** **

**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 March 31, 2011**

 

**OR**

 

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

 

**For the transition period from                  to             **

 

**Commission File Number 0-52384**

 

**ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC**

(Exact Name of Registrant as specified in its charter)

 

| **Delaware**                    | ** ** | **30-0408288**                    |
|---------------------------------|------------|-----------------------------------|
| (State or other jurisdiction of |       | (IRS Employer Identification No.) |
| incorporation or organization)  |       |                              |

 

**c/o Merrill Lynch Alternative Investments LLC**

**Four World Financial Center, 10****th**** Floor**

**250 Vesey Street**

**New York, New York 10080**

(Address of principal executive offices)

(Zip Code)

 

**212-449-3517**

(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 o     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. (Check one):

 

| Large accelerated filer o                |   | Accelerated filer o       |
|-----------------------------------------------|--------|--------------------------------|
|                                          |   |                           |
| Non-accelerated filer x                       |   | Small reporting company o |
| (Do not check if a smaller reporting company) |   |                           |

 

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

 

As of March 31, 2011, 164,679,557 units of limited liability company interest were outstanding.

 

 

 

----

 

**ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR MARCH 31, 2011 ON FORM 10-Q

 

Table of Contents

 
| ** ** | ** **                                                                                   | **PAGE** |
|------------|----------------------------------------------------------------------------------------------|----------|
|       | PART I                                                                                  |     |
|       |                                                                                         |     |
| Item   1.  | Financial   Statements                                                                       | 1        |
|       |                                                                                         |     |
| Item   2.  | Management’s   Discussion and Analysis of Financial Condition and Results of Operations | 15       |
|       |                                                                                         |     |
| Item   3.  | Quantitative   and Qualitative Disclosures About Market Risk                                 | 21       |
|       |                                                                                         |     |
| Item   4.  | Controls   and Procedures                                                                    | 25       |
|       |                                                                                         |     |
|       | PART II                                                                                 |     |
|       |                                                                                         |     |
| Item   1.  | Legal   Proceedings                                                                          | 25       |
|       |                                                                                         |     |
| Item   1A. | Risk   Factors                                                                               | 25       |
|       |                                                                                         |     |
| Item   2.  | Unregistered   Sales of Equity Securities and Use of Proceeds                                | 26       |
|       |                                                                                         |     |
| Item   3.  | Defaults   Upon Senior Securities                                                            | 26       |
|       |                                                                                         |     |
| Item   4.  | (Removed   and Reserved)                                                                     | 26       |
|       |                                                                                         |     |
| Item   5.  | Other   Information                                                                          | 26       |
|       |                                                                                         |     |
| Item   6.  | Exhibits                                                                                     | 27       |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item 1.    Financial Statements

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 
| ** **                                                                                                 | ** ** | **March 31,** | ** **  | **December 31 ,** | ** ** |
|------------------------------------------------------------------------------------------------------------|------------|--------------------|-------------|-----------------------------|------------|
| ** **                                                                                                 | ** ** | **2011**           | ** **  | **2010**                    | ** ** |
| **ASSETS:**                                                                                                |       |               |        |                        |       |
| Equity in commodity trading accounts:                                                                      |       |               |        |                        |       |
| Cash (including restricted cash of $30,362,154 for   2011 and $30,894,537 for 2010)                        |       | $                  | 253,499,925 |                        | $          | 248,920,843 |   |
| Net unrealized profit on open futures contracts                                                            |       | 8,650,905          |        | 9,574,957                   |       |
| Cash and cash equivalents                                                                                  |       | 360,127            |        | 353,576                     |       |
| Accrued interest recievable                                                                                |       | 66,384             |        | 68,936                      |       |
|                                                                                                       |       |               |        |                        |       |
| **TOTAL ASSETS**                                                                                           |       | $                  | 262,577,341 |                        | $          | 258,918,312 |   |
|                                                                                                       |       |               |        |                        |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                                 |       |               |        |                        |       |
| LIABILITIES:                                                                                               |       |               |        |                        |       |
| Sponsor and Advisory fees payable                                                                          |       | $                  | 453,812     |                        | $          | 2,012,779 |   |
| Redemptions payable                                                                                        |       | 813,720            |        | 356,780                     |       |
| Net unrealized loss on open futures contracts                                                              |       | 694,529            |        | 308,321                     |       |
| Other liabilities                                                                                          |       | 242,016            |        | 280,632                     |       |
|                                                                                                       |       |               |        |                        |       |
| Total liabilities                                                                                          |       | 2,204,077          |        | 2,958,512                   |       |
|                                                                                                       |       |               |        |                        |       |
| MEMBERS’ CAPITAL:                                                                                     |       |               |        |                        |       |
| Members’ Interest (164,679,557 Units and 159,458,717   Units outstanding; unlimited Units authorized) |       | 260,373,264        |        | 255,959,800                 |       |
| Total members’ capital                                                                                |       | 260,373,264        |        | 255,959,800                 |       |
|                                                                                                       |       |               |        |                        |       |
| **TOTAL LIABILITIES AND MEMBERS’   CAPITAL**                                                          |       | $                  | 262,577,341 |                        | $          | 258,918,312 |   |
| ** **                                                                                                 | ** ** | ** **         | ** **  | ** **                  | ** ** |
| **NET ASSET VALUE PER UNIT:**                                                                              |       |               |        |                        |       |
| ** **                                                                                                 | ** ** | ** **         | ** **  | ** **                  | ** ** |
| Class A                                                                                               |       | $                  | 1.3119      |                        | $          | 1.3296 |   |
| Class C                                                                                               |       | $                  | 1.2239      |                        | $          | 1.2436 |   |
| Class D                                                                                               |       | $                  | 1.0630      |                        | $          | 1.0733 |   |
| Class I                                                                                               |       | $                  | 1.3105      |                        | $          | 1.3268 |   |
| Class DS                                                                                              |       | $                  | 1.6285      |                        | $          | 1.6443 |   |
| Class DT                                                                                              |       | $                  | 1.7211      |                        | $          | 1.7338 |   |

 

See notes to financial statements.

 

1

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three months   ended** | ** ** | **For the three months   ended** | ** ** |
|----------------------------------------------|------------|-------------------------------------------------|------------|-------------------------------------------------|------------|
| ** **                                   | ** ** | **March 31, 2011**                    | ** ** | **March 31, 2010**                    | ** ** |
| **TRADING PROFIT (LOSS):**                   | ** ** | ** **                                      | ** ** | ** **                                      | ** ** |
|                                         |       |                                            |       |                                            |       |
| Realized, net                                |       | $                                               | 451,829    |                                            | $          | 224,397 |   |
| Change in unrealized, net                    |       | (1,310,260                                      | )          | 18,044,510                                      |       |
| Brokerage commissions                        |       | (301,065                                        | )          | (413,130                                        | )          |
|                                         |       |                                            |       |                                            |       |
| Total trading profit (loss)                  |       | (1,159,496                                      | )          | 17,855,777                                      |       |
|                                         |       |                                            |       |                                            |       |
| **INVESTMENT INCOME:**                       |       |                                            |       |                                            |       |
| Interest                                     |       | (365                                            | )          | (542                                            | )          |
|                                         |       |                                            |       |                                            |       |
| **EXPENSES:**                                |       |                                            |       |                                            |       |
| Management fee                               |       | 1,195,168                                       |       | 1,074,877                                       |       |
| Sponsor fee                                  |       | 151,447                                         |       | 107,888                                         |       |
| Other                                        |       | 165,230                                         |       | 134,414                                         |       |
| Total expenses                               |       | 1,511,845                                       |       | 1,317,179                                       |       |
|                                         |       |                                            |       |                                            |       |
| **NET INVESTMENT LOSS**                      |       | (1,512,210                                      | )          | (1,317,721                                      | )          |
|                                         |       |                                            |       |                                            |       |
| **NET INCOME (LOSS)**                        |       | $                                               | (2,671,706 | )                                               | $          | 16,538,056 |   |
|                                         |       |                                            |       |                                            |       |
| **NET INCOME (LOSS) PER UNIT:**              |       |                                            |       |                                            |       |
|                                         |       |                                            |       |                                            |       |
| Weighted average number of Units outstanding |       |                                            |       |                                            |       |
| Class A                                 |       | 4,409,161                                       |       | 2,329,421                                       |       |
| Class C                                 |       | 16,187,012                                      |       | 14,474,474                                      |       |
| Class D                                 |       | 2,000,000                                       |       | 2,000,000                                       |       |
| Class I                                 |       | 1,071,353                                       |       | 467,877                                         |       |
| Class DS                                |       | 113,298,345                                     |       | 117,925,319                                     |       |
| Class DT                                |       | 25,718,353                                      |       | 43,255,346                                      |       |
|                                         |       |                                            |       |                                            |       |
| Net income (loss) per weighted average Unit  |       |                                            |       |                                            |       |
| Class A                                 |       | $                                               | (0.0312    | )                                               | $          | 0.0700 |   |
| Class C                                 |       | $                                               | (0.0207    | )                                               | $          | 0.0577 |   |
| Class D                                 |       | $                                               | (0.0103    | )                                               | $          | 0.0592 |   |
| Class I                                 |       | $                                               | (0.0170    | )                                               | $          | 0.0585 |   |
| Class DS                                |       | $                                               | (0.0163    | )                                               | $          | 0.0947 |   |
| Class DT                                |       | $                                               | (0.0120    | )                                               | $          | 0.0978 |   |

 

See notes to financial statements.

 

2

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC (a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL For the three months ended March 31, 2011 and 2010(unaudited) (in Units)

 
| ** **                | ** ** | **Members’ Capital   December 31, 2009** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital   March 31, 2010** | ** ** | **Members’ Capital   December 31, 2010** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital   March 31, 2011** | ** ** |
|---------------------------|------------|--------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------------------------------------|------------|--------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------------------------------------|------------|
| Class A              |       | 2,271,823                                                    |       | 213,010           |       | (175,723        | )          | 2,309,110                                                 |       | 3,458,026                                                    |       | 2,394,062         |       | (44,760         | )          | 5,807,328                                                 |       |
| Class C              |       | 14,482,763                                                   |       | 971,941           |       | (2,127,817      | )          | 13,326,887                                                |       | 15,140,200                                                   |       | 1,745,793         |       | (120,696        | )          | 16,765,297                                                |       |
| Class D              |       | 2,000,000                                                    |       | —            |       | —          |       | 2,000,000                                                 |       | 2,000,000                                                    |       | —            |       | —          |       | 2,000,000                                                 |       |
| Class I              |       | 502,000                                                      |       | 9,298             |       | (73,703         | )          | 437,595                                                   |       | 911,417                                                      |       | 185,155           |       | (8,956          | )          | 1,087,616                                                 |       |
| Class DS             |       | 109,221,404                                                  |       | 10,301,091        |       | (5,896,208      | )          | 113,626,287                                               |       | 111,667,815                                                  |       | 3,235,806         |       | (660,664        | )          | 114,242,957                                               |       |
| Class DT             |       | 43,327,942                                                   |       | 84,676            |       | (3,289,578      | )          | 40,123,040                                                |       | 26,281,259                                                   |       | —            |       | (1,504,900      | )          | 24,776,359                                                |       |
|                      |       |                                                         |       |              |       |            |       |                                                      |       |                                                         |       |              |       |            |       |                                                      |       |
| Total Members’ Units |       | 171,805,932                                                  |       | 11,580,016        |       | (11,563,029     | )          | 171,822,919                                               |       | 159,458,717                                                  |       | 7,560,816         |       | (2,339,976      | )          | 164,679,557                                               |       |

 

See notes to financial statements.

 

3

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the three months ended March 31, 2011 and 2010

(unaudited)

 
| ** **                  | ** ** | **Members’ Capital   December 31, 2009** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income   (Loss)** | ** **  | **Members’ Capital   March 31, 2010** | ** ** | **Members’ Capital   December 31, 2010** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income   (Loss)** | ** ** | **Members’ Capital   March 31, 2011** | ** ** |
|-----------------------------|------------|--------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|------------------------------|-------------|-----------------------------------------------------------|------------|--------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|------------------------------|------------|-----------------------------------------------------------|------------|
| Class A                |       | $                                                            | 2,598,931   |              | $          | 233,997         |       | $                            | (193,039    | )                                                         | $          | 163,116                                                      |       | $                 | 2,803,005   |            | $          | 4,597,909                    |       | $                                                         | 3,217,671  |   | $ | (59,257 | ) | $ | (137,534 | ) | $ | 7,618,789 |   |
| Class C                |       | 15,651,574                                                   |        | 1,019,138         |       | (2,261,418      | )          | 834,933                      |        | 15,244,227                                                |       | 18,827,816                                                   |       | 2,176,222         |        | (149,222        | )          | (335,118                     | )          | 20,519,698                                                |       |
| Class D                |       | 1,819,381                                                    |        | —            |       | —          |       | 118,434                      |        | 1,937,815                                                 |       | 2,146,621                                                    |       | —            |        | —          |       | (20,624                      | )          | 2,125,997                                                 |       |
| Class I                |       | 570,784                                                      |        | 9,999             |       | (79,686         | )          | 27,390                       |        | 528,487                                                   |       | 1,209,298                                                    |       | 246,004           |        | (11,829         | )          | (18,184                      | )          | 1,425,289                                                 |       |
| Class DS               |       | 152,211,382                                                  |        | 14,032,875        |       | (8,751,742      | )          | 11,165,669                   |        | 168,658,184                                               |       | 183,611,518                                                  |       | 5,363,793         |        | (1,082,366      | )          | (1,852,015                   | )          | 186,040,930                                               |       |
| Class DT               |       | 63,048,634                                                   |        | 116,743           |       | (5,052,540      | )          | 4,228,514                    |        | 62,341,351                                                |       | 45,566,638                                                   |       | —            |        | (2,615,846      | )          | (308,231                     | )          | 42,642,561                                                |       |
| ** **                  | ** ** | ** **                                                   | ** **  | ** **        | ** ** | ** **      | ** ** | ** **                   | ** **  | ** **                                                | ** ** | ** **                                                   | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                   | ** ** | ** **                                                | ** ** |
| Total Members’ Capital |       | $                                                            | 235,900,686 |              | $          | 15,412,752      |       | $                            | (16,338,425 | )                                                         | $          | 16,538,056                                                   |       | $                 | 251,513,069 |            | $          | 255,959,800                  |       | $                                                         | 11,003,690 |   | $ | (3,918,520 | ) | $ | (2,671,706 | ) | $ | 260,373,264 |   |

 

See notes to financial statements.

 

4

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 (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** | ** ** |
|-------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                               |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                              |       | $                | 1.3296     |             | $          | 1.2436           |       | $                | 1.0733     |              | $          | 1.3268            |       | $ | 1.6443 |   | $ | 1.7338 |   |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net Realized and net change in unrealized trading   profit (loss) |       | (0.0036          | )          | (0.0033          | )          | (0.0029          | )          | (0.0036          | )          | (0.0045           | )          | (0.0048           | )          |
| Brokerage commissions                                             |       | (0.0015          | )          | (0.0014          | )          | (0.0012          | )          | (0.0015          | )          | (0.0019           | )          | (0.0020           | )          |
| Interest income                                                   |       | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000           | )          | (0.0000           | )          |
| Expenses                                                          |       | (0.0126          | )          | (0.0150          | )          | (0.0062          | )          | (0.0112          | )          | (0.0094           | )          | (0.0059           | )          |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                    |       | $                | 1.3119     |             | $          | 1.2239           |       | $                | 1.0630     |              | $          | 1.3105            |       | $ | 1.6285 |   | $ | 1.7211 |   |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                              |       | -1.34            | %          | -1.59            | %          | -0.97            | %          | -1.24            | %          | -0.97             | %          | -0.72             | %          |
| Performance fees                                                  |       | -0.02            | %          | -0.02            | %          | -0.02            | %          | -0.02            | %          | -0.02             | %          | -0.04             | %          |
| Total return after Performance fees                               |       | -1.36            | %          | -1.61            | %          | -0.99            | %          | -1.26            | %          | -0.99             | %          | -0.76             | %          |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’   Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                             |       | 0.94             | %          | 1.19             | %          | 0.56             | %          | 0.84             | %          | 0.56              | %          | 0.31              | %          |
| Performance fees                                                  |       | 0.01             | %          | 0.01             | %          | 0.01             | %          | 0.01             | %          | 0.01              | %          | 0.03              | %          |
| Expenses (including Performance fees)                             |       | 0.95             | %          | 1.20             | %          | 0.57             | %          | 0.85             | %          | 0.57              | %          | 0.34              | %          |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                      |       | -0.94            | %          | -1.20            | %          | -0.57            | %          | -0.84            | %          | -0.57             | %          | -0.34             | %          |

 

----

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

 

See notes to financial statements.

 

5

----

 

ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2010 (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** | ** ** |
|-------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                               |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                              |       | $                | 1.1440     |             | $          | 1.0807           |       | $                | 0.9097     |              | $          | 1.1369            |       | $ | 1.3936 |   | $ | 1.4551 |   |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net Realized and net change in unrealized trading   profit (loss) |       | 0.0823           |       | 0.0776           |       | 0.0657           |       | 0.0819           |       | 0.1007            |       | 0.1054            |       |
| Brokerage commissions                                             |       | (0.0019          | )          | (0.0018          | )          | (0.0015          | )          | (0.0019          | )          | (0.0023           | )          | (0.0024           | )          |
| Interest income                                                   |       | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000           | )          | (0.0000           | )          |
| Expenses                                                          |       | (0.0105          | )          | (0.0126          | )          | (0.0050          | )          | (0.0092          | )          | (0.0077           | )          | (0.0043           | )          |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                    |       | $                | 1.2139     |             | $          | 1.1439           |       | $                | 0.9689     |              | $          | 1.2077            |       | $ | 1.4843 |   | $ | 1.5538 |   |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                              |       | 6.11             | %          | 5.85             | %          | 6.51             | %          | 6.22             | %          | 6.51              | %          | 6.78              | %          |
| Performance fees                                                  |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Total return after Performance fees                               |       | 6.11             | %          | 5.85             | %          | 6.51             | %          | 6.22             | %          | 6.51              | %          | 6.78              | %          |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’   Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                             |       | 0.94             | %          | 1.19             | %          | 0.56             | %          | 0.84             | %          | 0.56              | %          | 0.31              | %          |
| Performance fees                                                  |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Expenses (including Performance fees)                             |       | 0.94             | %          | 1.19             | %          | 0.56             | %          | 0.84             | %          | 0.56              | %          | 0.31              | %          |
|                                                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                      |       | -0.94            | %          | -1.19            | %          | -0.56            | %          | -0.84            | %          | -0.56             | %          | -0.31             | %          |

 

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

 

See notes to financial statements.

 

6

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ML TRANSTREND DTP ENHANCED FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML Transtrend DTP Enhanced FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized under the Delaware Limited Liability Company Act on March 8, 2007 and commenced trading activities on April 2, 2007. The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 2 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit) as of the beginning of each calendar month. The Fund engages in the speculative trading of commodity futures contracts, options on futures and forward contracts on a wide range of commodities. Transtrend B.V. (“Transtrend” or “trading advisor”) is the trading advisor of the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) is the Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.

 

The Program is a group of commodity pools sponsored by MLAI (each pool is a “Program Fund” or collectively, “Program Funds”) each of which places substantially all of its assets in a managed futures or forward trading account managed by a single or multiple commodity trading advisors. Each Program Fund is generally similar in terms of fees, Classes of Units and redemption rights.  Each of the Program Funds implements a different trading strategy.

 

As of March 31, 2011 the Fund offers six Classes of Units:  Class A, Class C, Class D, Class DS, Class DT and Class I.  Each Class of Units, except for Class DT offered at $1.1117, was offered at $1.00 per Unit during the initial offering period and subsequently is offered at Net Asset Value per Unit.  The six Classes of Units are subject to different sponsor fees.

 

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, Bank of America or any of its affiliates or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

 

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 March 31, 2011 and the results of its operations for the three months ended March 31, 2011 and 2010.  However, the operating results for the interim period may not be indicative of the results for the full year.

 

7

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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 Annual Report on Form 10-K filed with the Securities and Exchange Commission for the period ended December 31, 2010.

 

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.

 

8

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2.               CONDENSED SCHEDULE OF INVESTMENTS

 

The Fund’s investments, defined as Net unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of March 31, 2011 and December 31, 2010 are as follows:

 

**March 31, 2011**

 
| ** **                  | ** ** | **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                 |       | 864                     |       | $                        | 474,948    |                           | 0.18       | %                  | (335       | )                      | $          | 327,496 |   | 0.13 | % | $ | 802,444 |   | 0.31 | % | April 11 -   February 12 |   |
| Currencies                  |       | 1,275                   |       | 1,348,459                |       | 0.52                           | %          | (1,066             | )          | 1,802,636              |       | 0.69 | % | 3,151,095 |   | 1.21 | % | Junel 11 |   |
| Energy                      |       | 189                     |       | 439,726                  |       | 0.17                           | %          | (7                 | )          | (16,460                | )          | -0.01 | % | 423,266 |   | 0.16 | % | April 11 -   December 12 |   |
| Interest   rates            |       | 4,453                   |       | (2,040,675               | )          | -0.78                          | %          | (3,326             | )          | 1,911,307              |       | 0.73 | % | (129,368 | ) | -0.05 | % | April 11 -   June 14 |   |
| Metals                      |       | 1,088                   |       | 2,546,781                |       | 0.98                           | %          | (595               | )          | (1,219,344             | )          | -0.47 | % | 1,327,437 |   | 0.51 | % | April 11 -   February 12 |   |
| Stock   indices             |       | 1,743                   |       | 2,367,924                |       | 0.91                           | %          | (44                | )          | 13,578                 |       | 0.01 | % | 2,381,502 |   | 0.91 | % | April 11 -   August 11 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 5,137,163  |                           | 1.97       | %                  |       |                   | $          | 2,819,213 |   | 1.08 | % | $ | 7,956,376 |   | 3.06 | % |   |   |

 

**December 31, 2010**

 
| ** **                  | ** ** | **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                 |       | 1,833                   |       | $                        | 2,141,844  |                           | 0.84       | %                  | (103       | )                      | $          | (88,116 | ) | -0.03 | % | $ | 2,053,728 |   | 0.81 | % | February 11 -   February 12 |   |
| Currencies                  |       | 1,694                   |       | 2,107,599                |       | 0.82                           | %          | (1,210             | )          | 2,412,863              |       | 0.94 | % | 4,520,462 |   | 1.76 | % | March 11 |   |
| Energy                      |       | 657                     |       | 1,274,637                |       | 0.50                           | %          | (396               | )          | (1,182,550             | )          | -0.46 | % | 92,087 |   | 0.04 | % | January 11 -   November 11 |   |
| Interest   rates            |       | 2,190                   |       | 174,275                  |       | 0.07                           | %          | (1,729             | )          | (474,801               | )          | -0.19 | % | (300,526 | ) | -0.12 | % | January 11 - December 13 |   |
| Metals                      |       | 667                     |       | 5,050,247                |       | 1.97                           | %          | (271               | )          | (2,467,106             | )          | -0.96 | % | 2,583,141 |   | 1.01 | % | January 11 -   October 11 |   |
| Stock   indices             |       | 2,533                   |       | 189,573                  |       | 0.07                           | %          | (128               | )          | 128,171                |       | 0.05 | % | 317,744 |   | 0.12 | % | January 11 -   May 11 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 10,938,175 |                           | 4.27       | %                  |       |                   | $          | (1,671,539 | ) | -0.65 | % | $ | 9,266,636 |   | 3.62 | % |   |   |

 

No individual contract’s unrealized profit or loss comprised greater than 5% of the Partners’ Capital as of March 31, 2011 and December 31, 2010.

 

9

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3.               FAIR VALUE OF INVESTMENTS

 

The Financial Accounting Standards Board (“FASB”) issued the Accounting Standards Codification (“ASC”) which provides authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.

 

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.  Gains or losses are realized when contracts are liquidated.  Unrealized gains or losses on open contracts are included in Equity in a commodity trading account.  Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Operations.

 

The fair value measurement guidance established a hierarchal 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, 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

 

10

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significance of a particular input to the Fair Value Measurement in its entirety requires judgment, and considers factors specific to the investment.

 

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 it trades such investments.  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 by the Fund as inputs into its process for determining fair values.

 

The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.

 

The Fund has determined that Level I securities would include all of 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 quoted prices of securities with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II securities. The Fund determined that Level II securities would include its forward and certain futures contracts.

 

The Fund’s net unrealized profit (loss) on open forward and futures contracts by the above fair value hierarchy levels as of March 31, 2011 and December 31, 2010 are as follows:

 
| **Net unrealized profit (loss) ** | ** ** | ** **      | ** ** | ** **             | ** ** | ** **              | ** ** | ** **         | ** ** |
|-------------------------------------------------------|------------|-----------------|------------|------------------------|------------|-------------------------|------------|--------------------|------------|
| **on open contracts**                       | ** ** | **Total ** | ** ** | **Level I ** | ** ** | **Level II ** | ** ** | **Level III** | ** ** |
|                                                  |       |            |       |                   |       |                    |       |               |       |
| Futures                                               |       |            |       |                   |       |                    |       |               |       |
| Long                                                  |       | $               | 5,137,163  |                   | $          | 4,525,201               |       | $                  | 611,962    |   | $ | — |   |
| Short                                                 |       | $               | 2,819,213  |                   | $          | 4,038,557               |       | $                  | (1,219,344 | ) | $ | — |   |
|                                                  |       | $               | 7,956,376  |                   | $          | 8,563,758               |       | $                  | (607,382   | ) | $ | — |   |
|                                                  |       |            |       |                   |       |                    |       |               |       |
| Forwards                                              |       |            |       |                   |       |                    |       |               |       |
| Long                                                  |       | $               | —     |                   | $          | —                  |       | $                  | —     |   | $ | — |   |
| Short                                                 |       | $               | —     |                   | $          | —                  |       | $                  | —     |   | $ | — |   |
|                                                  |       | $               | —     |                   | $          | —                  |       | $                  | —     |   | $ | — |   |
|                                                  |       |            |       |                   |       |                    |       |               |       |
| March 31, 2011                                   |       | $               | 7,956,376  |                   | $          | 8,563,758               |       | $                  | (607,382   | ) | $ | — |   |

 

11

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| **Net unrealized profit (loss) ** | ** ** | ** ** | ** ** | ** **       | ** ** | ** **        | ** ** | ** **         | ** ** |
|-------------------------------------------------------|------------|------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| **on open contracts**                       | ** ** | **Total**  | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|                                                  |       |       |       |             |       |              |       |               |       |
| Futures                                               |       |       |       |             |       |              |       |               |       |
| Long                                                  |       | $          | 10,938,175 |             | $          | 7,228,490         |       | $                  | 3,709,685  |   | $ | — |   |
| Short                                                 |       | $          | (1,671,539 | )                | $          | 795,567           |       | $                  | (2,467,106 | ) | $ | — |   |
|                                                  |       | $          | 9,266,636  |             | $          | 8,024,057         |       | $                  | 1,242,579  |   | $ | — |   |
|                                                  |       |       |       |             |       |              |       |               |       |
| Forwards                                              |       |       |       |             |       |              |       |               |       |
| Long                                                  |       | $          | —     |             | $          | —            |       | $                  | —     |   | $ | — |   |
| Short                                                 |       | $          | —     |             | $          | —            |       | $                  | —     |   | $ | — |   |
|                                                  |       | $          | —     |             | $          | —            |       | $                  | —     |   | $ | — |   |
|                                                  |       |       |       |             |       |              |       |               |       |
| December 31, 2010                                |       | $          | 9,266,636  |             | $          | 8,024,057         |       | $                  | 1,242,579  |   | $ | — |   |

 

The Fund’s volume of trading futures as of the period and year ended March 31, 2011 and December 31, 2010, respectively, are representative of the activity throughout these periods. There were no  transfers to or from Level I or II during the quarter ended March 31, 2011.

 

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 guidance for derivatives and hedging activities. The fair value amounts of and the gains and losses on derivative instruments is 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 following table indicates the trading gains and losses, by commodity industry sector on derivative instruments for each of the three month periods ended March 31, 2011 and 2010:

 
| ** **                              | ** ** | **For the three months ended** | ** ** | **For the three months ended** | ** ** |
|-----------------------------------------|------------|----------------------------------------------------|------------|----------------------------------------------------|------------|
| ** **                              | ** ** | **March 31, 2011**                       | ** ** | **March 31, 2010**                       | ** ** |
| **Commodity Industry Sector** | ** ** | **Gain (loss) from trading**        | ** ** | **Gain (loss) from trading**        | ** ** |
|                                    |       |                                               |       |                                               |       |
| Agriculture                             |       | $                                                  | (1,769,166 | )                                                  | $          | 41,027 |   |
| Currencies                              |       | (969,175                                           | )          | 6,505,908                                          |       |
| Energy                                  |       | (184,790                                           | )          | 5,668,384                                          |       |
| Interest rates                          |       | (1,529,184                                         | )          | 5,804,484                                          |       |
| Metals                                  |       | 2,761,541                                          |       | 226,488                                            |       |
| Stock indices                           |       | 832,343                                            |       | 22,616                                             |       |
|                                    |       |                                               |       |                                               |       |
| Total                                   |       | $                                                  | (858,431   | )                                                  | $          | 18,268,907 |   |

 

12

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The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse or MLPF&S.  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 be presented on 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 Net unrealized profit (loss) 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 they will, in fact, succeed in doing so.  These procedures focus primarily on monitoring the trading of Transtrend, 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 Transtrend 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 ongoing process of advisor monitoring, with the market risk controls being applied by Transtrend.

 

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 provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange.  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 trading, and counterparties may also require margin in the over-the-counter markets.

 

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit on open contracts, if any, included in the Statements of Financial Condition. The

 

13

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Fund attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.

 

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its commodity broker.  Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Equity in commodity trading accounts in the Statements of Financial Condition.

 

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 third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. 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 expected the risk of loss to be remote and, therefore, no provision has been recorded.

 

5.     RELATED PARTY TRANSACTIONS

 

Starting in June of 2010, the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a related party of Merrill Lynch through MLAI. The agreement calls for a fee to be paid based on the collective net assets of funds managed or sponsored by MLAI with a minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. The fee is payable monthly in arrears. MLAI allocates the Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets. The Transfer Agent fee, which was determined at 0.02% of aggregate asset level, allocated to the Fund for the quarter ended March 31, 2011 amounted to $13,785, of which $8,749 was payable to the Transfer Agent as of March 31, 2011.

 

6.     SUBSEQUENT EVENTS

 

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

 

14

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

 

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 throughout the period 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 close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Fund’s “Net Asset Value” as of any calculation date will generally equal the value of the Fund’s account under the management of its trading advisor as of such date, plus any other assets held by the Fund, minus accrued brokerage commissions, sponsor’s, management and performance fees, and any operating costs and other liabilities of the Fund. MLAI is authorized to make all Net Asset Value determinations.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2010       |       | $        | 1.0816     |     | $          | 1.0975   |       | $ | 1.2139 |   |
| 2011       |       | $        | 1.3232     |     | $          | 1.3463   |       | $ | 1.3119 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2010       |       | $        | 1.0209     |     | $          | 1.0351   |       | $ | 1.1439 |   |
| 2011       |       | $        | 1.2365     |     | $          | 1.2571   |       | $ | 1.2239 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2010       |       | $        | 0.8612     |     | $          | 0.8749   |       | $ | 0.9689 |   |
| 2011       |       | $        | 1.0694     |     | $          | 1.0895   |       | $ | 1.0630 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2010       |       | $        | 1.0754     |     | $          | 1.0915   |       | $ | 1.2077 |   |
| 2011       |       | $        | 1.3208     |     | $          | 1.3444   |       | $ | 1.3105 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2010       |       | $        | 1.3193     |     | $          | 1.3403   |       | $ | 1.4843 |   |
| 2011       |       | $        | 1.6383     |     | $          | 1.6690   |       | $ | 1.6285 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2010       |       | $        | 1.3787     |     | $          | 1.4019   |       | $ | 1.5538 |   |
| 2011       |       | $        | 1.7290     |     | $          | 1.7625   |       | $ | 1.7211 |   |

 

15

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Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods or services.  The Fund’s assets are its (i) equity in its trading account, consisting of cash and cash equivalents and (restricted cash) and (ii) interest receivable. Because of the low margin deposits normally required in commodity futures trading relatively small price movements may result in substantial losses to the Fund.  While substantial losses could lead to a material decrease in liquidity, no such material losses occurred during the first quarter of 2011 and there was no impact on the Fund’s liquidity.

 

The Fund’s capital consists of the capital contributions of the members as increased or decreased by gains or losses on trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

 

For the three months ended March 31, 2011, Fund capital increased 1.72% from $255,959,800 to $260,373,264.  This increase was attributable to the net loss from operations of $2,671,706 coupled with the redemption of 2,339,976 Redeemable Units resulting in an outflow of $3,918,520.  The cash outflow was offset with cash inflow of $11,003,690 due to subscription of 7,560,816 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.  Gains or losses are realized when contracts are liquidated.  Unrealized gains or losses on open contracts are included as a component of equity in a commodity trading account on the Statements of Financial Condition.  Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Operations.

 

Cash and Cash Equivalents

 

The Fund considered all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. Cash equivalents were recorded at amortized cost, as provided by the investment manager of the cash equivalent, which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.

 

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.  The Fund did not apply the deferral allowed for nonfinancial assets and nonfinancial liabilities measured at fair value on a nonrecurring basis. For more information on our fair value, see Note 3, Fair Value of Investments.

 

16

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Futures Contracts

 

The Fund trades futures contracts.  A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash.  Payments (“variation margin”) may be made or received by the Fund each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Fund.  When the contract is closed, the Fund records a realized gain 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 gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Operations.

 

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 gain 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 gains (losses) and changes in unrealized gains (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 Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

 

Income Taxes

 

No provision for income taxes has been made in the accompanying financial statements as the 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.  MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2007.

 

17

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Results of Operations

 

January 1, 2011 through March 31, 2011

 

The Fund experienced a net trading loss of $858,431 before brokerage commissions and related fees in the first quarter of 2011. The Fund’s profits were primarily attributable to metals and stock indices posting profits. The energy, currencies, interest rates and agriculture sectors posted losses.

 

The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter which was offset with profits posted to the Fund in the middle of the quarter. Textbook positions profited in February from political unrest are the trading program’s long positions in metals in comparing the price of gold with the value of the “commodity-rich” South African equity index (JSE Top 40) is illustrative. These markets jointly move up in an inflationary environment driven by a commodity shortage. The trading program will have long position in both markets in this environment, taking into account their strong correlation for the purpose of determining position sizes. Profits were posted to the Fund at the end of the quarter. Long positions in base metals resulted in losses posted to the Fund which was offset by positions in silver which continue to offer diversification.

 

The stock indices posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The restored confidence in the stability of the euro zone had a positive influence on the southern European stock markets. Positions in Italian equities earned profits. “Agricultural-rich” stock indices (Food & Beverage (Europe), Nifty, Bovespa) were remarkably weak. Through the steady and continuous rise of many other stock markets, the stock indices sector resulted in profits posted to the Fund. Profits were posted to the Fund in the middle of the quarter. The political unrest has a negative impact on stocks of emerging economies especially in the trading program’s long positions in Taiwan resulted in losses posted which were offset by profits in the European, Canadian and United States equities markets. Losses were posted to the Fund at the end of the quarter. At the time of the earthquake, the trading program had a very marginal position in Japanese equities, which is (systematically) closed that same day. Losses occurred in other countries, especially within Europe, for example with positions in insurers. Even through some recovery in the second half of the month and profits earned in South Korea and Thailand was not enough to offset losses posted to the Fund.

 

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. In the oil markets, Texas oil lost on the North Sea variant over the course of the month. Although the Texan flavor did jump up in the last two days of the month in response to the unrest in Egypt, nearly all of the trading program’s earnings in oil markets were achieved outside of the United States. Profits were posted to the Fund in the middle of the quarter due to the trading program’s long positions in crude oil. Losses were posted to the Fund at the end of the quarter. When Germany shuts down some of its nuclear reactors in response to the difficulties experienced in Japan, the trading program’s positions in electricity, carbon emissions and Rotterdam coal result in profits for the Fund only to be offset by losses in the trading program’s short positions in natural gas.

 

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The revival in the euro resulted in losses on the trading program’s short positions versus many emerging market currencies. Commodity-rich currencies exhibited different price behaviors. The oil-rich currencies, such as those of Russia and Mexico, remained strong, while the metal- and agricultural-rich currencies, such as those of Chile, South Africa and Australia, weakened. Profits were posted to the

 

18

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Fund in the middle of the quarter. The currencies of emerging markets were also impacted by the political events, resulting in losses on positions in the Korean won and the Mexican peso with the Indonesian rupiah remaining exceptionally strong. Also, profits were posted to the Fund from the strength of various peripheral European currencies including the British pound, Norwegian and Swedish “crowns”, Hungarian forint, Romanian leu and Russian ruble. Profits were posted to the Fund at the end of the quarter. The Japanese yen responded to the tsunami with a huge swing. The Japanese yen shot up extremely for a number of days, and then in response to successful interventions, fell just as extremely. The trading program’s short positions versus various non United States currencies, losses were locked during the rise. The trading program’s long positions against the U.S. dollar resulted in losses after the intervention. Measured by the extremity of the swing, the total damage actually remained limited, mainly through DTP not reacting too hastily. Although long positions in British pounds suffered unfortunate results, various other short U.S. dollar positions offset losses resulting in profits posted to the Fund.

 

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The revival in the euro was accompanied by falling euro interest rate futures. Losses resulted from the trading program’s long positions on the shorter end of the yield curve (euribor, German short term government paper). Losses were posted to the Fund in the middle of the quarter. The flight to safe bond markets is unfavorable for a number of “long inflation” positions that anticipate rising interest rates. The trading program could not identify enough profitable trends to compensate for these losses. Losses were posted to the Fund at the end of the quarter. The trading program could not find any significant trends in the interest rate markets, resulting in limited positions with a near zero result.

 

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the trading program’s positions in wheat and hogs. Losses were posted to the Fund in the middle of the quarter due to various agricultural markets that had large price movements. Losses were posted to the Fund at the end of the quarter. The turn in the commodities markets in March resulted in losses in the trading program’s long positions in corn, sugar and cocoa.

 

January 1, 2010 through March 31, 2010

 

The Fund experienced a net trading profit before brokerage commissions and related fees of $18,268,907 for the first quarter of 2010.  The profits were primarily attributable to the Fund trading in currencies, interest rates, energy, metals, agriculture and stock indices sectors.

 

The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter as sales in Japanese yen versus various commodity-linked currencies performed badly due to the fall in commodity prices. The U.S. dollar unexpectedly appreciated against numerous other currencies and on balance this also delivered a negative contribution. Euro sales against the Russian ruble, the Turkish lira, the Mexican peso and the Australian dollar were however successful which was not enough to offset losses. The financial crisis in Greece and other Southern European countries pressed heavily on the euro in February. Therefore, sales of the euro against the Russian ruble, the Japanese yen, the Mexican peso and the Australian dollar resulted in profits being posted to the Fund in the middle of the quarter. The United Kingdom also had to face financial problems and sales in the British pound also resulted in profits being posted to the Fund. Positions in the Canadian dollar against the Japanese yen produced losses for the Fund which was not enough to offset profits. The search in the interest rate markets, resulting in different choices in different countries, ensured for many good trends in the currency markets. In particular, profits were achieved through the strength of the Mexican peso, the Canadian and Australian dollars, the South African rand and the Russian ruble. Many Asian currencies, such as those from Indonesia, Malaysia, India and the Philippines, also performed very well. The quarter ended with profits being posted to the Fund.

 

19

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The interest rate sector posted profits to the Fund.  During the month of January, interest rates fell in both Europe and the United States. The sector was positioned correctly expecting lower interest rates in the United Kingdom, Germany and the United States which resulted in profits being posted to the Fund at the beginning of the first quarter. Increasing concerns about various economies in Europe resulted in European money market interest rates dropping during the month of February. The sector was positioned correctly anticipating declining interest rates and a flatter yield curve in Europe resulting in profits being posted to the Fund in the middle of the quarter. The global interest rate markets were dominated by a political quest to find the right balance. On the one hand, the quest was to stimulate the economy with low interest rates but with rising budget deficits; on the other hand, the quest was to strive to prevent new bubbles and implement (forced) tighter budget policy. Where this pursuit pointed to a certain direction, as in South Korea, Australia and Italy, gains were earned from the resulting trends. Elsewhere, the outcome was a variety of limited losses resulting in losses being posted to the Fund at the end of the quarter.

 

The energy sector posted profits to the Fund. Purchases of crude oil, gasoline, heating oil and gas oil all lost money after prices fell due to less favorable economic outlooks. Therefore, losses were posted to the Fund at the beginning of the quarter. Most energy market prices turned mid-February, so losses were felt on short positions in crude oil, gas oil and gasoline. Natural gas prices did however continue falling so short positions earned good results but not enough to offset losses being posted to the Fund in the middle of the quarter. Significantly lower electricity prices were seen in March and, associated with this, a decline in gas prices. On the opposite side, prices of crude oil and its derivatives in fact rose resulting in profits being posted to the Fund at the end of the quarter.

 

The metals sector posted profits to the Fund.  Various metal prices depreciated in January which led to losses on long positions in copper, aluminum and silver resulting in losses being posted to the Fund. Gold purchases were profitable but not enough to offset losses being posted to the Fund in the middle of the quarter. The commodity markets experienced a variety of different trends with base metals prices increasing resulting in profits. The quarter ended with profits being posted to the Fund

 

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Long positions in corn performed disappointingly due to corn prices collapsing after it became known that the United States corn harvest in 2009 was higher than expected. These losses were partially compensated through gains earned with soybeans and wheat sales. With sugar prices continuing their rise in January, long positions were profitable. The increase in sugar prices came to an end in early February and existing long positions suffered. Short positions in soybeans also yielded a loss resulting in losses being posted to the Fund in the middle of the quarter. The commodity markets experienced a variety of different trends. Also, base metals and cattle prices increased, while the grain markets weakened. Through this mixture of trends and their diversifying character, the agriculture sector posted profits to the Fund at the end of the quarter.

 

Stock indices posted profits to the Fund.  The stock markets continued their way upwards during the beginning of 2010. The enthusiasm did waver after President Obama announced that banks’ abilities to take on risk would be restricted. A sizable correction followed, so profits already earned in several indices evaporated. The losses suffered were especially felt in Australia, South Korea, Hong Kong and Canada. The sector closed with losses being posted to the Fund in January. During the beginning of February the stock markets fell further, but then recovered and stabilized. Small losses were posted to the Fund with positions in the Australian, Swedish and Turkish indices. On the contrary, sales in the Italian index produced a small profit. In general there seemed to be a lack of clear trends in this sector which resulted in losses being posted to the Fund in the middle of the quarter. The returning confidence in a recovering global economy was accompanied by gently rising equity markets and a falling expected volatility. Profits were posted to the Fund through purchases in particular in the United States, Canada, Mexico, Japan, Thailand, Malaysia, Sweden, Hungary,

 

20

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Switzerland, United Kingdom, Germany and several European sector indices. Also, selling positions in the volatility index generated gains. The quarter ended with profits being posted to the Fund.

 

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

 

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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 three months ended March 31, 2011 and 2010 the Fund’s average Month-end Net Asset Value was $258,420,500 and $239,276,583 respectively.

 

**March 31, 2011**

 
| ** **               | ** ** | **Average Value** | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------------|------------|------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**   | ** ** | **at Risk**       | ** ** | **Capitalization**         | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|                     |       |                   |       |                       |       |                   |       |                  |       |
| Agricultural Commodities |       | $                      | 2,456,968  |                       | 0.95       | %                      | $          | 2,900,050             |       | $ | 2,012,248 |   |
| Currencies               |       | 9,648,197              |       | 3.73                       | %          | 11,388,125             |       | 7,901,839             |       |
| Energy                   |       | 1,295,979              |       | 0.50                       | %          | 1,529,692              |       | 1,061,402             |       |
| Interest Rates           |       | 396,106                |       | 0.15                       | %          | 467,539                |       | 324,409               |       |
| Metals                   |       | 4,064,420              |       | 1.57                       | %          | 4,797,386              |       | 3,328,746             |       |
| Stock Indices            |       | 7,291,815              |       | 2.82                       | %          | 8,606,799              |       | 5,971,970             |       |
|                     |       |                   |       |                       |       |                   |       |                  |       |
| Total                    |       | $                      | 25,153,485 |                       | 9.72       | %                      | $          | 29,689,591            |       | $ | 20,600,614 |   |

 

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**March 31, 2010**

 
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|--------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                     |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural Commodities |       | $                           | 2,304,497  |                       | 0.96       | %                      | $          | 3,226,130             |       | $ | 1,461,117 |   |
| Currencies               |       | 7,447,175                   |       | 3.11                       | %          | 10,425,510             |       | 4,721,722             |       |
| Energy                   |       | 9,419,325                   |       | 3.94                       | %          | 13,186,378             |       | 5,972,121             |       |
| Interest Rates           |       | 5,387,872                   |       | 2.25                       | %          | 7,542,633              |       | 3,416,064             |       |
| Metals                   |       | 2,148,691                   |       | 0.90                       | %          | 3,008,013              |       | 1,362,331             |       |
| Stock Indices            |       | 3,288,252                   |       | 1.37                       | %          | 4,603,316              |       | 2,084,845             |       |
|                     |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                    |       | $                           | 29,995,812 |                       | 12.53      | %                      | $          | 41,991,980            |       | $ | 19,018,200 |   |

 

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

 

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

 

Non-Trading Risk

 

Foreign Currency Balances; Cash on Deposit with MLPF&S

 

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

 

The Fund also has non-trading market risk on the approximately 90%-95% of its assets which are held in cash at MLPF&S or BlackRock. 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. This cash flow risk is immaterial.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

The following qualitative disclosures regarding the Fund’s market risk exposures -- except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures -- constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and Transtrend for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, and an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such

 

23

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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 March 31, 2011, by market sector.

 

Interest Rates

 

Interest rate risk is the principal market exposure of the Fund.  Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries.

 

However, the Fund also takes positions in the government debt of smaller nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.

 

Currencies

 

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

 

Stock Indices

 

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

 

Metals

 

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

 

Agricultural Commodities

 

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of March 31, 2011. However, it is anticipated that the Fund will maintain an emphasis on cotton, grains and sugar, in which the Fund has historically taken its largest positions.

 

Energy

 

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

 

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Qualitative Disclosures Regarding Non-Trading Risk Exposure

 

The following were the only non-trading risk exposures of the Fund as of March 31, 2011..

 

Foreign Currency Balances

 

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

 

U.S. Dollar Cash Balance

 

The Fund holds U.S. dollars only in cash at MLPF&S or BlackRock. 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.

 

Item 4. Controls and Procedures

 

MLAI, the Sponsor of ML Transtrend DTP Enhanced FuturesAccess LLC, with the participation of the Sponsor’s Chief Executive Officer and the Chief Financial Officer, has 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 of 1934) with respect to the Fund as of the end of the period covered by this quarterly report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended March 31, 2011 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 Annual Report on Form 10-K for the year ended December 31, 2010, filed with the Securities and Exchange Commission on March 15, 2011.

 

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

 

(a)       Issuance to accredited investors pursuant to Regulation D and Section 4(6) under the Securities Act.  The selling agent of the following Class of Units was MLPF&S.

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** **      | ** ** |
|------------|------------|------------------|------------|-----------------|------------|
| ** ** | ** ** | **Amount ** | ** ** | **Units ** | ** ** | **NAV (1)** | ** ** |
| Jan-11     |       | $                | 248,623    |            | 186,991    |   | $ | 1.3296 |   |
| Feb-11     |       | 133,573          |       | 100,947         |       | 1.3232 |   |
| Mar-11     |       | 2,835,475        |       | 2,106,124       |       | 1.3463 |   |
| Apr-11     |       | 1,115,380        |       | 850,202         |       | 1.3119 |   |
|            |            |                  |            |                 |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** **      | ** ** |
|------------|------------|------------------|------------|-----------------|------------|
| ** ** | ** ** | **Amount ** | ** ** | **Units ** | ** ** | **NAV (1)** | ** ** |
| Jan-11     |       | $                | 534,604    |            | 429,884    |   | $ | 1.2436 |   |
| Feb-11     |       | 756,991          |       | 612,205         |       | 1.2365 |   |
| Mar-11     |       | 884,627          |       | 703,704         |       | 1.2571 |   |
| Apr-11     |       | 1,052,270        |       | 859,768         |       | 1.2239 |   |
|            |            |                  |            |                 |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** **      | ** ** |
|------------|------------|------------------|------------|-----------------|------------|
| ** ** | ** ** | **Amount ** | ** ** | **Units ** | ** ** | **NAV (1)** | ** ** |
| Jan-11     |       | $                | —     |            | —     |   | $ | 1.0733 |   |
| Feb-11     |       | —           |       | —          |       | 1.0694 |   |
| Mar-11     |       | —           |       | —          |       | 1.0895 |   |
| Apr-11     |       | —           |       | —          |       | 1.0630 |   |
|            |            |                  |            |                 |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** **      | ** ** |
|------------|------------|------------------|------------|-----------------|------------|
| ** ** | ** ** | **Amount ** | ** ** | **Units ** | ** ** | **NAV (1)** | ** ** |
| Jan-11     |       | $                | 199,823    |            | 150,605    |   | $ | 1.3268 |   |
| Feb-11     |       | 14,999           |       | 11,356          |       | 1.3208 |   |
| Mar-11     |       | 31,182           |       | 23,194          |       | 1.3444 |   |
| Apr-11     |       | —           |       | —          |       | 1.3105 |   |
|            |            |                  |            |                 |            |  |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** **      | ** ** |
|------------|------------|------------------|------------|-----------------|------------|
| ** ** | ** ** | **Amount ** | ** ** | **Units ** | ** ** | **NAV (1)** | ** ** |
| Jan-11     |       | $                | 2,447,633  |            | 1,488,556  |   | $ | 1.6443 |   |
| Feb-11     |       | —           |       | —          |       | 1.6383 |   |
| Mar-11     |       | 2,916,160        |       | 1,747,250       |       | 1.6690 |   |
| Apr-11     |       | 505,731          |       | 310,550         |       | 1.6285 |   |
|            |            |                  |            |                 |            |  |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** **      | ** ** |
|------------|------------|------------------|------------|-----------------|------------|
| ** ** | ** ** | **Amount ** | ** ** | **Units ** | ** ** | **NAV (1)** | ** ** |
| Jan-11     |       | $                | —     |            | —     |   | $ | 1.7338 |   |
| Feb-11     |       | —           |       | —          |       | 1.7290 |   |
| Mar-11     |       | —           |       | —          |       | 1.7625 |   |
| Apr-11     |       | —           |       | —          |       | 1.7211 |   |
|            |            |                  |            |                 |            |  |  |  |  |

 

----

(1)          Beginning of the month Net Asset Value

 

Class A Units are subject to sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.50%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amount. Class C, Class DS and Class DT Units are not subject to any sales commissions.

 

(b)   Not applicable.

(c)   Not applicable.

 

Item 3.           Defaults Upon Senior Securities

 

None.

 

Item 4.           (Removed and Reserved)

 

Item 5.           Other Information

 

None.

 

26

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Item 6.            Exhibits

 

The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:

 

31.01 and

31.02               Rule 13a-14(a)/15d-14(a) Certifications

 

Exhibit 31.01

and 31.02       Are filed herewith.

 

32.01 and

32.02               Section 1350 Certifications

 

Exhibit 32.01

and 32.02       Are filed herewith.

 

27

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**SIGNATURES**

 

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

 
|                      | ML   TRANSTREND DTP ENHANCED FUTURESACCESS LLC |
|---------------------------|------------------------------------------------|
|                      |                                           |
|                      |                                           |
|                      | By:                                            | MERRILL   LYNCH ALTERNATIVE |
|                      |                                           | INVESTMENTS   LLC |
|                      |                                           | (Manager) |
|                      |                                           |
|                      |                                           |
| Date: May 13, 2011   | By:                                            | /s/ JUSTIN C. FERRI |
|                      |                                           | Justin   C. Ferri |
|                      |                                           | Chief   Executive Officer, President and Manager |
|                      |                                           | (Principal   Executive Officer) |
|                      |                                           |   |
|                      |                                           |   |
| Date:   May 13, 2011 | By:                                            | /s/   BARBRA E. KOCSIS |
|                      |                                           | Barbra   E. Kocsis |
|                      |                                           | Chief   Financial Officer |
|                      |                                           | (Principal   Financial and Accounting Officer) |

 

28

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