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10-K/A - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_fm10ka.htm
EX-32.01 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex3201.htm
EX-13.03 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex1303.htm
EX-13.04 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex1304.htm
EX-13.01 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex1301.htm
EX-31.01 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex3101.htm
EX-13.05 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex1305.htm
EX-32.02 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex32021.htm
EX-31.02 - ML TREND-FOLLOWING FUTURES FUND L.P.efc10-181_ex3102.htm
EXHIBIT 13.02
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
   ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
 
     
   
Financial Statements for the year ended
December 31, 2008, 2007 and 2006 and
Report of 
Independent Registered Public Accounting Firm
 
 
 
 
 
 

 
 
















 

 
 

 
 

 
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)


TABLE OF CONTENTS

 
 

 
   Page
   
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
1
   
FINANCIAL STATEMENTS:
 
   
Statements of Financial Condition as of December 31, 2008 and 2007
2
   
Statements of Operations for the year ended December 31, 2008, 2007 and 2006
3
   
Statements of Changes in Member’s Capital for the years ended December 31, 2008,
 
2007 and 2006
4
   
Financial Data Highlights for the years ended December 31, 2008, 2007 and 2006
6
   
 Notes to Financial Statements
  9
 

 
 

 

ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, 2008 AND 2007

 
   
2008
   
2007
 
ASSETS:
           
Equity in commodity futures trading accounts:
           
    Cash (including restricted cash of $24,334,309 for 2008 and $40,922,943 for 2007)
  $ 334,291,578     $ 267,131,712  
    Net unrealized profit on open contracts
    11,866,510       9,368,575  
Cash
    241,619       40,779  
Accrued interest
    19,502       966,433  
                 
                TOTAL ASSETS
  $ 346,419,209     $ 277,507,499  
                 
LIABILITIES AND MEMBERS’ CAPITAL:
               
LIABILITIES:
               
    Brokerage commissions payable
  $ 58,192     $ 126,258  
    Management fee payable
    536,784       419,877  
    Sponsor fee payable
    279,746       247,535  
    Redemptions payable
    9,241,236       8,473,549  
    Perfomance fee payable
    15,635,853       1,956,978  
    Initial offering costs payable
    -       19,200  
    Other
    233,592       249,128  
                 
            Total liabilities
    25,985,403       11,492,525  
                 
MEMBERS’ CAPITAL:
               
  Sponsor's Interest (20,647 Units and 20,647 Units)
    32,331       25,576  
  Members' Interest (195,021,681 Units and 208,133,972 Units)
    320,401,475       265,989,398  
            Total members’ capital
    320,433,806       266,014,974  
                 
                TOTAL LIABILITIES AND MEMBERS' CAPITAL
  $ 346,419,209     $ 277,507,499  
                 
NET ASSET VALUE PER UNIT (SEE NOTE 6)
               
(Based on 195,042,328 and 208,154,619 Units outstanding, unlimited Units authorized)
               
                 
See notes to financial statements.
               
 

 
 
2

 

ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006

 
   
2008
   
2007
   
2006
 
TRADING PROFIT (LOSS):
                 
                   
        Realized
  $ 93,209,117     $ 12,040,023     $ 3,685,911  
        Change in unrealized
    2,497,935       3,857,805       4,871,886  
        Brokerage commissions
    (787,841 )     (1,052,707 )     (364,137 )
                         
            Total trading profit (loss)
    94,919,211       14,845,121       8,193,660  
                         
INVESTMENT INCOME:
                       
       Interest
    5,306,094       10,674,137       3,456,878  
                         
EXPENSES:
                       
       Management fee
    5,712,987       4,139,254       1,479,278  
       Sponsor fee
    3,172,388       2,781,129       1,358,328  
       Performance fee
    16,320,740       2,038,070       1,416,045  
       Other
    743,997       665,497       663,356  
            Total expenses
    25,950,112       9,623,950       4,917,007  
                         
NET INVESTMENT INCOME (LOSS)
    (20,644,018 )     1,050,187       (1,460,129 )
                         
NET INCOME (LOSS)
  $ 74,275,193     $ 15,895,308     $ 6,733,531  
                         
NET INCOME (LOSS) PER UNIT:
                       
                         
Weighted average number of Units outstanding
                 
     Class A
    18,577,490       17,685,024       6,463,612  
     Class C
    76,318,438       77,729,481       41,576,411  
     Class D
    10,392,579       16,490,950       9,623,303  
     Class I
    10,689,594       13,298,470       8,746,222  
     Class DS*
    31,288,535       11,050,699          
     Class DT**
    61,607,169       82,941,449          
                         
     Net income (loss) per weighted average Unit
                       
     Class A
  $ 0.3475     $ 0.0917     $ 0.1353  
     Class C
  $ 0.3154     $ 0.0782     $ 0.0948  
     Class D
  $ 0.3998     $ 0.0994     $ 0.0862  
     Class I
  $ 0.3644     $ 0.0942     $ 0.1242  
     Class DS*
  $ 0.3373     $ 0.1602          
     Class DT**
  $ 0.4081     $ 0.0426          
                         
*Class DS commenced on April 2, 2007 and was previously known as Class D-SM.
         
                         
**Class DT commenced on June 1, 2007 and was previously known as Class D-TF.
         
                         
See notes to financial statements.
                       

 
 
3

 

 
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBER’S CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006 

 
                                                             
   
Members' Capital December 31, 2005
               
Members' Capital December 31, 2006
               
Members' Capital December 31, 2007
               
Members' Capital December 31, 2008
 
   
Subscriptions
   
Redemptions
   
Subscriptions
   
Redemptions
   
Subscriptions
   
Redemptions
 
Class A
    2,099,133       12,533,998       (834,543 )     13,798,588       5,509,263       (1,419,855 )     17,887,996       4,471,164       (3,654,554 )     18,704,606  
Class C
    15,745,021       50,660,812       (3,092,087 )     63,313,746       30,581,247       (14,724,727 )     79,170,266       14,556,104       (25,455,625 )     68,270,745  
Class D
    4,742,754       13,160,166       (4,371,011 )     13,531,909       6,087,954       (3,319,371 )     16,300,492       659,229       (10,043,745 )     6,915,976  
Class I
    5,948,484       6,289,323       (119,170 )     12,118,637       3,341,115       (4,095,954 )     11,363,798       3,063,709       (5,466,260 )     8,961,247  
Class DS*
    -       -       -       -       13,988,458       (220,336 )     13,768,122       37,814,013       (10,038,276 )     41,543,859  
Class DT**
    -       -       -       -       91,381,476       (21,738,178 )     69,643,298       1,552,098       (20,570,148 )     50,625,248  
                                                                                 
Total Members' Units
    28,535,392       82,644,299       (8,416,811 )     102,762,880       150,889,513       (45,518,421 )     208,133,972       62,116,317       (75,228,608 )     195,021,681  
                                                                                 
Class A
    10,319       -       -       10,319       -       -       10,319       -       -       10,319  
Class C
    10,328       -       -       10,328       -       -       10,328       -       -       10,328  
                                                                                 
Total Sponsor's Units
    20,647       -       -       20,647       -       -       20,647       -       -       20,647  
                                                                                 
*Class DS commenced on April 2, 2007 and was previously known as Class D-SM.
                                           
                                                                                 
**Class DT commenced on June 1, 2007 and was previously known as Class D-TF.
                                           
                                                                                 
See notes to financial statements.
                                                                         
                                                                                 

 

 
4

 
 
 
 
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006


     
Members' Capital December 31, 2005
   
Subscriptions
   
Redemptions
     
Net Income
     
Members' Capital December 31, 2006
   
Subscriptions
   
Redemptions
     
Net Income
     
Members' Capital December 31, 2007
   
Subscriptions
   
Redemptions
     
Net Income
     
Members' Capital December 31, 2008
 
Class A
  $ 2,233,102     $ 13,919,256     $ (935,963 )   $ 873,239     $ 16,089,634     $ 6,430,196     $ (1,712,053 )   $ 1,620,687     $ 22,428,464     $ 6,143,861     $ (5,234,543 )   $ 6,452,930     $ 29,790,712  
Class C
    16,664,400       55,538,003       (3,393,896 )     3,942,484       72,750,991       35,450,778       (17,423,204 )     6,080,158       96,858,723       19,482,963       (35,319,265 )     24,068,580       105,091,001  
Class D
    5,186,047       15,378,348       (4,979,747 )     829,458       16,414,106       7,675,895       (4,145,982 )     1,639,960       21,583,979       975,000       (14,864,105 )     4,154,640       11,849,514  
Class I
    6,299,150       6,943,693       (130,958 )     1,086,399       14,198,284       3,891,855       (4,968,583 )     1,252,596       14,374,152       4,181,986       (7,985,878 )     3,894,853       14,465,113  
Class DS*
    -       -       -       -       -       16,742,584       (276,777 )     1,770,147       18,235,954       56,116,079       (14,003,395 )     10,554,233       70,902,871  
Class DT**
    -       -       -       -       -       116,922,597       (27,944,560 )     3,530,089       92,508,126       2,229,235       (31,578,299 )     25,143,202       88,302,264  
                                                                                                         
Total Members' Interest
  $ 30,382,699     $ 91,779,300     $ (9,440,564 )   $ 6,731,580     $ 119,453,015     $ 187,113,905     $ (56,471,159 )   $ 15,893,637     $ 265,989,398     $ 89,129,124     $ (108,985,485 )   $ 74,268,438     $ 320,401,475  
                                                                                                         
Class A
  $ 11,001     $ -     $ -     $ 1,034     $ 12,035     $ -     $ -     $ 905     $ 12,940     $ -     $ -     $ 3,495     $ 16,435  
Class C
    10,953       -       -       917       11,870       -       -       766       12,636       -       -       3,260       15,896  
                                                                                                         
Total Sponsor's Interest
  $ 21,954     $ -     $ -     $ 1,951     $ 23,905     $ -     $ -     $ 1,671     $ 25,576     $ -     $ -     $ 6,755     $ 32,331  
                                                                                                         
Total Members' Capital
  $ 30,404,653     $ 91,779,300     $ (9,440,564 )   $ 6,733,531     $ 119,476,920     $ 187,113,905     $ (56,471,159 )   $ 15,895,308     $ 266,014,974     $ 89,129,124     $ (108,985,485 )   $ 74,275,193     $ 320,433,806  
                                                                                                         
*Class DS commenced on April 2, 2007 and was previously known as Class D-SM.
                                                         
                                                                                                         
**Class DT commenced on June 1, 2007 and was previously known as Class D-TF.
                                                       
                                                                 
See notes to financial statements.
                                                               
 
 

 
5

 


 
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2008

 
The following per Unit data and ratios have been derived from information provided in the financial statements.
 
Per Unit Operating Performance:
 
Class A
   
Class C
   
Class D
   
Class I
   
Class DS *
   
Class DT **
 
                                     
Net asset value, beginning of year
  $ 1.2538     $ 1.2234     $ 1.3241     $ 1.2649     $ 1.3245     $ 1.3283  
                                                 
Realized and change in unrealized trading profit (loss)
    0.4553       0.4427       0.4925       0.4616       0.4811       0.4891  
Brokerage commissions
    (0.0037 )     (0.0036 )     (0.0039 )     (0.0037 )     (0.0039 )     (0.0039 )
Interest income
    0.0247       0.0241       0.0265       0.0250       0.0261       0.0264  
Expenses
    (0.1374 )     (0.1473 )     (0.1258 )     (0.1336 )     (0.1211 )     (0.0957 )
                                      -          
Net asset value, end of year
  $ 1.5927     $ 1.5393     $ 1.7134     $ 1.6142     $ 1.7067     $ 1.7442  
                                                 
Total Return:
                                               
                                                 
Total return before Performance fees
    34.07 %     32.81 %     36.67 %     34.69 %     35.82 %     36.81 %
Performance fees
    -6.22 %     -6.24 %     -6.32 %     -6.24 %     -6.04 %     -4.76 %
Total return after Performance fees
    27.03 %     25.82 %     29.41 %     27.61 %     28.86 %     31.31 %
                                                 
Ratios to Average Members' Capital:
                                               
                                                 
Expenses (excluding Performance fees)
    3.84 %     4.86 %     2.36 %     3.45 %     2.30 %     1.80 %
Performance fees
    5.90 %     5.91 %     5.98 %     5.91 %     5.74 %     4.48 %
Expenses (including Performance fees)
    9.74 %     10.77 %     8.34 %     9.36 %     8.04 %     6.28 %
                                                 
Net investment income (loss)
    -7.93 %     -8.96 %     -6.51 %     -7.54 %     -6.24 %     -4.48 %
                                                 
                                                 
   
*Class DS and was previously known as Class D-SM.                                  
**Class DT was previously known as Class D-TF.
                                               
See notes to financial statements.
                                               

 

 
 
6

 


 
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2007

 
The following per Unit data and ratios have been derived from information provided in the financial statements.
 
Per Unit Operating Performance:
 
Class A
   
Class C
   
Class D
   
Class I
   
Class DS (a)*
   
Class DT (a)**
 
                                     
Net asset value, beginning of period
  $ 1.1660     $ 1.1491     $ 1.2130     $ 1.1716     $ 1.1631     $ 1.2795  
                                                 
Realized trading profit
    0.0733       0.0718       0.0766       0.0737       0.1013       0.0343  
Change in unrealized trading profit (loss)
    0.0226       0.0220       0.0240       0.0229       0.0563       (0.0026 )
Brokerage commissions
    (0.0057 )     (0.0056 )     (0.0059 )     (0.0057 )     (0.0046 )     (0.0035 )
Interest income
    0.0580       0.0569       0.0607       0.0584       0.0456       0.0354  
Expenses
    (0.0604 )     (0.0708 )     (0.0443 )     (0.0560 )     (0.0372 )     (0.0148 )
                                                 
Net asset value, end of period
  $ 1.2538     $ 1.2234     $ 1.3241     $ 1.2649     $ 1.3245     $ 1.3283  
                                                 
Total Return:
                                               
                                                 
Total return before Performance fees
    8.61 %     7.54 %     10.26 %     9.05 %     15.06 %     3.89 %
Performance fees
    -1.38 %     -1.36 %     -1.35 %     -1.38 %     -1.35 %     -0.17 %
Total return after Performance fees
    7.53 %     6.47 %     9.15 %     7.96 %     13.88 %     3.81 %
                                                 
Ratios to Average Members' Capital:
                                               
                                                 
Expenses (excluding Performance fees)
    3.92 %     4.98 %     2.39 %     3.54 %     1.75 %     1.05 %
Performance fees
    1.24 %     1.20 %     1.06 %     1.14 %     1.25 %     0.15 %
Expenses (including Performance fees)
    5.16 %     6.18 %     3.45 %     4.68 %     3.00 %     1.20 %
                                                 
Net investment income (loss)
    -0.20 %     -1.19 %     1.53 %     0.34 %     0.62 %     1.63 %
                                                 
                                                 
*Class DS commenced on April 2, 2007 and was previously known as Class D-SM.
 
   
**Class DT commenced on June 1, 2007 and was previously known as Class D-TF.
                 
(a) The ratios to average members' capital for these two classes have been annualized. The total return ratios are not annualized.
 
See notes to financial statements.
                                               
 
 
 
 

 

 

ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2006

 
The following per Unit data and ratios have been derived from information provided in the financial statements.
 
Per Unit Operating Performance:
 
Class A
   
Class C
   
Class D
   
Class I
 
                         
Net asset value, beginning of year
  $ 1.0638     $ 1.0584     $ 1.0935     $ 1.0590  
                                 
Realized trading profit
    0.0429       0.0422       0.0444       0.0422  
Change in unrealized trading profit (loss)
    0.0872       0.0866       0.0904       0.0873  
Brokerage commissions
    (0.0057 )     (0.0057 )     (0.0059 )     (0.0057 )
Interest income
    0.0505       0.0500       0.0522       0.0505  
Expenses
    (0.0727 )     (0.0824 )     (0.0616 )     (0.0617 )
                                 
Net asset value, end of year
  $ 1.1660     $ 1.1491     $ 1.2130     $ 1.1716  
                                 
Total Return:
                               
                                 
Total return before Performance fees
    11.70 %     10.59 %     13.38 %     12.14 %
Performance fees
    -2.29 %     -2.23 %     -2.56 %     -1.72 %
Total return after Performance fees
    9.45 %     8.42 %     10.79 %     10.53 %
                                 
Ratios to Average Members' Capital:
                               
                                 
Expenses (excluding Performance fees)
    4.69 %     5.73 %     3.17 %     4.10 %
Performance fees
    2.82 %     2.01 %     1.89 %     1.77 %
Expenses (including Performance fees)
    7.51 %     7.74 %     5.07 %     5.87 %
                                 
Net investment loss
    -2.47 %     -2.76 %     0.01 %     -1.12 %
                                 
                                 
See notes to financial statements.
                               
 
 
 

 

 

ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS
 
  1.
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 
 
Organization

ML Aspect FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccess Program (the “Program”) fund, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on April 1, 2005. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Aspect Capital Limited (“Aspect”) is the trading advisor of the Fund.  Merrill Lynch Alternative Investments LLC (“MLAI”) is the Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker.

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

The Fund offers six Classes of Units:  Class A, Class C, Class D, DT, DS, and Class I.  Each Class of Units except for DT and DS was offered at $1.00 per Unit during the initial offering period and subsequently is offered at Net Asset Value per Unit for all other purposes (see Note 6).  Class DS commenced on April 2, 2007 and was offered at 1.1631 and Class DT commenced on June 1, 2007 and was offered at $1.2795.  The six Classes of Units are subject to different Sponsor fees.

Effective January 1, 2009, Merrill Lynch & Co., Inc. became a wholly-owned subsidiary of Bank of America Corporation pursuant to a merger agreement.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or other obligations of, and are not guaranteed by, Bank of America Corporation or any of its affiliates or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

 
Estimates
 
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management 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 reporting period.  Actual results could differ from those estimates.

9

 

 
Revenue Recognition
 
Commodity futures, options on futures and forward contract transactions are recorded on the trade date and open contracts are reflected in Net unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value.  The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized under Trading profit (loss) in the Statements of Operations.

Foreign Currency Transactions
 
The Fund’s functional currency is the U.S. dollar; however, it transacts business in U.S. dollars and in currencies other than the U.S. dollar.  Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition.  Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period.  Gains and losses resulting from the translation to U.S. dollars are reported in Realized in the Statements of Operations.

Cash at Broker

A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements.  Included in cash deposits with the broker at December 31, 2008 and 2007 were restricted cash for margin requirements of $24,334,309 and $40,922,943, respectively.

Operating Expenses, Offering Costs and Selling Commissions

 
The Fund pays for all routine operating costs (including ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and expenses) incurred by the Fund.  The Fund also pays any extraordinary expenses.

 
MLAI paid all the expenses incurred in connection with the initial offering of the Units. The costs consist of offering costs at the Program level.  The Fund is reimbursing MLAI for these costs in 60 monthly installments.  For financial reporting purposes in conformity with U.S. GAAP, the Fund deducted the total initial offering costs of $73,981 from Members’ Capital at inception. For all other purposes, including determining the Net Asset Value per Unit for subscription and redemption purposes, the Fund amortizes offering costs over an estimated 60 month period (see Note 6).
 
 
Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%.  Class D and Class I Units are subject to sales commissions up to 0.5%.  The rate assessed to a given subscription is based upon the subscription amount.  Sales commissions are directly deducted from subscription amounts.  Class C, DS and DT Units are not subject to any sales commissions.
 
 
 
10 

 


 
Income Taxes

 
No provision for income taxes has been made in the accompanying financial statements as each Member is individually responsible for reporting income or loss based on such Member’s share of the Fund’s income and expenses as reported for income tax purposes.

 
Distributions

 
The Members are entitled to receive, equally per Unit, any distributions which may be made by the Fund.  No such distributions have been declared for the years ended December 31, 2008, 2007 and 2006.

 
Subscriptions

 
Units are offered as of the close of business at the end of each month.  Shares are purchased as of the first business day of any month at Net Asset Value for all other purposes (see Note 6), but the subscription request must be submitted at least three calendar days before the end of the preceding month.  Subscriptions submitted less than three days before the end of a month will be applied to Units subscriptions as of the beginning of the second month after receipt, unless revoked by MLAI.
 
 
 
Redemptions and Exchanges

 
A Member may redeem or exchange some or all of such Member’s Units at Net Asset Value for all other purposes (see Note 6) as of the close of business, on the last business day of any month, upon ten calendar days’ notice (“notice period”).
 
 
An investor in the Fund can exchange these Units for Units of the same Class in other Program Funds as of the beginning of each calendar month upon at least ten days prior notice.  The minimum exchange amount is $10,000.
 
 
Redemption requests are accepted within the notice period.  The Fund does not accept any redemption requests after the notice period.  All redemption requests received after the notice period will be processed for the following month.
 
 
Dissolution of the Fund
 
 
The Fund may terminate if certain circumstances occur as set forth in the offering memorandum, which include but are not limited to the following:
 
 
(a) Bankruptcy, dissolution, withdrawal or other termination of the trading advisor of this Fund.
(b) Any event which would make unlawful the continued existence of this Fund
(c) Determination by MLAI to liquidate or withdraw from the Fund.
 
 
Indemnifications
 
 
In the normal course of business, the Fund enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.  The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred.  The Fund expects the risk of any future obligation under these indemnifications to be remote.
 


11


 
2.  
CONDENSED SCHEDULE OF INVESTMENTS

 
The Fund’s investments, defined as Net unrealized profit (loss) on open contracts in the Statement of Financial Condition as of December 31, 2008 and 2007 are as follows:
 
2008
                                                   
   
Long Positions
         
Short Positions
         
Net Unrealized
           
Commodity Industry
 
Number of
   
Unrealized
   
Percent of
   
Number of
   
Unrealized
   
Percent of
   
Profit (Loss)
   
Percent of
     
Sector
 
Contracts
   
Profit (Loss)
   
Members' Capital
   
Contracts
   
Profit (Loss)
   
Members' Capital
   
on Open Positions
   
Members' Capital
   
Maturity Dates
                                                     
                                                     
Agriculture
    145     $ 333,270       0.10 %     (1,240 )   $ (860,947 )     -0.27 %   $ (527,677 )     -0.17 %  
January 2009 - March 2009
Currencies
    2,211,124       1,544,260       0.48 %     (461,942 )     (2,356,344 )     -0.74 %     (812,084 )     -0.26 %  
January 2009
Energy
    41       75,848       0.02 %     (407 )     946,274       0.30 %     1,022,122       0.32 %  
February 2009
Interest rates
    8,731       13,032,113       4.07 %     -       -       0.00 %     13,032,113       4.07 %  
March 2009 -
March 2010
Metals
    45       88,866       0.03 %     (503 )     (723,498 )     -0.23 %     (634,632 )     -0.20 %  
February 2009 - April 2009
Stock indices
    3       3,950       0.00 %     (176 )     (217,282 )     -0.07 %     (213,332 )     -0.07 %  
January 2009 - March 2009
                                                                     
Total
          $ 15,078,307       4.70 %           $ (3,211,797 )     -1.01 %   $ 11,866,510       3.69 %    
                                                                     
                      320,433,806                                              
2007