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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC - 10-Q - Management's Discussion and Analysis of Financial Condition and Results of Operations

August 14, 2014

MONTH-END NET ASSET VALUE PER UNIT

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund. Therefore, the charts below referencing Net Asset Value and performance measurements are based on the Net Asset Value for financial reporting purposes. The Fund calculates the Net Asset Value per Unit of each Class of Units as of the last calendar day of each month, the fifteenth calendar day of each month and any other dates MLAI may determine in its discretion (each, a "Calculation Date"). The Fund's "Net Asset Value" as of any Calculation Date generally equals the value of the Fund's account under the management of the Trading Advisor as of that date plus any other assets held by the Fund, minus accrued Sponsor's, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, amortized organizational and initial offering costs and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations. 17 -------------------------------------------------------------------------------- MONTH-END NET ASSET



VALUE PER INITIAL UNIT CLASS A

Jan. 15th Jan. Feb. 15th Feb. Mar. 15th Mar. Apr. 15th Apr. May 15th May June 15th June 2013 $ 1.1068$ 1.1304$ 1.1540$ 1.1061$ 1.1249$ 1.1372$ 1.1522$ 1.1807$ 1.1463$ 1.1056$ 1.0849$ 1.0939 2014 $ 1.0685$ 1.0659$ 1.0489$ 1.0787$ 1.0540$ 1.0818$ 1.0862$ 1.1002$ 1.1069$ 1.1329$ 1.1560$ 1.1463 MONTH-END NET ASSET



VALUE PER INITIAL UNIT CLASS C

Jan. 15th Jan. Feb. 15th Feb. Mar. 15th Mar. Apr. 15th Apr. May 15th May June 15th June 2013 $ 1.0142$ 1.0354$ 1.0566$ 1.0123$ 1.0291$ 1.0399$ 1.0532$ 1.0787$ 1.0469$ 1.0094$ 0.9900$ 0.9978 2014 $ 0.9694$ 0.9666$ 0.9508$ 0.9774$ 0.9546$ 0.9794$ 0.9830$ 0.9952$ 1.0008$ 1.0239$ 1.0444$ 1.0352 MONTH-END NET ASSET



VALUE PER INITIAL UNIT CLASS D

Jan. 15th Jan. Feb. 15th Feb. Mar. 15th Mar. Apr. 15th Apr. May 15th May June 15th June 2013 $ 0.9212$ 0.9415$ 0.9617$ 0.9224$ 0.9386$ 0.9495$ 0.9626$ 0.9870$ 0.9588$ 0.9254$ 0.9087$ 0.9168 2014 $ 0.9028$ 0.9012$ 0.8873$ 0.9131$ 0.8928$ 0.9169$ 0.9212$ 0.9337$ 0.9398$ 0.9625$ 0.9828$ 0.9751 MONTH-END NET ASSET



VALUE PER INITIAL UNIT CLASS I

Jan. 15th Jan. Feb. 15th Feb. Mar. 15th Mar. Apr. 15th Apr. May 15th May June 15th June 2013 $ 1.1135$ 1.1375$ 1.1614$ 1.1134$ 1.1325$ 1.1451$ 1.1604$ 1.1893$ 1.1548$ 1.1141$ 1.0934$ 1.1026 2014 $ 1.0793$ 1.0769$ 1.0599$ 1.0902$ 1.0654$ 1.0937$ 1.0983$ 1.1127$ 1.1195$ 1.1460$ 1.1696$ 1.1600 MONTH-END NET ASSET



VALUE PER INITIAL UNIT CLASS DS

Jan. 15th Jan. Feb. 15th Feb. Mar. 15th Mar. Apr. 15th Apr. May 15th May June 15th June 2013 $ 1.4113$ 1.4423$ 1.4733$ 1.4131$ 1.4380$ 1.4547$ 1.4748$ 1.5121$ 1.4690$ 1.4178$ 1.3921$ 1.4045 2014 $ 1.3831$ 1.3806$ 1.3594$ 1.3989$ 1.3677$ 1.4047$ 1.4113$ 1.4304$ 1.4399$ 1.4746$ 1.5057$ 1.4939 MONTH-END NET ASSET



VALUE PER INITIAL UNIT CLASS DT

Jan. 15th Jan. Feb. 15th Feb. Mar. 15th Mar. Apr. 15th Apr. May 15th May June 15th June 2013 $ 1.5176$ 1.5517$ 1.5857$ 1.5215$ 1.5489$ 1.5675$ 1.5899$ 1.6308$ 1.5849$ 1.5304$ 1.5033$ 1.5173 2014 $ 1.5022$ 1.5002$ 1.4775$ 1.5207$ 1.4871$ 1.5276$ 1.5351$ 1.5562$ 1.5669$ 1.6051$ 1.6392$ 1.6267 MONTH-END NET ASSET



VALUE PER INITIAL UNIT CLASS M

Jan. 15th Jan. Feb. 15th Feb. Mar. 15th Mar. Apr. 15th Apr. May 15th May June 15th June 2013 $ 0.9151$ 0.9353$ 0.9553$ 0.9163$ 0.9324$ 0.9432$ 0.9563$ 0.9805$ 0.9525$ 0.9193$ 0.9027$ 0.9107 2014 $ 0.8968$ 0.8952$ 0.8815$ 0.9071$ 0.8869$ 0.9108$ 0.9151$ 0.9275$ 0.9336$ 0.9562$ 0.9763$ 0.9687



Liquidity and Capital Resources

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

Substantially all of the Fund's assets are held in cash. The Net Asset Value of the Fund's cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the Fund's profit potential 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.



Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of

18 -------------------------------------------------------------------------------- each month and/or (ii) the last calendar day of each month (each a "Redemption Date"), upon providing eight business days notice prior to the 1st and 16th of the month. MLAI, at any time in its discretion, may discontinue allowing redemptions as of the 15th calendar day of each month on a going forward basis. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date. 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, 2014, Fund capital decreased 18.91% from $86,331,490 to $70,002,483. This decrease was attributable to the net profit from operations of $2,063,221 coupled with the redemption of 15,371,310 Redeemable Units resulting in an outflow of $20,482,127. The cash outflow was offset with cash inflow of $2,089,899 due to subscriptions of 2,139,700 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 19

-------------------------------------------------------------------------------- cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Fund's Statements of Financial Condition. Contracts are priced daily by the Fund and the profit or loss based on the daily mark to market are recorded as unrealized profits. When the contract is closed, the Fund records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized profits (losses), net and changes in unrealized profits (losses), net on futures contracts are included in the Statements of Operations. The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and 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 profits (losses) and changes in unrealized profits (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations. Interest Rates and Income The Fund currently earns interest based on the prevailing federal funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance. Income Taxes No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member's share of the Fund's income and expenses as reported for income tax purposes. The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's financial statements to determine whether the tax positions are "more-likely-than-not" to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the "more-likely-than-not" threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Fund, including reducing the net asset value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund's tax positions and has concluded 20

-------------------------------------------------------------------------------- that no provision for income tax is required in the Fund's financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States - 2010. 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, 2014 to June 30, 2014

January 1, 2014 to March 31, 2014

The Fund experienced a net trading loss of $1,667,263 before brokerage commissions and related fees in the first quarter of 2014. The Fund's profits were primarily attributable to the interest rates and agriculture sectors posting profits. The metals, energy, stock indices and currency sectors posted losses. The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Fund's long positions in this sector. Profits were posted to the Fund in the middle through the end of the quarter due to the Fund's long bonds positions. The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the rising prices of milk and oats. Profits were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter due to the Fund's long positions in some agricultural markets (especially soy markets). In March a drought in Brazil caused uptrends in soybeans 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 gold. Losses were posted to the Fund in the middle of the quarter due to the Fund's short positions in silver. Profits were posted to the Fund at the end of the quarter due to the Fund's short positions in copper and silver. The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter from the Fund's long positions in oil markets only to be reversed in the middle of the quarter. Profits were posted to the Fund in the middle of the quarter from the Fund's long positions in gas and oil. Losses posted to the Fund at the end of the quarter came from long positions in the oil markets. The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. In January the losses came from long positions in Japanese, American and European equities. 21 --------------------------------------------------------------------------------



Profits were posted to the Fund in the middle of the quarter from the Fund's long positions in stocks only to be reversed at the end of the quarter with losses posted to the Fund.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The Fund, as intended, participated significantly in the weak Japanese yen and the rising Eastern European currencies, but remained too cautious on the "'risk-off" side with regard to short positions in the currencies of the emerging economies and some other commodity-rich countries. Especially in the South African rand and the Canadian dollar, the Fund did not take advantage of the apparent potential for gains to the fullest extent. This was reflected by losses in the currency sector. Losses were posted to the Fund in the middle of the quarter only to be reversed at the end of the quarter. The largest profits in March came from the Fund's long positions in emerging market currencies (especially the Indian rupee and the Brazilian real).



April 1, 2014 to June 30, 2014

The Fund experienced a net trading profit of $5,065,847 before brokerage commissions and related fees in the second quarter of 2014. The Fund's profits were primarily attributable to the interest rates, stock indices, energy, currencies and agriculture sectors posting profits. The metals sector posted losses. The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Fund's exposure in the European interest rate markets. Profits were posted to the Fund in the middle of the quarter due to the Fund's high trendpot number, which indicated a favorable trend in the interest rate market. Profits were posted to the Fund at the end of the quarter due to the European bond markets rising. The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the second quarter due to the Fund's exposure in long equities. In April despite the unrest in Ukraine, the Fund expanded its already large risk concentration of 'risk-on' positions. At the beginning of April, the largest components of this concentration were 'long stocks', 'long emerging markets' and 'long commodities'. During early April the Fund added 'long Japanese QE' (long Japanese stocks and short Japanese yen). The Fund suffered losses in mid-April as most equity long positions turned losing. In the U.S. this reaction was mainly led by weakness in the technology sector. The Fund lost most on European longs in stock markets that were impacted by concerns over Ukraine. Profits were posted to the Fund in the middle of the quarter from the Fund's long positions in the Indian stock index. The stock markets in other emerging countries were generally strong as well, resulting most significantly in profits in Taiwan. In the developed markets the Fund profited from rising stock markets across most sectors, and in particular from the associated decline of the corresponding volatility index futures. Profits posted to the Fund at the end of the quarter came from strong equity markets in Japan and Taiwan as well as the stock markets, resulting in accumulating profits on the long side in the U.S. The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter. In April the Fund held its largest long positions in the energy markets. Losses were posted to the Fund in the middle of the quarter from the Fund's long positions in gas and oil. In May the profits on the long oil positions could not fully compensate for the losses on the long gas positions. Profits posted to the Fund at the end of the quarter came from the Fund's long positions in the oil markets. In June oil prices rallied to continue trading at higher levels. The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the second quarter. In April the largest losses in the currency markets were from short Japanese yen. Profits were posted to the Fund in the middle of the quarter. In May the Fund profited from the strength of the currencies of 22

-------------------------------------------------------------------------------- India, Mexico, Turkey, Australia, South Korea, Poland, Russia and Norway. The long positions in these currencies turned out to be most profitable when traded against the euro. Losses were posted to the Fund at the end of the quarter due to the Fund's long positions in the Turkish lira. In Hungary newly proposed laws for banks that impacted the currency, resulting in losses for the Fund. The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to a large extent from soybeans, and also from cotton and cattle. Losses were posted to the Fund in the middle of the quarter due to corn, wheat, cotton and coffee markets turning downwards. Losses were posted to the Fund at the end of the quarter due to the severe drought in Brazil. In June, the Fund gave back some of the earlier gains in the existing positions in the soy markets. In sugar, the Fund turned to short positions in the first week of June; this turned out to be too fast, as these markets, shortly turned higher. The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to nickel responding bullish on the developments around Ukraine as well as on an export ban in Indonesia, while other metal markets like copper reacted to different market factors. The Fund kept its large short silver positions throughout April, which position proved to offer a nice smoothing counterbalance to the large 'risk-on' concentration, and posted some profits. Profits were posted to the Fund in the middle of the quarter due to the Fund's short positions in silver. Losses were posted to the Fund at the end of the quarter due to the Fund's short positions in gold and silver. Gold and silver rose too strongly, resulting in losses on the sizeable short positions in these metals.



January 1, 2013 to June 30, 2013

January 1, 2013 to March 31, 2013

The Fund experienced a net trading profit of $1,405,091 before brokerage commissions and related fees in the first quarter of 2013. The Fund's profits were primarily attributable to the stock indices, currencies, and metals sectors posting profits. The agriculture, interest rates and energy sectors posted losses. The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The market movement in the first few days of January broadly set the stage for the rest of the month. Equity markets were strong globally; positions anticipating this delivered the largest positive contribution to the monthly result. Profits were posted to the Fund in the middle of the quarter. Losses on the Trading Program's long positions in markets that from the beginning of February reacted (such as those in China, Russia, the Netherlands and Mexico), were compensated by gains earned on rising stock markets (especially in Australia, Switzerland and the U.S.). Profits were posted to the Fund at the end of the quarter which was based on the strength in the United States. Although positions in Australia, Hong Kong, South Africa, and Greece and in European banks resulted in some losses, on balance the Trading Program did not score significantly negative in any time zone. The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Profits were earned in the carry trades with the high yielding currencies of New Zealand, Turkey, Romania, or Mexico on the long side and the low yielding currencies of Japan, Great Britain or the United States on the short side. Losing positions were those with the high yielding currency of South Africa on the long side and positions with the low yielding euro on the short side. This was taken advantage of with the Trading Program's long positions versus the also low yielding currencies of Singapore, Hong Kong and Taiwan. Losses were posted to the Fund in the middle of the quarter. The carry trades resulted in losses posted to the Fund when anticipating a falling U.S. dollar relative to the high yielding currencies of India, Hungary, Poland, Romania and Colombia. Profits were posted to the Fund at the end of the quarter. The 23

--------------------------------------------------------------------------------



Trading Program was correctly positioned to profit from the falling euro and Japanese yen, and the strength of the currencies of Mexico, the U.S., Australia, Israel and Turkey.

The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter only to be reversed in the middle of the quarter. Profits were posted to the Fund in the middle of the quarter due to the Trading Program's short positions in gold and silver. Profits were posted to the Fund at the end of the quarter. The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter only to be reversed in the middle of the quarter. Profits were posted to the Fund in the middle of the quarter by the Trading Program effectively anticipating the continuing fall of the prices of wheat and beef. Profits were posted to the Fund at the end of the quarter as the Trading Program anticipated further falling prices of coffee, sugar, wheat and meat. The interest rate 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 European bond markets. Profits were posted to the Fund in the middle of the quarter due to the Trading Program's long positions in Korea and Japan, as well as on the shorter end of the yield curve in Great Britain. Profits were posted to the Fund at the end of the quarter due to the Trading Program's long positions in Korean and Japanese bonds. But most of the profits resulted from numerous, often hybrid, synthetic positions, of which a significant portion was "short euro" related. The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter when anticipating falling prices of electricity, coal and carbon emissions delivered positive results. Losses were posted to the Fund in the middle through the end of the quarter due to the oil markets.



April 1, 2013 to June 30, 2013

The Fund experienced a net trading loss of $3,429,999 before brokerage commissions and related fees in the second quarter of 2013. The Fund's profits were primarily attributable to the metals, stock indices, and agriculture sectors posting profits. The interest rates, energy and currency sectors posted losses. The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Disappointing economic growth in China contributed to a major drop in metal prices benefitting the Trading Program. Profits were posted to the Fund in the middle of the quarter due to the Trading Program's short positions. Profits were posted to the Fund at the end of the quarter due to the downward trends in metals. The stock indices posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter resulting from stock markets driven by the low interest rate policy in the U.S. and Western Europe. Profits were posted to the Fund in the middle of the quarter. The largest gains (on the long side) in the stock markets came mainly from the United States and continental Europe. During the continued development of the Trading Program's long equity positions, the Trading Program increasingly moved to emerging economies, resulting in profits in Malaysia and South Africa. Losses were posted to the Fund at the end of the quarter. Many stock markets in June reacted negatively to the approaching end of the quantitative easing program, and this was felt by the Trading Program especially on long positions in Western Europe. The Trading Program's long positions in South Africa received relatively the biggest blow. Profits on the Trading Program's short positions in other emerging economies (Brazil, China, Russia, Turkey), as well as positions anticipating increasing volatility in the U.S., were not sufficient to compensate for these losses. 24 -------------------------------------------------------------------------------- The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter. The after-effects of a crop report from the end of March resulted in losses at the beginning of the month. Profits were posted to the Fund in the middle of the quarter. The sugar market experienced acceleration in its prevailing downward trend in May in which the Trading Program benefited from this development. The Trading Program benefitted from the rising price of soybeans due to the cold spring in the United States and delayed seeding of this crop. The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. The upward trends of bonds in countries with a low interest rate policy resulted in profits to the Fund. Losses were posted to the Fund in the middle of the quarter, resulting from the Trading Program's long positions in the United States and continental Europe. Profits were posted to the Fund at the end of the quarter from the Trading Program's short positions, especially in the U.S., Canada, England, Germany and South Korea. The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Losses were posted to the Fund in the middle of the quarter resulting from the Trading Program's long positions in both oil and gas. Losses were posted to the Fund at the end of the quarter due to oil markets. The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The Trading Program lost in the risk concentration around "short euro" (not only directly though currency positions). These losses were partially, but not enough to offset the losses, compensated by gains on "long carry" positions, in particular those with a long position in the high yielding currencies of Mexico, New Zealand, China, India and Romania. Losses were posted to the Fund in the middle of the quarter. Significant movements in the currency markets were accelerating declines in the currencies of many emerging economies, such as those of Brazil, Chile, South Africa, Turkey and India; although the Chinese currency remained strong. The Trading Program suffered from its initially fairly large "long carry" and "short euro" positions. The Trading Program's positions anticipating a further strengthening of currencies of resource-rich countries, such as Canada, Mexico, Russia, Australia and New Zealand, also suffered. Although most of these positions were phased out over the course of May, losses prevailed. Eventually, the biggest risk concentration in the currency markets became "long U.S. dollar", both versus Europe and versus emerging countries. Losses were posted to the Fund at the end of the quarter. The "long carry" positions were largely phased out in May, so further losses on these positions remained limited in June. Greater were the losses due to a wide zigzag of the U.S. dollar versus the Western European currencies (euro, British pound, Swiss franc): from a stronger dollar to a weaker dollar and back to a stronger dollar again, the Trading Program that started at the beginning of June with a long dollar position was not unaffected. The weakness of the currencies of emerging economies (e.g. Brazil, Turkey, Russia, India and Thailand) and positions profiting from the falling exchange rates of the currencies of Australia and New Zealand was not enough to offset the losses in the other currency markets.



(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.)


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