UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended September 30, 2009
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: 000-53217
Man-AHL 130, LLC
(Exact name of registrant as specified in charter)
Delaware | 84-1676365 | |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) | |
c/o Man Investments (USA) Corp. 123 North Wacker Drive 28th Floor Chicago, Illinois | 60606 | |
(Address of principal executive offices) | (Zip Code) | |
(312) 881-6800
(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 [ ]
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, 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 [ ] No [ ]
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 definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
Large Accelerated Filer [ ] Accelerated Filer [ ]
Non-Accelerated Filer [ ] Smaller reporting company [X]
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes [ ] No [X]
PART I – FINANCIAL INFORMATION
ITEM 1. Financial Statements
Man-AHL 130, LLC
STATEMENTS OF FINANCIAL CONDITION (a)
STATEMENTS OF OPERATIONS (b)
STATEMENTS OF CHANGES IN MEMBERS’ EQUITY (c)
STATEMENTS OF CASH FLOWS (c)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
(a) | At September 30, 2009 (unaudited) and March 31, 2009 |
(b) | For the three months ended September 30, 2009 and 2008 (unaudited) and for the six months ended September 30, 2009 and 2008 (unaudited) |
(c) | For the six months ended September 30, 2009 and 2008 (unaudited) |
2
STATEMENTS OF FINANCIAL CONDITION
ASSETS: | September 30, 2009(Unaudited) | March 31, 2009 | ||||||
Equity in forwards and commodity futures trading accounts: Net unrealized trading gains on open Derivatives contracts | $ | 1,289,652 | $ | 414,026 | ||||
Due from broker | 2,794,184 | 2,645,663 | ||||||
Investment in Man-Glenwood Lexington, LLC, at fair value (cost $3,451,942 and $6,490,273, respectively) | 3,156,795 | 5,691,325 | ||||||
Investment in Man-Glenwood Lexington TEI, LLC, at fair value (cost $4,575,457 and $4,837,500, respectively) | 4,387,086 | 4,455,049 | ||||||
Cash and cash equivalents | 16,639,504 | 19,860,608 | ||||||
Advance subscription to Man-Glenwood Lexington LLC | 76,513 | - | ||||||
Advance subscription to Man-Glenwood Lexington TEI, LLC | 84,387 | - | ||||||
Redemption receivable from Man-Glenwood Lexington, LLC | 1,463,816 | 101,560 | ||||||
Redemption receivable from Man-Glenwood Lexington TEI, LLC | 135,945 | - | ||||||
Expense reimbursement receivable | -- | 240,424 | ||||||
Interest receivable | 322 | 171 | ||||||
TOTAL | $ | 30,028,204 | $ | 33,408,826 | ||||
LIABILITIES & MEMBERS’ EQUITY: | ||||||||
Equity in forwards and commodity futures trading accounts: | ||||||||
Net unrealized trading losses on open derivatives contracts | $ | -- | $ | 405,974 | ||||
Redemptions payable | 3,791,630 | 156,281 | ||||||
Accrued professional fees payable | 291,578 | 89,875 | ||||||
Subscriptions received in advance | 122,000 | 744,666 | ||||||
Management fees payable | 103,097 | 115,512 | ||||||
Accrued administrative fees payable | 87,500 | 62,500 | ||||||
Client servicing fees payable | 27,259 | 22,960 | ||||||
Other liabilities | 35,364 | 2,803 | ||||||
Total liabilities | 4,458,428 | 1,600,571 | ||||||
MEMBERS’ EQUITY | ||||||||
Class A Series 1 Members | ||||||||
(9,148.628 and 6,099.598 units outstanding, respectively) | 1,149,805 | 802,089 | ||||||
Class A Series 2 Members | ||||||||
(74,171.432 and 126,703.991 units outstanding, respectively) | 9,586,506 | 17,027,572 | ||||||
Class B Series 1 Members | ||||||||
(57,051.299 and 48,348.641 units outstanding, respectively) | 7,183,016 | 6,379,233 | ||||||
Class B Series 2 Members | ||||||||
(59,085.382 and 56,356.575 units outstanding, respectively) | 7,650,449 | 7,599,361 | ||||||
Total Members’ equity | 25,569,776 | 31,808,255 | ||||||
TOTAL | $ | 30,028,204 | $ | 33,408,826 | ||||
NET ASSET VALUE PER UNIT OUTSTANDING – CLASS A SERIES 1 MEMBERS | $ | 125.68 | $ | 131.50 | ||||
NET ASSET VALUE PER UNIT OUTSTANDING – CLASS A SERIES 2 MEMBERS | $ | 129.25 | $ | 134.39 | ||||
NET ASSET VALUE PER UNIT OUTSTANDING – CLASS B SERIES 1 MEMBERS | $ | 125.90 | $ | 131.94 | ||||
NET ASSET VALUE PER UNIT OUTSTANDING – CLASS B SERIES 2 MEMBERS | $ | 129.48 | $ | 134.84 |
See notes to financial statements
3
MAN-AHL 130, LLC | ||||||||||||||||
STATEMENTS OF OPERATIONS (UNAUDITED) | ||||||||||||||||
For the three | For the three | For the six | For the six | |||||||||||||
months ended | months ended | months ended | months ended | |||||||||||||
September 30, 2009 | September 30, 2008 | September 30, 2009 | September 30, 2008 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income | $ | 19,904 | $ | 92,056 | $ | 40,177 | $ | 177,590 | ||||||||
EXPENSES: | ||||||||||||||||
Management fees | 197,878 | 196,302 | 421,637 | 370,780 | ||||||||||||
Incentive fees | - | - | - | 272,111 | ||||||||||||
Client serciving fees | 27,275 | 12,330 | 52,647 | 19,826 | ||||||||||||
Brokerage commission | 23,360 | 34,999 | 46,688 | 66,667 | ||||||||||||
Professional fees | 117,250 | 87,250 | 234,500 | 174,500 | ||||||||||||
Administrative fees | 37,500 | 37,500 | 75,000 | 75,500 | ||||||||||||
Other | 36,622 | 2,909 | 63,073 | 5,855 | ||||||||||||
TOTAL EXPENSES | 439,885 | 371,290 | 893,545 | 984,739 | ||||||||||||
Less reimbursed expenses | - | (92,646 | ) | - | (186,568 | ) | ||||||||||
Net expenses | 439,885 | 278,644 | 893,545 | 798,171 | ||||||||||||
NET INVESTMENT LOSS | (419,981 | ) | (186,588 | ) | (853,368 | ) | (620,581 | ) | ||||||||
NET REALIZED AND UNREALIZED GAINS | ||||||||||||||||
(LOSSES) ON INVESTMENT AND FOREIGN | ||||||||||||||||
CURRENCY: | ||||||||||||||||
Net realized trading losses on closed | ||||||||||||||||
derivatives contracts and foreign currency | ||||||||||||||||
transactions | (148,676 | ) | (2,713,236 | ) | (2,267,164 | ) | (1,323,999 | ) | ||||||||
Net change in unrealized trading gains (losses) on open | ||||||||||||||||
derivatives contracts and translations of assets | ||||||||||||||||
and liabilities denominated in foreign currencies | 1,133,913 | (175,766 | ) | 1,281,600 | (46,419 | ) | ||||||||||
Net realized losses on investment in | ||||||||||||||||
Man-Glenwood Lexington, LLC | (136,838 | ) | (33,762 | ) | (286,529 | ) | (33,762 | ) | ||||||||
Net realized losses on investment in | ||||||||||||||||
Man-Glenwood Lexington TEL, LLC | (5,828 | ) | -- | (15,293 | ) | -- | ||||||||||
Net change in unrealized (depreciation) on | ||||||||||||||||
investment in Man-Glenwood Lexington, LLC | 230,854 | (720,413 | ) | 503,801 | (645,508 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on | ||||||||||||||||
investment in Man-Glenwoor Lexington TEL, LLC | 93,272 | (279,394 | ) | 194,080 | (273,449 | ) | ||||||||||
NET REALIZIED AND UNREALIZED GAINS (LOSSES) | ||||||||||||||||
ON INVESTMENTS AND FOREIGN CURRENCY | ||||||||||||||||
1,166,697 | (3,922,571 | ) | (589,505 | ) | (2,323,137 | ) | ||||||||||
Net income (loss) | $ | 746,716 | $ | (4,109,159 | ) | $ | (1,442,873 | ) | $ | (2,943,718 | ) | |||||
Net income (loss) per unit outstanding-Class A Series 1 | $ | 3.04 | $ | (18.59 | ) | $ | (4.30 | ) | $ | (17.57 | ) | |||||
Net income (loss) per unit outstanding-Class A Series 2 | $ | 3.50 | $ | (19.01 | ) | $ | (6.74 | ) | $ | (13.20 | ) | |||||
Net income (loss) per unit outstanding-Class B Series 1 | $ | 2.91 | $ | (16.47 | ) | $ | (5.50 | ) | $ | (17.48 | ) | |||||
Net income (loss) per unit outstanding-Class B Series 2 | $ | 3.39 | $ | (17.07 | ) | $ | (5.52 | ) | $ | (16.14 | ) | |||||
See notes to financial statements. | ||||||||||||||||
4
MAN-AHL 130, LLC
STATEMENTS OF CHANGES IN MEMBERS' EQUITY (UNAUDITED)
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2009
CLASS A SERIES 1 | CLASS A SERIES 2 | CLASS B SERIES 1 | CLASS B SERIES 2 | TOTAL | ||||||||||||||||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||||||||||||||
Members' equity at April 1, 2009 | $ | 802,089 | 6,099.598 | $ | 17,027,572 | 126,703.991 | $ | 6,379,233 | 48,348.641 | $ | 7,599,361 | 56,356.575 | $ | 31,808,255 | 237,508.805 | |||||||||||||||||||||||||
Subscriptions | 758,666 | 5,941.460 | 65,000 | 486.642 | 1,525,077 | 10,865.537 | 1,592,910 | 12,310.030 | 3,941,653 | 29,603.669 | ||||||||||||||||||||||||||||||
Redemptions | (363,518 | ) | (2,892.430 | ) | (6,749,392 | ) | (53,019.201 | ) | (412,730 | ) | (2,162.879 | ) | (1,211,619 | ) | (9,581.223 | ) | (8,737,259 | ) | (67,655.733 | ) | ||||||||||||||||||||
Net loss | (47,432 | ) | — | (756,674 | ) | — | (308,564 | ) | — | (330,203 | ) | — | (1,442,873 | ) | — | |||||||||||||||||||||||||
Members' equity at September 30, 2009 | $ | 1,149,805 | 9,148.628 | $ | 9,586,506 | 74,171.432 | $ | 7,183,016 | 57,051.299 | $ | 7,650,449 | 59,085.382 | $ | 25,569,776 | 199,456.741 | |||||||||||||||||||||||||
NET ASSET VALUE PER UNIT OUTSTANDING AT SEPTEMBER 30, 2009 | $ | 125.68 | $ | 129.25 | $ | 125.90 | $ | 129.48 | ||||||||||||||||||||||||||||||||
FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2008
CLASS A SERIES 1 | CLASS A SERIES 2 | CLASS B SERIES 1* | CLASS B SERIES 2* | TOTAL | ||||||||||||||||||||||||||||||||||||
Amount | Units | Amount | Units | Amount | Units | Amount | Units | Amount | Units | |||||||||||||||||||||||||||||||
Members' equity at April 1, 2008 | $ | 348,997 | 2,647.132 | $ | 20,059,635 | 150,751.032 | $ | — | — | $ | — | — | $ | 20,408,632 | 153,398.164 | |||||||||||||||||||||||||
Subscriptions | 436,900 | 3,329.940 | 835,416 | 6,367.289 | 4,516,230 | 35,057.408 | 5,504,343 | 41,854.254 | 11,292,889 | 86,608.891 | ||||||||||||||||||||||||||||||
Redemptions | — | — | — | — | — | — | (125,000 | ) | (1,038.430 | ) | (125,000 | ) | (1,038.430 | ) | ||||||||||||||||||||||||||
Net income | (79,525 | ) | — | (2,036,806 | ) | — | (361,255 | ) | — | (466,162 | ) | — | (2,943,718 | ) | — | |||||||||||||||||||||||||
Members' equity at September 30, 2008 | $ | 706,372 | 5,977.072 | $ | 18,858,245 | 157,118.321 | $ | 4,155,005 | 35,057.408 | $ | 4,913,181 | 40,815.824 | $ | 28,632,803 | 238,968.625 | |||||||||||||||||||||||||
NET ASSET VALUE PER UNIT OUTSTANDING AT SEPTEMBER 30, 2008 | $ | 118.18 | $ | 120.03 | $ | 118.52 | $ | 120.37 |
*Class B Series 1 and Class B Series 2 commenced trading on April 1, 2008.
See notes to financial statements.
5
MAN-AHL 130, LLC
STATEMENTS OF CASH FLOWS (UNAUDITED)
For the six months ended September 30, 2009 | For the six months ended September 30, 2008 | |||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||
Net loss | $ | (1,442,873 | ) | $ | (2,943,718 | ) | ||
Adjustments to reconcile net loss to Net cash used in operating activities: Net change in unrealized trading gains (losses) on open derivatives contracts and translation of assets and liabilities denominated in foreign currencies | (1,281,600 | ) | 46,419 | |||||
Purchase of investment in Man-Glenwood Lexington, LLC | (76,513 | ) | (594,000 | ) | ||||
Sale of investment in Man-Glenwood Lexington, LLC | 1,389,546 | 160,000 | ||||||
Purchase of investment in Man-Glenwood Lexington TEI, LLC | (121,387 | ) | (3,094,500 | ) | ||||
Sale of investment in Man-Glenwood Lexington TEI, LLC | 147,805 | - | ||||||
Net realized losses on investment in Man-Glenwood Lexington, LLC | 286,529 | 33,762 | ||||||
Net realized losses on investment in Man-Glenwood Lexington TEI, LLC | 15,293 | - | ||||||
Net change in unrealized (appreciation) depreciation on investment in Man-Glenwood Lexington, LLC | (503,801 | ) | 645,508 | |||||
Net change in unrealized (appreciation) depreciation on investment in Man-Glenwood Lexington TEI, LLC | (194,080 | ) | 273,449 | |||||
Changes in: | ||||||||
Due from broker | (148,521 | ) | (982,692 | ) | ||||
Expense reimbursement receivable | 240,424 | 21,444 | ||||||
Interest receivable | (151 | ) | 3,626 | |||||
Management fees payable | (12,415 | ) | (33,615 | ) | ||||
Incentive fees payable | -- | (598,100 | ) | |||||
Brokerage commissions payable | -- | (96,585 | ) | |||||
Accrued professional fees payable | 201,703 | 19,773 | ||||||
Accrued administrative fees payable | 25,000 | (36,371 | ) | |||||
Client servicing fees payable | 4,299 | 11,264 | ||||||
Other liabilities | 32,561 | - | ||||||
Net cash used in operating activities | (1,438,181 | ) | (7,164,336 | ) | ||||
FINANCING ACTIVITIES: | ||||||||
Capital subscriptions | 3,318,987 | 12,822,973 | ||||||
Capital redemptions | (5,101,910 | ) | -- | |||||
Net cash provided by (used in) financing activities | (1,782,923 | ) | 12,822,973 | |||||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | (3,221,104 | ) | 5,658,637 | |||||
CASH AND CASH EQUIVALENTS – Beginning of period | 19,860,608 | 13,883,114 | ||||||
CASH AND CASH EQUIVALENTS – End of period | $ | 16,639,504 | $ | 19,541,751 |
See notes to financial statements
6
MAN-AHL 130, LLC
(A Delaware Limited Liability Company)
NOTES TO FINANCIAL STATEMENTS (unaudited)
The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Man-AHL 130, LLC’s (the “Company”) financial condition at September 30, 2009 and the results of its operations for the three months ended September 30, 2009 and 2008 and six months ended September 30, 2009 and 2008. These financial statements present the results of interim periods and do not include all the disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Company’s annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended March 31, 2009. The March 31, 2009 information has been derived from the audited financial statements as of March 31, 2009.
1. | ORGANIZATION |
The Company offers Class A and Class B units. Class A and Class B units have substantially identical trading portfolios except that Class A units are offered to taxable investors and invest in Man-Glenwood Lexington, LLC (“MGL”), a registered investment company, and Class B units are offered to tax-exempt investors and invest in Man-Glenwood Lexington TEI, LLC (“TEI”), a registered investment company. |
The Company invests approximately thirty percent of its Class A share capital in MGL and thirty percent of its Class B share capital in TEI. The Company invests the majority of its remaining capital into a managed futures program (the “AHL Diversified Program”).
Man-AHL (USA) Limited, a limited liability company incorporated in the United Kingdom, manages the AHL Diversified Program. On April 21, 2008, the Company engaged Man Investments Limited, a company organized under the Laws of the United Kingdom, to manage the foreign currency forward component of the AHL Diversified Program, at no additional cost to the Company. The personnel of Man Investments Limited responsible for implementing the foreign currency forwards trading component of the AHL Diversified Program on behalf of the Company are the same as those of Man-AHL (USA) Limited who implement the AHL Diversified Program.
Man Investments (USA) LLC (“MI USA LLC”) (formerly known as Glenwood Capital Investments, LLC) acts as the Investment Adviser to MGL and TEI. MI USA LLC is an Illinois limited liability company and is registered with the CFTC as a commodity pool operator and with the SEC as an investment adviser. MI USA LLC is an affiliate of Man Investments (USA) Corp. (the “Managing Member”) and Man-AHL (USA) Limited, and is a subsidiary of Man Group plc.
MGL and TEI achieve their investment objective through an investment in Man-Glenwood Lexington Associates Portfolio, LLC (the “Portfolio Company” or “MGLAP”), which allocates its capital among a series of underlying funds. MI USA LLC acts as an investment adviser to the Portfolio Company in addition to the services it provides to MGL and TEI.
7
2. | SIGNIFICANT ACCOUNTING POLICIES |
The accompanying financial statements are prepared in accordance with accounting principles generally accepted in the United States of America. The following are significant accounting policies adopted by the Company. |
In June 2009, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Codification (“ASC”) 105, Generally Accepted Accounting Principles (“ASC 105”) (formerly Statement of Financial Accounting Standard (“SFAS”) No. 168, The FASB Accounting Standards Codification and the Hierarchy of Generally Accepted Accounting Principles-a replacement of FASB Statement No. 162,) which establishes the FASB Accounting Standards Codification (the “Codification”or “ASC”) as the source of authoritative U.S. generally accepted accounting principles recognized by the FASB to be applied by nongovernmental entities. This statement is effective for financial statements issued for interim and annual periods ending after September 15, 2009. On the effective date of this statement, the Codification superseded all then-existing non-SEC accounting and reporting standards. All other non-grandfathered non-SEC accounting literature not included in the Codification became non-authoritative. The adoption of ASC 105 required the Company to adjust references to authoritative accounting literature in the financial statements, but did not affect the Company’s financial position or results of operations. The Company has implemented the Codification as of September 30, 2009.
Use of Estimates — The preparation of financial statements requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the period. Actual results could differ from those estimates.
Due from broker – Due from broker consists of balances due from MF Global, Inc. (“MFG”), Credit Suisse, JPMorgan Chase and Royal Bank of Scotland. In general, the brokers pay the Company interest monthly, based on agreed upon rates, on the Company’s average daily balance.
MFG is registered with the CFTC as a futures commission merchant and is a member of the NFA.
Amounts due from broker include cash held at brokers and cash posted as collateral or variation margin. Included in due from broker on the statements of financial condition is $769,261 of cash restricted as collateral held or variation margin.
Investment in Man-Glenwood Lexington, LLC, and Man-Glenwood Lexington TEI, LLC — The Company values its investments in MGL and TEI at their net asset value, which approximates fair value, as provided by MGL and TEI, respectively. MGL and TEI invest all or substantially all of their investable assets through an investment in MGLAP. MGL and TEI value their investments in MGLAP at their pro rata interest in the net assets of that entity. Investments held by MGLAP are limited partnerships and other pooled vehicles (collectively, the “investment funds”) and are valued at fair value. The fair value of certain of the investments in the underlying investment funds, which may include private placements and other securities for which values are not readily available, are determined in good faith by the investment advisers of the respective underlying investment funds and are evaluated by MI USA LLC and adjusted, if appropriate, to reflect fair value. The fair values may differ significantly from the values that would have been used had a ready market existed for these investments, and these differences could be material. Net asset valuations are provided monthly or quarterly by these investment funds. Distributions received by MGLAP, which are identified by the underlying investment funds as a return of capital, whether in the form of cash or securities, are applied as a reduction of the investment’s carrying value.
8
The Company pays MGL and TEI approximately 2.25% per annum of its investment balance for management, investor servicing and administrative fees. These fees are deducted directly from the Company’s investment balance and, therefore, included in net realized gain (loss) or net change in unrealized appreciation in the statements of operations. Prior to January 1, 2009, such fees and expenses were approximately 3% per annum of the aggregate value of Man-AHL 130’s investment in MGL and TEI.
Expenses — Class A Series 1 and Class B Series 1 units are subject to a 1.25% per annum client servicing fee payable to Man Investments, Inc. (“MII”), calculated monthly and paid quarterly in arrears, on the month-end net asset value of Class A Series 1 and Class B Series 1 units, respectively, subject to a maximum aggregate commission receipt to MII of 10% of the subscription price of all units. Class A Series 2 and Class B Series 2 are not charged a client servicing fee.
The Company is responsible for paying its own operating expenses, including professional fees, administrative fees and custody fees. Prior to April 1, 2009, operating expenses in excess of 0.50% per annum of net asset value were reimbursed by the Managing Member. Effective April 1, 2009, these expenses are no longer reimbursed.
The Company pays the Managing Member a management fee at the rate of 0.75% per annum on the month-end net asset value of all outstanding units determined as of the end of each month (before the redemption of any units) and payable quarterly in arrears. The Company pays Man-AHL (USA) Limited a management fee of 2% per annum on the notional value of Company’s allocation to the AHL Diversified Program (the “AHL Account”), which approximates the Company’s net asset value, calculated and paid monthly. In addition, Man-AHL (USA) Limited is entitled to a monthly incentive fee of 20% of any “new net profits” attributable to the net asset value of the AHL Account, subject to a “high water mark”.
Derivative Contracts — The Company enters into derivative contracts (“derivatives”) for trading purposes. Derivatives traded by the Company include futures contracts and forward contracts. The Company records derivatives at fair value. Futures contracts, which are exchange-traded, are valued at the settlement price as of the valuation day, or if no sale occurred on such day, at the settlement price on the most recent date on which a sale occurred. Forward contracts, which are not exchange-traded, are valued at fair value using current market quotations provided by brokers.
Realized and unrealized changes in fair values are included in realized and unrealized gains and losses on investments and foreign currency transactions in the statements of operations. All trading activities are accounted for on a trade-date basis.
9
3. | FAIR VALUE MEASUREMENTS |
The Company segregates its investments into three levels based upon the inputs used to derive the fair value. “Level 1” investments use inputs from unadjusted quoted prices from active markets. “Level 2” investments reflect inputs other than quoted prices, but use observable market data. “Level 3” investments are valued using unobservable inputs. These unobservable inputs for “Level 3” investments reflect the Company’s assumption about the assumptions market participants would use in pricing the investments. |
Fair Value Measurements | ||||||||||||||||
Quoted Prices in | Significant Other | Significant Other | ||||||||||||||
Active Markets for | Observable | Unobservable | ||||||||||||||
Value as of | Identical Assets | Inputs | Inputs | |||||||||||||
Description | September 30, 2009 | (Level 1) | (Level 2) | (Level 3) | ||||||||||||
Net unrealized trading gains on open futures contracts | $ | 1,047,967 | $ | 1,047,967 | $ | — | $ | — | ||||||||
Net unrealized trading gains on open forward contracts | 241,685 | — | 241,685 | — | ||||||||||||
Investment in Man-Glenwood Lexington, LLC | 3,156,795 | — | — | 3,156,795 | ||||||||||||
Investment in Man-Glenwood Lexington TEI, LLC | 4,387,086 | — | — | 4,387,086 | ||||||||||||
Cash equivalents* | 13,917,722 | 13,917,722 | — | — | ||||||||||||
Total | $ | 22,751,255 | $ | 14,965,689 | $ | 241,685 | $ | 7,543,881 | ||||||||
* Represents money market fund included in cash and cash equivalents on statement of financial condition.
10
The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value (see Note 2):
Man-Glenwood Lexington, LLC | For the three months ended September 30, 2009 | Man-Glenwood Lexington TEI, LLC | For the three months ended September 30, 2009 | ||||||
Beginning Balance as of 7/1/09 | $ | 4,526,594 | Beginning Balance as of 7/1/09 | $ | 4,398,587 | ||||
Realized loss | (136,838 | ) | Realized loss | (5,828 | ) | ||||
Change in unrealized appreciation | 230,854 | Change in unrealized appreciation | 93,272 | ||||||
Net purchase/sales | (1,463,815 | ) | Net purchase/sales | (98,945 | ) | ||||
Net transfers in and/or out of Level 3 | — | Net transfers in and/or out of Level 3 | — | ||||||
Ending Balance as of 9/30/09 | $ | 3,156,795 | Ending Balance as of 9/30/09 | $ | 4,387,086 | ||||
Changes in unrealized gains (losses) Included in earnings related to Investments still held at reporting date | $ | 230,854 | Changes in unrealized gains (losses) Included in earnings related to Investments still held at reporting date | $ | 93,272 | ||||
Man-Glenwood Lexington, LLC | For the six months ended September 30, 2009 | Man-Glenwood Lexington TEI, LLC | For the six months ended September 30, 2009 | ||||||
Beginning Balance as of 4/1/09 | $ | 5,691,325 | Beginning Balance as of 4/1/09 | $ | 4,455,049 | ||||
Realized loss | (286,529 | ) | Realized loss | (15,293 | ) | ||||
Change in unrealized appreciation | 503,801 | Change in unrealized appreciation | 194,080 | ||||||
Net purchase/sales | (2,751,802 | ) | Net purchase/sales | (246,750 | ) | ||||
Net transfers in and/or out of Level 3 | — | Net transfers in and/or out of Level 3 | — | ||||||
Ending Balance as of 9/30/09 | $ | 3,156,795 | Ending Balance as of 9/30/09 | $ | 4,387,086 | ||||
Changes in unrealized gains (losses) Included in earnings related to Investments still held at reporting date | $ | 503,801 | Changes in unrealized gains (losses) Included in earnings related to Investments still held at reporting date | $ | 194,080 |
4. DERIVATIVE TRANSACTIONS
The Company has adopted the provisions of FASB ASC 815, Derivatives and Hedging (“ASC 815”) (formerly SFAS No. 161, Disclosures about Derivative Instruments and Hedging Activities, an amendment of FASB Statement No. 133 (“SFAS No. 133”)). ASC 815 intends to provide users of financial statements with an enhanced understanding of: (i) how and why an entity uses derivate instruments; (ii) how derivative instruments and related hedged items are accounted for under SFAS No. 133 and its related interpretations; and (iii) how derivative instruments and related hedged items affect an entity’s financial position, financial performance, and cash flows. Adoption of ASC 815 impacted disclosures only and had no impact on the Company’s financial condition, results of operations or cash flows.
The Company participates in the AHL Diversified Program directed on behalf of the Company by Man-AHL (USA) Limited. The AHL Diversified Program is a futures and forward price trend-following trading system, entirely quantitative in nature, and implements trading positions on the basis of statistical analyses of past price histories. The investment objective of the AHL Diversified Program is to deliver substantial capital growth for commensurate levels of volatility over the medium term, independent of the movement of the stock and bond markets, through the speculative trading, directly and indirectly, of physical commodities, futures contracts, spot and forward contracts, options on the foregoing, exchanges of futures for physical transactions and other
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investments on domestic and international exchanges and markets (including the interbank and OTC markets). The AHL Diversified Program trades globally in several market sectors, including, without limitation, currencies, bonds, energies, stocks indices, interest rates, metals and agriculture.
All the strategies and systems of the AHL Diversified Program are designed to target defined volatility levels rather than returns, and the investment process is underpinned by computer-supported analytical instruments and disciplined real-time risk and management information systems. A proprietary risk measurement method similar to the industry standard “value-at-risk” helps ensure that the rule-based decisions that drive the investment process remain within predefined risk parameters. Margin-to-equity ratios are monitored daily, and the level of exposure in each market is quantifiable at any time and is adjusted in accordance with market volatility. Market correlation is closely monitored to prevent over-concentration of risk and ensure optimal portfolio weightings. Market liquidity is examined with the objective of ensuring that the Company will be able to initiate and close out trades as indicated by AHL Diversified Program’s systems at market prices, while brokerage selection and trade execution are continually monitored with the objective of ensuring quality market access.
During the three months ended September 30, 2009, the Company traded 10,901 exchange traded future contracts and settled 5,974 OTC forward contracts. During the six months ended September 30, 2009, the Company traded 22,061 exchange traded future contracts and settled 9,849 OTC forward contracts.
For exchange-traded contracts, the clearing organization functions as the counterparty of specific transactions and, therefore, bears the risk of delivery to and from counterparties to specific positions, which mitigates the credit risk of these instruments. At September 30, 2009 and March 31, 2009, estimated credit risk with regard to forward contracts was $241,685 and $414,026, respectively.
The following table presents the fair value of the Company’s derivative instruments and statements of financial condition location.
Asset Derivatives | Liability Derivatives | ||||||
Derivatives not designated as hedging instruments | |||||||
September 30, 2009 | September 30, 2009 | ||||||
Statement of Financial Condition | Fair Value** | Statement of Financial Condition | Fair Value** | ||||
Open forward contracts | |||||||
Net unrealized trading gains on open forward contracts | $ 894,463 | Net unrealized trading losses on open forward contracts | $ (652,778) | ||||
Open futures contracts | Net unrealized trading gains on open futures contracts | 1,115,540 | Net unrealized trading losses on open futures contracts | (67,573) | |||
Total Derivatives | $ 2,010,003 | $ (720,351) | |||||
** Open forward and future contracts are presented on the gross basis for the purposes of the tables above. Net unrealized trading gains and losses are netted by counterparty and presented in the statement of financial condition in accordance with generally accepted accounting principles related to the right of offset.
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The following table presents the impact of derivative instruments on the statement of operations. The Company did not designate any derivatives as hedging instruments for the three months ended September 30, 2009 or six months ended September 30, 2009.
For the Three Months Ended September 30, 2009 | |||||
Derivatives not designated as hedging instruments | Location of gain (loss) recognized in Income on Derivatives | Gain (Loss) on Derivatives | |||
Forward Contracts | Net realized trading gains on closed contracts | $ | 69,947 | ||
Net change in unrealized trading gains (losses) on open contracts | 425,172 | ||||
Futures Contracts | Net realized trading losses on closed contracts | (218,623 | ) | ||
Net change in unrealized trading gains (losses) on open contracts | 708,741 | ||||
Total | $ | 985,237 | |||
For the Six Months Ended September 30, 2009 | |||||
Derivatives not designated as hedging instruments | Location of gain (loss) recognized in Income on Derivatives | Gain (Loss) on Derivatives | |||
Forward Contracts | Net realized trading gains on closed contracts | $ | (511,354 | ) | |
Net change in unrealized trading gains (losses) on open contracts | 647,659 | ||||
Futures Contracts | Net realized trading losses on closed contracts | (1,755,810 | ) | ||
Net change in unrealized trading gains (losses) on open contracts | 633,941 | ||||
Total | $ | (985,564 | ) | ||
5. SUBSEQUENT EVENT
Effective for interim and annual periods ending after June 15, 2009, the Company adopted the provisions of ASC 855, Subsequent Events (“ASC 855”) (formerly, SFAS No. 165, Subsequent Events), and has evaluated subsequent events through November 16, 2009, the date the financial statements were issued.
6. NEW ACCOUNTING PRONOUNCEMENT
In September 2009, the FASB issued Accounting Standard Update No. 2009-12, Investments in Certain Entities that Calculate Net Asset value per share (or its equivalent), an amendment of Fair Value Measurements and Disclosure (Topic 820), or ASU 2009-12. This amendment provides additional guidance on using the net asset value per share, provided by an investee, when estimating the fair value of an alternate investment that does not have a readily determinable fair value and enhances the disclosures concerning these investments. Examples of alternate investments, within the scope of this amendment, include investments in hedge funds, private equity funds, real estate funds, and venture capital partnerships. This amendment is effective for interim and annual periods ending after December 15, 2009. As of September 30, 2009, the fair value of the Company’s investment in Man-Glenwood Lexington, L.L.C. and Man-Glenwood Lexington TEI, L.L.C. was measured using the net asset value of the fund as reported by the fund’s investment advisor. The Company is currently evaluating the potential impact of this standard on its financial position and results of operations.
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ITEM 2. | Management's Discussion and Analysis of Financial Condition and Results of Operations |
Introduction
Reference is made to Item 1, “Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.
Operational Overview
Man-AHL 130, LLC (“Man-AHL 130”) is a speculative managed futures fund which trades pursuant to the AHL Diversified Program, directed on behalf of Man-AHL 130 by Man-AHL (USA) Limited and Man Investments Ltd. The AHL Diversified Program is a futures and forward price trend-following trading system, entirely quantitative in nature, and implements trading positions on the basis of statistical analyses of past price histories. The AHL Diversified Program is proprietary and confidential, so that substantially the only information that can be furnished regarding Man-AHL 130’s results of operations is contained in the performance record of its trading. Past performance is not necessarily indicative of its future results. Man Investments (USA) Corp., the managing member of Man-AHL 130 (the “Managing Member”) does believe, however, that there are certain market conditions, for example, markets with pronounced price trends, in which Man-AHL 130 has a greater likelihood of being profitable than in other market environments.
Capital Resources and Liquidity
Due to the low margins required to support futures and forward trading, only approximately 10% to 20% of the capital of a managed futures fund such as Man-AHL 130 is needed to margin its positions. Man-AHL 130 holds most of its capital in cash and cash equivalents while investing approximately 30% of such capital in Man-Glenwood Lexington, LLC or Man-Glenwood Lexington TEI, LLC (collectively, the “Man-Glenwood Funds”), registered investment companies managed by MI USA LLC both for profit potential and diversification purposes. Man-AHL 130’s investment in the Man-Glenwood Funds cannot be used to margin its futures trading and would be liquidated to the extent that the Managing Member was able to do so and deemed it advisable to do so to support Man-AHL 130’s futures trading. The Managing Member is under no obligation to maintain Man-AHL 130’s investment in the Man-Glenwood Funds, and may reduce or eliminate such investment at any time through the Man-Glenwood Funds’ quarterly tender process.
Man-AHL 130, not being an operating company, does not incur capital expenditures. It functions solely as a trading vehicle, and after its initial allocation to the AHL Diversified Program and the Man-Glenwood Funds, its remaining capital resources are used only as assets available to provide variation margin and pay expenses and trading losses incurred on Man-AHL 130’s AHL Diversified Program account, as well as invest in the Man-Glenwood Funds to maintain appropriate exposure.
The AHL Diversified Program generally maintains highly liquid positions, and the assets held by Man-AHL 130 to support the AHL Diversified Program’s trading are cash or highly-liquid Treasury bills, deposit accounts or other cash equivalents.
Because the Man-Glenwood Funds are closed-end registered investment companies, members of the Man-Glenwood Funds do not have the right to require the Man-Glenwood Funds to repurchase any or all of their units. To provide a limited degree of liquidity to investors, the Man-Glenwood Funds offer quarterly liquidity through discretionary tender offers for their units pursuant to written tenders. Repurchases will be made at such times, in such amounts, and on such terms as may be determined by the Man-Glenwood Funds’ boards, in their sole discretion. Under certain circumstances, such tender offers may not occur as scheduled or may not be sufficient to satisfy the full amount requested to be repurchased by Man-AHL 130. However, the Man-Glenwood Funds’ component of Man-AHL 130’s portfolio represents an allocation of only 30% of Man-AHL 130’s capital, and the Managing Member believes that
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any delays in receiving repurchase payments from the Man-Glenwood Funds are unlikely to adversely affect Man-AHL 130’s operations.
The Managing Member does not anticipate the need for additional sources of liquidity, given that generally approximately 70% of Man-AHL 130’s capital is held in cash and highly liquid cash equivalents, and, if necessary, Man-AHL 130 is expected to be able to liquidate part of its investment in the Man-Glenwood Funds through the Man-Glenwood Funds’ quarterly tender process. Other than potential market-imposed limitations on liquidity, due to, for example, daily price fluctuation limits inherent in futures trading, the majority of Man-AHL 130’s assets are highly liquid and are expected to remain so.
Man-AHL 130 will raise additional capital only through the sale of its Units and does not intend to raise any capital through borrowings. Due to the nature of the Man-AHL 130’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
There have been no material changes with respect to Man-AHL 130’s accounting principles, off-balance sheet arrangements or contractual obligations reported in Man-AHL 130’s Annual Report on Form 10-K for the fiscal year ended March 31, 2009.
Results of Operations
Man-AHL 130 was organized on April 14, 2005 under the Delaware Limited Liability Company
Act, and its Registration Statement under the Securities Act of 1933, as amended, became effective on February 1, 2007. Man-AHL 130 commenced trading operations April 2, 2007 in respect of its Class A Units. During its operations for the three months and six months ending September 30, 2009, Man-AHL 130 experienced no meaningful periods of illiquidity in any of the markets traded by the AHL Diversified Program.
Due to the nature of Man-AHL 130’s business activities being trading in the futures and forward markets and investing in the Man-Glenwood Funds, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year.
Period Ended September 30, 2009:
30-September-09 | ||||
Ending Equity (Class A Units) | $ | 10,736,311 | ||
Ending Equity (Class B Units) | 14,833,465 | |||
Ending Equity (Total) | $ | 25,569,776 |
Three months ended September 30, 2009:
Net assets attributable to Class A Units decreased $2,973,265 for the three months ended September 30, 2009. This decrease was attributable to subscriptions in the amount of $50,000, net redemptions in the amount of $3,400,785 and a net gain from operations of $377,520.
Net assets attributable to Class B Units increased $1,019,105 for the three months ended September 30, 2009. This increase was attributable to subscriptions in the amount of $1,181,655, net redemptions in the amount of $531,746 and a net gain from operations of $369,196.
Management Fees of $197,878, Client Servicing Fees of $27,275 (Series 1 Units only) and brokerage commissions of $23,360 were paid or accrued, and interest of $19,904 was earned or accrued on Man-AHL 130’s cash and cash equivalent investments, for the three months ended September 30, 2009.
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Man-AHL 130 paid administrative expenses for legal, audit, accounting and administration services, limited to 1/12 of 0.50% per month of Man-AHL 130’s month-end NAV through March 2009. Effective April 1, 2009, operating expenses in excess of 0.50% per annum of net asset value are no longer reimbursed by the Managing Member. Professional and administrative fees and other expenses, paid or accrued, for the three months ended September 30, 2009 were $191,372.
Six months ended September 30, 2009:
Net assets attributable to Class A Units decreased $7,093,350 for the six months ended September 30, 2009. This decrease was attributable to subscriptions in the amount of $823,666, net redemptions in the amount of $7,112,910 and a net loss from operations of $804,106.
Net assets attributable to Class B Units increased $854,871 for the six months ended September 30, 2009. This increase was attributable to subscriptions in the amount of $3,117,987, net redemptions in the amount of $1,624,349 and a net loss from operations of $638,767.
Management Fees of $421,637, Client Servicing Fees of $52,647 (Series 1 Units only) and brokerage commissions of $46,688 were paid or accrued, and interest of $40,177 was earned or accrued on Man-AHL 130’s cash and cash equivalent investments, for the six months ended September 30, 2009.
Man-AHL 130 paid administrative expenses for legal, audit, accounting and administration services, limited to 1/12 of 0.50% per month of Man-AHL 130’s month-end NAV through March 2009. Effective April 1, 2009, operating expenses in excess of 0.50% per annum of net asset value are no longer reimbursed by the Managing Member. Professional and administrative fees and other expenses, paid or accrued, for the six months ended September 30, 2009 were $372,573.
Three months ended September 30, 2009:
During the three month period ended September 30, 2009, the agricultural component of the AHL Diversified Program posted a profit despite the majority of trades incurring a loss. Short positions in wheat were the key driver as prices came under pressure from news that US harvests would meet and possibly exceed the year’s target. It was an uncertain period for bond markets. On the one hand, signs of an economic recovery took investors out of safe haven stocks in search of higher returns. On the other hand, speculation that interest rates around the globe would stay at historical lows for the foreseeable future attracted buyers. As a result the bond sector experienced a loss. Trading in currency markets was volatile over the quarter, posting a gain in July and a loss in August before enjoying a strong September. The main theme of the quarter was the weakening of the US dollar (which fell around 5% on a trade weighted basis). Trading in energy markets ended up to be the largest drag on overall performance. On a monthly basis, performance was relatively flat over July and August, with the bulk of losses coming in September. Interest rate trading accrued a gain over the quarter led by long positions in Eurodollar and Short Sterling contracts. The metals sector experienced a mixed quarter with strong performance in early September making up for earlier losses. However, choppy markets towards the end of the period presented difficulties with the AHL Diversified Program failing to lock profits in. Stock trading was the best performing sector within the AHL Diversified Program this quarter. Generally, equities enjoyed one of their strongest quarters on record as economic data drove investors to price in a recovery and a return to economic growth. Positions this quarter were almost entirely held long.
During the period ended September 30, 2009, the Man-Glenwood Funds’ commodity & macro managers posted positive results. Rising prices in commodities and a depreciating US dollar benefited a number of managers in the space. The distressed & credit style delivered strong results backed by a strong performance in credit markets during the quarter, as investors began to embrace a more optimistic corporate outlook. Companies continued to reduce their leverage through debt exchanges, while tender offers and refinance maturities were settled through new issuance. The equity hedge style ended the quarter in positive territory but underperformed benchmark equity indices. The event driven style continued to do well this quarter. The surge in equity values throughout the quarter benefited the net-long
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event driven managers, some of whom recorded double digit returns within their more concentrated portfolios. The relative value style continued to outperform this quarter, with favorable movements in credit markets, less crowded trading conditions and an improved financing environment aiding manager performance. The convertible arbitrage strategy remains the main performance driver for the style as rising liquidity levels and lower volatility provided the base for manager performance. The variable equity style was significantly positive as managers increased gross and net exposures, enabling them to profit from surging equity markets.
Three months ended June 30, 2009:
During the three month period ended June 30, 2009, the agriculturals component of the AHL Diversified Program produced significant losses, primarily driven by cotton, wheat, coffee and cocoa positions. Losses were partially recovered in late June as short positions benefited from news that the US had planted much larger areas then expected. Sugar produced the greatest return as long positions gained from a sustained rally. The bond sector experienced a loss over the quarter, dragged particularly by April’s negative performance. The AHL Diversified Program’s long positions in US and European government bonds proved particularly damaging to performance after prices generally fell as risk appetite rose. Renewed concerns over a dramatic increase in US government bond issuance over the coming months weighed heavily on US treasuries. In Europe, bond prices slumped after the European Central Bank cut rates by a smaller-than-expected amount. Elsewhere, long positions in Japanese government bonds were impacted by instable price movements in May. Profits generated from exposure to Australian bonds over May and June managed to trim losses. Currency market trading incurred a loss for the quarter as large degree of choppy movements negatively impacted performance and offset gains elsewhere. The energy sector produced the largest contribution to overall returns this quarter. Interest rate trading was the principal loss-maker for the quarter. Primarily long positions in Eurodollar, Euribor and Short Sterling were responsible for the losses as the previously profitable trend reversed in the second half of May and in early June. However, losses were limited by gains secured in May especially from long positions in Eurodollar, Euribor and Short Sterling. Metals suffered losses over the quarter with no positions turning a profit for the period. Base metals produced the worst return with short positions in Nickel, Aluminum and Copper losing heavily as these commodities climbed on positive manufacturing surveys in the US, Europe and China and a weal US dollar. Trading in stock indices finished the quarter in negative territory despite accumulating gains in April. Highly volatile markets since mid May meant the AHL Diversified Program could not benefit from any sustained trends and duly surrendered all earlier profits. The biggest losses were from exposure to the S&P 500. Despite the index having its best quarter since 1998, choppy trading meant the AHL Diversified Program was unable to lock-in these gains.
During the period ended June 30, 2009, the Man-Glenwood Funds’ commodity and macro managers
ended the quarter in positive territory as profits generated in May were able to offset the losses suffered in April and June. Managers that returned gains in May generally did so by capitalizing on the US yield curve steepening, the rally energy prices and depreciation of the US dollar against most major currencies.
The distressed & credit style was the strongest contributor to the portfolio’s performance in the second quarter backed by strong credit markets. Credit indices across the investment grade, high-yield, leveraged loan sectors posted one of their strongest quarters on record, with signs that the market believes the globally coordinated monetary and fiscal stimulus has caused the financial system to avert a more prolonged crisis. The equity hedge style struggled during the first month of the quarter as short sellers sustained heavy losses as did other managers with large short exposures that tended to focus on what had been the weakest sectors year-to-date. Event driven manages delivered solid performance over the quarter helped by a strong April and May as the broad-based rally across asset classes generally benefited long-biased managers. The relative value style continued to make significant headway in the second quarter as the market rally coincided with nascent pattern of normalization across risk assets. Credit markets embraced the positive sentiment enveloping equities and spreads are tighter across all major indices. Variable equity managers produced positive returns each month on the quarter as they were able to benefit from the market rally in global equities.
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Period ended September 30, 2008
30-September-08 | ||||
Ending Equity (Class A Units) | $ | 19,564,617 | ||
Ending Equity (Class B Units) | 9,068,186 | |||
Ending Equity (Total) | $ | 28,632,803 |
Three months ended September 30, 2008:
Net assets attributable to Class A Units decreased $2,291,199 for the three months ended September 30, 2008. This decrease was attributable to subscriptions in the amount of $772,650 and a net loss from operations of $3,063,849.
Net assets attributable to Class B Units increased $3,565,140 for the three months ended September 30, 2008 This increase was attributable to subscriptions in the amount of $4,735,450, redemptions in the amount of $125,000 and a net loss from operations of $1,045,310.
Management Fees of $196,302, Client Servicing Fees (Series 1 Units only) of $12,330 and brokerage commissions of $34,999 were paid or accrued, and interest of $92,056 was earned or accrued on Man-AHL 130’s cash and cash equivalent investments, for the three months ended September 30, 2008.
Man-AHL 130 pays administrative expenses for legal, audit, accounting and administration services, limited to 1/12 of 0.50% per month of Man-AHL 130’s month-end NAV through March 2009. Administrative and other expenses, paid or accrued, for the three months ended September 30, 2008 were $127,659, which were offset in part by reimbursement from the Managing Member in the amount of $92,646.
Six months ended September 30, 2008:
Net assets attributable to Class A Units decreased $844,015 for the six months ended September 30, 2008 This decrease was attributable to subscriptions in the amount of $1,272,316 and a net loss from operations of $2,116,331.
Net assets attributable to Class B Units increased $9,068,186 for the six months ended September 30, 2008. This increase was attributable to subscriptions in the amount of $10,020,573, redemptions in the amount of $125,000 and a net loss from operations of $827,387.
Management Fees of $370,780, Incentive Fees of $272,111, Client Servicing Fees (Series 1 Units only) of $19,826 and brokerage commissions of $66,667 were paid or accrued, and interest of $177,590 was earned or accrued on Man-AHL 130’s cash and cash equivalent investments, for the six months ended September 30, 2008.
Man-AHL 130 pays administrative expenses for legal, audit, accounting and administration services, limited to 1/12 of 0.50% per month of Man-AHL 130’s month-end NAV through March 2009. Administrative and other expenses, paid or accrued, for the six months ended September 30, 2008 were $255,355, which were offset in part by reimbursement from the Managing Member in the amount of $186,568.
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Three months ended September 30, 2008:
During the three month period ended September 30, 2008, trading by the AHL Diversified Program in the agricultural sector produced a small loss. However, short positions in cotton and wheat profited over the quarter. Gains, however, were more than offset by long positions in corn and soybeans after both suffered severe price declines after reaching record highs. The grain market also came under increasing pressure as the US dollar rebounded over the period. Bond trading posted a loss over the third quarter. Euro Bond and UK Gilt positions posted the majority of their losses in July as short positions struggled. European Bond prices ticked upwards as economic data continued to indicate that the European economy as a whole was under pressure. Positions in Japanese bonds posted a solid gain in August, but in September this gain was reversed and additional losses occurred. On the positive side, long Australian bonds achieved strong profits in August. The currency component incurred a loss over the reporting period. Long positions in the euro against the US dollar detracted from performance as the US dollar increased against the euro after relatively strong US economic data releases gave support to the US currency, while the euro depreciated. Long positions in the Australian dollar against the US dollar were also among the main detractors as the Australian currency tumbled against the US currency. Short positions in the Japanese yen against the US dollar also proved detrimental to overall performance. Long positions in the euro against the Swiss franc and the British pound posted further losses as the European single currency weakened significantly. Further positive contributions came from short positions in the Swiss franc against the US dollar as the US currency strengthened over the course of the reporting period. Trading within the energy sector posted a sharp decline in the 3rd quarter of 2008 as all markets posted losses. Natural gas prices fell by almost 50% over the period. Reports from the US Energy Department highlighted an increase in inventories as the economic picture continued to deteriorate, reducing demand. Interest rate positions posted a loss over the quarter. Trading in Euribor contracts was the main source of negative returns as prices remained volatile and without a clear trend for the majority of the quarter. On the positive side, long positions in Australian T-Bills posted solid gains in August and September. Metal trading posted a loss over the period. Although initially profiting, gains reversed into losses after prices tumbled over the majority of July. Long copper positions generated further losses in August as recessionary fears deepened. On the positive side, short nickel trades performed well. Short positions in numerous stock indices provided strong profits over the period after global equities fell sharply as the credit crisis continued to deepen and spill over into the wider economy. Returns were mainly accrued from Asia-Pacific indices such as the Nikkei 225, TOPIX and Hang Seng after they experienced some of the greatest falls over the quarter. Short positions in the S&P 500 index also harvested profits over the period.
During the period ended September 30, 2008, the Man-Glenwood Funds’ commodity & macro managers posted losses. The sell-off in commodities that began in July continued throughout the quarter. Market volatility reached historic highs at quarter-end as technical pressures and unprecedented government interventions seemed to only aggravate already poor market conditions. Strong reversals (in terms of speed and magnitude) in equities, currencies, fixed income and commodities throughout September had a significant negative effect on most managers’ performance. The majority of positive returns were generated from relative value trades early in the quarter with their defensive posture helping to preserve capital as the markets deteriorated. However, the government ban on short selling prevented the short common equity from hedging losses from the long trust preferreds. Equity hedge managers also had a difficult quarter, posting negative returns across the board with the exception of our dedicated short sellers. Event driven and activist managers have had a difficult year so far and the third quarter was no exception. Overall, the relative value allocation underperformed. Convertible arbitrage managers suffered the most due to continued credit concerns and very limited liquidity. On a positive note, one multi-strategy manager benefited from the relative performance of specific stock positions in their relative value, special situations and merger arbitrage trades and posted strong positive performance for the quarter. Performance for variable equity managers was largely negative for the quarter (most losses came in September).
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Three months ended June 30, 2008:
During the three month period ended June 30, 2008, the agriculturals component of the AHL Diversified Program returned a profit as long positions in corn led performance. On the downside, short positions in wheat incurred losses after the commodity rallied in June. Long positions in cocoa made gains, predominantly in June. Bond trading posted a loss as gains in European bonds were offset by losses in Japanese government bonds and US Treasuries. Short positions in Euro-Bund, Euro-Schatz and Euro-BOBL profited. However, losses in April affected returns after long Japanese bonds experienced a large-scale sell-off as annual inflation hit a 10-year high. Later in the period, short positions in Japanese bonds suffered as yields fell. Trading in US Treasuries was also negative as a choppy environment led to losses in both long and short positions. Currency trading finished the quarter flat as gains from long Brazilian real and Australian dollar trades against the US dollar were offset by losses realized from short Japanese yen and British pound positions against the US dollar as well as unfavorable results from Swiss franc trading against the US dollar. Trading within the energy sector secured the largest gains over the 2nd quarter of 2008 as all markets posted gains. Long natural gas positions also added strong profits over the quarter as prices rose 31%, peaking at US $13.353. Long positions in other crude oil distillates such as RBOB gasoline, heating oil and gas oil also posted strong profits over the quarter. Interest rates trading performed well, driven by short positions in Euribor and Short Sterling contracts, although towards the end of the quarter short positions in Eurodollar contracts produced losses. Metals trading posted a flat return. Base metals contributed profits with long positions in copper and aluminum paying off well, while short positions in zinc supported well. However, precious metals offset gains after long gold trades suffered from a drop in prices to around US $850 at the beginning of May. Towards the end of the period, gold started to recover. Stock trading incurred a loss, with trades in the Nikkei 225 and Topix 100 indices proving to be the main detractors to performance. Short equity positions, particularly in the Japanese indices mentioned above, suffered in April and May. However, in June, global equities plummeted. As a result long positions in a number of headline bourses, such as the Nasdaq 100, detracted from performance.
During the period ended June 30, 2008, the Man-Glenwood Funds’ commodity & macro managers posted a strongly positive return. The top performing distressed and credit manager has consistently generated positive performance in a variety of strategies and geographies over the quarter. Equity hedge managers generally posted a profit for the quarter, with the exception of one manager that underperformed in June. A dedicated short seller, finished the quarter in positive territory rebounding from earlier losses. A Japan-focused, market neutral manager has consistently generated solid performance throughout the quarter; both of their sub-trading styles (e.g., fundamental and flow-oriented) contributed. Event driven manager performance was mixed generating a slightly positive overall return at the style level. The general tone of the market was negative and US event managers have been slow to increase gross and net exposures in this environment. An activist manager suffered losses in consumer-oriented positions but maintains high conviction in these holdings. Several managers suffered in June offsetting gains from the beginning of the quarter. One thematic, “friendly” activist manager made major gains in beginning of the quarter on their alternative energy and engineering & construction holdings (these positions gave up some gains in June but the manager is still up around 25% on the quarter). Positive relative value performance for the quarter was driven largely from one convertible arbitrage manager. Variable equity managers posted mixed, but overall positive, performance.
ITEM 3. Quantitative and Qualitative Disclosures About Market Risk
Not required.
ITEM 4T. Controls and Procedures
The Managing Member, with the participation of the Managing Member's principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to Man-AHL 130 as of the end of the fiscal quarter ended September
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30, 2009. Based on such evaluation, they have concluded that these disclosure controls and procedures are effective.
Changes in Internal Control over Financial Reporting
There were no significant changes in Man-AHL 130’s internal control over financial reporting during the quarter ended September 30, 2009 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.
PART II - OTHER INFORMATION
Item 1. Legal Proceedings.
None.
Item 1A. Risk Factors
Not required.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
(a) There were no sales of unregistered securities during the period covered by this Report.
(b) Information required by Regulation S-K 701(f):
(1) The use of proceeds information is being disclosed for Registration Statement No. 333-126172 declared effective on July 31, 2009.
(2) The offering of Man-AHL 130’s Units of Limited Liability Company Interest commenced on or about March 31, 2007 and Units are offered as of the beginning of each calendar month on a continuous basis.
(3) Not applicable.
(4) (i) The offering of the Units has not terminated.
(ii) Man Investments Inc. acts as the lead selling agent for Man-AHL 130.
(iii) Man-AHL 130 has registered Class A Units of Limited Liability Company Interest and Class B Units of Limited Liability Company Interest.
(iv) Man-AHL 130 has registered 500,000 Class A Units and 500,000 Class B Units to be sold initially at $100 per Unit and, thereafter, at the month-end net asset value per outstanding Unit as of each month-end. The aggregate initial offering price of each Class of Units registered is $50,000,000. As of September 30, 2009, Man-AHL 130 completed the sale of 173,296.93 Class A Units and the aggregate offering price of the amount of Class A Units sold was $17,964,482.25 and 129,903.93 Class B Units and the aggregate offering price of the amount of Class B Units sold was $16,894,641.77.
(v) As of September 30, 2009, no expenses were incurred for the account of Man-AHL 130.
(vi) Net offering proceeds to Man-AHL 130 as of September 30, 2009 were $34,859,124.02.
(vii) As of September 30, 2009, the amount of net offering proceeds to Man-AHL 130 for commodity futures and forward trading and investment in the Man-Glenwood Funds totaled $34,859,124.02.
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(viii) Not applicable.
(c) Pursuant to Man-AHL 130’s Limited Liability Company Agreement, Unitholders may redeem their Units at the end of each calendar quarter at the then current quarter-end Net Asset Value per Unit. If quarter-end redemptions are requested for more than 15% of Man-AHL 130’s total then-outstanding Units, each redemption request will be reduced pro rata so that only 15% of Man-AHL 130’s total then-outstanding Units are redeemed. In order to pay redemption proceeds, it may be necessary for Man-AHL 130 to tender for repurchase a portion of its investment in the Man-Glenwood Funds. Each Man-Glenwood Fund generally withholds 5% of the proceeds of a total repurchase from such Man-Glenwood Fund until the completion of the Man-Glenwood Fund’s annual audit. The amount withheld from a total repurchase by Man-AHL 130 from the Man-Glenwood Funds will be approximately 1.5% of a Unitholder’s total investment. Rather than withhold redemption proceeds from Unitholders redeeming Units, however, the Managing Member intends to pay the full redemption amount due to redeeming Unitholders and the amount subsequently paid to Man-AHL 130 by the Man-Glenwood Funds from the amount withheld will be a general asset of Man-AHL 130. Other than any affect of the foregoing, the redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. The following table summarizes the amount of Units redeemed, exclusive of non-cash transfers, during the three months ended September 30, 2009:
Class A Units | Class B Units | |
Date of Redemption: | Amount Redeemed: | Amount Redeemed: |
July 31, 2009 | $0 | $0 |
August 31, 2009 | $0 | $0 |
September 30, 2009 | $3,400,785 | $531,746 |
TOTAL | $3,400,785 | $531,746 |
.
Item 3. Defaults upon Senior Securities.
Not applicable.
Item 4. Submissions of Matters to a Vote of Security Holders.
None.
Item 5. Other Information.
None.
Item 6. Exhibits.
The following exhibits are included herewith:
Designation Description
31.1 Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.2 Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32.1 Section 1350 Certification of Principal Executive Officer
32.2 Section 1350 Certification of Principal Financial Officer
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The following exhibit is incorporated by reference from the exhibit of the same number and description filed with Man-AHL 130’s Registration Statement (File No. 333-126172) filed on June 28, 2005 on Form S-1 under the Securities Act of 1933.
3.01(i) Certificate of Formation of Registrant.
The following exhibit is incorporated by reference from the exhibits of the same number and description filed with Amendment No. 3 to Man-AHL 130’s Registration Statement (File No. 333-126172) filed on April 17, 2006 on Form S-1 under the Securities Act of 1933.
10.02 | Form of Customer Agreement between the Registrant and Man Financial Inc. |
The following exhibit is incorporated by reference from the exhibits of the same number and description filed with Amendment No. 5 to Man-AHL 130’s Registration Statement (File No. 333-126172) filed November 29, 2006 on Form S-1 under the Securities Act of 1933.
10.01 | Form of Administration Agreement between Man-AHL 130 and the Administrator. |
The following exhibits are incorporated by reference from the exhibits of the same number and description filed with Amendment No. 6 to Man-AHL 130’s Registration Statement (File No. 333-126172) filed January 18, 2007 on Form S-1 under the Securities Act of 1933.
1.01 | Form of General Distributor’s Agreement between the Registrant and Man Investments Inc. |
10.02(a) | Addendum to the Form of Customer Agreement between the Registrant and Man Financial Inc. |
10.03 | Form of Trading Advisory Agreement between Registrant and Man-AHL (USA) Ltd. (amended). |
10.04 | Form of Escrow Agreement among the Registrant, the Managing Member and the Escrow Agent. |
The following exhibit is incorporated by reference from the exhibit of the same number and description filed with Post-Effective Amendment No. 1 to Man-AHL 130’s Registration Statement (File No. 333-126172) filed October 16, 2007 on Form S-1 under the Securities Act of 1933.
10.03(a) Amendment to the Form of Trading Advisory Agreement.
The following exhibit is incorporated by reference from the exhibit of the same number and description filed with Post-Effective Amendment No. 2 to Man-AHL 130’s Registration Statement (File No. 333-126172) filed July 18, 2008 on Form S-1 under the Securities Act of 1933.
10.06 | Form of Trading Advisory Agreement between the Registrant and Man Investments Limited. |
The following exhibits are incorporated by reference from the exhibit of the same number and description filed with Post-Effective Amendment No. 3 to Man-AHL 130’s Registration Statement (File No. 333-126172) filed July 6, 2009 on Form S-1 under the Securities Act of 1933.
3.02 | Limited Liability Company Agreement of the Registrant. | |
10.05 | Form of Application and Power of Attorney. |
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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 on November 16, 2009.
Man-AHL 130, LLC
(Registrant)
By: Man Investments (USA) Corp.
Managing Member
By: /s/ Andrew Stewart
President, Director, Chief Executive Officer and Chief Operating Officer
(Principal Executive Officer)
By: /s/ Alicia Borst Derrah
Director, Vice President, Chief Financial Officer and Secretary
(Principal Financial and Accounting Officer)
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EXHIBIT INDEX
Exhibit Number Description of Document
31.1 Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
31.2 Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
32.1 Section 1350 Certification of Principal Executive Officer
32.2 Section 1350 Certification of Principal Financial Officer
E-1