UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended June 30, 2016

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

For the transition period from to

Commission File Number 0-52701

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 Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10281

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

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

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

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

Large accelerated filer o		Accelerated filer o

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

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

As of June 30, 2016, 17,192,912 units of limited liability company interest were outstanding.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

QUARTERLY REPORT FOR JUNE 30, 2016 ON FORM 10-Q

Table of Contents

		PAGE
PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	17

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	26

Item 4.	Controls and Procedures	31

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	31

Item 1A.	Risk Factors	31

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	31

Item 3.	Defaults Upon Senior Securities	33

Item 4.	Mine Safety Disclosures	33

Item 5.	Other Information	33

Item 6.	Exhibits	33

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	June 30,		December 31,
	2016		2015
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $4,201,295 for 2016 and $5,142,903 for 2015)	$	18,886,658	$	35,801,001
Unrealized profit on open futures contracts	3,066,587		1,897,921
Cash and cash equivalents	480,024		563,882
Other assets	2,806		2,390

TOTAL ASSETS	$	22,436,075	$	38,265,194

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Sponsor and Advisory fees payable	$	337,148	$	70,112
Redemptions payable	64,342		10,707,165
Unrealized loss on open futures contracts	714,103		1,508,564
Other liabilities	371,081		607,637

Total liabilities	1,486,674		12,893,478

MEMBERS’ CAPITAL:
Members’ Capital (17,192,912 Units and 22,764,695 Units outstanding; unlimited Units authorized)	20,949,401		25,371,716
Total Members’ Capital	20,949,401		25,371,716

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	22,436,075	$	38,265,194

NET ASSET VALUE PER UNIT:

Class A	$	1.3275	$	1.2314
Class C	$	1.1750	$	1.0954
Class D	$	1.1637	$	1.0714
Class I	$	1.3539	$	1.2544
Class M	$	1.1561	$	1.0643

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three months ended June 30, 2016			For the three months ended June 30, 2015			For the six months ended June 30, 2016			For the six months ended June 30, 2015
TRADING PROFIT (LOSS):

Realized, net	$	(1,692,197	)	$	(4,501,165	)	$	837,536		$	4,775,498
Change in unrealized, net	1,856,568			(2,790,472		)	1,963,127			(6,998,291		)
Brokerage commissions	(36,702		)	(113,219		)	(67,321		)	(241,144		)

Total trading profit (loss), net	127,669			(7,404,856		)	2,733,342			(2,463,937		)

INVESTMENT INCOME (EXPENSE):
Interest, net	7,464			(1,281		)	15,854			(1,507		)
Other income	120,000			—			120,000			—
Total investment income (expense)	127,464			(1,281		)	135,854			(1,507		)

EXPENSES:
Management fee to Trading Advisor	51,274			126,315			108,821			318,247
Management fee to MLAI	25,637			49,175			54,411			129,886
Sponsor fee	81,039			91,443			166,635			189,219
Performance fee	(8,042		)	(884,292		)	351,897			138,824
Other	91,003			470,636			177,888			591,730
Total expenses	240,911			(146,723		)	859,652			1,367,906

NET INVESTMENT INCOME (LOSS)	(113,447		)	145,442			(723,798		)	(1,369,413		)

NET INCOME (LOSS)	$	14,222		$	(7,259,414	)	$	2,009,544		$	(3,833,350	)

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	4,079,491			4,536,413			4,212,099			4,581,580
Class C	8,108,624			9,236,394			8,207,313			9,290,972
Class D	2,717,451			2,854,675			2,717,451			2,644,102
Class I	913,903			889,472			746,878			898,981
Class DS*	—			19,352,453			—			19,995,760
Class DT**	—			6,003,306			—			6,117,333
Class M	1,407,062			6,043,476			2,065,918			5,798,934

Net income (loss) per weighted average Unit
Class A	$	(0.0037	)	$	(0.2049	)	$	0.1030		$	(0.1443	)
Class C	$	(0.0076	)	$	(0.1856	)	$	0.0814		$	(0.1358	)
Class D	$	(0.0001	)	$	(0.1759	)	$	0.0924		$	(0.1494	)
Class I	$	0.0220		$	(0.2067	)	$	0.1073		$	(0.1461	)
Class DS*	$	—		$	(0.0609	)	$	—		$	0.0251
Class DT**	$	—		$	(0.2859	)	$	—		$	(0.1873	)
Class M	$	0.0505		$	(0.1713	)	$	0.2788		$	(0.1277	)

*Units fully redeemed as of April 30, 2015.

**Units fully redeemed as of December 31, 2015.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited) (in Units)

	Members’ Units December 31, 2014	Subscriptions	Redemptions		Members’ Units June 30, 2015	Members’ Units December 31, 2015	Subscriptions	Redemptions		Members’ Units June 30, 2016
Class A	4,750,979	29,017	(259,973	)	4,520,023	4,495,160	9,206	(496,337	)	4,008,029
Class C	9,321,459	246,770	(342,838	)	9,225,391	8,392,427	34,845	(417,921	)	8,009,351
Class D	1,865,865	1,016,290	—		2,882,155	2,717,451	—	—		2,717,451
Class I	926,308	3,602	(40,438	)	889,472	590,339	622,689	(133,469	)	1,079,559
Class DS*	20,308,932	361,807	(20,670,739	)	—	—	—	—		—
Class DT**	6,259,149	31,897	(334,703	)	5,956,343	—	—	—		—
Class M	4,805,968	1,237,508	—		6,043,476	6,569,318	29,183	(5,219,979	)	1,378,522

Total Members’ Units	48,238,660	2,926,891	(21,648,691	)	29,516,860	22,764,695	695,923	(6,267,706	)	17,192,912

*Units fully redeemed as of April 30, 2015.

**Units fully redeemed as of December 31, 2015.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)

	Members’ Capital December 31, 2014		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital June 30, 2015		Members’ Capital December 31, 2015		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital June 30, 2016
Class A	$	6,259,557	$	40,288	$	(350,294	)	$	(660,957	)	$	5,288,594	$	5,535,180	$	11,880	$	(660,246	)	$	433,892	$	5,320,706
Class C	11,035,343		294,000		(417,281		)	(1,261,530		)	9,650,532		9,193,249		41,000		(491,781		)	668,482		9,410,950
Class D	2,107,079		1,200,100		—			(394,994		)	2,912,185		2,911,354		—		—			251,046		3,162,400
Class I	1,237,502		5,000		(53,738		)	(131,384		)	1,057,380		740,512		820,000		(179,042		)	80,175		1,461,645
Class DS*	35,135,941		624,218		(36,261,543		)	501,384			—		—		—		—			—		—
Class DT**	11,818,184		58,863		(646,777		)	(1,145,528		)	10,084,742		—		—		—			—		—
Class M	5,391,457		1,415,000		—			(740,341		)	6,066,116		6,991,421		32,188		(6,005,858		)	575,949		1,593,700

Total Members’ Capital	$	72,985,063	$	3,637,469	$	(37,729,633	)	$	(3,833,350	)	$	35,059,549	$	25,371,716	$	905,068	$	(7,336,927	)	$	2,009,544	$	20,949,401

*Units fully redeemed as of April 30, 2015.

**Units fully redeemed as of December 31, 2015.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2016 (unaudited)

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

	Class A			Class C			Class D			Class I			Class M

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.3318		$	1.1820		$	1.1638		$	1.3567		$	1.1040

Net realized and net change in unrealized trading profit (loss)	0.0089			0.0077			0.0080			0.0091			0.0079
Brokerage commissions	(0.0023		)	(0.0021		)	(0.0020		)	(0.0024		)	(0.0020		)
Interest income, net	0.0005			0.0004			0.0004			0.0005			0.0004
Expenses (d)	(0.0114		)	(0.0130		)	(0.0065		)	(0.0100		)	0.0458

Net asset value, end of period	$	1.3275		$	1.1750		$	1.1637		$	1.3539		$	1.1561

Total Return: (a) (c)

Total return before Performance fees	-0.39		%	-0.66		%	-0.08		%	-0.28		%	4.65		%
Performance fees	0.07		%	0.07		%	0.07		%	0.07		%	0.07		%
Total return after Performance fees	-0.32		%	-0.59		%	-0.01		%	-0.21		%	4.72		%

Ratios to Average Members’ Capital: (c)

Expenses (excluding Performance fees) (b)	1.21		%	1.46		%	0.83		%	1.11		%	0.83		%
Performance fees	-0.05		%	-0.05		%	-0.05		%	-0.05		%	-0.05		%
Expenses (including Performance fees)	1.16		%	1.41		%	0.78		%	1.06		%	0.78		%

Net investment income (loss) (excluding Performance fees)	-0.81		%	-1.16		%	-0.60		%	-1.47		%	4.24		%
Performance fees	0.05		%	0.05		%	0.05		%	0.05		%	0.05		%
Net investment income (loss) (including Performance fees)	-0.76		%	-1.11		%	-0.55		%	-1.42		%	4.29		%

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

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

(d) Expenses are presented net inclusive of other income.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 (unaudited)

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

	Class A			Class C			Class D			Class I			Class M

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.2314		$	1.0954		$	1.0714		$	1.2544		$	1.0643

Net realized and net change in unrealized trading profit (loss)	0.1455			0.1291			0.1269			0.1482			0.1261
Brokerage commissions	(0.0041		)	(0.0037		)	(0.0036		)	(0.0042		)	(0.0036		)
Interest income, net	0.0010			0.0009			0.0008			0.0010			0.0008
Expenses (d)	(0.0463		)	(0.0467		)	(0.0318		)	(0.0455		)	(0.0315		)

Net asset value, end of period	$	1.3275		$	1.1750		$	1.1637		$	1.3539		$	1.1561

Total Return: (a) (c)

Total return before Performance fees	9.27		%	8.73		%	10.08		%	9.39		%	10.10		%
Performance fees	-1.47		%	-1.46		%	-1.47		%	-1.46		%	-1.47		%
Total return after Performance fees	7.80		%	7.27		%	8.61		%	7.93		%	8.63		%

Ratios to Average Members’ Capital: (c)

Expenses (excluding Performance fees) (b)	2.36		%	2.86		%	1.60		%	2.16		%	1.60		%
Performance fees	1.40		%	1.40		%	1.40		%	1.40		%	1.40		%
Expenses (including Performance fees)	3.76		%	4.26		%	3.00		%	3.56		%	3.00		%

Net investment income (loss) (excluding Performance fees)	-1.92		%	-2.52		%	-1.33		%	-2.48		%	3.50		%
Performance fees	-1.40		%	-1.40		%	-1.40		%	-1.40		%	-1.40		%
Net investment income (loss) (including Performance fees)	-3.32		%	-3.92		%	-2.73		%	-3.88		%	2.10		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on timing of capital transactions.

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

(d) Expenses are presented net inclusive of other income.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2015 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS*			Class DT			Class M

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.3748		$	1.2323		$	1.1828		$	1.3954		$	1.8121		$	1.9797		$	1.1750

Net realized and net change in unrealized trading profit (loss)	(0.1950		)	(0.1746		)	(0.1681		)	(0.1980		)	(0.0766		)	(0.2815		)	(0.1670		)
Brokerage commissions	(0.0030		)	(0.0027		)	(0.0026		)	(0.0031		)	(0.0012		)	(0.0043		)	(0.0026		)
Interest income, net	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0001		)	(0.0000		)
Expenses	(0.0068		)	(0.0089		)	(0.0017		)	(0.0055		)	0.0150			(0.0007		)	(0.0017		)
Net asset value, before full redemption	1.1700			1.0461			1.0104			1.1888			1.7493			1.6931			1.0037
Less redemption	—			—			—			—			1.7493			—			—

Net asset value, end of period	$	1.1700		$	1.0461		$	1.0104		$	1.1888		$	—		$	1.6931		$	1.0037

Total Return: (a) (c)

Total return before Performance fees	-16.21		%	-16.42		%	-15.88		%	-16.11		%	-4.47		%	-15.79		%	-15.88		%
Performance fees	1.31		%	1.31		%	1.31		%	1.31		%	1.01		%	1.31		%	1.31		%
Total return after Performance fees	-14.90		%	-15.11		%	-14.57		%	-14.80		%	-3.46		%	-14.48		%	-14.57		%

Ratios to Average Member’s Capital: (c)

Expenses (excluding Performance fees) (b)	1.99		%	2.23		%	1.62		%	1.89		%	0.53		%	1.49		%	1.62		%
Performance fees	-1.34		%	-1.34		%	-1.34		%	-1.34		%	-1.02		%	-1.33		%	-1.34		%
Expenses (including Performance fees)	0.65		%	0.89		%	0.28		%	0.55		%	-0.49		%	0.16		%	0.28		%

Net investment income (loss) (excluding Performance fees)	-1.99		%	-2.23		%	-1.62		%	-1.89		%	-0.53		%	-1.49		%	-1.62		%
Performance fees	1.34		%	1.34		%	1.34		%	1.34		%	1.02		%	1.33		%	1.34		%
Net investment income (loss) (including Performance fees)	-0.65		%	-0.89		%	-0.28		%	-0.55		%	0.49		%	-0.16		%	-0.28		%

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

*Units fully redeemed as of April 30, 2015.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS*			Class DT			Class M

Per Unit Operating Performance:

Net asset value, beginning of period	$	1.3175		$	1.1839		$	1.1293		$	1.3360		$	1.7301		$	1.8881		$	1.1218

Net realized and net change in unrealized trading profit (loss)	(0.1049		)	(0.0938		)	(0.0908		)	(0.1067		)	0.0418			(0.1522		)	(0.0902		)
Brokerage commissions	(0.0053		)	(0.0047		)	(0.0045		)	(0.0054		)	(0.0042		)	(0.0076		)	(0.0045		)
Interest income, net	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0001		)	(0.0000		)
Expenses	(0.0373		)	(0.0393		)	(0.0236		)	(0.0351		)	(0.0184		)	(0.0351		)	(0.0234		)
Net asset value, before full redemption	1.1700			1.0461			1.0104			1.1888			1.7493			1.6931			1.0037
Less redemption	—			—			—			—			1.7493			—			—

Net asset value, end of period	$	1.1700		$	1.0461		$	1.0104		$	1.1888		$	—		$	1.6931		$	1.0037

Total Return: (a) (c)

Total return before Performance fees	-11.18		%	-11.62		%	-10.52		%	-11.01		%	1.44		%	-10.29		%	-10.52		%
Performance fees	-0.01		%	-0.02		%	-0.01		%	-0.01		%	-0.33		%	-0.04		%	-0.01		%
Total return after Performance fees	-11.19		%	-11.64		%	-10.53		%	-11.02		%	1.11		%	-10.33		%	-10.53		%

Ratios to Average Member’s Capital: (c)

Expenses (excluding Performance fees) (b)	2.90		%	3.40		%	2.16		%	2.70		%	1.08		%	1.91		%	2.16		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.32		%	0.03		%	0.00		%
Expenses (including Performance fees)	2.90		%	3.40		%	2.16		%	2.70		%	1.40		%	1.94		%	2.16		%

Net investment income (loss) (excluding Performance fees)	-2.90		%	-3.40		%	-2.16		%	-2.70		%	-1.08		%	-1.91		%	-2.16		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	-0.32		%	-0.03		%	0.00		%
Net investment income (loss) (including Performance fees)	-2.90		%	-3.40		%	-2.16		%	-2.70		%	-1.40		%	-1.94		%	-2.16		%

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

*Units fully redeemed as of April 30, 2015.

See notes to financial statements.

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. ORGANIZATION

ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”), a FuturesAccessSM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on 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. (“Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Transtrend Diversified Trend Program-Enhanced Risk Profile (the “Trading Program”) for the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other of its affiliates, or third parties, as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BofA Corp. affiliates.

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

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

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents classified as Level II within the fair value hierarchy discussed in Note 3. As of June 30, 2016, the Fund holds cash equivalents. Cash was held at a nationally recognized financial institution.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of June 30, 2016 and December 31, 2015 and the results of its operations for the three and six month periods ended June 30, 2016 and 2015. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in

conjunction with the financial statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2015.

Estimates

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

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of June 30, 2016 and December 31, 2015, are as follows:

June 30, 2016

	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	140	$	102,992	0.49	%	(116	)	$	91,571		0.44	%	$	194,563		0.93	%	August 2016 - June 2017
Currencies	375	321,793		1.54	%	(245	)	441,804			2.11	%	763,597			3.65	%	July 2016 - September 2016
Energy	67	118,952		0.57	%	(4	)	6,307			0.03	%	125,259			0.60	%	July 2016 - November 2017
Interest rates	1,072	1,442,267		6.88	%	(481	)	(193,922		)	-0.93	%	1,248,345			5.95	%	August 2016 - December 2019
Metals	97	208,462		1.00	%	(65	)	(252,827		)	-1.21	%	(44,365		)	-0.21	%	July 2016 - November 2016
Stock indices	249	56,077		0.27	%	(118	)	9,008			0.04	%	65,085			0.31	%	July 2016 - October 2016

Total		$	2,250,543	10.75	%			$	101,941		0.48	%	$	2,352,484		11.23	%

December 31, 2015

	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	92	$	3,968		0.02	%	(403	)	$	44,291		0.18	%	$	48,259		0.20	%	January 2016 - March 2017
Currencies	275	36,479			0.14	%	(159	)	53,762			0.21	%	90,241			0.35	%	January 2016 - March 2016
Energy	—	—			0.00	%	(245	)	660,439			2.60	%	660,439			2.60	%	January 2016 - December 2017
Interest rates	1,367	(601,993		)	-2.37	%	(558	)	49,006			0.19	%	(552,987		)	-2.18	%	March 2016 - September 2019
Metals	82	(52,912		)	-0.21	%	(240	)	287,629			1.13	%	234,717			0.92	%	January 2016 - October 2016
Stock indices	252	(51,524		)	-0.20	%	(236	)	(39,788		)	-0.16	%	(91,312		)	-0.36	%	January 2016 - April 2016

Total		$	(665,982	)	-2.62	%			$	1,055,339		4.15	%	$	389,357		1.53	%

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of June 30, 2016 and December 31, 2015. 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 (losses) of long positions and short positions, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

3. FAIR VALUE OF INVESTMENTS

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

The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

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

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

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

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

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

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

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

Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level during the three or six month periods ended June 30, 2016 or the year ended December 31, 2015.

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of June 30, 2016 and December 31, 2015, are as follows:

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II			Level III

Assets
Futures	$	3,066,587	$	2,943,358	$	123,229		$	—
Forwards	—		—		—			—
	$	3,066,587	$	2,943,358	$	123,229		$	—

Liabilities
Futures	$	714,103	$	474,014	$	240,089		$	—
Forwards	—		—		—			—
	$	714,103	$	474,014	$	240,089		$	—

June 30, 2016	$	2,352,484	$	2,469,344	$	(116,860	)	$	—

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II		Level III

Assets
Futures	$	1,897,921	$	1,534,559	$	363,362	$	—
Forwards	—		—		—		—
	$	1,897,921	$	1,534,559	$	363,362	$	—

Liabilities
Futures	$	1,508,564	$	1,321,649	$	186,915	$	—
Forwards	—		—		—		—
	$	1,508,564	$	1,321,649	$	186,915	$	—

December 31, 2015	$	389,357	$	212,910	$	176,447	$	—

The Fund’s volume of trading forwards and futures as of the six month period ended June 30, 2016 and year ended December 31, 2015 are representative of the activity throughout these periods.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of and the net profits and losses on derivative instruments are disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.

The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At June 30, 2016 and December 31, 2015, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with its counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts plus the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Fund’s net exposure.

The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for each of the three and six month periods ended June 30, 2016 and 2015:

	For the three months ended			For the six months ended
	June 30, 2016			June 30, 2016
Commodity Industry Sector	profit (loss) from trading, net			profit (loss) from trading, net

Agriculture	$	(55,939	)	$	(195,422	)
Currencies	314,345			414,077
Energy	(236,572		)	423,946
Interest rates	1,018,502			3,517,569
Metals	(168,519		)	(540,774		)
Stock indices	(707,446		)	(818,733		)

Total, net	$	164,371		$	2,800,663

	For the three months ended			For the six months ended
	June 30, 2015			June 30, 2015
Commodity Industry Sector	profit (loss) from trading, net			profit (loss) from trading, net

Agriculture	$	(1,326,565	)	$	(1,322,345	)
Currencies	(1,586,758		)	(1,381,807		)
Energy	(1,670,737		)	(1,455,402		)
Interest rates	(2,994,119		)	(889,744		)
Metals	(341,782		)	(964,285		)
Stock indices	628,324			3,790,790

Total, net	$	(7,291,637	)	$	(2,222,793	)

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

4. MARKET AND CREDIT RISKS

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

Market Risk

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

the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Trading Advisor, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist of the process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor.

Credit Risk

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

MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Fund. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLI as its forwards prime broker. Due to the relationship with MLPF&S, in the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S. Due to the relationship with MLI, in the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.

Indemnifications

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

5. RELATED PARTY TRANSACTIONS

MLAI owns 88 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of June 30, 2016.

MLAI, the Fund and certain other FuturesAccess Funds, MLAI’s HedgeAccess® Program of hedge funds and other BofA Corp. funds (each a “Serviced Fund” and collectively, the “Serviced Funds”) have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly owned subsidiary of BofA Corp. and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services were 0.02% per year of the aggregate net assets of the Serviced Funds. The fee is paid monthly in arrears. The Transfer Agent also receives reimbursement for its out-of-pocket expenses and certain extraordinary expenses. MLAI allocates the Transfer Agent fees to each of the Serviced Funds, including the Fund, on a monthly basis based on each Serviced Fund’s net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended June 30, 2016, and 2015 amounted to $1,019 and $10,745, respectively. The Transfer Agent fee allocated to the Fund for the six month periods ended June 30, 2016, and 2015 amounted to $2,138 and $14,521, respectively, of which $1,373 and $2,047 was payable to the Transfer Agent as of June 30, 2016 and December 31, 2015, respectively.

Brokerage commissions, interest, net, management fees to MLAI and sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with a related party.

6. SUBSEQUENT EVENTS

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

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

PERIOD-END NET ASSET VALUE PER UNIT

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the last calendar day of each month, the fifteenth 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, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund. Therefore, the charts below are referencing Net Asset Value at each Calculation Date.

PERIOD-END NET ASSET VALUE PER UNIT CLASS A

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2015	$	1.3294	$	1.3685	$	1.3099	$	1.3479	$	1.3777	$	1.3748	$	1.4105	$	1.3255	$	1.2792	$	1.2774	$	1.2270	$	1.1700
2016	$	1.3038	$	1.2873	$	1.3407	$	1.3613	$	1.2841	$	1.3318	$	1.3339	$	1.2718	$	1.2486	$	1.2239	$	1.2268	$	1.3275

PERIOD-END NET ASSET VALUE PER UNIT CLASS C

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2015	$	1.1941	$	1.2286	$	1.1755	$	1.2091	$	1.2353	$	1.2323	$	1.2637	$	1.1871	$	1.1451	$	1.1431	$	1.0975	$	1.0461
2016	$	1.1599	$	1.1448	$	1.1917	$	1.2093	$	1.1402	$	1.1820	$	1.1843	$	1.1287	$	1.1076	$	1.0854	$	1.0874	$	1.1750

PERIOD-END NET ASSET VALUE PER UNIT CLASS D

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2015	$	1.1402	$	1.1744	$	1.1248	$	1.1582	$	1.1845	$	1.1828	$	1.2143	$	1.1418	$	1.1026	$	1.1018	$	1.0590	$	1.0104
2016	$	1.1356	$	1.1221	$	1.1694	$	1.1880	$	1.1215	$	1.1638	$	1.1674	$	1.1138	$	1.0942	$	1.0734	$	1.0766	$	1.1637

PERIOD-END NET ASSET VALUE PER UNIT CLASS I

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2015	$	1.3483	$	1.3880	$	1.3289	$	1.3677	$	1.3981	$	1.3954	$	1.4319	$	1.3459	$	1.2990	$	1.2974	$	1.2465	$	1.1888
2016	$	1.3288	$	1.3124	$	1.3660	$	1.3871	$	1.3080	$	1.3567	$	1.3596	$	1.2948	$	1.2828	$	1.2580	$	1.2611	$	1.3539

PERIOD-END NET ASSET VALUE PER UNIT CLASS DS

Jan. 15th

Jan.

Feb. 15th

Feb.

Mar. 15th

Mar.

Apr. 15th

Apr.

May 15th

May

Jun. 15th

Jun.

2015

1.7468

1.7992

1.7232

1.7744

1.8147

1.8121

1.8603

n/a

2016

n/a

PERIOD-END NET ASSET VALUE PER UNIT CLASS DT

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2015	$	1.9067	$	1.9642	$	1.8817	$	1.9379	$	1.9822	$	1.9797	$	2.0327	$	1.9117	$	1.8465	$	1.8454	$	1.7741	$	1.6931
2016	n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a		n/a

PERIOD-END NET ASSET VALUE PER UNIT CLASS M

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2015	$	1.1327	$	1.1666	$	1.1174	$	1.1506	$	1.1767	$	1.1750	$	1.2063	$	1.1343	$	1.0953	$	1.0945	$	1.0520	$	1.0037
2016	$	1.1079	$	1.0945	$	1.1096	$	1.1281	$	1.0620	$	1.1040	$	1.1080	$	1.0547	$	1.0325	$	1.0119	$	1.0151	$	1.1561

Liquidity and Capital Resources

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

Substantially all of the Fund’s assets are held in cash with the brokers. Changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit or loss potential might increase. 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.

For the six month period ended June 30, 2016, Fund capital decreased 17.43% from $25,371,716 to $20,949,401. This decrease was attributable to the net income from operations of $2,009,544 coupled with the redemption of 6,267,706 redeemable Units resulting in an outflow of $7,336,927. The cash outflow was offset with cash inflow of $905,068 due to subscriptions of 695,923 Units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

Statement of Cash Flows

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

Investments

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

Fair Value Measurements

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

Futures Contracts

The Fund trades exchange listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Fund’s Statements of Financial Condition. Contracts are priced daily by the Fund and the profit or loss is based on the daily mark to market and is recorded as unrealized profit (loss). 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 or directly with the exchange on which the contracts are traded, credit exposure is limited. Realized profit (loss), net and change in unrealized profit (loss), net on futures contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations. 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 bids and asks from open outcry sessions.

Forward Foreign Currency Contracts

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

Interest Rates and Income

BofA Corp.’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 the Sponsor 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%, except for currencies designated by MLPF&S as “negative interest rate currencies”. MLPF&S deposits certain of the Fund’s assets as margin or collateral with clearinghouses and/or depositories. As a result of the present low interest rate environment, clearinghouses and depositories charge MLPF&S fees to account for the negative interest rates on cash balances for certain currencies, which may change from time to time. Accordingly, MLPF&S will charge the Fund a “negative interest rate fee” for any currencies designated by MLPF&S as a “negative interest rate currency”.

Income Taxes

Each investor is individually responsible for reporting income or loss based on such investor’s share of the Fund’s income and expenses as reported for income tax purposes.

The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Fund, including reducing the Net Asset Value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to

certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that a provision for income tax of $225,000, generated by trading in Spain, is required in the Fund’s financial statements. Such amount, which is included in Other Liabilities on the Statement of Financial Condition as of June 30, 2016, is net of a $120,000 reversal of tax exposure which is reflected within other income on the 2016 Statements of Operations. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2012.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant” and the Fund expects to meet the amended definition as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million. If the Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” 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 in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions.

Results of Operations

January 1, 2016 to June 30, 2016

January 1, 2016 to March 31, 2016

The Fund experienced a net trading profit of $2,636,292 before brokerage commissions and related fees in the first quarter of 2016. The Fund’s profits were primarily attributable to the interest rates, energy and currency sectors. The stock indices, agriculture and metals sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as the Trading Program started January with long positions in European interest rate instruments versus short positions in the U.S. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s long positions in global interest rate instruments. Losses were posted to the Fund at the end of the quarter. The decline in the global bond markets was not interpreted as a clear reversal yet by the Trading Program’s trend following indicators. So in response to the declines during the first half of March the Trading Program only liquidated part of its long positions primarily in the U.S., while maintaining a sizable risk concentration in long positions in global bonds.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the Trading Program’s short positions in the oil markets. Profits were posted to the Fund in the middle of the quarter. The Trading Program reduced its short positions in oil markets and increased its short positions in gas and power markets. The largest profits in the energy markets came from gas and power. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s short positions in natural gas.

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. The Trading Program’s long positions in the currencies of India, New Zealand, Australia and Sweden, versus

short positions in the Euro and Japanese yen, resulted in losses. Losses were posted to the Fund in the middle of the quarter due to the Trading Program’s long positions in U.S. dollar and from short Swiss franc positions. Profits were posted to the Fund at the end of the program. The first trend reversal the Trading Program picked up was the downturn of the U.S. dollar. Already before the start of the month, the Trading Program held larger short U.S. dollar positions than long U.S. dollar positions in currencies. During March this short preponderance grew further. The Trading Program’s net short U.S. dollar position was the largest contributor to the profits.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter due to the Trading Program’s long positions in the U.S. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s long positions. Profits were posted to the Fund at the end of the quarter. The Trading Program started March with short positions which concentrated in financial and commodity-rich equities. The Trading Program’s short positions brought losses, while the long positions brought profits.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. El Nino caused severe droughts in the southern hemisphere. In South Africa, the corn prices had been steeply rising for some months already. After the first week of January, U.S. corn prices started to rise, moving out of their downtrend and causing losses for the Trading Program’s short positions. Profits were posted to the Fund in the middle of the quarter. El Nino had a positive effect on the growing of winter wheat in Europe and the U.S., which the Trading Program profited from short positions. The Trading Programs short positions in corn and soybeans also turned profitable. Cotton was affected by declining demand from China. It ended the month at deep lows, bringing profits to the Trading Program’s short positions. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s short positions in commodities exported by Brazil: sugar, coffee and soybeans.

The metals 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 short positions in precious metals. Losses were posted to the Fund in the middle of the quarter due to the Trading Program’s short positions in silver. Losses were posted to the Fund at the end of the quarter.

April 1, 2016 to June 30, 2016

The Fund experienced a net trading profit of $164,371 before brokerage commissions and related fees in the second quarter of 2016. The Fund’s profits were primarily attributable to the interest rates and currency sectors. The agriculture, metals, energy and stock indices sectors posted losses.

The interest rate sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the second quarter. The Trading Program held long positions in interest rate instruments of many economies around the world. As a consequence the trend risk around ‘long global bonds’ had grown so large that the built-in risk control became active again, dampening the size of many of these positions. Still, as most of these bonds declined during April, this risk concentration brought losses. Profits were posted to the Fund in the middle of the second quarter. The Trading Program profited from the relative weakness of the U.S. interest rate instruments through synthetic shorts versus German interest rate instruments. Other long positions in Eurozone interest rate instruments were profitable as well, especially after a new debt agreement was reached with Greece. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in U.S. bond markets.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. The Trading Program positions which profited from the component of the European Central Bank QE-

concentration were the euro short positions, as the euro declined versus most relevant currencies worldwide. Also the U.S. dollar declined versus many currencies resulting in the U.S. dollar short positions being as profitable. At the long side of the most profitable positions were commodity rich currencies like the Brazilian real, the Norwegian krone and the Canadian dollar and particularly the Japanese yen and the Turkish lira. Losses were posted to the Fund in the middle of the second quarter due to the Trading Program’s long positions in commodity rich currencies, like those of Canada, Mexico, South Africa, Australia and Norway. Although part of the long positions in these currencies were versus short positions in the euro and/or the British pound, the largest losses came from U.S. dollar short positions versus other currencies. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in currency.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. The agricultural markets continued to be dominated by El Niño related weather extremes in April such as flooding in Argentina. These climatic factors caused trends, but also sharp reactions and reversals. The Trading Program started April with large short positions in grains (mainly wheat and corn) and long positions in soybeans and sugar. The price of sugar declined from the start of April, leading the Trading Program to close out its entire position. Corn had ended March at long term lows, but started to rise immediately from the first day of April and later was accompanied by an upward reaction in wheat. The Trading Program liquidated the largest part of its wheat short positions and reversed to long positions in corn. Profits were posted to the Fund in the middle of the second quarter as El Niño related weather extremes continued to dominate the grains and oilseeds markets. The resulting (relative) strength of soybeans was well profited. Profits were posted to the Fund at the end of the quarter. The Trading Program started at the beginning of June large positions in grains and oilseeds: short positions in wheat, and long positions in soybeans and corn. In the first week of June, all of them rose strongly. This caused losses in wheat, which were subsequently recovered in its decline during the rest of the month. Corn came down sharply at the end of June, turning the earlier profits into losses. Good profits remained in soybeans, as this market came down much less from its earlier rise, and concluded the month with a strong rally on crop reports.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter only to be reversed in the middle of the quarter. Losses were posted to the fund in the middle of the quarter due to the Trading Program’s long positions. Losses were posted to the Fund at the end of the quarter.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. The Trading Program’s large commodity short positions at the start of April were in gas in the U.S. as well as in Europe. The U.S. natural gas prices rose, accelerating in the second half of April. The European gas prices continued to decline for most of April, but then spiked up, triggered by an outage of a large Norwegian gas processing plant, when a spell of unusually cold weather affected most of Western Europe. The Trading Program liquidated all of its gas short positions in Europe and a large part of its gas short positions in the U.S. during April as oil prices started to trend down again. The Trading Program’s systems interpreted this as an opportunity for quick entries into new short positions in these markets, especially in diesel. This time this did not turn out successful, as this market soon after rose again, causing these systems to liquidate these positions with a loss. Profits were posted to the Fund in the middle through the end of the second quarter due to the Trading Program’s long positions in energy.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In Eurozone equity markets, the Trading Program started April with sizable short positions. In the middle of April after Italy found a solution to help its troubled banks, the Eurozone banks recovered from their lows, causing losses on the Trading Program’s short positions. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s long positions in U.S. equity markets and short positions in

VIX. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in European non-financial equities which brought losses.

January 1, 2015 to June 30, 2015

January 1, 2015 to March 31, 2015

The Fund experienced a net trading profit of $5,068,844 before brokerage commissions and related fees in the first quarter of 2015. The Fund’s profits were primarily attributable to the stock indices, interest rates, energy, currency and agriculture sectors. The metals sector posted losses.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Profits were posted to the Fund in the middle of the quarter due to the Fund’s long positions in European equity markets. Profits were posted to the Fund at the end of the quarter. Throughout March the Fund’s largest extreme risk concentration was ‘long equity markets’. The majority of these equity longs were located in QE-economies: the Eurozone and Japan. These equities did well. The European equities also formed the backbone of one of the Fund’s largest trend concentrations: ‘long ECB QE’. Long positions in the Xinhua China A50 ultimately became the most profitable equity long.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Fund’s long positions in ECB-QE positions (short Euro and long European bond and equity markets), but also from long positions in bond markets elsewhere. The Fund shifted its “long bonds” positions from Europe to North America. Losses were posted to the Fund in the middle of the quarter due to the Fund’s long positions in U.S. bond markets. Profits were posted to the Fund at the end of the quarter due to the Fund’s long Eurozone bond positions as well as longs in continental European interest rate instruments. Also, the interest rate instruments in both U.S. and U.K. economies started to rise again. The Fund was able to profit from this movement by re-building long positions in these markets.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter from the Fund’s short positions in this sector. Throughout January, one of the largest “trend risk” concentrations of the Fund was “short commodities”, with “short energy” being its largest contributor. Despite a rally in oil markets at the end of January, the Fund scored well in this position, profiting from oil and oil products as well as from gas, electricity and coal. Losses were posted to the Fund in the middle of the quarter due to the Fund’s short positions in energy markets. Profits were posted to the Fund at the end of the quarter. The concerns over the Chinese growth were dominating, reflected by declining commodity markets. The Fund profited from these declines, mostly with its short positions in crude oil.

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to the short positions in Japanese yen. In January the Swiss National Bank announced the abandonment of the cap on the Euro/Swiss franc exchange rate. As a result, the Fund lost on Swiss franc shorts versus the British pound and on long positions in Swiss equity markets. Profits were posted to the Fund in the middle of the quarter. The Trading Program ended February with a large net long position in the British pound versus a wide range of currencies. The profits on these positions compensated for the losses suffered earlier. It also helped the Fund score positively in the currency cluster, despite the losses on the longs in emerging market currencies. Also longs in the New Zealand dollar and shorts in the Swiss franc contributed to the profits. Profits were posted to the Fund at the end of the quarter due to the Fund’s short positions in the Euro and Brazilian real. The Russian ruble delivered the highest currency return on the long side.

The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to the Fund’s position in long cattle and short sugar. Down-turning cattle prices caused losses on long positions in the first half of January, only partially compensated for by profits on short positions in the last part of January. Losses were posted to the Fund in the middle of the quarter. Many commodity markets showed upward reactions in the first half of February, such as softs, grains and oilseeds. In some cases these reactions lasted long enough for the Fund to liquidate a large part of its shorts (soybeans) or even reverse to longs (cotton), leaving losses on these liquidated shorts, the largest ones in the soybean markets. Profits were posted to the Fund at the end of the quarter due to the Fund’s short positions in agricultural commodities like sugar, coffee and soybeans. The largest profits from the declining markets in Brazil came from sugar and coffee.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to the Fund’s short positions in silver. Losses were posted to the Fund in the middle of the quarter due to the Fund’s liquidated short positions in copper. Losses were posted to the Fund at the end of the quarter due to the Fund’s short positions in silver.

April 1, 2015 to June 30, 2015

The Fund experienced a net trading loss of $7,291,637 before brokerage commissions and related fees in the second quarter of 2015. The Fund’s profits were primarily attributable to the stock indices sector. The metals, agriculture, currency, energy and interest rate sectors posted losses.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April, the largest profits came from long positions in Asian equity markets. Profits were posted to the Fund in the middle of the quarter from the Fund’s long equity positions in the Japanese-trend (long equity and short yen). Losses were posted to the Fund at the end of the quarter. Greece not coming to an agreement with the ECB and the IMF in the last weekend of June resulted in an almost global risk-off move, hurting the Fund primarily in its long equity Japanese QE-positions and its longs in North American equity markets.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. Losses were posted to the Fund in the middle of the quarter. Short precious metals were one of the Fund’s largest commodity short positions. Meanwhile, the Fund had built up long positions in base metals such as copper. When the silver market rallied, the base metals did not join. And when silver started to retreat somewhat after its rise, the base metals started to decline. Due to the resulting losses on shorts in silver and gold, and on longs in copper and zinc, the metal markets were the worst performing cluster in May. Profits were posted to the Fund at the end of the quarter due to the Fund’s short positions in metal markets.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In April, the Fund lost on its shorts in especially sugar. Profits were posted to the Fund in the middle of the quarter. Divergence seemed to be the theme in May’s commodity markets. In the agricultural markets, the Fund profited from this. The Fund did well in downtrends in sugar and coffee, but also in an uptrend in cocoa. In cattle the Fund profited from being long. Losses were posted to the Fund at the end of the quarter due to the Fund’s short positions in grains and oilseeds.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In April short Euro was a losing currency position. Losses were posted to the Fund in the

middle of the quarter. In the short Euro component the Fund closed out part of its losing positions, but short Euro remained the Fund’s largest currency position, which ended May with a loss. The largest losses on the long side came from the New Zealand dollar. Other losing longs were the currencies of Australia, Brazil, South Africa, Poland and Canada versus the Euro. Furthermore, in the second half of May, these currencies started to decline versus the U.S. dollar as well. Losses were posted to the Fund at the end of the quarter due to the Fund’s short positions in the Euro and Japanese yen.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In April, energy shorts brought the largest losses. Shorts in U.S. natural gas contributed to the energy losses due to a strong price rise in reaction to the release of inventory numbers. Losses were posted to the Fund in the middle of the quarter. In the energy markets, the Fund had diverging positions: a large concentration of shorts in gas and electricity markets, while slowly building up longs in crude oil & distillates. Also, the rising U.S. gas price was not accompanied by rising oil prices. The Fund responded on the further rise by closing out most of its losing shorts. Losses posted to the Fund at the end of the quarter came from the Fund’s short positions on gas resulting in losses in the U.S. as well as in Europe.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the Fund’s long positions in U.S. interest rate markets. Losses were posted to the Fund in the middle of the quarter as the largest losses came from long positions in bond markets. Losses were posted to the Fund at the end of the quarter due to the Fund’s long position in Eurozone equity markets.

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

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

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

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

Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could

result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“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 Trading Advisor is quantified below in terms of Value at Risk. Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

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

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

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

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

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period. For the six month periods ended June 30, 2016 and 2015 the Fund’s average capitalization was $20,982,240 and $60,966,213, respectively.

June 30, 2016

	Average Value		% of Average		Highest Value		Lowest Value
Market Sector	at Risk		Capitalization		at Risk		at Risk

Agricultural Commodities	$	380,108	1.81	%	$	621,212	$	154,220
Currencies	1,206,341		5.75	%	1,505,127		885,836
Energy	134,304		0.64	%	267,733		16,386
Interest Rates	1,429,945		6.82	%	2,355,541		604,566
Metals	204,033		0.97	%	385,828		38,268
Stock Indices	244,183		1.16	%	480,018		30,274

Total	$	3,598,914	17.15	%	$	5,615,459	$	1,729,550

June 30, 2015

	Average Value		% of Average		Highest Value		Lowest Value
Market Sector	at Risk		Capitalization		at Risk		at Risk

Agricultural Commodities	$	3,816,883	6.26	%	$	5,359,321	$	2,565,587
Currencies	357,192		0.59	%	400,393		328,594
Energy	508,447		0.83	%	647,043		397,868
Interest Rates	2,540,543		4.17	%	4,286,079		1,104,541
Metals	319,251		0.52	%	568,582		123,297
Stock Indices	1,489,734		2.44	%	1,950,685		1,119,702

Total	$	9,032,050	14.81	%	$	13,212,103	$	5,639,589

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 and MLI

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

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act 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 the Trading Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of December 31, 2015 by market sector. There have been no material changes at June 30, 2016.

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 may 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 may also take positions in the government debt of smaller nations. 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. However, the Fund’s major exposures have typically been in the Japanese yen/U.S. dollar, New Zealand dollar/Japanese yen and Swiss franc/Japanese yen positions. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading VaR figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining VaR 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, corn, and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure.

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, 2015. There have been no material changes at June 30, 2016.

Foreign Currency Balances

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

U.S. Dollar Cash Balance

The Fund holds the vast majority of its U.S. dollars in cash at MLPF&S and MLI. 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.

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 itself intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically. MLAI’s basic control procedures consist of the process of monitoring the Trading Advisor with the market risk controls being applied by the Trading Advisor itself.

Risk Management

Risk management plays a role in the Trading Program. 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. The risk provisions are designed to have a pre-defined reliability. Risk assessments are determined on the basis of a regular or continuous evaluation of daily price behavior, possibly leading to regular adjustments during the lifetime of exposures.

Non-Trading Risk

The Fund controls the non-trading exchange rate risk by regularly converting foreign currency 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 4. Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and 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 the end of the quarter which ended June 30, 2016, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended June 30, 2016 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2015, filed with the Securities and Exchange Commission on March 18, 2016.

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

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

The Fund’s sales of unregistered securities are as follows for each Class of Units:

CLASS A

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	—	—	$	1.2314
1/16/2016	—		—	1.3038
2/01/2016	—		—	1.2873
2/16/2016	—		—	1.3407
3/01/2016	—		—	1.3613
3/16/2016	—		—	1.2841
4/01/2016	—		—	1.3318
4/16/2016	—		—	1.3339
5/01/2016	11,880		9,206	1.2718
5/16/2016	—		—	1.2486
6/01/2016	—		—	1.2239
6/16/2016	—		—	1.2268
7/01/2016	—		—	1.3275

CLASS C

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	—	—	$	1.0954
1/16/2016	—		—	1.1599
2/01/2016	—		—	1.1448
2/16/2016	—		—	1.1917
3/01/2016	—		—	1.2093
3/16/2016	21,000		18,174	1.1402
4/01/2016	—		—	1.1820
4/16/2016	20,000		16,671	1.1843
5/01/2016	—		—	1.1287
5/16/2016	—		—	1.1076
6/01/2016	—		—	1.0854
6/16/2016	—		—	1.0874
7/01/2016	—		—	1.1750

CLASS D

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	—	—	$	1.0714
1/16/2016	—		—	1.1356
2/01/2016	—		—	1.1221
2/16/2016	—		—	1.1694
3/01/2016	—		—	1.1880
3/16/2016	—		—	1.1215
4/01/2016	—		—	1.1638
4/16/2016	—		—	1.1674
5/01/2016	—		—	1.1138
5/16/2016	—		—	1.0942
6/01/2016	—		—	1.0734
6/16/2016	—		—	1.0766
7/01/2016	—		—	1.1637

CLASS I

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	—	—	$	1.2544
1/16/2016	—		—	1.3288
2/01/2016	—		—	1.3124
2/16/2016	—		—	1.3660
3/01/2016	—		—	1.3871
3/16/2016	—		—	1.3080
4/01/2016	—		—	1.3567
4/16/2016	20,000		14,509	1.3596
5/01/2016	800,000		608,180	1.2948
5/16/2016	—		—	1.2828
6/01/2016	—		—	1.2580
6/16/2016	—		—	1.2611
7/01/2016	—		—	1.3539

CLASS M

	Subscription
	Amount		Units	NAV (1)
1/01/2016	$	23,188	21,495	$	1.0643
1/16/2016	—		—	1.1079
2/01/2016	—		—	1.0945
2/16/2016	—		—	1.1096
3/01/2016	—		—	1.1281
3/16/2016	—		—	1.0620
4/01/2016	9,000		7,688	1.1040
4/16/2016	—		—	1.1080
5/01/2016	—		—	1.0547
5/16/2016	—		—	1.0325
6/01/2016

ML Transtrend DTP Enhanced FuturesAccess LLC 10-Q