UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C.20549

FORM 10-Q

☒ Quarterly report pursuant to Section 13 or 15(d) of the Securities

Exchange Act of 1934

For the quarterly period ended June 30, 2015

☐ Transition report pursuant to Section 13 or 15(d) of the Securities

Exchange Act of 1934

For the transition period from ____________ to _____________

COMMISSION FILE NUMBER 0-49767

MLM INDEX™ FUND

(Exact name of registrant as specified in its charter)

DELAWARE		Unleveraged Series: 22-2897229
		Leveraged Series: 22-3722683
		Commodity L/N Unleveraged Series: 27-1198002
		Commodity L/S Unleveraged Series: 20-8806944

(State or other jurisdiction of incorporation or organization)		(IRS Employer Identification Number)

405 South State Street, Newtown, PA

(Address of principal executive offices)

18940

(Zip Code)

(267) 759-3500

(Registrant's telephone number including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

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, and (2) has been subject to such filing requirements for the past 90 days.

Yes ☒ 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 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 definition of “accelerated filer,” “large accelerated filer,” and “smaller reporting company” in Rule 12-b-2 of the Exchange Act. (Check One):

Large Accelerated Filer ☐ Accelerated Filer ☐ Non-Accelerated Filer☒ Smaller Reporting Company ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12-b-2 of the Exchange Act).

Yes ☐ No☒

MLM Index™ Fund

Index to FORM 10-Q

June 30, 2015

PART I – FINANCIAL INFORMATION
		Page
Item 1	Unaudited Condensed Financial Statements:	Number
MLM Index™ Unleveraged Series		3-9
MLM Index™ Leveraged Series		10-16
MLM Commodity L/N Unleveraged Series		17-23
MLM Commodity L/S Unleveraged Series		24-30
Total Trust		31-37
Notes to Unaudited Condensed Financial Statements		38-51
Item 2	Management’s Discussion and Analysis of Financial Condition and Results of Operations	52-56
Item 3	Quantitative and Qualitative Disclosures of Market Risk	56-58
Item 4	Controls and Procedures	58-59

PART II – OTHER INFORMATION
Item 1	Legal Proceedings	60
Item 1A	Risk Factors	60
Item 2	Unregistered Sales of Equity Securities and Use of Proceeds	60
Item 3	Defaults Upon Senior Securities	60
Item 4	Mine Safety Disclosures	60
Item 5	Other Information	60
Item 6	Exhibits and Reports on Form 8-K	61

ASSETS	June 30, 2015		December 31, 2014

Cash and cash equivalents	$	23,542,477	$	32,065,884
Due from broker		8,359,108		7,050,518
Net unrealized gain on open futures contracts, at fair value		‒		1,696,733
Interest receivable		‒		12

Total assets	$	31,901,585	$	40,813,147

LIABILITIES AND INVESTORS’ INTEREST

Liabilities
Net unrealized loss on open futures contracts, at fair value	$	238,191	$	‒
Brokerage commissions payable		10,081		13,429
Management fee payable		13,831		16,921
Accrued expenses		7,917		8,320

Total liabilities		270,020		38,670

Investors’ interest		31,631,565		40,774,477

Total liabilities and investors’ interest	$	31,901,585	$	40,813,147

Description	Number of Contracts			Unrealized gain/(loss)			Percentage of investors’ interest

Futures*

Long futures contracts
Financial		93		$	(34,311	)		(0.11	)%
Commodity		12			(12,550	)		(0.04	)
		105			(46,861	)		(0.15	)

Short futures contracts
Financial		(88	)		146,138			0.46
Commodity		(211	)		(337,468	)		(1.07	)
		(299	)		(191,330	)		(0.61	)

Net unrealized loss on open futures contracts, at fair value				$	(238,191	)		(0.76	)%

	For the three months ended June 30, 2015			For the three months ended June 30, 2014			For the six months ended June 30, 2015			For the six months ended June 30, 2014
Investment income
Interest	$	3,867		$	3,580		$	9,490		$	8,360

Expenses
Brokerage commissions		36,759			38,242			78,822			78,576
Management fee		45,377			47,395			97,341			97,852
Operating expenses		38,840			40,593			82,429			84,162

Total expenses		120,976			126,230			258,592			260,590

Net investment loss		(117,109	)		(122,650	)		(249,102	)		(252,230	)

Realized and unrealized (loss) gain on investments
Net realized (loss) gain on investments		(114,456	)		(49,114	)		1,317,175			77,553
Net change in unrealized depreciation and appreciation on investments		(1,352,534	)		300,760			(1,936,433	)		(392,744	)
Net realized and unrealized (loss) gain on investments		(1,466,990	)		251,646			(619,258	)		(315,191	)

Net (loss) income	$	(1,584,099	)	$	128,996		$	(868,360	)	$	(567,421	)

	Unleveraged Series
	Class A Shares			Class B Shares			Class C Shares			Class D Shares			Class E Shares			Total Unleveraged Series
Investors’ interest at December 31, 2014	$	398,029		$	746,869		$	1,245		$	39,627,310		$	1,024		$	40,774,477
Redemptions		‒			(27,761	)		‒			(8,246,791	)		‒			(8,274,552	)
Net loss		(12,389	)		(18,430	)		(33	)		(837,485	)		(23	)		(868,360	)
Investors’ interest at June 30, 2015	$	385,640		$	700,678		$	1,212		$	30,543,034		$	1,001		$	31,631,565

Shares at December 31, 2014		3,734			5,977			11			345,489			9
Redemptions		‒			(218	)		‒			(72,641	)		‒
Shares at June 30, 2015		3,734			5,759			11			272,848			9
Net asset value per share:
June 30, 2015	$	103.29		$	121.70		$	106.64		$	111.94		$	105.73

	June 30, 2015			June 30, 2014

Cash flows from operating activities
Net loss	$	(868,360	)	$	(567,421	)
Adjustments to reconcile net loss to net cash and cash equivalents used in operating activities
Net change in operating assets and liabilities
Due from broker		(1,308,590	)		(76,198	)
Net unrealized loss on open futures contracts		1,934,924			397,098
Interest receivable		12			1
Brokerage commissions payable		(3,348	)		(2,895	)
Management fee payable		(3,090	)		(3,709	)
Accrued expenses		(403	)		995

Net cash and cash equivalents used in operating activities		(248,855	)		(252,129	)

Cash flows from financing activities
Subscriptions received, net of selling commissions		‒			21,069,448
Redemptions paid		(8,274,552	)		(7,123,578	)

Net cash and cash equivalents (used in) provided by financing activities		(8,274,552	)		13,945,870

Net (decrease) increase in cash and cash equivalents		(8,523,407	)		13,693,741

Cash and cash equivalents at beginning of period		32,065,884			38,783,078

Cash and cash equivalents at end of period	$	23,542,477		$	52,476,819
Supplemental disclosure of non-cash financing activities:
Redemptions payable	$	‒		$	607,818

Description	Number of contracts		Unrealized loss			Percentage of investors’ interest

Futures*

Long futures contracts
Commodity		238	$	(252,890	)		(0.16	)%

Net unrealized loss on open futures contracts, at fair value			$	(252,890	)		(0.16	)%

	Class D Shares			Class E Shares			Total Commodity L/N Unleveraged Series
Investors’ interest at December 31, 2014	$	75,933,667		$	71,838,023		$	147,771,690
Subscriptions		11,650,000			‒			11,650,000
Net loss		(1,659,062	)		(1,418,304	)		(3,077,366	)
Investors’ interest at June 30, 2015	$	85,924,605		$	70,419,719		$	156,344,324

Shares at December 31, 2014		861,429			838,676
Subscriptions		134,223			‒
Shares at June 30, 2015		995,652			838,676
Net asset value per share:
June 30, 2015	$	86.30		$	83.97

	Total Commodity L/S Unleveraged Series
Investors’ interest at December 31, 2014	$	48,882,680
Subscriptions		4,100,000
Net loss		(2,864,419	)
Investors’ interest at June 30, 2015	$	50,118,261

Shares at December 31, 2014		505,367
Subscriptions		41,175
Shares at June 30, 2015		546,542
Net asset value per share:
June 30, 2015	$	91.70

	Total Commodity L/S Unleveraged Series
Investors’ interest at December 31, 2013	$	37,572,076
Net loss		(743,223	)
Investors’ interest at June 30, 2014	$	36,828,853

Shares at December 31, 2013		441,627
Shares at June 30, 2014		441,627
Net asset value per share:
June 30, 2014	$	83.39

	Total investor interest
Investors’ interest at December 31, 2014	$	242,184,227
Subscriptions		15,750,000
Redemptions		(9,935,777	)
Net loss		(6,998,078	)
Investors’ interest at June 30, 2015	$	241,000,372

	Total investor interest
Investors’ interest at December 31, 2013	$	210,336,225
Subscriptions		4,300,000
Redemptions		(3,475,866	)
Net income		1,122,427
Investors’ interest at June 30, 2014	$	212,282,786

June 30, 2015	Unleveraged Series		Leveraged Series		Commodity L/N Unleveraged Series		Commodity L/S Unleveraged Series		Trust Total
Overnight money markets	$	4,000	$	‒	$	34,237,000	$	9,371,000	$	43,612,000
U.S. Government Agency Securities		23,486,237		‒		121,709,127		32,603,256		177,798,620
Cash		50,477		4,903		51,367		38,490		145,237
Cash in checking accounts		1,763		807		1,488		1,248		5,306
Total	$	23,542,477	$	5,710	$	155,998,982	$	42,013,994	$	221,561,163

December 31, 2014	Unleveraged Series		Leveraged Series		Commodity L/N Unleveraged Series		Commodity L/S Unleveraged Series		Trust Total
Overnight money markets	$	52,000	$	7,000	$	24,236,000	$	4,976,000	$	29,271,000
U.S. Government Agency Securities		31,848,975		─		121,596,138		32,548,659		185,993,772
Cash		163,392		4,903		125,067		83,561		376,923
Cash in checking accounts		1,517		1,430		1,147		1,144		5,238
Total	$	32,065,884	$	13,333	$	145,958,352	$	37,609,364	$	215,646,933

	Unleveraged, Commodity L/N Unleveraged Series, and Commodity L/S Unleveraged Series
	Brokerage fee			Management fee			Organizational fee		Operating expense			Selling expense			Total fees and commissions

Class A		0.85	%		1.50	%		N/A		0.35	%		4.00	%		6.70	%
Class B		0.85	%		0.50	%		N/A		0.35	%		N/A			1.70	%
Class C		0.40	%		1.00	%		N/A		0.35	%		4.00	%		5.75	%
Class D		0.40	%		0.50	%		N/A		0.35	%		N/A			1.25	%
Class E		0.15	%		0.50	%		N/A		0.35	%		N/A			1.00	%

	Leveraged Series
	Brokerage fee			Management fee			Organizational fee		Operating expense			Selling expense			Total fees and commissions

Class A		1.75	%		2.80	%		N/A		0.35	%		4.00	%		8.90	%
Class B		1.75	%		1.30	%		N/A		0.35	%		N/A			3.40	%
Class C		0.90	%		2.05	%		N/A		0.35	%		4.00	%		7.30	%
Class D		0.90	%		1.30	%		N/A		0.35	%		N/A			2.55	%
Class E		0.35	%		1.30	%		N/A		0.35	%		N/A			2.00	%

	June 30, 2015						December 31, 2014
Commodity L/N Unleveraged Series	Asset		Liability				Asset		Liability
Commodity futures	$	─		$	(252,890	)	$	─		$	(1,284,583	)
Total	$	─		$	(252,890	)	$	─		$	(1,284,583	)

	June 30, 2015					December 31, 2014
Commodity L/S Unleveraged Series	Asset		Liability			Asset		Liability
Commodity futures	$	559,111	$	(2,835,185	)	$	5,320,855	$	(580,544	)
Total	$	559,111	$	(2,835,185	)	$	5,320,855	$	(580,544	)

	Three months ended June 30, 2015									Three months ended June 30, 2014
Unleveraged	Realized			Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	(325,794	)	$	(421,765	)	$	(747,559	)	$	123,818		$	69,337	$	193,155
Commodity futures		214,254			(941,794	)		(727,540	)		(172,932	)		232,352		59,420
Total	$	(111,540	)	$	(1,363,559	)	$	(1,475,099	)	$	(49,114	)	$	301,689	$	252,575

	Three months ended June 30, 2015									Three months ended June 30, 2014
Leveraged	Realized			Unrealized			Total			Realized			Unrealized		Total
Financial futures	$	(105,913	)	$	(115,276	)	$	(221,189	)	$	44,087		$	26,539	$	70,626
Commodity futures		66,886			(261,575	)		(194,689	)		(62,256	)		75,962		13,706
Total	$	(39,027	)	$	(376,851	)	$	(415,878	)	$	(18,169	)	$	102,501	$	84,332

	Three months ended June 30, 2015								Three months ended June 30, 2014
Commodity L/N	Realized		Unrealized			Total			Realized			Unrealized		Total
Commodity futures	$	190,690	$	(454,370	)	$	(263,680	)	$	(2,352,072	)	$	1,768,230	$	(583,842	)
Total	$	190,690	$	(454,370	)	$	(263,680	)	$	(2,352,072	)	$	1,768,230	$	(583,842	)

	Three months ended June 30, 2015								Three months ended June 30, 2014
Commodity L/S	Realized		Unrealized			Total			Realized			Unrealized		Total
Commodity futures	$	991,720	$	(5,128,601	)	$	(4,136,881	)	$	(684,445	)	$	904,014	$	219,569
Total	$	991,720	$	(5,128,601	)	$	(4,136,881	)	$	(684,445	)	$	904,014	$	219,569

	Six months ended June 30, 2015								Six months ended June 30, 2014
Unleveraged	Realized		Unrealized			Total				Realized			Unrealized			Total
Financial futures	$	350,221	$	(555,132	)	$	(204,911	)		$	275,614		$	(486,978	)	$	(211,364	)
Commodity futures		987,983		(1,379,792	)		(391,809	)			(198,061	)		89,880			(108,181	)
Total	$	1,338,204	$	(1,934,924	)	$	(596,720	)		$	77,553		$	(397,098	)	$	(319,545	)

	Number of Contracts Opened		Number of Contracts Closed		Number of Contracts Opened		Number of Contracts Closed
	Three months ended June 30, 2015		Three months ended June 30, 2015		Three months ended June 30, 2014		Three months ended June 30, 2014
Unleveraged		633		755		784		591
Leveraged		195		242		193		201
Commodity L/N		246		245		2,191		2,531
Commodity L/S		2,410		2,448		1,437		1,416
Trust Total		3,484		3,690		4,605		4,739

MLM INDEX FUND 10-Q