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 December 31, 2007
-----------------
OR
[ ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
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Commission File number: 333-126172
Man-AHL 130, LLC
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Delaware 84-1676365
- ------------------------------------- --------------------------------------
(State or other jurisdiction of (IRS Employer Identification No.)
incorporation or organization)
c/o Man Investments (USA) Corp.
123 North Waker 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 is a large accelerated filer, an
accelerated filer or a non-accelerated filer (as defined in Rule 12b-2 of the
Exchange Act). See definition of "accelerated and large accelerated filer" in
Rule 12b-2 of the Exchange Act. (Check one)
Large Accelerated Filer [ ] Accelerated Filer [ ]
Non-Accelerated Filer [X] Smaller reporting company [ ]
Indicate by check mark whether the registrant is a shell company (as defined in
Rule 12b-2 of the Exchange Act).
Yes [ ] No [X]
PART I - FINANCIAL INFORMATION
ITEM 1. Financial Statements
Man-AHL 130, LLC
Financial Statements
Financial Statements
STATEMENTS OF FINANCIAL CONDITION (a)
STATEMENTS OF OPERATIONS (b)
STATEMENTS OF CHANGES IN MEMBERS' EQUITY (c)
STATEMENTS OF CASH FLOWS (b)
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
(a) At December 31, 2007 (unaudited) and March 31, 2007
(b) For the three months ended December 31, 2007 and 2006 (unaudited) and for
the nine months ended December 31, 2007 and 2006 (unaudited)
(c) For the nine months ended December 31, 2007 and 2006 (unaudited)
2
MAN-AHL 130, LLC
STATEMENTS OF FINANCIAL CONDITION
December 31, 2007 March 31,
(unaudited) 2007
---------------- --------------
ASSETS
Equity in commodity futures and forwards
trading accounts:
Net unrealized trading gains on open
derivatives contracts $ 716,142 $ -
Due from affiliated broker 5,362,605 -
------------- ------------
6,078,747 -
Investment in Man-Glenwood Lexington, LLC,
at fair value (cost $5,903,105) 6,050,843 -
Cash and cash equivalents 6,739,680 10,000
Expense reimbursement receivable 106,955 -
Interest receivable 10,552 -
------------- -------------
TOTAL $ 18,986,777 $ 10,000
============= =============
LIABILITIES & MEMBERS' EQUITY
Subscription received in advance 100,000 -
Management fees payable 122,953 -
Client servicing fees payable 616
Incentive fees payable 224,872 -
Affiliated brokerage commission payable 99,801 -
Accrued professional fees payable 209,420 -
Accrued administrative fees payable 112,500
Other liabilities 101,600 -
------------- ------------
Total liabilities 971,762 -
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MEMBERS' EQUITY
Class A Series 1 Members
(1,799.387 and 0 units outstanding,
respectively) 212,255 -
Class A Series 2 Member
(150,000.000 and 0 units outstanding,
respectively) 17,802,760 10,000
------------- ------------
Total Members' equity 18,015,015 10,000
------------- ------------
TOTAL $ 18,986,777 $ 10,000
============= ============
NET ASSET VALUE PER UNIT OUTSTANDING -
CLASS A SERIES 1 MEMBERS $ 117,960 $ -
============= ============
NET ASSET VALUE PER UNIT OUTSTANDING -
CLASS A SERIES 2 MEMBER $ 118,685 $ -
============= ============
See notes to financial statements.
3
MAN-AHL 130, LLC
STATEMENTS OF OPERATIONS (UNAUDITED)
For the three months ended For the three months ended
December 31, 2007 December 31, 2006
------------------------------- -------------------------------
INVESTMENT INCOME:
Interest income $ 100,260 $ -
EXPENSES:
Management fees 122,953 -
Incentive fees 224,872 -
Client servicing fees 616
Affiliated brokerage commissions 61,745 -
Professional fees 90,417 -
Administrative fees 37,500 -
Other 8,612 -
------------------------------- -------------------------------
TOTAL EXPENSE 546,715 -
Less reimbursed expenses (106,955) -
------------------------------- -------------------------------
Net expenses 439,760 -
------------------------------- -------------------------------
NET INVESTMENT LOSS (339,500) -
------------------------------- -------------------------------
NET REALIZED AND UNREALIZED GAINS
ON INVESTMENTS AND FOREIGN
CURRENCY:
Net realized trading gains (losses) on closed
derivatives contracts and foreign currency
transactions 1,575,385 -
Net change in unrealized trading gains on open
derivatives contracts and translation of assets
and liabilities denominated in foreign currencies (353,682) -
Net realized losses on investment in
Man-Glenwood Lexington, LLC -
Net change in unrealized appreciation on
investment in Man-Glenwood Lexington, LLC 153,949 -
------------------------------- -------------------------------
NET REALIZED AND UNREALIZED GAINS
ON INVESTMENTS AND FOREIGN
CURRENCY 1,375,652 -
------------------------------- -------------------------------
Net income (loss) $ 1,036,152 $ -
=============================== ===============================
Net income (loss) per unit outstanding - Class A Series 1 $ 5.910 $ -
=============================== ===============================
Net income (loss) per unit outstanding - Class A Series 2 $ 6.840 $ -
=============================== ===============================
MAN-AHL 130, LLC
STATEMENTS OF OPERATIONS (UNAUDITED)
For the nine months ended For the nine months ended
December 31, 2007 December 31, 2006
------------------------------ ------------------------------
INVESTMENT INCOME:
Interest income $ 319,534 $ -
EXPENSES:
Management fees 348,229 -
Incentive fees 650,960
Client servicing fees 1,022
Affiliated brokerage commissions 202,944 -
Professional fees 279,584 -
Administrative fees 112,500 -
Other 18,282 -
------------------------------ ------------------------------
TOTAL EXPENSE 1,613,521 -
Less reimbursed expenses (333,725) -
------------------------------ ------------------------------
Net expenses 1,279,796 -
------------------------------ ------------------------------
NET INVESTMENT LOSS (960,262) -
------------------------------ ------------------------------
NET REALIZED AND UNREALIZED GAINS
ON INVESTMENTS AND FOREIGN
CURRENCY:
Net realized trading gains (losses) on closed
derivatives contracts and foreign currency
transactions 2,912,050 -
Net change in unrealized trading gains on open
derivatives contracts and translation of assets
and liabilities denominated in foreign currencies 716,142 -
Net realized losses on investment in
Man-Glenwood Lexington, LLC (653)
Net change in unrealized appreciation on
investment in Man-Glenwood Lexington, LLC 147,738 -
------------------------------ ------------------------------
NET REALIZED AND UNREALIZED GAINS
ON INVESTMENTS AND FOREIGN
CURRENCY 3,775,277 -
------------------------------ ------------------------------
Net income (loss) $ 2,815,015 $ -
============================== ==============================
Net income (loss) per unit outstanding - Class A Series 1 $ 12.499 $ -
============================== ==============================
Net income (loss) per unit outstanding - Class A Series 2 $ 18.685 $ -
============================== ==============================
See notes to financial statements.
4
MAN-AHL 130, LLC
STATEMENTS OF CHANGES IN MEMBERS' EQUITY (UNAUDITED)
- -----------------------------------------------------------------------------------------------------------------------------------
FOR THE NINE MONTHS ENDED DECEMBER 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A SERIES 1 CLASS A SERIES 2
------------------------------------ -----------------------------------------
Amount Units Amount Units
------------ ------------ -------------- ---------------
Member's equity at April 1, 2007 $ - - $ 10,000 -
Subscriptions $ 200,000 1,799.387 $14,990,000 150,000.000
Redemptions $ - - $ - -
Net income $ 12,255 - $2,802,760 -
------------ ------------ -------------- ---------------
------------ ------------ -------------- ---------------
Members' equity at September 30, 2007 $ 212,255 1,799.387 $17,802,760 150,000.000
============ ============ ============== ===============
NET ASSET VALUE PER UNIT OUTSTANDING $ 117.960 $ 118.685
AT SEPTEMBER 30, 2007
MAN-AHL 130, LLC
STATEMENTS OF CHANGES IN MEMBERS' EQUITY (UNAUDITED)
- ---------------------------------------------------------------------------------------------------
FOR THE NINE MONTHS ENDED DECEMBER 31, 2007
- ---------------------------------------------------------------------------------------------------
TOTAL
-----------------------------------------------
Amount Units
---------------- -------------------
Member's equity at April 1, 2007 $ 10,000 -
Subscriptions $15,190,000 151,799.387
Redemptions $ - -
Net income $ 2,815,015 -
---------------- -------------------
---------------- -------------------
Members' equity at September 30, 2007 $18,015,015 151,799.387
================ ===================
NET ASSET VALUE PER UNIT OUTSTANDING
AT SEPTEMBER 30, 2007
- ----------------------------------------------------------------------------------------------------------------------------------
FOR THE NINE MONTHS ENDED DECEMBER 31, 2006
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS A SERIES 1 CLASS A SERIES 2
------------------------------------ --------------------------------------
Amount Units Amount Units
------------ ------------ -------------- ---------------
Member's equity at April 1, 2006 $ - - $ 10,000 -
Subscriptions $ - - $ - -
Redemptions $ - - $ - -
Net income $ - - $ - -
------------ ------------ -------------- ---------------
Member's equity at September 30, 2006 $ - - $ 10,000 -
============ ============ ============== ===============
- ----------------------------------------------------------------------------------------------------------------------------------
FOR THE NINE MONTHS ENDED DECEMBER 31, 2006
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL
-----------------------------------------------
Amount Units
---------------- -------------------
Member's equity at April 1, 2006 $ 10,000 -
Subscriptions $ - -
Redemptions $ - -
Net income $ - -
------------ ------------
Member's equity at September 30, 2006 $ 10,000 -
============ ============
5
MAN-AHL130, LLC
Statements of Cash Flows (unaudited)
For the three For the three
months ended months ended
December 31, 2007 December 31, 2006
----------------------- --------------------
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income $ 1,036,152 $ -
Adjustments to reconcile net income to
net cash used in operating activities:
Net change in unrealized trading gains (losses) on
open derivative contracts and foreign currency transactions 353,682 -
Purchase of investment in Man-Glenwood Lexington, LLC (671,935) -
Sale of investment in Man-Glenwood Lexington, LLC 522,678
Realized losses on investment in Man-Glenwood Lexington, LLC -
Net change in unrealized appreciation on investment in Man-Glenwood
Lexington, LLC (153,949) -
Changes in:
Due from affiliated broker (1,576,151) -
Expense reimbursement receivable 3,665
Interest receivable (206) -
Management fees payable 10,509 -
Incentive fees payable 224,872 -
Brokerage commissions payable 34,897 -
Accrued professional fees payable 49,707 -
Accrued administrative fees payable 37,500
Client servicing fees payable 210
Other liabilities 100,000 -
----------------- -----------------
Net cash used in operating activities (28,369) -
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FINANCING ACTIVITIES:
Capital subscriptions 125,000 -
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Net cash provided by financing activities 125,000 -
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NET INCREASE IN CASH AND CASH EQUIVALENTS 96,631 -
CASH AND CASH EQUIVALENTS - Beginning of period 6,643,049 10,000
----------------- -----------------
CASH AND CASH EQUIVALENTS - End of period $ 6,739,680 $ 10,000
================= =================
See notes to financial statements.
MAN-AHL130, LLC
Statements of Cash Flows (unaudited)
For the nine For the nine
months ended months ended
December 31, 2007 December 31, 2006
--------------------- -----------------
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income $ 2,815,015 $ -
Adjustments to reconcile net income to
net cash used in operating activities:
Net change in unrealized trading gains (losses) on
open derivative contracts and foreign currency transactions (716,142) -
Purchase of investment in Man-Glenwood Lexington, LLC (6,426,436) -
Sale of investment in Man-Glenwood Lexington, LLC 522,678
Realized losses on investment in Man-Glenwood Lexington, LLC 653
Net change in unrealized appreciation on investment in Man-Glenwood
Lexington, LLC (147,738) -
Changes in: -
Due from affiliated broker (5,362,605) -
Expense reimbursement receivable (106,955)
Interest receivable (10,552) -
Management fees payable 122,953 -
Incentive fees payable 224,872 -
Brokerage commissions payable 99,801 -
Accrued professional fees payable 209,420 -
Accrued administrative fees payable 112,500
Client servicing fees payable 616
Other liabilities 101,600 -
--------------------- -------------
Net cash used in operating activities (8,560,320) -
--------------------- -------------
FINANCING ACTIVITIES:
Capital subscriptions 15,290,000 -
--------------------- -------------
Net cash provided by financing activities 15,290,000 -
--------------------- -------------
NET INCREASE IN CASH AND CASH EQUIVALENTS 6,729,680 -
CASH AND CASH EQUIVALENTS - Beginning of period 10,000 10,000
--------------------- -------------
CASH AND CASH EQUIVALENTS - End of period $ 6,739,680 $ 10,000
===================== =============
See notes to financial statements.
6
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 December 31, 2007 and the results of its operations for
the three months ended December 31, 2007 and 2006 and nine months ended December
31, 2007 and 2006. 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, 2007. The March 31, 2007 information has
been derived from the audited financial statements as of March 31, 2007.
1. ORGANIZATION
Man-AHL 130, LLC commenced trading on April 2, 2007 and operates as a
commodity investment pool.
Beginning July 1, 2007, Class A Series 1 units were issued at the current
net asset value of Managing Member units of $112.323. 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 units, subject to a
maximum commission receipt to MII of 10% of the subscription price of each
unit.
The Managing Member's investment was designated as Class A Series 2 units
upon commencement of trading. All outstanding Class A Series 2 units
currently outstanding are owned by the Managing Member.
2. SIGNIFICANT ACCOUNTING POLICIES
The Company's financial statements are prepared in conformity with
accounting principles generally accepted in the United States of America.
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 revenues and
expenses during the period. Actual results could differ from those
estimates.
Cash and cash equivalents - Cash and cash equivalents include cash and
short-term interest bearing money market instruments with original
maturities of 90 days or less, held with JPMorgan Chase, N.A.
Interest income and expenses - Interest income and expenses are recorded on
an accrual basis.
Due from affiliated broker - Due from affiliated broker represents cash
required to meet margin requirements and excess funds not required for
margin.
Expense reimbursement - The Company is responsible for paying its own
operating expenses, including professional and administrative fees.
Operating expenses in excess of 0.50% per annum of each month-end net asset
values will be reimbursed by the Managing Member or an affiliate for the
first 24 months of the Company's operations.
Affiliated brokerage commission expense - Affiliated brokerage commission
expense on futures contracts is recognized in the period of the transaction
and is reflected on the statements of operations. The futures commission
rates charged to the Company have not been negotiated at arm's-length and
certain other clients may be charged lower rates. Affiliated brokerage
commissions
7
represent the cost of the transactions and are capped at 3% of the
Company's average month-end net asset value per annum.
Foreign currency - All assets and liabilities of the Company denominated in
foreign currencies are translated into U.S. dollar amounts at the mean
between the bid and ask market rates for such currencies on the date of
valuation. Purchases and sales of foreign securities are converted at the
prevailing rate of exchange on the respective date of such transactions.
The Company does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in the fair value of securities held.
Such fluctuations are included with the net realized and unrealized gain or
loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of
foreign currencies, currency gains, or losses realized between the trade
and settlement dates on securities transactions, and the difference between
the amounts of dividends, interest, and foreign withholding taxes recorded
on the Company's books and the U.S. dollar equivalent of the amounts
actually received or paid. Net unrealized foreign exchange gains and losses
arise from changes in the fair value of assets and liabilities, other than
investments in securities at fiscal period-end, resulting from changes in
exchange rates.
Investments - The Company values its Man-Glenwood Lexington, LLC (the
"Fund") investments at its net asset value, which approximates fair value,
as provided by the Fund.
Calculation of Net Incomer Per Unit - The Company's net income or loss is
allocated monthly on a pro-rata basis over the number of units outstanding
at the beginning of each month. The Net Income per Unit Outstanding on the
Statement of Operations is based on the weighted average units outstanding
for the period.
Recently Issued Accounting Pronouncements - In July 2006, the Financial
Accounting Standards Board (FASB) issued Interpretation No. 48 (FIN 48)
entitled "Accounting for Uncertainty in Income Taxes - an interpretation of
FASB Statement No. 109." FIN 48 prescribes the minimum recognition
threshold a tax position must meet in connection with accounting for
uncertainties in income tax positions taken or expected to be taken by an
entity before being measured and recognized in the financial statements.
Adoption of FIN 48 is required for fiscal years beginning after December
15, 2006. The implementation of FIN 48 had no impact on the Company's
financial statements.
3. TRADING ACTIVITIES AND RELATED RISKS
The Company trades derivative financial instruments that involve varying
degrees of market and credit risk. Market risks may arise from unfavorable
changes in interest rates, foreign exchange rates, or the market values of
the instruments underlying the contracts. All contracts are stated at
market or fair value, and changes in those values are reflected in the
change in net unrealized gains (losses) on open contracts in the statements
of operations.
Credit risk arises from the potential inability of counterparties to
perform in accordance with the terms of the contract. The credit risk from
counterparty nonperformance associated with these instruments is the net
unrealized gain, if any, included in the statements of financial condition.
Forward contracts are entered into on an arm's-length basis with Man
Financial Ltd. (now MF Global UK Ltd., ("MF Global UK)). 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.
The Company trades in exchange-traded futures contracts on various
underlying commodities, foreign currencies, and financial instruments, as
well as forward contracts on foreign currencies and
8
other underlying commodities. Fair values of futures and forward contracts
are reflected net by counterparty or clearing broker in the statements of
financial condition.
The Company's funds held by, and cleared through, Man Financial Inc. (now
MF Global ("MF Global")) are required to be held in segregated accounts
under rules of the CFTC. These funds are used to meet minimum margin
requirements for all of the Company's open futures positions as set by the
exchange where each contract is traded. These requirements are adjusted, as
needed, due to daily fluctuations in the values of the underlying
positions. Certain positions may be liquidated, if necessary, to satisfy
resulting changes in margin requirements.
The parent company of Man-AHL (USA) Limited and Man Investments (USA) Corp.
has a minority ownership interest in the holding company of MF Global UK
and MF Global.
4. PARTNERSHIP TAXES
As of July 1, 2007, a subscription for an investor other than the Managing
Member was accepted into the Company. As a result, the Company is now
treated as a partnership for federal income tax purposes. As such, members
are individually liable for the taxes on their share of the Company's
taxable income, if any.
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. 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. Unlike operating businesses, general economic or seasonal conditions do
not directly affect the profit potential of Man-AHL 130, and its past
performance is not necessarily indicative of its futures 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 Glenwood Capital Investments, L.L.C., 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
9
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 AHL'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 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 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,
2007.
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 and nine months ending December 31, 2007, 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.
10
Periods ended December 31, 2007
- -------------------------------
31-Dec-07 30-Sep-07 30-Jun -07 31-Mar -07
--------- --------- ---------- ----------
Ending Equity $18,015,015 $16,953,863 $16,848,425 $10,000
Three months ended December 31, 2007:
Net assets attributable to Class A Units increased $1,061,152 for the three
months ended December 31, 2007. This increase was attributable to subscriptions
in the amount of $25,000 and a net gain from operations of $1,036,152.
Management Fees of $122,953, Incentive Fees of $224,872, Client Servicing Fees
(Series 1 Units only) of $616 and brokerage commissions of $61,745 were paid or
accrued, and interest of $100,260 was earned or accrued on Man-AHL 130's cash
and cash equivalent investments, for the three months ended December 31, 2007.
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 December 31, 2007 were $136,529, which were
offset in part by reimbursement from the Managing Member in the amount of
$106,955.
Nine months ended December 31, 2007:
Net assets attributable to Class A Units were $18,015,015 at December 31, 2007.
This amount represents the Managing Member's purchase of Class A Series 2 Units
in an aggregate amount of $15 million, subscriptions for Class A Series 1 Units
in the amount of $200,000 and net income from operations of $2,815,015.
Management Fees of $348,229, Incentive Fees of $650,960, Client Servicing Fees
(Series 1 Units only) of $1,022 and brokerage commissions of $202,944 were paid
or accrued, and interest of $319,534 was earned or accrued on Man-AHL 130's cash
and cash equivalent investments, for the nine months ended December 31, 2007.
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 nine months ended December 31, 2007 were $410,366, which were
offset in part by reimbursement from the Managing Member in the amount of
$333,725.
Three months ended December 31, 2007:
During the three month period ended December 31, 2007, Man-AHL 130's trading
within agricultural markets posted positive returns despite a poor start, with
significant gains recorded from soybeans and corn. In October, agriculturals
experienced a slight loss as long positions in wheat suffered due to a steady
decline in prices. Strong performance in November was driven by long trades in
soybeans as the commodity rallied strongly. Strong performance continued in
December, driven by soy products and corn. Long positions profited after the US
agricultural department warned of significant falls in inventories due to
unseasonable cold weather and flooding. Heavy demand from economies such as
China also amplified demand resulting in soybeans and corn reaching 34 and 11
year highs, respectively. Trading in bonds made a positive contribution to
Man-AHL 130's performance. US Treasury bonds and Japanese bonds delivered
positive returns, while Eurobunds negatively impacted performance. Initially,
short Eurobund and UK Gilt positions performed poorly as investor demand for
safe-haven assets rose sharply amid sharp equity declines. A general switch into
long positions in broad government bonds was costly at first but proved
particularly fruitful in November as further investor risk aversion set in,
sending
11
investors scurrying to the safety of government paper and substantially
benefiting long contracts in US Treasury bonds, which saw yields fall below 3%
for the first time in three years. Japanese bonds appreciated in similar fashion
over November. Currency trading posted strong returns during the final quarter
of 2007. Strong trends re-emerged following the turmoil of the 3rd quarter,
which Man-AHL 130 was able to capture. Long euro positions versus the US dollar
and British pound performed well during the period as the euro rallied, hitting
a record high against the British pound in December. Further profits came from
long Swiss franc positions against the US dollar as the Swiss franc hit a 12
year high in November. Long Canadian dollar trades versus the US dollar also
produced gains, helped by surging commodity prices. Trading in the energy sector
accrued significant profits. Substantial gains were experienced from crude oil,
heating oil and gas oil positions. The WTI Cushing Index surged to a new all
time high in October amid fresh weather supply disruptions, falling inventories
and rising geopolitical tensions in the Middle East. However, in November, crude
oil and other distillate products incurred losses after prices dropped over the
final week of the month. Short positions in natural gas lifted performance in
November after prices declined on the back of expected decline in global energy
demand. In December, performance was once again positive, with a rise in the
price of crude oil and other distillate products offsetting losses in natural
gas. Man-AHL 130's metal trading posted a profit during the period with long
positions in gold making excellent gains. The traditional hedge against
inflation was a prominent factor behind the steep increases seen at the
beginning of the period, as rising global food and energy prices sent inflation
numbers above comfort levels. In addition, the role of gold as a safe-haven
asset buffeted prices up as the US showed signs of a recession and political
turmoil in Pakistan added to investor uncertainty. Trading in short-term
interest rates posted a firm gain over the fourth quarter despite challenging
market conditions at the beginning and end of the period. Eurodollar and Short
Sterling contracts contributed most to profits over the period, despite
initially detracting from performance. Finally, stock market trading posted a
loss over the quarter. Large sub-prime write downs by the major investment banks
following the turmoil of the summer, concerns over the long term effects of the
credit crisis and fears over the potential for the US economy to slip into
recession weighed on global stock indices throughout the period. Long positions
in the Nasdaq 100 and Euro-Stoxx index proved to be the leading detractors.
During the three month period ended December 31, 2007, the performance for the
Man-Glenwood Funds' commodity & macro managers was strongly positive. In
October, managers benefited from a sharp decline in the US dollar relative to
most G7 and emerging market currencies. Managers that performed strongly
mid-quarter benefited from tactical oil and metals positions as well as yield
curve steepening trades. Managers largely benefited from the increase in
currency, equity and interest rate volatility as well as from tactical long
positions in oil, gold and agricultural commodities, all of which were strong
positive contributors as they moved toward historical highs. Equity hedge
manager returns were widely dispersed over the quarter, although the majority of
managers ended in positive territory. The volatile, high dispersion environment
was beneficial for stock pickers, with managers who had a trading component
within their strategy able to generate positive alpha, opportunistically. This
dispersion theme continued in the fourth quarter with event driven managers
generating a wide range of returns, although final returns were positive. A
manager focused on a variety of energy related themes posted strong quarter-end
performance, recovering from mid-quarter losses. Elsewhere, an activist manager
profited from short positions in financials and monolines. In relative value,
significant gains for the quarter were generated by one manager with a
distinctly short-credit bias specializing in lower rated tranches of sub-prime
and other mortgage-related debt. Gains for the quarter were offset by another
manager's December losses, primarily driven by broken merger deals in which the
acquirer had walked away from the deal and our manager had positioned their
portfolio to benefit from a forced consummation or renegotiation. Quarter
returns for variable equity were negative as performance from long-biased
managers, regardless of the region, offset gains elsewhere. As sub-prime related
write-downs gradually emanated through newswires, long positions in financial
names were affected, while the ensuing flight from risk saw cyclical sector
stocks sold off in preference for defensive stocks, also to the detriment of our
managers. Distressed & credit performance was driven largely by one manager that
took out short positions in financial services companies including
broker-dealers. Finally, additional gains were made from short holdings in
sovereign debt, commercial mortgages and consumer/retailers stocks.
12
Three months ended September 30, 2007:
During the three month period ended September 30, 2007, trading by the
AHL-Diversified Program in the agricultural sector produced positive returns,
led by strong returns from long positions in wheat on the back of global supply
concerns. Trading in soy beans and soy meal added further gains while most other
agricultural contracts traded close to flat over the period. Bond sector trading
resulted in losses as bond yields trended almost uniformly lower over the
period. Short positions in Australian bonds proved costly at the beginning of
the period, while a long bias in Euro Bund contracts also struggled towards the
end of the quarter to cap a volatile environment in fixed income markets.
However, Japanese bond trading delivered positive results as a timely switch to
long positioning paid dividends. Trading in currencies was slightly negative for
the quarter which featured large trend reversals. Initially, strong profits
accrued as short positions in the US dollar against a variety of currencies such
as the euro, Canadian dollar and British pound were beneficial. However, the
market turmoil in August led to sharp reversals, with the US dollar quickly
regaining ground as the currency benefited from the flight to quality US
Treasury bonds. This negatively impacted performance before all long-term trends
re-established themselves and the majority of losses were cancelled out. The
energy sector produced solid returns in the quarter. The principal driver behind
performance came from long holdings in crude oil futures contracts, which rose
strongly despite a reversal in August due to US economic growth concerns. Crude
oil climbed well above US$80 during September as reduced Gulf of Mexico
production stifled US supply and global demand continued to grow. By the end of
the quarter, crude oil showed a year-to-date increase of approximately 34%.
Elsewhere, modest gains were made in short natural gas and long gas oil
positions. The metals complex was dominated by long positions in gold which
soared through the US$700 per ounce mark in early September. Elsewhere, trading
in silver and copper was flat while long nickel positions detracted from
performance despite rebounding strongly from mid-August onwards. Trading in the
short-term interest rate market was profitable and relatively stable throughout
the quarter. Slight losses came from long positions in short sterling and
euribor contracts as investors placed bets that interest rates would most likely
stay on hold rather than decline. However, long positions in Eurodollar
contracts proved effective as expectations of future US interest rate rises
evaporated due to poor economic data releases surrounding the US housing market
and the Fed's need to create further liquidity in stock markets. Trading within
the stock sector detracted somewhat from performance over the quarter as indices
saw considerable volatility which led to established price trends in equity
markets breaking down during July and August before returning during September.
Positions in the Japanese Nikkei 225 detracted from performance along with
positions in the US markets including positions in the S&P 500 index. Hong
Kong's Hang Seng index rose as emerging markets showed strength late in the
period, benefiting long positions.
For the three-month period ended September 30, 2007, the commodity & macro style
pursued by the Man-Glenwood Funds posted a positive return despite difficult
market conditions. Key drivers of positive returns were long positions in
equities and commodities toward the end of the period as well as short positions
in US mid-cap equities and long volatility earlier in the period. Reversals in
FX markets and fixed income exposure detracted from performance. The equity
hedge style contributed positively over the period as managers minimized losses
during turbulent markets and capitalized as market fundamentals returned. Long
equity trades, particularly in Asian developing market equities, yielded strong
returns. Some managers showed losses in August when investors rapidly reduced
risk but most were able to pare losses as markets rebounded after the
intervention of several central banks. The event driven style produced losses
despite a strong finish to the quarter. Losses were realized primarily during
the middle of the period. Spill-over effects from the credit markets put
pressure on LBO deals and the merger arbitrage strategy suffered as a result.
The style ended the period well, however, as event equity managers rebounded as
stocks that had sold-off dramatically during the panic recovered toward the end
of the period. The relative value style generated positive returns despite
mid-period losses in the convertible arbitrage, special situations and
structured corporate credit allocations. Positive returns were driven primarily
by short credit biased managers. Variable equity ended down despite gains in
September amidst rallying equity markets. Managers posted negative returns early
in July, continuing into mid
13
August, as global equity markets sold-off. Long positions in financials, US
homebuilders and steel as well as Japanese consumer equities were the most
costly. Managers were, however, able to recover later as the US Federal Reserve
cut rates and produced strong returns to close September. Lastly, the distressed
and credit style was close to flat over the period as managers returned mixed
results over the period.
Three months ended June 30, 2007:
During the three month period ended June 30, 2007, performance of the AHL
Diversified Program in the agriculturals sector was relatively flat until the
final few weeks of the period where it made a small loss for Man-AHL 130.
Trading performance was dominated by soybeans and soy oil after figures in the
US showed that farmers had set aside a greater portion of land for corn
production, lowering supply in the two soy based commodities and benefiting our
long positions. The same data release affected long positions in corn and wheat
with greater supply affecting prices negatively. Trading in the bond sector made
a positive contribution to Man-AHL 130's performance. The leading trade was a
short position in US Treasuries as the economy responded well from the concerns
brought about by the US housing sector and fallout in the sub-prime mortgage
sector. An interest rate drop looked less likely in the short-term with
expectations over rates and inflation pushing bond prices down. Short trades in
Euro Bund and UK Gilts also returned profitably as interest rates rose in Europe
and the UK, forcing bond prices down and yields up. The currency sector
generated excellent returns over the period as a short position in the Japanese
yen against the US dollar powered profits. Investors borrowed from the low-cost
Japanese market and purchased higher yielding assets in countries such as
Australia and New Zealand, a typical carry trade scenario. A long position in
the Canadian dollar against the US dollar performed well as Canada has enjoyed
an unexpectedly good quarter economically, with exports being driven by oil
companies amid a period of rising oil prices. Trading in the energy sector
resulted in a modest loss during the period. Short positions in crude oil were
impacted by the general price rise in the prime energy source due to
geopolitical concerns in Nigeria and decreasing inventories. Natural gas was a
positive contributor following last quarter's difficult trading period as short
positions benefited from June inventory statistics showing that US stocks were
higher than market forecasters expected and milder weather was foreseen in the
US. The metals complex posted the largest negative return, albeit a relatively
minor one, as nickel continued its fall from May's record high due to decreasing
demand from the stainless steel industry which has seen output growth slow
significantly this year. Long positions in the precious metals, gold and silver,
generated slight losses due to the greater attraction for investors from high
yielding US Treasuries and rising equity markets. Short-term interest rate
trading was profitable as gains were accrued via a three pronged attack which
featured short trades in Euribor, Short Sterling and Eurodollar contracts.
Europe, the UK and US all saw expectations for future interest rate rises gain
strength as the former two increased their rates by 25bps, and the Federal
Reserve shifted from a dovish to hawkish viewpoint over the quarter amid
encouraging economic data releases. Finally, Trading within the stock sector
proved beneficial as indices endured a rather volatile period but ended up over
the three months. A significant driver was the continuation of large deal flow
in the M&A arena where private equity houses dominated the scene. In addition,
solid first quarter earnings figures increased investor optimism after many
seemed fearful over the potential impact of the housing and sub-prime mortgage
sector on the US market. Long positions in the DAX 30 and S&P 500 indices were
strong contributors to, while the Japanese Topix and Nikkei 225 composites
slightly detracted from, performance.
During the three month period ended June 30, 2007, the commodity and trading
style pursued by the Man-Glenwood Funds posted a strong return over due to
significant currency moves in the US dollar, euro and British pound.
Strengthening in some metals provided solid opportunities for global macro,
trend following and discretionary trading managers, while short US and European
bond trades proved profitable. The equity hedge style generated a positive
return. In the U.S., specific trades in technology, telecom, financial services
and steel sectors performed well. In Europe, a positive deal environment
generated strong returns in both long and short books across the financials and
technology areas. Emerging market names, particularly in the internet, telecom,
advertising, and software sectors were also positive contributors. The event
driven style generated strong performance early and mid-quarter. In April and
May, M&A activity surged in both the US and Europe providing an abundance of
14
opportunities. In particular several large US deals were announced from which
several activist funds benefited. By quarter end, volatility within the credit
markets spilled over into equities and adversely impacted merger arbitrage
spreads. Relative value style performance was primarily driven by capital
structure arbitrage, credit arbitrage, and multi-strategy managers early in the
second quarter. While towards quarter end, deteriorating conditions within the
sub-prime mortgage market allowed several managers to profit, as they positioned
their portfolios in anticipation of such an event. In the U.S., positions in
steel manufacturers, engineering companies, homebuilders, cyclicals,
transportation, consumer retail, materials, financials and targets of
acquisitions by private equity groups were significant performance drivers for
US variable equity managers. Elsewhere, European, Japanese and Asian ex Japan
managers also contributed to performance. Finally, the distressed and credit
style posted a gain over the quarter. Credit markets performed well early in the
quarter, buoyed by strong performing equity markets, corporate M&A activity and
robust first quarter earnings growth and company fundamentals. From mid-quarter
through quarter-end, and despite high yield credit spreads widening, managers
benefited from security-specific positions that traded higher as a result of
certain catalysts that were realized.
ITEM 3. Quantitative and Qualitative Disclosures About Market Risk
Not required.
ITEM 4. Controls and Procedures
Man Investments (USA) Corp., the managing member of Man-AHL 130 (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 for which this Quarterly Report
on Form 10-Q is being filed, and, based on their evaluation, have concluded that
these disclosure controls and procedures are effective. There were no
significant changes in the Managing Member's internal controls with respect to
Man-AHL 130 or in other factors applicable to Man-AHL 130 that could
significantly affect these controls subsequent to the date of their evaluation.
ITEM 4T. Controls and Procedures
Not applicable.
PART II - OTHER INFORMATION
Item 1. Legal Proceedings.
None.
Item 1A. Risk Factors
There have been no material changes to the Risk Factors previously disclosed in
Item 1A of Man-AHL 130's Annual Report on Form 10-K for the year ended March 31,
2007.
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 November 1, 2007.
15
(2) The offering of Man-AHL 130's Units of Limited Liability Company
Interest commenced on or about March 13, 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 December
31, 2007, Man-AHL 130 completed the sale of 151,799.387 Class A Units and the
aggregate offering price of the amount sold was $15,200,000. No Class B Units
have been sold as of December 31, 2007.
(v) As of December 31, 2007, no expenses were incurred for the account
of Man-AHL 130.
(vi) Net offering proceeds to Man-AHL 130 as of December 31, 2007 were
$15,200,000.
(vii) As of December 31, 2007, the amount of net offering proceeds to
Man-AHL 130 for commodity futures and forward trading and investment in the
Man-Glenwood Funds totaled $15,200,000.
(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. There
were no redemptions of Units at June 30, September 30, or December 31 2007.
Item 3. Defaults upon Senior Securities.
Not applicable.
Item 4. Submissions of Matters to a Vote of Security Holders.
None
16
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
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.
3.02 Limited Liability Company Agreement of the Registrant (amended).
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.
17
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.
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 February 14, 2008.
Man-AHL 130, LLC
(Registrant)
By: Man Investments (USA) Corp.
Managing Member
By: /s/ Uwe Eberle
President and Principal
Executive Officer
By: /s/ Alicia B. Derrah
Chief Financial Officer
18
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