Attached files
| file | filename |
|---|---|
| EX-31.02 - EX-31.02 - Aspect FuturesAccess LLC | a10-9768_1ex31d02.htm |
| EX-31.01 - EX-31.01 - Aspect FuturesAccess LLC | a10-9768_1ex31d01.htm |
| EX-32.02 - EX-32.02 - Aspect FuturesAccess LLC | a10-9768_1ex32d02.htm |
| EX-32.01 - EX-32.01 - Aspect FuturesAccess LLC | a10-9768_1ex32d01.htm |
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2010
OR
o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission File Number 0-51085
ML ASPECT FUTURESACCESS LLC
(Exact Name of Registrant as specified in its charter)
|
Delaware |
|
20-1227650 |
|
(State or other jurisdiction of |
|
(IRS Employer Identification No.) |
|
incorporation or organization) |
|
|
c/o Merrill Lynch Alternative Investments LLC
Four World Financial Center, 6th Floor
250 Vesey Street
New York, New York 10080
(Address of principal executive offices)
(Zip Code)
212-449-3517
(Registrant’s telephone number, including area code)
Two World Financial Center, 7th Floor
New York, New York 10281
(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 (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes o No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
|
Large accelerated filer o |
|
Accelerated filer o |
|
|
|
|
|
Non-accelerated filer x |
|
Small reporting company o |
|
(Do not check if a smaller reporting company) |
|
|
Indicate by check mark whether the registrant is a shell company (as defined by Rule 12b-2 of the Exchange Act). Yes o No x
As of March 31, 2010, 181,288,196 units of limited liability company interest were outstanding.
QUARTERLY REPORT FOR MARCH 31, 2010 ON FORM 10-Q
|
|
|
|
|
PAGE |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 |
||
|
|
|
|
|
|
|
|
Management’s Discussion and Analysis of Financial Condition and Results of Operations |
|
15 |
|
|
|
|
|
|
|
|
|
|
20 |
||
|
|
|
|
|
|
|
|
|
25 |
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25 |
||
|
|
|
|
|
|
|
|
|
25 |
||
|
|
|
|
|
|
|
|
|
26 |
||
|
|
|
|
|
|
|
|
|
27 |
||
|
|
|
|
|
|
|
|
|
27 |
||
|
|
|
|
|
|
|
|
|
27 |
||
|
|
|
|
|
|
|
|
|
27 |
PART I - FINANCIAL INFORMATION
ML ASPECT FUTURESACCESS LLC
(a Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
(unaudited)
|
|
|
March 31, |
|
December 31, |
|
||
|
|
|
2010 |
|
2009 |
|
||
|
ASSETS: |
|
|
|
|
|
||
|
Equity in commodity futures trading accounts: |
|
|
|
|
|
||
|
Cash (including restricted cash of $26,360,222 for 2010 and $30,538,024 for 2009) |
|
$ |
262,525,951 |
|
$ |
269,793,907 |
|
|
Net unrealized profit on open contracts |
|
11,216,968 |
|
— |
|
||
|
Cash and cash equivalents |
|
158,282 |
|
1,397,466 |
|
||
|
Other assets |
|
2,837 |
|
— |
|
||
|
|
|
|
|
|
|
||
|
TOTAL ASSETS |
|
$ |
273,904,038 |
|
$ |
271,191,373 |
|
|
|
|
|
|
|
|
||
|
LIABILITIES AND MEMBERS’ CAPITAL: |
|
|
|
|
|
||
|
LIABILITIES: |
|
|
|
|
|
||
|
Brokerage commissions payable |
|
$ |
12,659 |
|
$ |
84,821 |
|
|
Sponsor and Advisory fees payable |
|
627,374 |
|
1,940,265 |
|
||
|
Redemptions payable |
|
1,653,871 |
|
2,307,660 |
|
||
|
Net unrealized loss on open contracts |
|
— |
|
970,474 |
|
||
|
Other liabilities |
|
308,573 |
|
258,991 |
|
||
|
|
|
|
|
|
|
||
|
Total liabilities |
|
2,602,477 |
|
5,562,211 |
|
||
|
|
|
|
|
|
|
||
|
MEMBERS’ CAPITAL: |
|
|
|
|
|
||
|
Sponsor’s Interest (20,647 Unitsand 20,647 Units) |
|
28,847 |
|
27,998 |
|
||
|
Members’ Interest (181,267,549 Units and 183,714,476 Units) |
|
271,272,714 |
|
265,601,165 |
|
||
|
Total members’ capital |
|
271,301,561 |
|
265,629,162 |
|
||
|
|
|
|
|
|
|
||
|
TOTAL LIABILITIES AND MEMBERS’ CAPITAL |
|
$ |
273,904,038 |
|
$ |
271,191,373 |
|
|
|
|
|
|
|
|
||
|
NET
ASSET VALUE PER UNIT (SEE NOTE 4) |
|
|
|
|
|
||
See notes to financial statements.
ML ASPECT FUTURESACCESS LLC
(a Delaware Limited Liability Company)
STATEMENTS OF OPERATIONS
(unaudited)
|
|
|
For the three |
|
For the three |
|
||
|
|
|
months ended |
|
months ended |
|
||
|
|
|
March 31, |
|
March 31, |
|
||
|
|
|
2010 |
|
2009 |
|
||
|
TRADING PROFIT (LOSS): |
|
|
|
|
|
||
|
|
|
|
|
|
|
||
|
Realized, net |
|
$ |
(1,066,232 |
) |
$ |
10,731,934 |
|
|
Change in unrealized, net |
|
12,187,442 |
|
(15,126,419 |
) |
||
|
Brokerage commissions |
|
(133,208 |
) |
(95,699 |
) |
||
|
|
|
|
|
|
|
||
|
Total trading profit (loss) |
|
10,988,002 |
|
(4,490,184 |
) |
||
|
|
|
|
|
|
|
||
|
INVESTMENT INCOME: |
|
|
|
|
|
||
|
Interest |
|
(2,675 |
) |
24,172 |
|
||
|
|
|
|
|
|
|
||
|
EXPENSES: |
|
|
|
|
|
||
|
Management fee |
|
1,261,948 |
|
1,477,322 |
|
||
|
Sponsor fee |
|
584,451 |
|
786,264 |
|
||
|
Performance fee |
|
— |
|
17,428 |
|
||
|
Other |
|
153,787 |
|
126,548 |
|
||
|
Total expenses |
|
2,000,186 |
|
2,407,562 |
|
||
|
|
|
|
|
|
|
||
|
NET INVESTMENT INCOME (LOSS) |
|
(2,002,861 |
) |
(2,383,389 |
) |
||
|
|
|
|
|
|
|
||
|
NET INCOME (LOSS) |
|
$ |
8,985,141 |
|
$ |
(6,873,574 |
) |
|
|
|
|
|
|
|
||
|
NET INCOME (LOSS) PER UNIT: |
|
|
|
|
|
||
|
|
|
|
|
|
|
||
|
Weighted average number of Units outstanding |
|
|
|
|
|
||
|
Class A |
|
15,552,967 |
|
18,280,429 |
|
||
|
Class C |
|
58,106,247 |
|
66,895,587 |
|
||
|
Class D |
|
6,256,747 |
|
6,915,976 |
|
||
|
Class I |
|
5,586,097 |
|
7,992,373 |
|
||
|
Class DS |
|
59,250,339 |
|
43,066,919 |
|
||
|
Class DT |
|
39,792,047 |
|
49,409,687 |
|
||
|
|
|
|
|
|
|
||
|
Net income (loss) per weighted average Unit |
|
|
|
|
|
||
|
Class A |
|
$ |
0.0446 |
|
$ |
(0.0367 |
) |
|
Class C |
|
$ |
0.0382 |
|
$ |
(0.0393 |
) |
|
Class D |
|
$ |
0.0547 |
|
$ |
(0.0346 |
) |
|
Class I |
|
$ |
0.0490 |
|
$ |
(0.0335 |
) |
|
Class DS |
|
$ |
0.0546 |
|
$ |
(0.0357 |
) |
|
Class DT |
|
$ |
0.0557 |
|
$ |
(0.0310 |
) |
See notes to financial statements.
ML ASPECT FUTURESACCESS LLC
(a Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
For the three months ended March 31, 2010 and 2009
(unaudited in Units)
|
|
|
Members’ Capital |
|
|
|
|
|
Members’ Capital |
|
Members’ Capital |
|
|
|
|
|
Members’ Capital March |
|
|
|
|
December 31, 2008 |
|
Subscriptions |
|
Redemptions |
|
March 31, 2009 |
|
December 31, 2009 |
|
Subscriptions |
|
Redemptions |
|
31, 2010 |
|
|
Class A |
|
18,704,606 |
|
505,533 |
|
(1,489,740 |
) |
17,720,399 |
|
15,485,685 |
|
316,574 |
|
(542,435 |
) |
15,259,824 |
|
|
Class C |
|
68,270,745 |
|
1,530,350 |
|
(6,192,317 |
) |
63,608,778 |
|
58,603,514 |
|
950,994 |
|
(3,531,179 |
) |
56,023,329 |
|
|
Class D |
|
6,915,976 |
|
— |
|
— |
|
6,915,976 |
|
6,256,747 |
|
— |
|
— |
|
6,256,747 |
|
|
Class I |
|
8,961,247 |
|
177,868 |
|
(1,739,360 |
) |
7,399,755 |
|
5,483,592 |
|
379,014 |
|
(62,598 |
) |
5,800,008 |
|
|
Class DS |
|
41,543,859 |
|
2,263,738 |
|
— |
|
43,807,597 |
|
57,165,976 |
|
2,355,597 |
|
(402,935 |
) |
59,118,638 |
|
|
Class DT |
|
50,625,248 |
|
— |
|
(3,303,555 |
) |
47,321,693 |
|
40,718,962 |
|
— |
|
(1,909,959 |
) |
38,809,003 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Members’ Units |
|
195,021,681 |
|
4,477,489 |
|
(12,724,972 |
) |
186,774,198 |
|
183,714,476 |
|
4,002,179 |
|
(6,449,106 |
) |
181,267,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
See notes to financial statements.
ML ASPECT FUTURESACCESS LLC
(a Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
For the three months ended March 31, 2010 and 2009
(unaudited)
|
|
|
Members’ Capital |
|
|
|
|
|
Net Income |
|
Members’ Capital |
|
Members’ Capital |
|
|
|
|
|
Net Income |
|
Members’ Capital |
|
||||||||||
|
|
|
December 31, 2008 |
|
Subscriptions |
|
Redemptions |
|
(Loss) |
|
March 31, 2009 |
|
December 31, 2009 |
|
Subscriptions |
|
Redemptions |
|
(Loss) |
|
March 31, 2010 |
|
||||||||||
|
Class A |
|
$ |
29,790,712 |
|
$ |
809,641 |
|
$ |
(2,377,789 |
) |
$ |
(669,749 |
) |
$ |
27,552,815 |
|
$ |
21,461,284 |
|
$ |
430,906 |
|
$ |
(754,021 |
) |
$ |
692,487 |
|
$ |
21,830,656 |
|
|
Class C |
|
105,091,001 |
|
2,367,810 |
|
(9,483,487 |
) |
(2,625,533 |
) |
95,349,791 |
|
77,715,571 |
|
1,236,939 |
|
(4,674,972 |
) |
2,221,737 |
|
76,499,275 |
|
||||||||||
|
Class D |
|
11,849,514 |
|
— |
|
— |
|
(239,215 |
) |
11,610,299 |
|
9,471,276 |
|
— |
|
— |
|
342,360 |
|
9,813,636 |
|
||||||||||
|
Class I |
|
14,465,113 |
|
289,993 |
|
(2,814,481 |
) |
(267,637 |
) |
11,672,988 |
|
7,737,926 |
|
533,197 |
|
(87,758 |
) |
273,608 |
|
8,456,973 |
|
||||||||||
|
Class DS |
|
70,902,871 |
|
3,885,451 |
|
— |
|
(1,536,629 |
) |
73,251,693 |
|
86,166,473 |
|
3,534,243 |
|
(606,578 |
) |
3,236,684 |
|
92,330,822 |
|
||||||||||
|
Class DT |
|
88,302,264 |
|
— |
|
(5,782,848 |
) |
(1,534,001 |
) |
80,985,415 |
|
63,048,635 |
|
— |
|
(2,924,699 |
) |
2,217,416 |
|
62,341,352 |
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Total Members’ Interest |
|
$ |
320,401,475 |
|
$ |
7,352,895 |
|
$ |
(20,458,605 |
) |
$ |
(6,872,764 |
) |
$ |
300,423,000 |
|
$ |
265,601,165 |
|
$ |
5,735,285 |
|
$ |
(9,048,028 |
) |
$ |
8,984,292 |
|
$ |
271,272,714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Class A |
|
$ |
16,435 |
|
$ |
— |
|
$ |
— |
|
$ |
(392 |
) |
$ |
16,043 |
|
$ |
14,303 |
|
$ |
— |
|
$ |
— |
|
$ |
459 |
|
$ |
14,762 |
|
|
Class C |
|
15,896 |
|
— |
|
— |
|
(418 |
) |
15,478 |
|
13,695 |
|
— |
|
— |
|
390 |
|
14,085 |
|
||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Total Sponsor’s Interest |
|
$ |
32,331 |
|
$ |
— |
|
$ |
— |
|
$ |
(810 |
) |
$ |
31,521 |
|
$ |
27,998 |
|
$ |
— |
|
$ |
— |
|
$ |
849 |
|
$ |
28,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Total Members’ Capital |
|
$ |
320,433,806 |
|
$ |
7,352,895 |
|
$ |
(20,458,605 |
) |
$ |
(6,873,574 |
) |
$ |
300,454,522 |
|
$ |
265,629,163 |
|
$ |
5,735,285 |
|
$ |
(9,048,028 |
) |
$ |
8,985,141 |
|
$ |
271,301,561 |
|
See notes to financial statements.
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE THREE MONTHS ENDED MARCH 31, 2010 (unaudited)
The following per Unit data and ratios have been derived from information provided in the financial statements.
|
|
|
Class A |
|
Class C |
|
Class D |
|
Class I |
|
Class DS |
|
Class DT |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Net asset value, beginning of period |
|
$ |
1.3859 |
|
$ |
1.3261 |
|
$ |
1.5138 |
|
$ |
1.4111 |
|
$ |
1.5073 |
|
$ |
1.5484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Net realized and net change in unrealized trading profit (loss) |
|
0.0584 |
|
0.0557 |
|
0.0640 |
|
0.0595 |
|
0.0637 |
|
0.0655 |
|
||||||
|
Brokerage commissions |
|
(0.0007 |
) |
(0.0007 |
) |
(0.0008 |
) |
(0.0007 |
) |
(0.0008 |
) |
(0.0008 |
) |
||||||
|
Interest income |
|
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
||||||
|
Expenses |
|
(0.0130 |
) |
(0.0156 |
) |
(0.0085 |
) |
(0.0118 |
) |
(0.0084 |
) |
(0.0067 |
) |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Net asset value, end of period |
|
$ |
1.4306 |
|
$ |
1.3655 |
|
$ |
1.5685 |
|
$ |
1.4581 |
|
$ |
1.5618 |
|
$ |
1.6064 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Total Return: (a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Total return before Performance fees |
|
3.23 |
% |
2.97 |
% |
3.61 |
% |
3.33 |
% |
3.61 |
% |
3.74 |
% |
||||||
|
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
||||||
|
Total return after Performance fees |
|
3.23 |
% |
2.97 |
% |
3.61 |
% |
3.33 |
% |
3.61 |
% |
3.74 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Ratios to Average Members’ Capital: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Expenses (excluding Performance fees) |
|
0.94 |
% |
1.19 |
% |
0.56 |
% |
0.84 |
% |
0.44 |
% |
0.56 |
% |
||||||
|
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
||||||
|
Expenses (including Performance fees) |
|
0.94 |
% |
1.19 |
% |
0.56 |
% |
0.84 |
% |
0.44 |
% |
0.56 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Net investment income (loss) |
|
-0.94 |
% |
-1.19 |
% |
-0.56 |
% |
-0.84 |
% |
-0.44 |
% |
-0.56 |
% |
||||||
(a) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole.
An individual members’ return may vary from these returns based on timing of capital transactions.
See notes to financial statements.
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE THREE MONTHS ENDED MARCH 31, 2009 (unaudited)
The following per Unit data and ratios have been derived from information provided in the financial statements.
|
|
|
Class A |
|
Class C |
|
Class D |
|
Class I |
|
Class DS |
|
Class DT |
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Net asset value, beginning of period |
|
$ |
1.5927 |
|
$ |
1.5393 |
|
$ |
1.7134 |
|
$ |
1.6142 |
|
$ |
1.7067 |
|
$ |
1.7442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Net realized and net change in unrealized trading profit (loss) |
|
(0.0230 |
) |
(0.0221 |
) |
(0.0248 |
) |
(0.0233 |
) |
(0.0247 |
) |
(0.0253 |
) |
||||||
|
Brokerage commissions |
|
(0.0005 |
) |
(0.0005 |
) |
(0.0005 |
) |
(0.0005 |
) |
(0.0005 |
) |
(0.0005 |
) |
||||||
|
Interest income |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
||||||
|
Expenses |
|
(0.0147 |
) |
(0.0180 |
) |
(0.0092 |
) |
(0.0124 |
) |
(0.0097 |
) |
(0.0075 |
) |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Net asset value, end of period |
|
$ |
1.5546 |
|
$ |
1.4988 |
|
$ |
1.6790 |
|
$ |
1.5781 |
|
$ |
1.6719 |
|
$ |
1.7110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Total Return: (a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Total return before Performance fees |
|
-2.39 |
% |
-2.63 |
% |
-2.02 |
% |
-2.29 |
% |
-2.02 |
% |
-1.90 |
% |
||||||
|
Performance fees |
|
0.00 |
% |
0.00 |
% |
-0.01 |
% |
0.01 |
% |
-0.02 |
% |
0.00 |
% |
||||||
|
Total return after Performance fees |
|
-2.39 |
% |
-2.63 |
% |
-2.03 |
% |
-2.28 |
% |
-2.04 |
% |
-1.90 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Ratios to Average Members’ Capital: |
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Expenses (excluding Performance fees) |
|
0.91 |
% |
1.16 |
% |
0.54 |
% |
0.81 |
% |
0.54 |
% |
0.41 |
% |
||||||
|
Performance fees |
|
-0.01 |
% |
-0.01 |
% |
0.00 |
% |
-0.02 |
% |
0.01 |
% |
-0.01 |
% |
||||||
|
Expenses (including Performance fees) |
|
0.90 |
% |
1.15 |
% |
0.54 |
% |
0.79 |
% |
0.55 |
% |
0.40 |
% |
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Net investment income (loss) |
|
-0.90 |
% |
-1.15 |
% |
-0.54 |
% |
-0.79 |
% |
-0.54 |
% |
-0.40 |
% |
||||||
(a) The total return calculations are based on compounded monthly returns and is calculated for each class taken as a whole.
An individual members’ return may vary from these returns based on timing of capital transactions.
See notes to financial statements.
ML ASPECT FUTURESACCESS LLC
(a Delaware Limited Liability Company)
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ML Aspect FuturesAccess LLC (the “Fund”) was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on April 1, 2005. The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 2 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit) as of the beginning of each calendar month. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Aspect Capital Limited (“Aspect” or the Trading Advisor) is the Trading Advisor of the Fund.
Merrill Lynch Alternative Investments LLC (“MLAI”) is the sponsor (“Sponsor”) and manager (“Manager”) 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. On September 15, 2008, Merrill Lynch (or the “Company”) entered into an Agreement and Plan of Merger (as amended by Amendment No. 1 dated as of October 21, 2008, the “Merger Agreement”) with Bank of America Corporation (“Bank of America”). Pursuant to the Merger Agreement, on January 1, 2009, a wholly-owned subsidiary of Bank of America (“Merger Sub”) merged with and into Merrill Lynch, with Merrill Lynch continuing as the surviving corporation and a subsidiary of Bank of America (the “Merger”).
In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of March 31, 2010, and the results of its operations for the three months ended March 31, 2010 and 2009. However, the operating results for the interim periods may not be indicative of the results for the full year.
Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2009.
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 (see Note 4). 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.
Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, Bank of America or any of its affiliates or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.
Estimates
The preparation of financial statements in conformity with 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.
2. CONDENSED SCHEDULES OF INVESTMENTS
The Fund’s investments, defined as Net unrealized profit (loss) on open contracts in the Statements of Financial Condition, as of March 31, 2010, and December 31, 2009 are as follows:
March 31, 2010
|
|
|
Long Positions |
|
Short Positions |
|
Net Unrealized |
|
|
|
|
|
|||||||||||
|
Commodity Industry |
|
Number of |
|
Unrealized |
|
Percent of |
|
Number of |
|
Unrealized |
|
Percent of |
|
Profit (Loss) |
|
Percent of |
|
|
|
|||
|
Sector |
|
Contracts |
|
Profit (Loss) |
|
Members’ Capital |
|
Contracts |
|
Profit (Loss) |
|
Members’ Capital |
|
on Open Positions |
|
Members’ Capital |
|
Maturity Dates |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Agriculture |
|
558 |
|
$ |
285,500 |
|
0.11 |
% |
(1,720 |
) |
$ |
614,761 |
|
0.23 |
% |
$ |
900,261 |
|
0.34 |
% |
April 2010 - July 2010 |
|
|
Currencies |
|
4,631,154,483 |
|
(81,422 |
) |
-0.03 |
% |
(2,201,180,685 |
) |
322,876 |
|
0.12 |
% |
241,454 |
|
0.09 |
% |
March 2011 |
|
|||
|
Energy |
|
634 |
|
1,399,995 |
|
0.52 |
% |
(153 |
) |
404,840 |
|
0.15 |
% |
1,804,835 |
|
0.67 |
% |
April 2010 - May 2010 |
|
|||
|
Interest rates |
|
7,979 |
|
4,519,384 |
|
1.67 |
% |
(1,913 |
) |
402,362 |
|
0.15 |
% |
4,921,746 |
|
1.82 |
% |
June 2010 - September 2012 |
|
|||
|
Metals |
|
412 |
|
1,590,317 |
|
0.59 |
% |
(62 |
) |
(95,949 |
) |
-0.04 |
% |
1,494,368 |
|
0.55 |
% |
May 2010 - July 2010 |
|
|||
|
Stock indices |
|
2,364 |
|
1,854,304 |
|
0.68 |
% |
— |
|
— |
|
0.00 |
% |
1,854,304 |
|
0.68 |
% |
April 2010 - June 2010 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Total |
|
|
|
$ |
9,568,078 |
|
3.54 |
% |
|
|
$ |
1,648,890 |
|
0.61 |
% |
$ |
11,216,968 |
|
4.15 |
% |
|
|
December 31, 2009
|
|
|
Long Positions |
|
Short Positions |
|
Net Unrealized |
|
|
|
|
|
|||||||||||
|
Commodity Industry |
|
Number of |
|
Unrealized |
|
Percent of |
|
Number of |
|
Unrealized |
|
Percent of |
|
Profit (Loss) |
|
Percent of |
|
|
|
|||
|
Sector |
|
Contracts |
|
Profit (Loss) |
|
Members’ Capital |
|
Contracts |
|
Profit (Loss) |
|
Members’ Capital |
|
on Open Positions |
|
Members’ Capital |
|
Maturity Dates |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Agriculture |
|
1,523 |
|
$ |
2,546,812 |
|
0.96 |
% |
(856 |
) |
$ |
(68,607 |
) |
-0.03 |
% |
$ |
2,478,205 |
|
0.93 |
% |
January 2010 - March 2010 |
|
|
Currencies |
|
70,150,008 |
|
(354,360 |
) |
-0.13 |
% |
(177,950,000 |
) |
(600,291 |
) |
-0.23 |
% |
(954,651 |
) |
-0.36 |
% |
January 2010 |
|
|||
|
Energy |
|
380 |
|
738,906 |
|
0.27 |
% |
(46 |
) |
146,890 |
|
0.06 |
% |
885,796 |
|
0.33 |
% |
February 2010 |
|
|||
|
Interest rates |
|
10,072 |
|
(4,193,429 |
) |
-1.58 |
% |
(413 |
) |
82,065 |
|
0.03 |
% |
(4,111,364 |
) |
-1.55 |
% |
March 2010 - June 2010 |
|
|||
|
Metals |
|
940 |
|
(1,151,067 |
) |
-0.43 |
% |
(28 |
) |
(161,195 |
) |
-0.06 |
% |
(1,312,262 |
) |
-0.49 |
% |
February 2010 - April 2010 |
|
|||
|
Stock indices |
|
2,275 |
|
2,052,362 |
|
0.77 |
% |
(23 |
) |
(8,560 |
) |
0.00 |
% |
2,043,802 |
|
0.77 |
% |
January 2010 - March 2010 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Total |
|
|
|
$ |
(360,776 |
) |
-0.14 |
% |
|
|
$ |
(609,698 |
) |
-0.23 |
% |
$ |
(970,474 |
) |
-0.37 |
% |
|
|
No individual contract’s unrealized gain or loss comprised greater than 5% of the Members’ Capital as of March 31, 2010 and December 31, 2009.
3. FAIR VALUE OF INVESTMENTS
The Financial Accounting Standards Board (“FASB”) issued the Accounting Standards Codification (“ASC”) which provides authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.
Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included in Equity in commodity futures trading account. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Operations.
The fair value measurement guidance established a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Investments measured and reported at fair value are classified and disclosed in one of the following categories:
Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.
Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.
Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the Fair Value Measurement. MLAI’s assessment of the significance of a particular input to the Fair Value Measurement in its entirety requires judgment, and considers factors specific to the investment.
Following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.
Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where it trades such investments. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into its process for determining fair values.
The independent pricing sources obtain market quotations and actual transaction prices for securities that have quoted prices in active markets. Each source has its own proprietary method for determining the fair value of securities that are not actively traded. In general, these methods involve the use of “matrix pricing” in which the independent pricing source uses observable market inputs including, but not limited to, investment yields, credit risks and spreads, benchmarking of like securities, broker-dealer quotes, reported trades and sector groupings to determine a reasonable fair market value.
The Fund has determined that Level I securities would include all of its futures and options contracts where it believes that quoted prices are available in an active market.
Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using quoted prices of securities with similar characteristics, pricing models or matrix pricing and these are generally classified as Level II securities. The Fund determined that Level II securities would include its forward contracts.
The Fund’s net unrealized profit (loss) on open forward and futures contracts as of March 31, 2010 and December 31, 2009 are as follows:
|
March 31, 2010 |
|
Unrealized Long Positions |
|
Unrealized Short Positions |
|
Total |
|
|||
|
Futures |
|
$ |
9,649,500 |
|
$ |
1,326,014 |
|
$ |
10,975,514 |
|
|
Forwards |
|
$ |
(81,422 |
) |
$ |
322,876 |
|
$ |
241,454 |
|
|
Total |
|
$ |
9,568,078 |
|
$ |
1,648,890 |
|
$ |
11,216,968 |
|
|
December 31, 2009 |
|
Unrealized Long Positions |
|
Unrealized Short Positions |
|
Total |
|
|||
|
Futures |
|
$ |
(65,216 |
) |
$ |
(9,408 |
) |
$ |
(74,624 |
) |
|
Forwards |
|
$ |
(295,560 |
) |
$ |
(600,290 |
) |
$ |
(895,850 |
) |
|
Total |
|
$ |
(360,776 |
) |
$ |
(609,698 |
) |
$ |
(970,474 |
) |
The Fund’s volume of trading forward and futures as of the quarter and year ended March 31, 2010 and December 31, 2009, respectively are representative of the activity throughout these periods.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of March 31, 2010 and December 31, 2009:
|
Net unrealized |
|
|
|
|
|
|
|
|
|
||||
|
profit (loss) |
|
|
|
|
|
|
|
|
|
||||
|
on open contracts |
|
Total |
|
Level I |
|
Level II |
|
Level III |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
March 31, 2010 |
|
$ |
11,216,968 |
|
$ |
9,722,679 |
|
$ |
1,494,289 |
|
$ |
— |
|
|
December 31, 2009 |
|
$ |
(970,474 |
) |
$ |
(1,107,360 |
) |
$ |
136,886 |
|
$ |
— |
|
There were no significant transfers to or from Level I or II during the quarter ended March 31, 2010.
The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the guidance for derivatives and hedging activities. The fair value amounts of and the gains and losses on derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts.
The following table indicates the trading gains and losses, by commodity industry sector, on derivative instruments for the three month periods ended March 31, 2010 and 2009:
|
|
|
For the three months ended |
|
For the three months ended |
|
||
|
|
|
March 31, 2010 |
|
March 31, 2009 |
|
||
|
Commodity Industry |
|
Gain (loss) |
|
Gain (loss) |
|
||
|
Sector |
|
from trading |
|
from trading |
|
||
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
||
|
Agriculture |
|
$ |
(2,892,951 |
) |
$ |
(1,205,296 |
) |
|
Currencies |
|
3,535,978 |
|
(3,067,135 |
) |
||
|
Energy |
|
69,523 |
|
2,564,839 |
|
||
|
Interest rates |
|
14,009,578 |
|
(109,664 |
) |
||
|
Metals |
|
(2,127,674 |
) |
(1,074,936 |
) |
||
|
Stock indices |
|
(1,473,244 |
) |
(1,502,293 |
) |
||
|
|
|
|
|
|
|
||
|
Total |
|
$ |
11,121,210 |
|
$ |
(4,394,485 |
) |
The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse or MLPF&S. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.
4. NET ASSET VALUE PER UNIT
The Net Asset Value per Unit of the different Classes at March 31, 2010 and December 31, 2009 are as follows:
|
March 31, 2010 |
||||
|
|
||||
|
Net Asset Value per Unit |
|
|||
|
Class A |
|
$ |
1.4306 |
|
|
Class C |
|
1.3655 |
|
|
|
Class D |
|
1.5685 |
|
|
|
Class I |
|
1.4581 |
|
|
|
Class DS |
|
1.5618 |
|
|
|
Class DT |
|
1.6064 |
|
|
|
December 31, 2009 |
|||||
|
|
|||||
|
Net Asset Value per Unit |
|
||||
|
Class A |
|
$ |
1.3859 |
|
|
|
Class C |
|
1.3261 |
|
||
|
Class D |
|
1.5138 |
|
||
|
Class I |
|
1.4111 |
|
||
|
Class DS |
|
1.5073 |
|
||
|
Class DT |
|
1.5484 |
|
||
5. MARKET AND CREDIT RISK
The nature of this Fund has certain risks, which cannot be presented on the financial statements. The following summarizes some of those risks.
Market Risk
Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s Net unrealized profit (loss) on such derivative instruments as reflected in the Statements of Financial Condition. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investment in foreign markets may also entail legal and political risks.
MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of Aspect, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge Aspect to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist simply of the ongoing process of advisor monitoring, with the market risk controls being applied by Aspect.
Credit Risk
The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets.
The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit on open contracts, if any, included in the Statements of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.
The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Equity in commodity futures trading accounts in the Statements of Financial Condition.
Indemnifications
In the normal course of business, the Fund has entered, or may in the future enter into agreements that obligate the Fund to indemnify third parties, including affiliates of the Fund, for breach of certain representations and warranties made by the Fund. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expected the risk of loss to be remote and, therefore, no provision has been recorded.
6. RECENT ACCOUNTING PRONOUNCEMENTS
In January 2010, the FASB issued an update to the fair value measurements disclosure. Pursuant to this update, additional disclosures in the financial statements relating to transfers in and out of Levels 1 and 2 fair value measurements and separate disclosure of purchases, sales, issuances, and settlements in Level 3 roll forward, will be required. In addition, this update provides clarifications on i) the level of aggregation of classes of assets and liabilities disclosed in the fair value measurement disclosures and ii) disclosures relating to the inputs and valuation techniques for Level 2 and Level 3 fair value measurements. The new disclosures and clarifications of existing disclosures are effective for annual reporting periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the Level 3 roll forward which are effective for fiscal years beginning after December 15, 2010. This update further enhances the fair value disclosures and the Sponsor has determined that the adoption of this update on January 1, 2010 did not have a material impact to the Fund’s financial statements.
7. SUBSEQUENT EVENTS
Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
MONTH-END NET ASSET VALUE PER UNIT
MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors throughout the year is a useful valuable performance measure for the investors of the Fund. Therefore, the charts below referencing Net Asset Value and performance measurements are based on Net Asset Value for financial reporting purposes as discussed in Note 4 to the financial statements.
The Fund calculates the Net Asset Value per unit of each class of units as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Fund’s “Net Asset Value” as of any calculation date will generally equal the value of the Fund’s account under the management of its trading advisor as of such date, plus any other assets held by the Fund, minus accrued brokerage commissions, sponsor’s, management and performance fees, organizational expense amortization and any operating costs and other liabilities of the Fund. MLAI is authorized to make all net asset value determinations.
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A
|
|
|
Jan. |
|
Feb. |
|
Mar. |
|
|||
|
2009 |
|
$ |
1.5995 |
|
$ |
1.6080 |
|
$ |
1.5546 |
|
|
2010 |
|
$ |
1.3476 |
|
$ |
1.3807 |
|
$ |
1.4306 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C
|
|
|
Jan. |
|
Feb. |
|
Mar. |
|
|||
|
2009 |
|
$ |
1.5447 |
|
$ |
1.5516 |
|
$ |
1.4988 |
|
|
2010 |
|
$ |
1.2884 |
|
$ |
1.3190 |
|
$ |
1.3655 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D
|
|
|
Jan. |
|
Feb. |
|
Mar. |
|
|||
|
2009 |
|
$ |
1.7234 |
|
$ |
1.7347 |
|
$ |
1.6790 |
|
|
2010 |
|
$ |
1.4738 |
|
$ |
1.5119 |
|
$ |
1.5685 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I
|
|
|
Jan. |
|
Feb. |
|
Mar. |
|
|||
|
2009 |
|
$ |
1.6225 |
|
$ |
1.6316 |
|
$ |
1.5781 |
|
|
2010 |
|
$ |
1.3725 |
|
$ |
1.4068 |
|
$ |
1.4581 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS
|
|
|
Jan. |
|
Feb. |
|
Mar. |
|
|||
|
2009 |
|
$ |
1.7162 |
|
$ |
1.7274 |
|
$ |
1.6719 |
|
|
2010 |
|
$ |
1.4675 |
|
$ |
1.5054 |
|
$ |
1.5618 |
|
MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT
|
|
|
Jan. |
|
Feb. |
|
Mar. |
|
|||
|
2009 |
|
$ |
1.7551 |
|
$ |
1.7679 |
|
$ |
1.7110 |
|
|
2010 |
|
$ |
1.5081 |
|
$ |
1.5478 |
|
$ |
1.6064 |
|
Liquidity and Capital Resources
The Fund does not engage in the sale of goods or services. The Fund’s assets are its (i) equity in its trading account, consisting of cash and cash equivalents and (ii) interest receivable. Because of the low margin deposits normally required in commodity futures trading relatively small price movements may result in substantial losses to the Fund. While substantial losses could lead to a material decrease in liquidity, no such material losses occurred during the first quarter of 2010 and there was no impact on the Fund’s liquidity.
The Fund’s capital consists of the capital contributions of the members as increased or decreased by gains or losses on trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.
For the three months ended March 31, 2010, Fund capital increased 2.09% from $265,629,162 to $271,301,561. This increase was attributable to the net gain from operations of $8,985,141, coupled with the redemption of 6,449,106 Redeemable Units resulting in an outflow of $9,048,028. The cash outflow was offset with cash inflow of $5,735,285 due to subscription of 4,002,179 units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.
Critical Accounting Policies
Statement of Cash Flows
The Fund is not required to provide a Statement of Cash Flows.
Investments
All investments (including derivatives) are held for trading purposes. Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Operations and Statements of Changes in Members’ Capital.
Cash and Cash Equivalents
The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. Cash equivalents were recorded at amortized cost which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.
Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on our treatment of fair value, see Note 3, Fair Value of Investments.
Futures Contracts
The Fund trades futures contracts. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Fund each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) on futures contracts are included in the Statements of Operations and Statements of Changes in Members’ Capital.
Forward Foreign Currency Contracts
Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Fund’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Operations. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations and Statements of Changes in Members’ Capital.
Interest Rates and Income
The Fund currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.
Income Taxes
No provision for income taxes has been made in the accompanying financial statements as 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.
The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following are the major tax jurisdictions for the Fund and the earliest tax year subject to examination: United States — 2007.
Results of Operations
January 1, 2010 to March 31, 2010
The Fund experienced a net trading profit of $11,121,210 before brokerage commissions and related fees in the first quarter of 2010. Profits were primarily attributable to interest rates and currency sectors posting profits and energy, stock indices, metals and agriculture sectors posted losses.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. Long positions in fixed income markets benefited from the move toward risk aversion due to United Kingdom data and comments by the Bank of England and the European Central Bank. The prevailing macroeconomic sentiment oscillated between risk aversion and inflationary concerns with the former being marginally dominant in February. As a result, profits were posted to the Fund in the middle of the quarter from the long positions in both short-term interest rate futures contracts and some bond markets. Data releases pointing to economic recovery drove the prices of risky assets higher in March despite some continued concerns about European sovereign debt mid-month. Consequently, global stock markets rallied and bond markets sold off with the Japanese Government Bonds being the worst performer for the sector. European interest rate markets were buoyed by concerns over Greece and poor economic data out of the United Kingdom resulted in losses being posted to the Fund at the end of the quarter.
The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter due to the net short exposure to the strengthening of the U.S. dollar. The weakness of the euro and the British pound provided opportunity for profits posted to the Fund in the middle of the quarter. In currencies, emerging market and commodity currencies strengthened against the U.S. dollar to the benefit of the Program’s positioning, resulting in profits being posted to the Fund.
The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Poorer growth outlook resulted in many commodities markets selling off. This was particularly detrimental to the Program’s long positioning in the oil complex. Oil prices faced additional downward pressure due to an increase in inventories and milder weather in the United States. Profits were posted to the Fund in the middle of the quarter due to long positions in energy contracts benefiting from the further upward move in prices. Commodity markets generally follow the direction of stock markets and finished the month of March higher. In energies, long positions in the oil complex resulted in positive performance, but the Fund also profited on the short side from the decline in the natural gas price following milder weather in the United States and a build-up in inventories. The quarter ended with profits being posted to the Fund.
The stock indices posted losses to the Fund. After positive performance in the first two weeks of the year, a reversal in investor risk appetite resulted in a loss for the calendar month. The change in sentiment was driven, in part, by disappointing earnings announcements and fears over potential monetary tightening in China as the People’s Bank of China increased banks’ reserve requirements and introduced measures aimed at curbing lending. As a result the Program’s long positions in stock indices resulted in losses being posted to the Fund at the beginning of the quarter. The prevailing macroeconomic sentiment oscillated between risk aversion and inflationary concerns with the former being marginally dominant. As a result profits were posted to the Fund in the middle of the quarter from long positions in stock indices. Data releases pointing to economic recovery drove the prices of risky assets higher in March despite some continued concerns about European sovereign debt. Consequently, global stock markets rallied, producing profits for the Fund at the end of the quarter.
The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Poorer growth outlook resulted in many commodities markets selling off. This was particularly detrimental to the Program’s long positions in industrial metals. The month of February was, to a large degree, dominated by news flow relating to the debt crisis within the Euro zone. The prevailing macroeconomic sentiment oscillated between risk aversion and inflationary concerns with the former being marginally dominant. As a result, the Fund posted profits in the middle of the quarter from long positions in the metals sectors. Profits were seen in industrial metals in March, especially Nickel which reached a twenty two month high. The quarter ended with profits being posted to the Fund.
The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Gains on long exposure to sugar markets, whose price rallied due to supply concerns, more than offset losses on long positions in the soy complex and cotton. Losses were posted to the Fund in the middle of the quarter. The longer term bull market in sugar reversed sharply from multi year highs as output in both Brazil and India rose. Positive performance on short positions in corn and wheat was more than offset by losses in sugar and coffee. The sugar losses were incurred when prices fell to an eleven week low as the supply outlook improved. The quarter ended with losses being posted to the Fund.
January 1, 2009 to March 31, 2009
The Fund experienced a net trading loss before brokerage commissions and related fees in the first quarter of 2009 of $4,394,485. Losses were primarily attributable to Fund’s trading in the energy sector posting profits while the interest rate, metals, agriculture, stock indices and currencies sectors posted losses.
The energy sector posted profits for the Fund. Profits were posted to the Fund at the beginning of the quarter driven by gains from crude oil and natural gas, whose prices declined from bearish inventory data. The Fund’s short positions in natural gas and products of crude oil posted profits to the Fund in the middle of the quarter. The quarter ended with losses being posted to the Fund as crude oil prices rose despite OPEC announcing that it will not cut output.
The interest rate sector posted losses for the Fund. The quarter began with losses being posted to the Fund due to bonds being sold off and interest rates rose as governments continued to develop rescue plans and packages to boost growth. This was particularly seen in European bond markets with U.K. Gilts and Bunds being two of the worst contracts. However, the Fund’s long positions in interest rates benefited from the rate cut decisions of the Bank of England and the European Central Bank but were not enough to offset the losses. Long positions in the interest rate model was profitable for the Fund in the middle of the quarter however, performance was dragged down by losses in short positions in the Australian dollar and British sterling as quantitative easing seemed more likely than further interest rate cuts in the United Kingdom. The U.S. Federal Reserve’s plan to repurchase debt caused U.S. fixed income markets to rally. U.S. interest rate markets and European fixed income markets followed and the Fund’s long positions posted profits to the Fund at the end of the quarter.
The metals sector posted losses for the Fund. Profits were posted to the Fund at the beginning of the quarter as industrial metals declined due to stock build-ups which benefited from the Fund’s short positions. Losses were posted in the middle of the quarter due to volatility in the global markets. Revised inflationary expectations caused commodities markets to rally to the detriment of the Fund’s short positions in base metals posting losses to the Fund as the quarter ended. Precious metals declined as investors sold out of safe haven assets which was also detrimental to the Fund’s long positions.
The agriculture sector posted losses for the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter despite losses from a sharp reversal in cocoa markets. Losses were posted to the Fund at the end of the quarter due to challenging market conditions.
The stock indices sector posted losses for the Fund. Profits were posted to the Fund at the beginning of the quarter due to the stock markets rallying with renewed investor optimism in response to the U.S. President Obama’s stimulus plan. Profits continued to be posted to the Fund through the middle of the quarter as global equity markets continue their poor performance caused by further weak economic data and problems for financial companies which benefited the Fund’s short positions. Although most global stock markets remain in negative territory at the end of the quarter, many saw a strong rally to the detriment of the Fund’s short positions resulting in losses being posted to the Fund.
The currency sector posted losses for the Fund. The U.S. dollar continued strengthening as a result of risk aversion and the increasingly negative outlook for Europe. Europe continues to deal with crises in the financial sector particularly in the weakness of the British sterling to the benefit of the Fund’s short positions resulting in profits being posted to the Fund at the beginning of the quarter. Profits were posted to the Fund in the middle of the quarter. The currencies sector had an eventful February and provided the most volatility; profits were seen from weakness in the Swedish krona and Canadian dollar which offset losses in the Japanese yen against the U.S. dollar. The Swedish krona fell to a record low against the Euro after an unexpectedly large rate-cut and the worst Swedish GDP figures since 1940. The quarter ended with losses being posted to the Fund. The announcement of the U.S. Treasury’s new plans resulted in the U.S. dollar weakening against major currencies resulting in losses being posted to the Fund at the end of the quarter.
The Fund has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Introduction
The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the Fund’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.
Market movements result in frequent changes in the fair market value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades.
The Fund, under the direction of Aspect, rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Fund’s past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.
Quantifying The Fund’s Trading Value At Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statement” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
The Fund’s risk exposure in the various market sectors traded by Aspect is quantified below in terms of Value at Risk. Due to the Fund’s fair value accounting, any loss in the fair value of the Fund’s open positions is directly reflected in the Fund’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).
Maintenance margin requirements have been used by the Fund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.
In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Fund), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.
100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.
The Fund’s Trading Value at Risk in Different Market Sectors
The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period. For the three months ended March 31, 2010 and 2009, the Fund’s average Month-end Net Asset Value for all other purposes was approximately $264,580,021 and $311,894,964, respectively.
March 31, 2010
|
|
|
Average Value |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
|
Market Sector |
|
at Risk |
|
Capitalization |
|
at Risk |
|
at Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|||
|
Agriculture |
|
$ |
1,796,771 |
|
0.68 |
% |
$ |
2,020,561 |
|
$ |
1,461,493 |
|
|
Currencies |
|
481,902 |
|
0.18 |
% |
541,923 |
|
391,979 |
|
|||
|
Energy |
|
3,602,152 |
|
1.36 |
% |
4,050,804 |
|
2,929,990 |
|
|||
|
Interest Rates |
|
9,820,553 |
|
3.71 |
% |
11,043,714 |
|
7,988,036 |
|
|||
|
Metals |
|
2,982,510 |
|
1.13 |
% |
3,353,985 |
|
2,425,973 |
|
|||
|
Stock Indices |
|
3,703,313 |
|
1.40 |
% |
4,164,565 |
|
3,012,274 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|||
|
Total |
|
$ |
22,387,201 |
|
8.46 |
% |
$ |
25,175,552 |
|
$ |
18,209,745 |
|
March 31, 2009
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
|
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|||
|
Agricultural |
|
$ |
236,617 |
|
0.08 |
% |
$ |
709,852 |
|
$ |
153,422 |
|
|
Currencies |
|
568,406 |
|
0.18 |
% |
1,705,219 |
|
313,886 |
|
|||
|
Energy |
|
115,563 |
|
0.04 |
% |
346,689 |
|
79,894 |
|
|||
|
Interest Rates |
|
19,092,231 |
|
6.12 |
% |
57,276,693 |
|
15,102,568 |
|
|||
|
Metals |
|
154,890 |
|
0.05 |
% |
464,669 |
|
129,426 |
|
|||
|
Stock Indices |
|
158,286 |
|
0.05 |
% |
474,858 |
|
143,893 |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|||
|
TOTAL |
|
$ |
20,325,993 |
|
6.52 |
% |
$ |
60,977,980 |
|
$ |
15,923,089 |
|
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Fund — gives no indication of this “risk of ruin.”
Non-Trading Risk
Foreign Currency Balances; Cash on Deposit with MLPF&S
The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.
The Fund also has non-trading market risk on the approximately 90%-95% of its assets which are held in cash at MLPF&S or BlackRock. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and Aspect for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.
The following were the primary trading risk exposures of the Fund as of March 31, 2010, by market sector.
Interest Rates
Interest rate risk is the principal market exposure of the Fund. Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund also takes positions in the government debt of smaller nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.
Currencies
The Fund trades in a number of currencies. However, the Fund’s major exposures have typically been in the U.S. dollar/Japanese yen, U.S. dollar/Euro and U.S. dollar/Swiss franc positions. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.
Stock Indices
The Fund’s primary equity exposure is to S&P 500, Nikkei and German DAX equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.
Metals
The Fund’s metals market exposure is to fluctuations in both the price of precious and non-precious metals.
Agricultural Commodities
The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Grains, cocoa and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of March 31, 2010.
Energy
The Fund’s primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the only non-trading risk exposures of the Fund as of March 31, 2010.
Foreign Currency Balances
The Fund’s primary foreign currency balances are in Japanese yen, British pounds, Norwegian krone, Swiss franc and Euros.
U.S. Dollar Cash Balance
The Fund holds U.S. dollars only in cash at MLPF&S and BlackRock. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.
Item 4T. Controls and Procedures
MLAI, the Sponsor of ML Aspect FuturesAccess LLC, with the participation of the Sponsor’s Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Fund as of the end of the period of this quarterly report and based on this evaluation, has concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934) occurred during the quarter ended March 31, 2010 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.
None.
There are no material changes from risk factors as previously disclosed in the Annual Report on Form 10-K for the year ended December 31, 2009, filed with the Securities and Exchange Commission on March 31, 2010.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
(a) Issuance to accredited investors pursuant to Regulation D and Section 4(6) under the Securities Act. The selling agent of the following Class of Units was MLPF&S.
CLASS A
|
|
|
Subscription |
|
|
|
|||
|
|
|
Amount |
|
Units |
|
NAV (1) |
|
|
|
Jan-10 |
|
$ |
99,447 |
|
71,756 |
|
1.3859 |
|
|
Feb-10 |
|
267,112 |
|
198,213 |
|
1.3476 |
|
|
|
Mar-10 |
|
64,347 |
|
46,605 |
|
1.3807 |
|
|
|
Apr-10 |
|
48,748 |
|
34,075 |
|
1.4306 |
|
|
CLASS C
|
|
|
Subscription |
|
|
|
|||
|
|
|
Amount |
|
Units |
|
NAV (1) |
|
|
|
Jan-10 |
|
$ |
205,992 |
|
155,337 |
|
1.3261 |
|
|
Feb-10 |
|
779,995 |
|
605,398 |
|
1.2884 |
|
|
|
Mar-10 |
|
250,952 |
|
190,259 |
|
1.3190 |
|
|
|
Apr-10 |
|
625,232 |
|
457,878 |
|
1.3655 |
|
|
CLASS D
|
|
|
Subscription |
|
|
|
|||
|
|
|
Amount |
|
Units |
|
NAV (1) |
|
|
|
Jan-10 |
|
$ |
— |
|
— |
|
1.5138 |
|
|
Feb-10 |
|
— |
|
— |
|
1.4738 |
|
|
|
Mar-10 |
|
— |
|
— |
|
1.5119 |
|
|
|
Apr-10 |
|
— |
|
— |
|
1.5685 |
|
|
CLASS I
|
|
|
Subscription |
|
|
|
|||
|
|
|
Amount |
|
Units |
|
NAV (1) |
|
|
|
Jan-10 |
|
$ |
— |
|
— |
|
1.4111 |
|
|
Feb-10 |
|
— |
|
— |
|
1.3725 |
|
|
|
Mar-10 |
|
533,197 |
|
379,014 |
|
1.4068 |
|
|
|
Apr-10 |
|
19,999 |
|
13,716 |
|
1.4581 |
|
|
CLASS DS
|
|
|
Subscription |
|
|
|
|||
|
|
|
Amount |
|
Units |
|
NAV (1) |
|
|
|
Jan-10 |
|
$ |
2,931,444 |
|
1,944,831 |
|
1.5073 |
|
|
Feb-10 |
|
602,799 |
|
410,766 |
|
1.4675 |
|
|
|
Mar-10 |
|
— |
|
— |
|
1.5054 |
|
|
|
Apr-10 |
|
1,368,166 |
|
876,019 |
|
1.5618 |
|
|
CLASS DT
|
|
|
Subscription |
|
|
|
|||
|
|
|
Amount |
|
Units |
|
NAV (1) |
|
|
|
Jan-10 |
|
$ |
— |
|
— |
|
1.5484 |
|
|
Feb-10 |
|
— |
|
— |
|
1.5081 |
|
|
|
Mar-10 |
|
— |
|
— |
|
1.5478 |
|
|
|
Apr-10 |
|
— |
|
— |
|
1.6064 |
|
|
(1) Beginning of the month Net Asset Value
(b) None.
(c) None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. (Removed and Reserved)
None.
The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:
|
31.01 and |
|
|
31.02 |
Rule 13a-14(a)/15d-14(a) Certifications |
|
|
|
|
Exhibit 31.01 |
|
|
and 31.02: |
Are filed herewith. |
|
|
|
|
32.01 and |
|
|
32.02 |
Section 1350 Certifications |
|
|
|
|
Exhibit 32.01 |
|
|
and 32.02 |
Are filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
|
|
ML ASPECT FUTURESACCESS LLC |
|
|
. |
|
|
|
|
|
|
|
|
By: |
MERRILL LYNCH ALTERNATIVE |
|
|
|
INVESTMENTS LLC |
|
|
|
(Manager) |
|
|
|
|
|
|
|
|
|
Date: May 14, 2010 |
By: |
/s/ JUSTIN C. FERRI |
|
|
|
Justin C. Ferri |
|
|
|
Chief Executive Officer, President and Manager |
|
|
|
(Principal Executive Officer) |
|
|
|
|
|
|
|
|
|
Date: May 14, 2010 |
|
|
|
|
|
|
|
|
By: |
/s/ BARBRA E. KOCSIS |
|
|
|
Barbra E. Kocsis |
|
|
|
Chief Financial Officer |
|
|
|
(Principal Financial and Accounting Officer) |