with the falling prices of wheat, sugar and meats. Profits were posted to the Fund in the middle of the second quarter. The oil-rich plants, already rising during the preceding few months now, started the month with a trend-break. Wheat, beef and robusta coffee were also trend-unfriendly. However, the losses suffered in these markets were more than compensated for by gains earned due to falling prices of arabica coffee, sugar, cotton, rubber, orange juice, corn and soybean. Losses were posted to the Fund at the end of the second quarter due to trend-unfriendly movements in the agricultural markets such as corn (drought concerns), the commodities and this commodities cluster was the worst performer during June. Profits were posted to the Fund at the beginning of the third quarter. The drought in the U.S. led to some losses on short positions in sugar and profits in the already rising oilseeds markets. Profits were posted to the Fund in the middle of the third quarter. The various positions in agricultural markets such as the Trading Program’s positions in soybeans and soybean meal produced profits as these markets started to chase the greatly increased corn prices seen in July. Losses were posted to the Fund at the end of the third quarter due to the Trading Program’s short positions in various commodities, such as coffee and sugar. Losses were posted to the Fund at the beginning through the middle of the fourth quarter. The Trading Program’s long positions in vegetable oils resulted in losses posted to the Fund at the end of the fourth quarter.

Year ended December 31, 2011

	Total Trading
	Profit (Loss)
Stock Indices	$	(7,649,877	)
Metals	1,345,868
Agricultural Commodities	(12,391,662		)
Currencies	(15,346,290		)
Energy	(600,805		)
Interest Rates	13,882,891
Subtotal	(20,759,875		)
Brokerage Commissions	(1,084,608		)
Total	$	(21,844,483	)

The Fund experienced a net trading loss of $20,759,875 before brokerage commissions and related fees for the year ended December 31, 2011. The Fund’s profits were primarily attributable to interest rates and metal sectors posting profits. The energy, stock indices, agriculture and currency sectors posted losses.

Profits were posted to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The revival in the euro was accompanied by falling euro interest rate futures. Losses resulted from the Trading Program’s long

38

positions on the shorter end of the yield curve (euribor, German short term government paper). Losses were posted to the Fund in the middle of the first quarter. The flight to safe bond markets is unfavorable for a number of long inflation positions that anticipate rising interest rates. The Trading Program could not identify enough profitable trends to compensate for these losses. Losses were posted to the Fund at the end of the first quarter. The Trading Program could not find any significant trends in the interest rate markets, resulting in limited positions with a near zero result. Losses were posted to the Fund at the beginning of the second quarter. In a long inflation environment, the Trading Program anticipated rising interest rates and falling bond markets. Concerns about the quality of bonds should theoretically strengthen such a move. However, a flight towards non U.S. bonds took place. Short positions in Canadian, European, Japanese and Australian bond markets therefore resulted in losses. Profits were posted the Fund in the middle of the second quarter as the restless currency, commodity and equity markets reinforced the flight to widely considered safe bond markets. With the Greek unrest, the flight to widely considered safe interest rate markets calmly continued from the previous month resulting in profits posted to the Fund at the end of the second quarter. Profits were posted to the Fund at the beginning of the third quarter. Profits were earned from the flight from deemed unsafe government bonds, and more still, from the flight to deemed safe government bonds. Losses on positions in several spreads between various interest rate instruments did not affect the positive result.  Profits were posted to the Fund in the middle of the third quarter. The best trends were due to the continuing flight to deemed safe government bonds. Profits were posted to the Fund at the end of the third quarter.  The rising, safely-deemed interest rate markets in Germany and North America continued their rise on the long end of the yield curve, i.e. terms longer than five years. Losses were posted to the Fund at the beginning of the fourth quarter. The losses in the already small positions in the reversing longer-term bonds from previously considered safe countries are partly offset by modest profits in a number of interest rate spreads. Profits were posted to the Fund in the middle of the fourth quarter due to gains earned in the first week of the month on long positions in the long-term government bonds of Germany, Canada and the U.S. Profits were posted to the Fund at the end of the fourth quarter. The Korean bond markets display a number of extreme market moves as a reaction to the death of the North Korean leader Kim Jong-il and the appointment of his successor, but these market moves have no significant impact on the result. The Trading Program was well positioned as interest rates gradually decline, mainly in Switzerland, Germany and the United Kingdom, and on the longer end of the yield curve in the U.S.

The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter which was offset with profits posted to the Fund in the middle of the quarter. Textbook positions profited in February from political unrest are the Trading Program’s long positions in metals in comparing the price of gold with the value of the commodity-rich South African equity index (JSE Top 40) is illustrative. These markets jointly move up in an inflationary environment driven by a commodity shortage. The Trading Program will have long position in both markets in this environment, taking into account their strong correlation for the purpose of determining position sizes. Profits were posted to the Fund at the end of the quarter. Long positions in base metals resulted in losses posted to the Fund which was offset by positions in silver which continue to offer diversification. Profits were posted to the Fund at the beginning of the second quarter with rising prices of precious metals, including silver. Losses were posted to the Fund in the middle of the second quarter due to the Trading Program’s various positions in the metals markets. Losses were posed to the Fund at the end of the second quarter as precious metals weakened over the course of the month. Profits were posted to the Fund at the beginning of the third quarter with rising prices of precious metals, including silver. Losses were posted to the Fund in the middle of the third quarter due to the Trading Program’s various positions in the metals markets. Losses were posed to the Fund at the end of the third quarter as precious metals weakened over the course of the month. Losses were posted to the Fund at the beginning of the fourth quarter. The positions that anticipate a further decrease in the prices of base metals suffer damage by the reversal during the first week of the month of October. Losses were posted to the Fund in the middle of the fourth quarter as metals offer few opportunities for the Trading Program to post profits. Losses were posted to the Fund at the end of the fourth quarter. Positions anticipating rising prices of precious metals are closed out with a loss in the first weeks of the month of December.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. In the oil markets, Texas oil lost on the North Sea variant over the course of the month. Although the Texan flavor did jump up in the last two days of the month in response to the unrest in Egypt, nearly all of the Trading Program’s earnings in oil markets were achieved outside of the United States. Profits were posted to the Fund in the middle of the first quarter due to the Trading Program’s long positions in crude oil. Losses were posted to the Fund at the end of the first quarter. When Germany shuts down some of its nuclear reactors in response to the difficulties experienced in Japan, the Trading Program’s positions in electricity, carbon emissions and Rotterdam coal resulted in profits for the Fund only to be offset by losses in the Trading Program’s short positions in natural gas. The Fund benefited only to a limited extent from the upward trend in crude oil and related products which was not enough to offset losses posted to the Fund at the beginning of the second quarter. Losses were posted to the Fund in the middle of the second quarter due to fluctuation of oil prices. Losses were posted to the Fund at the end of the second quarter due to the decline in carbon emission rights and electricity markets. Profits were posted to the Fund at the beginning of the third quarter only to be reversed in the middle of the third quarter as the North Sea oil suffered damage during the first week of August. Profits were posted to the Fund at the end of the third quarter due to gains

39

on short positions in natural gas. Losses were posted to the Fund at the beginning of the fourth quarter. Profits were posted to the Fund in the middle of the fourth quarter. The Trading Program profited from rising prices of Texas crude oil and gasoil, and from falling prices of natural gas, coal, electricity and emission rights. Profits were posted to the Fund at the end of the fourth quarter as the Trading Program anticipated declining commodity prices, mainly in energy markets like natural gas and coal.

The stock indices posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The restored confidence in the stability of the euro zone had a positive influence on the southern European stock markets. Positions in Italian equities earned profits. Agricultural-rich stock indices (Food & Beverage (Europe), Nifty, Bovespa) were remarkably weak. Through the steady and continuous rise of many other stock markets, the stock indices sector resulted in profits posted to the Fund. Profits were posted to the Fund in the middle of the first quarter. The political unrest has a negative impact on stocks of emerging economies especially in the Trading Program’s long positions in Taiwan resulting in losses which were offset by profits in the European, Canadian and United States equities markets. Losses were posted to the Fund at the end of the first quarter. At the time of the earthquake, the Trading Program had a very marginal position in Japanese equities, which is (systematically) closed that same day. Losses occurred in other countries, especially within Europe, for example with positions in insurers. Even through some recovery in the second half of the month and profits earned in South Korea and Thailand was not enough to offset losses posted to the Fund. Profits were posted to the Fund at the beginning of the second quarter through the Trading Program’s long positions in sector indices and short positions in volatility indices. Losses were posted to the Fund in the middle of the second quarter as stock markets which were previously rising under the influence of higher commodity markets were hit as the commodity markets turned particularly in emerging countries where continued concern about the stability of the Euro fed the reaction. Losses were posted to the Fund at the end of the second quarter. Short positions in Australia and Italy were not enough to offset losses from long positions in Taiwan, Sweden, Switzerland and the U.S. Losses were posted to the Fund at the beginning of the third quarter. The least amount of trends was in the stock markets as they were thrown back and forth between the following forces at work. Good results were only achieved near the two extremes, for example falling in Italy and Greece and rising in Russia and Taiwan. Losses were posted to the Fund in the middle of the third quarter.  The Russian stock market was dragged down by falling oil prices. The Trading Program’s long positions in technology stocks in Taiwan, Korea and in the NASDAQ also produced losses. Losses were posted to the Fund at the end of the third quarter. The Trading Program’s positions responding to recovering North American equities were not (yet) profitable. Profits were posted to the Fund at the beginning of the fourth quarter. Positions anticipating a further fall in equity markets, particularly in Asia, suffer losses after the reversal. The same applies for positions which anticipate further increasing volatility in Europe and in the U.S. This is partly offset by a number of positions profiting from rising equity markets in Northern Europe and in the U.S. Losses were posted to the Fund in the middle of the fourth quarter due to the Trading Program’s positions in U.S. equities which did not hold their strength from the first week in November and from positions in Northern European shares which at the end of the month recover from their earlier decline. Profits earned on positions anticipating a further drop in equity prices in Japan, China and Taiwan were not able to compensate for these losses. Losses were posted to the Fund at the end of the fourth quarter. The Trading Program profited from the ongoing downward drift in China, as well as from the enthusiastic recovery of the European health care and food & beverage sectors, and from U.S. equities which are holding their ground. But a number of limited losses on varied positions in many other equity markets resulted in losses to the Fund at the end of the fourth quarter.

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Trading Program’s positions in wheat and hogs. Losses were posted to the Fund in the middle of the first quarter due to various agricultural markets that had large price movements. Losses were posted to the Fund at the end of the first quarter. The turn in the commodities markets in March resulted in losses in the Trading Program’s long positions in corn, sugar and cocoa. Positions in various agricultural markets offered diversification but not enough to offset losses posted to the Fund at the beginning of the second quarter. Losses were posted to the Fund in the middle of the second quarter. In the agricultural markets, it was noticeable that the near contracts were affected by the dim sentiment of the other commodity markets, while the far contracts reflected that the climatic conditions in Europe and the U.S. did not promise much for the next harvest. Losses were posted to the Fund at the end of the second quarter. The majority of commodity markets started the month rising, with the Trading Program holding long positions, only to weaken in the course of the month, leading to losses as a consequence in corn and soybeans. Sugar succeeded in staying reasonably strong and the Trading Program picked up the decline in wheat although not enough to offset losses. Losses were posted to the Fund at the beginning of the fourth quarter due to the Trading Program’s positions that anticipated a further decrease in the prices of various agricultural commodities which reversed during the first week of the October. Profits were posted to the Fund in the middle of the fourth quarter as the Trading Program profited from falling prices in various agricultural markets. Losses were posted to the Fund at the end of the fourth quarter as the Trading Program’s short positions in grains resulted in losses.

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The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The revival in the euro resulted in losses on the Trading Program’s short positions versus many emerging market currencies. Commodity-rich currencies exhibited different price behaviors. The oil-rich currencies, such as those of Russia and Mexico, remained strong, while the metal and agricultural rich currencies, such as those of Chile, South Africa and Australia, weakened. Profits were posted to the Fund in the middle of the second quarter. The currencies of emerging markets were also impacted by the political events, resulting in losses on positions in the Korean won and the Mexican peso with the Indonesian rupiah remaining exceptionally strong. Also, profits were posted to the Fund from the strength of various peripheral European currencies including the British pound, Norwegian and Swedish “crowns”, Hungarian forint, Romanian leu and Russian ruble. Profits were posted to the Fund at the end of the first quarter. The Japanese yen responded to the tsunami with a huge swing. The Japanese yen shot up extremely for a number of days, and then in response to successful interventions, fell just as extremely. The Trading Program’s short positions versus various non United States currencies, losses were locked during the rise. The Trading Program’s long positions against the U.S. dollar resulted in losses after the intervention. Measured by the extremity of the swing, the total damage actually remained limited, mainly through the Trading Program not reacting too hastily. Although long positions in British pounds suffered unfortunate results, various other short U.S. dollar positions offset losses resulting in profits posted to the Fund. Profits were posted to the Fund at the beginning of the second quarter. A dominating significant trend was the falling U.S. dollar in April and the Trading Program was able to earn as much from this move as the limitations to risk concentration allowed. Losses were posted to the Fund in the middle of the second quarter. Although the falling U.S. dollar was a favorable trend in April, the reaction in this trend was the main source of losses in May. Losses were posted to the Fund at the end of the second quarter. Several positions that benefit from a declining U.S. dollar and Euro resulted in losses. Losses were posted to the Fund at the beginning of the third quarter. Profits were made in the Trading Program’s several short positions which were offset by losses in the Trading Program’s several other long positions. The strong Japanese yen and British pound resulted almost exclusively in losses on several earlier accumulated Trading Programs’ short positions. The strength of the currencies of Australia, New Zealand, South Korea, India, Philippines, Chile and Brazil and the weakness of the Turkish lira posted profits, but was not enough to fully offset losses. Losses were posted to the Fund in the middle of the third quarter from the Trading Program’s long positions in commodity rich currencies, such as those from Russia, Australia, New Zealand, South Africa, Mexico, Brazil and Chile. The rise of the Swiss franc generated profits, despite the far reaching measures by the Swiss central bank. Losses were posted to the Fund at the end of the third quarter. In late August, it seems that most European currencies, and even more so, the currencies of some emerging countries like South Korea and a number of resource-rich countries like Australia, started to recover. The Trading Program’s positions anticipated a continuation of this trend which resulted in losses posted to the Fund. Profits were earned with the decline of the Taiwanese dollar versus the U.S. dollar and the rise of the Japanese yen versus the Korean won and the Mexican peso which was not enough to offset the losses. Losses were posted to the Fund at the beginning of the fourth quarter. When the U.S. dollar initiated its decline in the first week of October several of the Trading Program’s positions, mainly against European currencies, were negatively affected. A limited number of the Trading Program’s positions anticipating a further rise in the Japanese yen suffer losses on the last day of October due to interventions by the Bank of Japan. Losses were posted to the Fund in the middle of the fourth quarter. The Trading Program’s positions that anticipated a declining U.S. dollar and a rising commodity-rich currencies from Australia, Brazil and Norway resulted in losses. Profits were posted to the Fund at the end of the fourth quarter due to the Trading Program’s short position in a European currency versus a long position in a non European currency.

Variables Affecting Performance

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

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

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

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

41

for Sponsor fees.

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

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

Liquidity; Capital Resources

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

Substantially all of the Fund’s assets are held in cash. The Net Asset Value of the Fund’s cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit potential generally increases. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow.

The Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances.  This typically permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

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

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

Recent Accounting Developments

Recent accounting developments are discussed in Exhibit 13.01.

Item 7A: Quantitative and Qualitative Disclosures About Market 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 Transtrend, 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

42

considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

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

The Fund’s risk exposure in the various market sectors traded by the Fund is quantified below in terms of Value at Risk.  Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

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

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

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

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

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal periods. During the periods ended December 31, 2013 and December 31, 2012, the Fund’s average month-end Net Asset Value was approximately $122,272,149 and $180,136,434, respectively.

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December 31, 2013

	Average Value	% of Average		Highest Value	Lowest Value
Market Sector	at Risk	Capitalization		at Risk	at Risk
Agriculture	758,669	0.62	%	1,925,898	252,136
Currencies	1,494,468	1.22	%	4,447,572	27,755
Energy	563,083	0.46	%	1,025,164	235,840
Interest Rates	6,304,589	5.16	%	15,029,039	862,227
Metals	3,637,158	2.97	%	9,326,488	1,509,137
Stock Indices	1,779,668	1.46	%	5,165,989	239,128
Total	14,537,635	11.89	%	36,920,150	3,126,223

December 31, 2012

\	Average Value		% of Average		Highest Value		Lowest Value
Market Sector	at Risk		Capitalization		at Risk		at Risk
Agriculture	$	3,044,770	1.69	%	$	4,978,827	$	140,404
Currencies	1,677,283		0.93	%	3,055,315		728,396
Energy	6,894,487		3.83	%	12,191,238		108,082
Interest Rates	2,302,058		1.28	%	5,918,334		362,418
Metals	3,342,131		1.86	%	5,612,802		1,689,257
Stock Indices	4,341,301		2.41	%	10,476,156		856,702
Total	$	21,602,030	12.00	%	$	42,232,672	$	3,885,259

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

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

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.

The Fund also has non-trading market risk on the approximately 90% of its assets which are held in cash at MLPF&S. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and Transtrend 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,

44

political upheavals, changes in historical price relationships, and an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.

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

Interest Rates

Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries.  However, the Fund also takes positions in the government debt of smaller nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.

Currencies

The Fund trades in a number of currencies. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.

Stock Indices

The Fund’s primary equity exposure is to S&P 500, Nikkei and German DAX equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

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

Agricultural Commodities

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of December 31, 2013. However, it is anticipated that the Fund will maintain an emphasis on cotton, grains and sugar, in which the Fund has historically taken its largest positions.

Energy

The Fund’s primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of December 31, 2013.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in British pound, Japanese yen and Euros.

U.S. Dollar Cash Balance

The Fund holds U.S. dollars only in cash at MLPF&S. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

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Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

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

Risk Management

Risk management plays a role in the Trading Advisor’s trading methodology.  The Trading Program is designed to pursue capital growth within the limits of a defined risk tolerance. Specific risk provisions are computed for each market exposure.  Risk assessments are determined on the basis of evaluation of price behavior.

Non-Trading Risk

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

The Fund has cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its cash held on deposit at MLPF&S.

Item 8: Financial Statements and Supplementary Data

Net Income(Loss) by Quarter

Eight Quarters through December 31, 2013

	Fourth		Third			Second			First		Fourth			Third			Second		First
	Quarter		Quarter			Quarter			Quarter		Quarter			Quarter			Quarter		Quarter
	2013		2013			2013			2013		2012			2012			2012		2012
Total Income (Loss)	$	6,677,406	$	(3,155,093	)	$	(3,641,283	)	$	1,156,115	$	(8,791,255	)	$	(1,217,202	)	$	8,093,417	$	7,611,825
Total Expenses	715,243		791,008			887,683			957,194		1,048,022			1,158,748			1,408,362		1,333,473
Net Income (Loss)	$	5,962,163	$	(3,946,101	)	$	(4,528,966	)	$	198,921	$	(9,839,277	)	$	(2,375,950	)	$	6,685,055	$	6,278,352
Net Income (Loss) per weighted average Unit (1)	$	0.0729	$	(0.0429	)	$	(0.0446	)	$	0.0018	$	(0.0848	)	$	(0.0200	)	$	0.0502	$	0.0416

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

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

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

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

None.

Item 9A: Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of and for the year which ended December 31, 2013, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective.

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

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

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

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

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

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

The Fund’s management assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2013.  In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in “Internal Control-Integrated Framework”.

Based on its assessment the Fund’s management concluded that at December 31, 2013, the Fund’s internal control over financial reporting was effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended December 31, 2013 that has materially affected, or is reasonable likely to materially affect, the Fund’s internal control, over financial reporting.

Item 9B:	Other Information
	Not applicable.

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PART III

Item 10:	Directors, Executive Officers and Corporate Governance
	10(a) and 10(b)	Identification of Directors and Executive Officers:

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

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

Keith Glenfield	Chief Executive Officer, President and Manager
Barbra E. Kocsis	Chief Financial Officer and Vice President
Spencer Boggess	Vice President and Manager
James D. Bowden	Vice President and Manager
Dominick A. Carlino	Vice President and Manager
James L. Costabile	Vice President and Manager
Nancy Fahmy	Vice President and Manager
Ninon Marapachi	Vice President and Manager
Jeff McGoey	Vice President and Manager
Greg Parets	Vice President and Manager
Colleen R. Rusch	Vice President and Manager
Steven L. Suss	Vice President and Manager

Keith Glenfield, age 39, has been the Chief Executive Officer and President of MLAI since June 2013.  Mr. Glenfield has been a Managing Director and Head of Global Wealth and Retirement Solutions group’s (“GWRS”) Alternative Investments Group, a division within BAC that provides investment professionals and their clients with access to investment products and other services, since September 2012. GWRS is a business unit within the BAC Global Wealth & Investment Management Group (“GWIM”), a division within BAC.  In this role, Mr. Glenfield is responsible for product management and development, strategy, operating risk and controls and other aspects of BAC’s alternative investment platform.  From August 2009 through August 2012, Mr. Glenfield was the Chief Operating Officer of GWRS.  In addition to his responsibilities as Chief Operating Officer of GWRS, Mr. Glenfield was also responsible for leading business development within GWRS’s Capital Markets Group from January 2012 through August 2012.  Prior to assuming these roles Mr. Glenfield was the Chief Administration Officer for GWRS’s Capital Markets Group from August 2008 until August 2009 and GWRS’s Investment Management and Guidance Group from April 2008 to August 2008.  Prior to becoming Chief Administration Officer for GWRS’s Investment Management and Guidance Group, Mr. Glenfield was responsible for the Financial Planning and Wealth Management Analytics team within GWRS from February 2005 through April 2008.  Mr. Glenfield has been registered with the CFTC as an associated person and listed as a principal of MLAI since June 10, 2013.  Mr. Glenfield has also been registered with the CFTC as an associated person of MLPF&S since June 10, 2013.  Mr. Glenfield holds a B.S. degree in Finance from the College of New Jersey and an M.B.A. from Rutgers University.

Barbra E. Kocsis, age 47, is the Chief Financial Officer for MLAI, has been listed with the CFTC as a principal of MLAI since May 21, 2007 and is a Director within BAC’s Global Wealth Investment Management Technology and Operations group, positions she has held since October 2006.  Ms. Kocsis’ responsibilities include providing a full range of specialized financial and tax accounting services for the Alternative Investment products offered through the Selling Agent.  She graduated cum laude from Monmouth College with a Bachelor of Science in Business Administration — Accounting.

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Spencer Boggess, age 46, has been a Vice President of MLAI since January 2014. Mr. Boggess has served as a Managing Director and the Head of Alternative Investments Due Diligence for Merrill Lynch’s Wealth Management with GWRS since March 2009 with responsibility for research and due diligence for hedge funds, private equity and third party fund of funds.  During this time, Mr. Boggess has also served as Portfolio Manager for a range of registered and private placement fund of funds.  Prior to this, Mr. Boggess served as Head of Hedge Fund Research and Investment at BAC from July 2007 through March 2009 and President and CEO of Bank of America Capital Advisors LLC (“BACA”) from July 2007 to present.  BACA is an investment advisor focusing on alternative investment products.  Mr. Boggess has been listed as a principal of MLAI since January 2, 2014.  Mr. Boggess received his B.A. degree from the University of Virginia and has also done graduate work at the University’s Woodrow Wilson School of Foreign Affairs.

James D. Bowden, age 60, has been a Vice President of MLAI since January 2014. Mr. Bowden joined BACA in March 1998 to form the group and to manage BAC’s private equity fund of funds business.  In that capacity, he has acted as the primary investment strategist for various private placement offerings and client advisory activities associated with the private equity asset class.  He has also served as a member of BACA’s investment committee since March 1998.  In addition, Mr. Bowden has assisted GWIM professionals with the marketing and fundraising efforts for BAC’s private equity fund of funds products since March 1998.  Mr. Bowden has been listed as a principal of MLAI since January 2, 2014.  Mr. Bowden received his M.B.A. and his B.B.A. degree from the University of Michigan.  He is a Certified Public Accountant.

Dominick A. Carlino, age 41, has been a Vice President of MLAI since January 2014. Mr. Carlino has been a Managing Director within GWRS heading Relationship Management and Business Development since May 2013.  In his role, he is responsible for enhancing and driving relationships between MLAI and key asset management partners.  Mr. Carlino was on a garden leave from July 2012 through May 2013.  Prior to joining Merrill Lynch, Mr. Carlino was Senior Managing Director and Head of Business Development at AlphaOne Capital Partners LLC, an equity-focused alternative asset management firm, from March 2011 through July 2012.  From April 2005 through March 2011, he served as an Executive Director within Morgan Stanley Alternative Investment Partners LP, a registered commodity pool operator, focused on business development and distribution.  Mr. Carlino has been listed as a principal of MLAI since January 2, 2014.  Mr. Carlino holds an M.B.A. and a B.S. degree in Finance from Villanova University.

James L. Costabile, age 38, has been a Vice President of MLAI and a Managing Director within GWRS responsible for alternative investment distribution for BAC since July 2007 and US Trust since January 2009.  U.S. Trust is a division of BAC.  Mr. Costabile has been listed as a principal of MLAI since July 14, 2010.  He has also been registered with the CFTC as an associated person of MLPF&S since August 20, 2007.  Mr. Costabile was previously registered as an associated person of Citigroup Global Markets Inc., a broker-dealer within Citigroup, Inc., a global financial services company, from December 5, 2003 to July 6, 2007.  Mr. Costabile was responsible for, among other things, sales of alternative investment products to high net worth and institutional clientele at Citigroup Global Markets Inc. from November 7, 1997 to July 6, 2007.  As part of MLAI’s management team, Mr. Costabile oversees the team of sales professionals and specialists responsible for supporting hedge funds, private equity and real asset offerings.  Mr. Costabile received a B.S. from Fordham University and holds the Chartered Alternative Investment Analyst designation.

Nancy Fahmy, age 39, has been a Vice President of MLAI since January 2014. Ms. Fahmy has been a Managing Director within GWRS and responsible for Private Equity and Real Assets Technical Sales and Origination within MLAI since December 2012.  She joined MLAI as a Director in November 2008 and was head of Private Equity and Real Assets Technical Sales from that date to December 2012.  In these capacities, Ms. Fahmy was responsible for a team of private equity and real assets specialists that worked with financial advisors, portfolio managers and clients to educate and raise capital.  Ms. Fahmy has been listed as a principal of MLAI since January 9, 2014.  Ms. Fahmy was previously an NFA Associate Member and registered as an Associated Person of MLPF&S from March 2009 to November 2010.  Ms. Fahmy holds a B.S. degree in Business Administration and Finance with a minor in Economics from the University of Delaware.

Ninon Marapachi, age 36, has been a Vice President of MLAI since January 2014. Mr. Marapachi has been the head of the Hedge Fund Origination and Product Management team within the BAC Alternative Investments Group, a division within BAC that provides investment professionals and their clients with access to investment products and other services, since September 2008.  Her team is responsible for sourcing, structuring, negotiating and managing hedge funds and managed futures products on GWRS’ hedge fund platform.  In addition, since September 2013 she has been a Director for the Board of Sponsors for Educational Opportunities, a non-profit organization with a goal to provide educational and career programs to young people from underserved communities to maximize their opportunities for higher education and future success.  Ms. Marapachi has been an NFA Associate Member since February 2011 and registered as an Associated Person of MLPF&S since March 2011.  Ms. Marapachi has been listed as a principal of MLAI since January 3, 2014.  Ms. Marapachi graduated magna cum laude with a B.A. degree in Economics from Mount Holyoke College.

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Jeff McGoey, age 37, has been a Vice President of MLAI and a Director within GWRS responsible for Alternative Investment Platform Oversight for BAC since December 2010.  Mr. McGoey served as a Vice President with portfolio oversight to ten derivative based closed end funds from March 2009 through December 2010.  Within GWRS Alternative Investments since May 2008, Mr. McGoey was a Vice President holding various roles including hedge fund and private equity origination, exchange fund and customized fund oversight, and has managed various strategic initiatives across the organization until December 2010.  Mr. McGoey has been listed as a principal of MLAI since January 13, 2014.  Mr. McGoey is a CFA Charter holder, maintains the CAIA designation and holds a B.A. degree in Economics from Rutgers College in New Jersey.

Greg Parets, age 37, has been Head of Cross Platform Initiatives for the Alternative Investments Group of GWIM since June 2013.  Mr. Parets joined BAC in September 2010 as Head of Strategic Initiatives in the Alternative Investments Group’s Origination & Product Management team and remained in this role until June 2013.  In this role, he led creation and implementation of an industry-leading platform to offer hedge funds, managed futures, and select private equity funds to advisory accounts. Mr. Parets was in between employers from April 2010 to September 2010. Prior to joining BAC, he worked at UBS Wealth Management Americas, a provider of wealth management products and services, where he was Team Lead for the Strategy & Business Development Group from July 2006 through January 2009 and Head of Segment Strategy & Client Experience from February 2009 through April 2010.  Mr. Parets has been listed as a principal of MLAI since January 2, 2014.  Mr. Parets graduated summa cum laude from The George Washington University with a B.B.A. degree in International Business and cum laude from Harvard Law School with a J.D.

Colleen R. Rusch, age 46, is a Vice President and Manager of MLAI and a Managing Director within GWRS responsible for overseeing GWRS Alternative Investments operations and trading platform since January 2008.  Ms. Rusch has been listed as a principal of MLAI since September 14, 2010.  In addition, from July 2005 to October 2010, Mrs.  Rusch served as Chief Administrative Officer and Vice President of IQ Investment Advisors LLC (“IQ”), an investment advisory firm, and served as Vice President and Secretary of each of IQ’s publicly traded closed-end fund companies.  Ms. Rusch holds a B.S. degree in Business Administration from Saint Peter’s College in New Jersey.

Steven L. Suss, age 54, has been a Vice President of MLAI since June 2012.  He has been a Managing Director within GWRS’s Alternative Investments Group since January 2008, responsible for managing finance, operational and other business aspects of BAC’s alternative investment platform.  Mr. Suss has been listed as a principal of MLAI since June 12, 2012.  Mr. Suss is also a director and the President of BACAP Alternative Advisors Inc. (“BACAP”), an alternative investment advisor affiliated with BAC.  He has held these positions at BACAP since July 1, 2007, and is responsible for the management and supervision of the overall business of BACAP.  Mr. Suss has also served as Senior Vice President of BACA since July 2007 and has been listed as a principal of BACA since November 19, 2012.  Mr. Suss is responsible within BACA for the management of financial reporting and the operational affairs of the investment vehicles managed by BACA.  Mr. Suss received a B.B.A. from the University of Texas at Austin.

As of December 31, 2013, the principals of MLAI had no investment in the Fund, and MLAI’s sponsor interest in the Fund was valued at $0.

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

(c)Identification of Certain Significant Employees:

None.

(d)Family Relationships:

None.

(e)Business Experience:

See Items 10(a) and (b) above.

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(f)Involvement in Certain Legal Proceedings:

None.

(g)Promoters and Control Persons:

Not applicable.

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

To the Fund’s knowledge, all required Section 16(a) filings during the fiscal year ended December 31, 2013 were timely and correctly made.

Code of Ethics:

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

Nominating Committee:

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

Audit Committee: Audit Committee Financial Expert:

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

Item 11: Executive Compensation

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

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

(a)Security Ownership of Certain Beneficial Owners:

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

(b)Security Ownership of Management:

As of December 31, 2013, MLAI owned no Unit-equivalent member interests. The principals of MLAI did not own any Units, and Transtrend did not own any Units.

(c)Changes in Control:

None.

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

Not applicable.

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

Not applicable.

Director Independence:

No person who served as a manager of MLAI during 2013 could be considered independent based on the definition of an independent director under the NASDAQ rules.

Item 14: Principal Accounting Fees and Services

(a)Audit Fees

Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant, PricewaterhouseCoopers LLP, for the audit of the Fund’s financial statements and review of financial statements included in the Fund’s Form 10-Q or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the years ended December 31, 2013 and 2012 were $173,595 and $163,000, respectively.

(b)Audit-Related Fees

There were no other audit-related fees billed for the years ended December 31, 2013 and 2012, related to the Fund.

(c)Tax Fees

No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2013 and 2012 for professional services rendered to the Fund in connection with tax compliance, tax advice and tax planning.

(d)All Other Fees

No other fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2013 and 2012, other than as set forth in the preceding paragraph (a).

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

PART IV

Item 15: Exhibits, Financial Statement Schedules

	Page
1.Financial Statements (found in Exhibit 13.01):
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	1
FINANCIAL STATEMENTS:
Statements of Financial Condition as of December 31, 2013 and 2012	2
Statements of Operations for the years ended December 31, 2013, 2012 and 2011	3
Statements of Changes in Members’ Capital for the years ended December 31, 2013, 2012 and 2011	4
Financial Data Highlights for the years ended December 31, 2013, 2012 and 2011	6
Notes to Financial Statements	9

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2.Financial Statement Schedules:

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

3.Exhibits:

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

Designation	Description
3.01	Certificate of Formation of ML Transtrend DTP Enhanced FuturesAccess LLC.
Exhibit 3.01:	Is incorporated by reference from Exhibit 3.01 contained in the registrant’s Registration Statement on Form 10 filed on June 25, 2007.
3.02	Third Amended and Restated Limited Liability Company Operating Agreement of ML Transtrend DTP Enhanced FuturesAccess LLC.
Exhibit 3.02	Is incorporated by reference from Exhibit 3.02 contained in the registrant’s Report on Form 8-K filed on December 6, 2012.
3.03	Amendment to the Third Amended and Restated Limited Liability Company Operating Agreement of ML Transtrend DTP Enhanced FuturesAccess LLC.
Exhibit 3.03	Is incorporated by reference from Exhibit 3.02(i) contained in the registrant’s Report on Form 8-K filed on November 11, 2013.
10.01	Customer Agreement between ML Transtrend DTP Enhanced FuturesAccess LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated.
Exhibit 10.01:	Is incorporated by reference from Exhibit 10.01 contained in the registrant’s Registration Statement on Form 10 filed on November 13, 2007.
10.02	Advisory Agreement by and among ML Transtrend DTP Enhanced FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and Transtrend B.V.
Exhibit 10.02:	Is incorporated by reference from Exhibit 10.02 contained in the registrant’s Form 10-K for the year ended December 31, 2008, filed on March 31, 2009.
10.03	Amendment to the Advisory Agreement by and among ML Transtrend DTP Enhanced FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and Transtrend B.V.
Exhibit 10.03:	Is incorporated by reference from Exhibit 10.03 contained in the registrant’s Report on Form 8-K filed on March 13, 2014.
13.01	2013 Annual Report and Report of Independent Registered Public Accounting Firm.
Exhibit 13.01:	Is filed herewith.
31.01 and 31.02	Rule 13a-14(a)/15d-14(a) Certifications
Exhibit 31.01 and 31.02:	Are filed herewith.
32.01 and 32.02	Section 1350 Certifications

53

Exhibit 32.01 and 32.02:	Are filed herewith.
99.1	Amended and Restated Selling Agreement effective as of July 8, 2011 between Merrell Lynch Alternative Investments LLC (for itself, and as sponsor on behalf of the investment funds listed therein) and Merrill Lynch, Pierce, Fenner & Smith Incorporated (as selling agent).
Exhibit 99.1:	Is incorporated by reference from Exhibit 99.1 contained in the registrant’s Report on Form 8-K filed on July 11, 2011.
101	The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 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.
Exhibit 101	Is filed herewith.

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SIGNATURES

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

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

By:  MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC, Manager

By:	/s/ Keith Glenfield
Keith Glenfield
Chief Executive Officer, President and Manager
(Principal Executive Officer)

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

Signature	Title	Date
/s/Keith Glenfield	Chief Executive Officer, President and Manager	March 25, 2014
Keith Glenfield	(Principal Executive Officer)
/s/ Barbra E. Kocsis	Chief Financial Officer and Vice President	March 25, 2014
Barbra E. Kocsis	(Principal Financial Officer)
/s/Spencer Boggess	Vice President and Manager	March 25, 2014
Spencer Boggess
/s/James D. Bowden	Vice President and Manager	March 25, 2014
James D. Bowden
/s/Dominick A. Carlino	Vice President and Manager	March 25, 2014
Dominick A.Carlino
/s/James L. Costabile	Vice President and Manager	March 25, 2014
James L. Costabile
/s/Nancy Fahmy	Vice President and Manager	March 25, 2014
Nancy Fahmy
/s/Ninon Marapachi	Vice President and Manager	March 25, 2014
Ninon Marapachi
/s/Jeff McGoey	Vice President and Manager	March 25, 2014
Jeff McGoey
/s/ Greg Parets	Vice President and Manager	March 25, 2014
Greg Parets
/s/Colleen R. Rusch	Vice President and Manager	March 25, 2014
Colleen R. Rusch
/s/Steven L. Suss	Vice President and Manager	March 25, 2014
Steven L. Suss

55

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

2013 FORM 10-K

INDEX TO EXHIBITS

	Exhibit
Exhibit 13.01	2013 Annual Report and Report of Independent Registered Public Accounting Firm
Exhibit 31.01 and 31.02	Rule 13a - 14(a) / 15d - 14(a) Certifications
Exhibit 32.01 and 32.02	Sections 1350 Certifications
Exhibit 101	The following materials from the Fund’s Annual Report on Form 10-K for the fiscal year ended December 31, 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.

56