Attached files
| file | filename |
|---|---|
| 10-K - 10-K - Aspect FuturesAccess LLC | a11-7503_510k.htm |
| EX-31.01 - EX-31.01 - Aspect FuturesAccess LLC | a11-7503_5ex31d01.htm |
| EX-32.01 - EX-32.01 - Aspect FuturesAccess LLC | a11-7503_5ex32d01.htm |
| EX-31.02 - EX-31.02 - Aspect FuturesAccess LLC | a11-7503_5ex31d02.htm |
| EX-32.02 - EX-32.02 - Aspect FuturesAccess LLC | a11-7503_5ex32d02.htm |
Exhibit 13.01
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
Financial Statements as of and for the years ended
December 31, 2010, 2009 and 2008
and Reports of Independent Registered Public Accounting Firms
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
TABLE OF CONTENTS
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Page |
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REPORTS OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRMS |
1 |
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FINANCIAL STATEMENTS: |
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Statements of Financial Condition as of December 31, 2010 and 2009 |
3 |
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Statements of Operations for the years ended December 31, 2010, 2009 and 2008 |
4 |
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Statements of Changes in Members’ Capital for the years ended December 31, 2010, 2009 and 2008 |
5 |
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Financial Data Highlights for the years ended December 31, 2010, 2009 and 2008 |
7 |
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Notes to Financial Statements |
10 |
Report of Independent Registered Public Accounting Firm
To the Members of
ML Aspect FuturesAccess LLC:
In our opinion, the accompanying statements of financial condition, and the related statements of operations, changes in members’ capital, and financial data highlights present fairly, in all material respects, the financial position of ML Aspect FuturesAccess LLC (the “Fund”) at December 31, 2010 and December 31, 2009, and the results of its operations, the changes in its members’ capital and its financial data highlights for the years then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and the financial data highlights (hereafter referred to as the “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
March 15, 2011
PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, NY 10017
T: (646) 471 3000, F: (646) 471 8320, www.pwc.com/us
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Members of
ML Aspect FuturesAccess LLC:
We have audited the accompanying statements of operations, changes in members’ capital and the financial data highlights of ML Aspect FuturesAccess LLC (the “Fund”) for the year ended December 31, 2008. These financial statements and financial data highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial data highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial data highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial data highlights referred to above present fairly, in all material respects, the results of operations, changes in members’ capital and the financial data highlights of ML Aspect FuturesAccess LLC for the year ended December 31, 2008, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
New York, New York
March 15, 2011
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A member firm of |
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Deloitte Touche Tohmatsu |
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
AS OF DECEMBER 31, 2010 AND 2009
|
|
|
2010 |
|
2009 |
| ||
|
ASSETS: |
|
|
|
|
| ||
|
Equity in commodity trading accounts: |
|
|
|
|
| ||
|
Cash (including restricted cash of $20,314,172 for 2010 and $30,538,024 for 2009) |
|
$ |
271,790,328 |
|
$ |
269,793,907 |
|
|
Net unrealized profit on open futures contracts |
|
9,938,607 |
|
3,670,863 |
| ||
|
Net unrealized profit on open forwards contracts |
|
5,847,321 |
|
1,010,082 |
| ||
|
Cash and cash equivalents |
|
250,000 |
|
1,397,466 |
| ||
|
Other assets |
|
528 |
|
— |
| ||
|
|
|
|
|
|
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|
TOTAL ASSETS |
|
$ |
287,826,784 |
|
$ |
275,872,318 |
|
|
|
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|
|
|
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LIABILITIES AND MEMBERS’ CAPITAL: |
|
|
|
|
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LIABILITIES: |
|
|
|
|
| ||
|
Net unrealized loss on open futures contracts |
|
$ |
437,612 |
|
$ |
3,745,486 |
|
|
Net unrealized loss on open forwards contracts |
|
1,499,080 |
|
1,905,933 |
| ||
|
Brokerage commissions payable |
|
14,619 |
|
84,821 |
| ||
|
Sponsor and Advisory fees payable |
|
2,747,957 |
|
1,940,265 |
| ||
|
Redemptions payable |
|
1,443,136 |
|
2,307,660 |
| ||
|
Other liabilities |
|
253,007 |
|
258,991 |
| ||
|
|
|
|
|
|
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Total liabilities |
|
6,395,411 |
|
10,243,156 |
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|
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MEMBERS’ CAPITAL: |
|
|
|
|
| ||
|
Sponsor’s Interest (20,647 Units and 20,647 Units) |
|
31,632 |
|
27,998 |
| ||
|
Members’ Interest (170,560,543 Units and 183,714,476 Units) |
|
281,399,741 |
|
265,601,164 |
| ||
|
Total members’ capital |
|
281,431,373 |
|
265,629,162 |
| ||
|
|
|
|
|
|
| ||
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TOTAL LIABILITIES AND MEMBERS’ CAPITAL |
|
$ |
287,826,784 |
|
$ |
275,872,318 |
|
|
|
|
|
|
|
| ||
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NET ASSET VALUE PER UNIT: |
|
|
|
|
| ||
|
(Based on 170,581,190 and 183,735,123 Units outstanding, unlimited Units authorized) |
|
|
|
|
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|
|
|
|
|
|
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Class A |
|
$ |
1.5811 |
|
$ |
1.3859 |
|
|
Class C |
|
$ |
1.4978 |
|
$ |
1.3261 |
|
|
Class D |
|
$ |
1.7531 |
|
$ |
1.5138 |
|
|
Class I |
|
$ |
1.6163 |
|
$ |
1.4111 |
|
|
Class DS |
|
$ |
1.7456 |
|
$ |
1.5073 |
|
|
Class DT |
|
$ |
1.8051 |
|
$ |
1.5484 |
|
See notes to financial statements.
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008
|
|
|
2010 |
|
2009 |
|
2008 |
| |||
|
TRADING PROFIT (LOSS): |
|
|
|
|
|
|
| |||
|
|
|
|
|
|
|
|
| |||
|
Realized, net |
|
$ |
33,030,812 |
|
$ |
(15,245,520 |
) |
$ |
93,209,117 |
|
|
Change in unrealized, net |
|
14,819,710 |
|
(12,836,984 |
) |
2,497,935 |
| |||
|
Brokerage commissions |
|
(631,326 |
) |
(799,706 |
) |
(787,841 |
) | |||
|
|
|
|
|
|
|
|
| |||
|
Total trading profit (loss) |
|
47,219,196 |
|
(28,882,210 |
) |
94,919,211 |
| |||
|
|
|
|
|
|
|
|
| |||
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INVESTMENT INCOME (EXPENSE): |
|
|
|
|
|
|
| |||
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Interest |
|
(922 |
) |
17,255 |
|
5,306,094 |
| |||
|
|
|
|
|
|
|
|
| |||
|
EXPENSES: |
|
|
|
|
|
|
| |||
|
Management fee |
|
5,133,812 |
|
5,395,714 |
|
5,712,987 |
| |||
|
Sponsor fee |
|
2,432,882 |
|
2,675,732 |
|
3,172,388 |
| |||
|
Performance fee |
|
2,071,209 |
|
17,428 |
|
16,320,740 |
| |||
|
Other |
|
560,827 |
|
715,230 |
|
743,997 |
| |||
|
Total expenses |
|
10,198,730 |
|
8,804,104 |
|
25,950,112 |
| |||
|
|
|
|
|
|
|
|
| |||
|
NET INVESTMENT INCOME (LOSS) |
|
(10,199,652 |
) |
(8,786,849 |
) |
(20,644,018 |
) | |||
|
|
|
|
|
|
|
|
| |||
|
NET INCOME (LOSS) |
|
$ |
37,019,544 |
|
$ |
(37,669,059 |
) |
$ |
74,275,193 |
|
|
|
|
|
|
|
|
|
| |||
|
NET INCOME (LOSS) PER UNIT: |
|
|
|
|
|
|
| |||
|
|
|
|
|
|
|
|
| |||
|
Weighted average number of Units outstanding |
|
|
|
|
|
|
| |||
|
Class A |
|
14,886,961 |
|
16,838,575 |
|
18,577,490 |
| |||
|
Class C |
|
57,860,218 |
|
62,733,642 |
|
76,318,438 |
| |||
|
Class D |
|
6,256,747 |
|
6,696,233 |
|
10,392,579 |
| |||
|
Class I |
|
5,665,788 |
|
6,609,695 |
|
10,689,594 |
| |||
|
Class DS |
|
58,862,878 |
|
51,048,296 |
|
31,288,535 |
| |||
|
Class DT |
|
33,465,757 |
|
47,031,238 |
|
61,607,169 |
| |||
|
|
|
|
|
|
|
|
| |||
|
Net income (loss) per weighted average Unit |
|
|
|
|
|
|
| |||
|
Class A |
|
$ |
0.1919 |
|
$ |
(0.2111 |
) |
$ |
0.3475 |
|
|
Class C |
|
$ |
0.1723 |
|
$ |
(0.2148 |
) |
$ |
0.3154 |
|
|
Class D |
|
$ |
0.2393 |
|
$ |
(0.2078 |
) |
$ |
0.3998 |
|
|
Class I |
|
$ |
0.2086 |
|
$ |
(0.2031 |
) |
$ |
0.3644 |
|
|
Class DS |
|
$ |
0.2387 |
|
$ |
(0.1738 |
) |
$ |
0.3373 |
|
|
Class DT |
|
$ |
0.2230 |
|
$ |
(0.1917 |
) |
$ |
0.4081 |
|
See notes to financial statements.
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008 (in Units)
|
|
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Members’ Capital |
|
|
Class A |
|
17,887,996 |
|
4,471,164 |
|
(3,654,554 |
) |
18,704,606 |
|
1,907,317 |
|
(5,126,238 |
) |
15,485,685 |
|
1,699,375 |
|
(2,666,390 |
) |
14,518,670 |
|
|
Class C |
|
79,170,266 |
|
14,556,104 |
|
(25,455,625 |
) |
68,270,745 |
|
5,671,596 |
|
(15,338,827 |
) |
58,603,514 |
|
7,450,226 |
|
(6,729,921 |
) |
59,323,819 |
|
|
Class D |
|
16,300,492 |
|
659,229 |
|
(10,043,745 |
) |
6,915,976 |
|
— |
|
(659,229 |
) |
6,256,747 |
|
— |
|
— |
|
6,256,747 |
|
|
Class I |
|
11,363,798 |
|
3,063,709 |
|
(5,466,260 |
) |
8,961,247 |
|
499,046 |
|
(3,976,701 |
) |
5,483,592 |
|
1,263,905 |
|
(616,861 |
) |
6,130,636 |
|
|
Class DS |
|
13,768,122 |
|
37,814,013 |
|
(10,038,276 |
) |
41,543,859 |
|
17,404,773 |
|
(1,782,656 |
) |
57,165,976 |
|
6,215,762 |
|
(4,294,422 |
) |
59,087,316 |
|
|
Class DT |
|
69,643,298 |
|
1,552,098 |
|
(20,570,148 |
) |
50,625,248 |
|
2,350,570 |
|
(12,256,856 |
) |
40,718,962 |
|
— |
|
(15,475,607 |
) |
25,243,355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Members’ Units |
|
208,133,972 |
|
62,116,317 |
|
(75,228,608 |
) |
195,021,681 |
|
27,833,302 |
|
(39,140,507 |
) |
183,714,476 |
|
16,629,268 |
|
(29,783,201 |
) |
170,560,543 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 YEARS ENDED DECEMBER 31, 2010, 2009 AND 2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Net |
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Net |
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Net |
|
Members’ Capital |
| |||||||||||||
|
Class A |
|
$ |
22,428,464 |
|
$ |
6,143,861 |
|
$ |
(5,234,543 |
) |
$ |
6,452,930 |
|
$ |
29,790,712 |
|
$ |
2,784,373 |
|
$ |
(7,558,866 |
) |
$ |
(3,554,935 |
) |
$ |
21,461,284 |
|
$ |
2,449,960 |
|
$ |
(3,810,943 |
) |
$ |
2,854,941 |
|
$ |
22,955,242 |
|
|
Class C |
|
96,858,723 |
|
19,482,963 |
|
(35,319,265 |
) |
24,068,580 |
|
105,091,001 |
|
8,101,783 |
|
(21,998,892 |
) |
(13,478,321 |
) |
77,715,571 |
|
10,373,736 |
|
(9,201,345 |
) |
9,968,815 |
|
88,856,777 |
| |||||||||||||
|
Class D |
|
21,583,979 |
|
975,000 |
|
(14,864,105 |
) |
4,154,640 |
|
11,849,514 |
|
— |
|
(989,305 |
) |
(1,388,933 |
) |
9,471,276 |
|
— |
|
— |
|
1,497,403 |
|
10,968,679 |
| |||||||||||||
|
Class I |
|
14,374,152 |
|
4,181,986 |
|
(7,985,878 |
) |
3,894,853 |
|
14,465,113 |
|
748,983 |
|
(6,139,822 |
) |
(1,336,349 |
) |
7,737,925 |
|
1,906,598 |
|
(917,372 |
) |
1,181,903 |
|
9,909,054 |
| |||||||||||||
|
Class DS |
|
18,235,954 |
|
56,116,079 |
|
(14,003,395 |
) |
10,554,233 |
|
70,902,871 |
|
26,942,476 |
|
(2,798,569 |
) |
(8,880,305 |
) |
86,166,473 |
|
9,795,842 |
|
(6,868,573 |
) |
14,049,609 |
|
103,143,351 |
| |||||||||||||
|
Class DT |
|
92,508,126 |
|
2,229,235 |
|
(31,578,299 |
) |
25,143,202 |
|
88,302,264 |
|
3,561,720 |
|
(19,789,466 |
) |
(9,025,883 |
) |
63,048,635 |
|
— |
|
(24,945,236 |
) |
7,463,239 |
|
45,566,638 |
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
|
Total Members’ Interest |
|
$ |
265,989,398 |
|
$ |
89,129,124 |
|
$ |
(108,985,485 |
) |
$ |
74,268,438 |
|
$ |
320,401,475 |
|
$ |
42,139,335 |
|
$ |
(59,274,920 |
) |
$ |
(37,664,726 |
) |
$ |
265,601,164 |
|
$ |
24,526,136 |
|
$ |
(45,743,469 |
) |
$ |
37,015,910 |
|
$ |
281,399,741 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
|
Class A |
|
$ |
12,940 |
|
$ |
— |
|
$ |
— |
|
$ |
3,495 |
|
$ |
16,435 |
|
$ |
— |
|
$ |
— |
|
$ |
(2,132 |
) |
$ |
14,303 |
|
$ |
— |
|
$ |
— |
|
$ |
1,883 |
|
$ |
16,186 |
|
|
Class C |
|
12,636 |
|
— |
|
— |
|
3,260 |
|
15,896 |
|
— |
|
— |
|
(2,201 |
) |
13,695 |
|
— |
|
— |
|
1,751 |
|
15,446 |
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
|
Total Sponsor’s Interest |
|
$ |
25,576 |
|
$ |
— |
|
$ |
— |
|
$ |
6,755 |
|
$ |
32,331 |
|
$ |
— |
|
$ |
— |
|
$ |
(4,333 |
) |
$ |
27,998 |
|
$ |
— |
|
$ |
— |
|
$ |
3,634 |
|
$ |
31,632 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
|
Total Members’ Capital |
|
$ |
266,014,974 |
|
$ |
89,129,124 |
|
$ |
(108,985,485 |
) |
$ |
74,275,193 |
|
$ |
320,433,806 |
|
$ |
42,139,335 |
|
$ |
(59,274,920 |
) |
$ |
(37,669,059 |
) |
$ |
265,629,162 |
|
$ |
24,526,136 |
|
$ |
(45,743,469 |
) |
$ |
37,019,544 |
|
$ |
281,431,373 |
|
See notes to financial statements.
ML ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2010
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 year |
|
$ |
1.3859 |
|
$ |
1.3261 |
|
$ |
1.5138 |
|
$ |
1.4111 |
|
$ |
1.5073 |
|
$ |
1.5484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Net realized and net change in unrealized trading profit (loss) |
|
0.2649 |
|
0.2520 |
|
0.2920 |
|
0.2704 |
|
0.2907 |
|
0.2995 |
| ||||||
|
Brokerage commissions |
|
(0.0034 |
) |
(0.0033 |
) |
(0.0038 |
) |
(0.0035 |
) |
(0.0038 |
) |
(0.0039 |
) | ||||||
|
Interest income |
|
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) |
(0.0000 |
) | ||||||
|
Expenses |
|
(0.0663 |
) |
(0.0770 |
) |
(0.0489 |
) |
(0.0617 |
) |
(0.0486 |
) |
(0.0389 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Net asset value, end of year |
|
$ |
1.5811 |
|
$ |
1.4978 |
|
$ |
1.7531 |
|
$ |
1.6163 |
|
$ |
1.7456 |
|
$ |
1.8051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Total Return: (a) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Total return before Performance fees |
|
14.92 |
% |
13.78 |
% |
16.66 |
% |
15.38 |
% |
16.66 |
% |
17.24 |
% | ||||||
|
Performance fees |
|
-0.82 |
% |
-0.82 |
% |
-0.82 |
% |
-0.82 |
% |
-0.82 |
% |
-0.64 |
% | ||||||
|
Total return after Performance fees |
|
14.10 |
% |
12.96 |
% |
15.84 |
% |
14.56 |
% |
15.84 |
% |
16.60 |
% | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Ratios to Average Members’ Capital: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Expenses (excluding Performance fees) |
|
3.74 |
% |
4.75 |
% |
2.23 |
% |
3.34 |
% |
2.23 |
% |
1.72 |
% | ||||||
|
Performance fees |
|
0.78 |
% |
0.78 |
% |
0.78 |
% |
0.78 |
% |
0.78 |
% |
0.61 |
% | ||||||
|
Expenses (including Performance fees) |
|
4.52 |
% |
5.53 |
% |
3.01 |
% |
4.12 |
% |
3.01 |
% |
2.33 |
% | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Net investment income (loss) |
|
-4.52 |
% |
-5.53 |
% |
-3.00 |
% |
-4.11 |
% |
-3.00 |
% |
-2.33 |
% | ||||||
(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 YEAR ENDED DECEMBER 31, 2009
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 year |
|
$ |
1.5927 |
|
$ |
1.5393 |
|
$ |
1.7134 |
|
$ |
1.6142 |
|
$ |
1.7067 |
|
$ |
1.7442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Net realized and net change in unrealized trading profit (loss) |
|
(0.1483 |
) |
(0.1430 |
) |
(0.1602 |
) |
(0.1506 |
) |
(0.1595 |
) |
(0.1633 |
) | ||||||
|
Brokerage commissions |
|
(0.0040 |
) |
(0.0039 |
) |
(0.0044 |
) |
(0.0041 |
) |
(0.0044 |
) |
(0.0045 |
) | ||||||
|
Interest income |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
| ||||||
|
Expenses |
|
(0.0546 |
) |
(0.0664 |
) |
(0.0351 |
) |
(0.0485 |
) |
(0.0356 |
) |
(0.0281 |
) | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Net asset value, end of year |
|
$ |
1.3859 |
|
$ |
1.3261 |
|
$ |
1.5138 |
|
$ |
1.4111 |
|
$ |
1.5073 |
|
$ |
1.5484 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Total Return: (a) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Total return before Performance fees |
|
-12.99 |
% |
-13.86 |
% |
-11.67 |
% |
-12.64 |
% |
-11.67 |
% |
-11.23 |
% | ||||||
|
Performance fees |
|
0.00 |
% |
0.00 |
% |
-0.01 |
% |
0.01 |
% |
-0.02 |
% |
0.00 |
% | ||||||
|
Total return after Performance fees |
|
-12.99 |
% |
-13.86 |
% |
-11.68 |
% |
-12.63 |
% |
-11.69 |
% |
-11.23 |
% | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Ratios to Average Members’ Capital: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Expenses (excluding Performance fees) |
|
3.73 |
% |
4.73 |
% |
2.24 |
% |
3.33 |
% |
2.24 |
% |
1.74 |
% | ||||||
|
Performance fees |
|
-0.01 |
% |
-0.01 |
% |
0.00 |
% |
-0.02 |
% |
0.01 |
% |
-0.01 |
% | ||||||
|
Expenses (including Performance fees) |
|
3.72 |
% |
4.72 |
% |
2.24 |
% |
3.31 |
% |
2.25 |
% |
1.73 |
% | ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Net investment income (loss) |
|
-3.72 |
% |
-4.72 |
% |
-2.23 |
% |
-3.31 |
% |
-2.24 |
% |
-1.73 |
% | ||||||
(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 YEAR ENDED DECEMBER 31, 2008
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 |
|
$ |
1.2538 |
|
$ |
1.2234 |
|
$ |
1.3241 |
|
$ |
1.2649 |
|
$ |
1.3245 |
|
$ |
1.3283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Net realized and net 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 period |
|
$ |
1.5927 |
|
$ |
1.5393 |
|
$ |
1.7134 |
|
$ |
1.6142 |
|
$ |
1.7067 |
|
$ |
1.7442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
Total Return: (a) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
|
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 |
% | ||||||
(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
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” or “trading advisor”) is the trading advisor of the Fund.
Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) 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. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.
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 its 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.
As of December 31, 2010 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. 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 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 and such differences could be material.
Reclassifications
Certain prior year items have been reclassified to conform to the current year presentation. A reclassification was made to prior year net unrealized profit (loss) on open contracts to the current presentation of disaggregation between futures and forwards.
Statement of Cash Flows
The Fund is not required to provide a Statement of Cash Flows.
Revenue Recognition
Commodity futures, options on futures and forward contract transactions are recorded on trade date. 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.
Trading profit (loss) is reduced for brokerage commission costs.
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 dates 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 included in Trading Profit (Loss) in the Statements of Operations of the Fund.
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 as provided by the investment manager of the cash equivalent, which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.
Equity in Commodity Trading Accounts
A portion of the assets maintained at MLPF&S is restricted cash required to meet maintenance margin requirements.
Operating Expenses 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.
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.
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 Accounting Standard Codification (“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.
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, 2010, 2009 and 2008.
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, 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 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 private placement 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.
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 December 31, 2010 and 2009 are as follows:
December 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 |
|
1,481 |
|
$ |
4,028,204 |
|
1.43 |
% |
(28 |
) |
$ |
(43,410 |
) |
-0.02 |
% |
$ |
3,984,794 |
|
1.41 |
% |
February 2011 - March 2011 |
|
|
Currencies |
|
4,389,809,925 |
|
5,856,246 |
|
2.08 |
% |
(940,119,865 |
) |
(1,499,079 |
) |
-0.53 |
% |
4,357,167 |
|
1.55 |
% |
March 2011 |
| |||
|
Energy |
|
629 |
|
1,272,913 |
|
0.45 |
% |
(182 |
) |
(371,550 |
) |
-0.13 |
% |
901,363 |
|
0.32 |
% |
February 2011 |
| |||
|
Interest rates |
|
2,781 |
|
24,462 |
|
0.01 |
% |
(847 |
) |
(263,739 |
) |
-0.09 |
% |
(239,277 |
) |
-0.08 |
% |
March 2011 - June 2013 |
| |||
|
Metals |
|
631 |
|
4,435,389 |
|
1.58 |
% |
(51 |
) |
(267,468 |
) |
-0.10 |
% |
4,167,921 |
|
1.48 |
% |
February 2011 - April 2011 |
| |||
|
Stock indices |
|
1,743 |
|
627,674 |
|
0.22 |
% |
(15 |
) |
49,594 |
|
0.02 |
% |
677,268 |
|
0.24 |
% |
January 2011 - March 2011 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Total |
|
|
|
$ |
16,244,888 |
|
5.77 |
% |
|
|
$ |
(2,395,652 |
) |
-0.85 |
% |
$ |
13,849,236 |
|
4.92 |
% |
|
|
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 December 31, 2010 and 2009.
3. FAIR VALUE OF INVESTMENTS
The Financial Accounting Standards Board (“FASB”) issued the ASC which provide 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 year 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 by the above fair value hierarchy levels for the years ended December 31, 2010 and December 31, 2009 are as follows:
|
|
|
|
|
|
|
|
|
|
| ||||
|
2010 |
|
Total |
|
Level I |
|
Level II |
|
Level III |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Net unrealized profit (loss) on open contracts |
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
|
|
|
|
|
|
|
| ||||
|
Long |
|
$ |
10,397,568 |
|
$ |
8,906,023 |
|
$ |
1,491,545 |
|
$ |
— |
|
|
Short |
|
$ |
(896,573 |
) |
(629,105 |
) |
(267,468 |
) |
— |
| |||
|
|
|
$ |
9,500,995 |
|
$ |
8,276,918 |
|
$ |
1,224,077 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
Forwards |
|
|
|
|
|
|
|
|
| ||||
|
Long |
|
$ |
5,847,320 |
|
$ |
— |
|
$ |
5,847,320 |
|
$ |
— |
|
|
Short |
|
$ |
(1,499,079 |
) |
— |
|
(1,499,079 |
) |
— |
| |||
|
|
|
$ |
4,348,241 |
|
$ |
— |
|
$ |
4,348,241 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
December 31, 2010 |
|
$ |
13,849,236 |
|
$ |
8,276,918 |
|
$ |
5,572,318 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
2009 |
|
Total |
|
Level I |
|
Level II |
|
Level III |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Net unrealized profit (loss) on open contracts |
|
|
|
|
|
|
|
|
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
|
|
|
|
|
|
|
| ||||
|
Long |
|
$ |
(65,216 |
) |
$ |
(94,122 |
) |
$ |
28,906 |
|
$ |
— |
|
|
Short |
|
$ |
(9,408 |
) |
(9,408 |
) |
|
|
— |
| |||
|
|
|
$ |
(74,624 |
) |
$ |
(103,530 |
) |
$ |
28,906 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
Forwards |
|
|
|
|
|
|
|
|
| ||||
|
Long |
|
$ |
(295,560 |
) |
$ |
— |
|
$ |
(295,560 |
) |
$ |
— |
|
|
Short |
|
$ |
(600,290 |
) |
— |
|
(600,290 |
) |
— |
| |||
|
|
|
$ |
(895,850 |
) |
$ |
— |
|
$ |
(895,850 |
) |
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
December 31, 2009 |
|
$ |
(970,474 |
) |
$ |
(103,530 |
) |
$ |
(866,944 |
) |
$ |
— |
|
The Fund’s volume of trading forward and futures for the years ended December 31, 2010 and 2009, respectively, are representative of the activity throughout the year. There were no transfers to or from Level I or Level II during 2010 and 2009.
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 ASC guidance for derivatives and hedging. 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 profit and losses, by type/commodity industry sector, on derivative instruments for the years ended December 31, 2010 and 2009:
|
Commodity Industry |
|
December 31, 2010 |
|
December 31, 2009 |
| ||
|
Sector |
|
Gain (loss) from trading |
|
Gain (loss) from trading |
| ||
|
|
|
|
|
|
| ||
|
Agriculture |
|
$ |
7,006,075 |
|
$ |
838,187 |
|
|
Currencies |
|
12,209,555 |
|
(9,924,173 |
) | ||
|
Energy |
|
(8,362,667 |
) |
(14,163,622 |
) | ||
|
Interest rates |
|
37,860,194 |
|
(9,441,502 |
) | ||
|
Metals |
|
5,265,584 |
|
909,155 |
| ||
|
Stock indices |
|
(6,128,219 |
) |
3,699,451 |
| ||
|
|
|
|
|
|
| ||
|
Total |
|
$ |
47,850,522 |
|
$ |
(28,082,504 |
) |
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. RELATED PARTY TRANSACTIONS
The Fund’s U.S. dollar assets are maintained at MLPF&S. On assets held in U.S. dollars, Merrill Lynch credits the Fund with interest at the most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates but not less than 75% of such prevailing rate. The Fund is credited with interest on any of its assets and net gains actually held by MLPF&S in non-U.S. dollar currencies at a prevailing local rate received by Merrill Lynch. Merrill Lynch may derive certain economic benefit, in excess of the interest which Merrill Lynch pays to the Fund, from possession of such assets.
Merrill Lynch charges the Fund at prevailing local interest rates for financing realized and unrealized losses on the Fund’s non-U.S. dollar-denominated positions. Such amounts are netted against interest income due to the insignificance of such amounts.
The Fund charges Sponsor fees on the month-end net assets after all other charges at annual rates equal to 1.50% for Class A, 2.50% for Class C, and 1.10% on Class I. Class D, DS and DT are not charged a Sponsor Fee. Sponsor fees are paid to MLAI.
The Fund pays brokerage commissions on actual cost per round turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2010, 2009, and 2008 was approximately $5.03, $6.07, and $6.03, respectively, (not including, in calculating round-turn, forward contracts on a futures-equivalent basis).
Brokerage Commissions, Interest and Sponsor fees as presented on the Statements of Operations are received from or paid to related parties.
The Fund holds cash at an unaffiliated bank which invests such cash in a money market fund which is managed by BlackRock, a related party to MLAI. The Cash and cash equivalents as seen on the Statements of Financial Condition is the amount held by the related party.
5. ADVISORY AGREEMENT
The Fund and Aspect have entered into an Advisory Agreement. This agreement shall continue in effect until December 31, 2011. Thereafter, this agreement shall be automatically renewed for successive three-year periods, on the same terms, unless terminated at any time by either Aspect or the Fund upon 90 days’ written notice to the other party. Aspect determines the commodity futures, options on futures and forward contract trades to be made on behalf of their respective Fund accounts, subject to certain trading policies and to certain rights reserved by MLAI.
The Fund charges annual management fees on the Fund’s average month-end net assets allocated to them after reduction for the brokerage commissions accrued with respect to such assets and are payable to Aspect on a monthly basis. Management Fees are 2.0% for all classes except for Class DT which charges a 1.5% Fee. Aspect pays MLAI 25% of the management fees on all classes except Class DT in return for sponsoring and providing ongoing administration and operational support to the Fund.
Performance fees are charged by the Fund on any New Trading Profit, as defined in the private placement memorandum, and are payable to Aspect as of either the end of each calendar year or upon any interim period for which there are net redemption of Units, to the extent of the applicable percentage of any New Trading Profit
attributable to such Units. The Fund charges a 20% performance fee for all classes except Class DT which is charged a performance fee of 15%. Aspect pays MLAI 25% of any Performance fees paid by the Fund except Class DT.
6. WEIGHTED AVERAGE UNITS
The weighted average number of Units outstanding for each Class is computed for purposes of calculating net income (loss) per weighted average Unit. The weighted average number of Units outstanding for each Class for the years ended December 31, 2010, 2009 and 2008 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year.
7. 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 would not have a material impact to the Fund’s financial statements.
8. MARKET AND CREDIT RISK
The nature of this Fund has certain risks, which cannot all 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 open contracts 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. Investments 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 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 (loss) 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.
9. 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.