Aspect FuturesAccess LLC - FORM 10-Q

Attached files

file	filename
EX-32.02 - EX-32.02 - Aspect FuturesAccess LLC	a18-14102_1ex32d02.htm
EX-32.01 - EX-32.01 - Aspect FuturesAccess LLC	a18-14102_1ex32d01.htm
EX-31.02 - EX-31.02 - Aspect FuturesAccess LLC	a18-14102_1ex31d02.htm
EX-31.01 - EX-31.01 - Aspect FuturesAccess LLC	a18-14102_1ex31d01.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 June 30, 2018

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

ASPECT FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

Delaware		20-1227650
(State or other jurisdiction of		(I.R.S. Employer Identification No.)
incorporation or organization)

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10281

(Address of principal executive offices)

(Zip Code)

609-274-5838

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No 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 x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer o	Accelerated filer o

Non-accelerated filer x	Smaller reporting company o
(Do not check if a smaller reporting company)

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

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

Yes o No x

As of June 30, 2018, 36,411,836 units of limited liability company interest were outstanding.

ASPECT FUTURESACCESS LLC

QUARTERLY REPORT FOR JUNE 30, 2018 ON FORM 10-Q

Table of Contents

		PAGE

PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	19

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	26

Item 4.	Controls and Procedures	31

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	31

Item 1A.	Risk Factors	31

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	31

Item 3.	Defaults Upon Senior Securities	33

Item 4.	Mine Safety Disclosures	33

Item 5.	Other Information	33

Item 6	Exhibits	34

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	June 30,		December 31,
	2018		2017
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $15,536,427 for 2018 and $24,062,735 for 2017)	$	53,270,703	$	70,693,933
Receivable from broker due to variation margin	598,398		—
Unrealized profit on open futures contracts	1,582,403		4,494,939
Unrealized profit on open forwards contracts	2,713,000		3,290,984
Cash and cash equivalents	540,130		540,090
Other assets	30,316		56,112

TOTAL ASSETS	$	58,734,950	$	79,076,058

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:

Unrealized loss on open futures contracts	$	946,095	$	3,153,548
Unrealized loss on open forwards contracts	1,829,871		3,660,942
Brokerage commissions payable	31,975		17,194
Sponsor and Advisory fees payable	111,930		147,475
Redemptions payable	1,081,686		1,557,158
Other liabilities	199,047		317,770

Total liabilities	4,200,604		8,854,087

MEMBERS’ CAPITAL:
Members’ Capital (36,411,836 Units and 44,544,897 Units outstanding; unlimited Units authorized)	54,534,346		70,221,971
Total Members’ Capital	54,534,346		70,221,971

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	58,734,950	$	79,076,058

NET ASSET VALUE PER UNIT:

Class A	$	1.5744	$	1.6509
Class C	$	1.3834	$	1.4579
Class D	$	1.9413	$	2.0281
Class I	$	1.6586	$	1.7357
Class M	$	1.0459	$	1.0885

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three			For the six			For the six
	months ended			months ended			months ended			months ended
	June 30,			June 30,			June 30,			June 30,
	2018			2017			2018			2017
TRADING PROFIT (LOSS):

Realized, net	$	(3,534,356	)	$	(1,852,918	)	$	(2,972,470	)	$	(1,801,656	)
Change in unrealized, net	816,967			(2,024,399		)	1,146,402			(3,596,649		)
Brokerage commissions	(105,358		)	(106,844		)	(206,262		)	(206,110		)

Total trading profit (loss), net	(2,822,747		)	(3,984,161		)	(2,032,330		)	(5,604,415		)

INVESTMENT INCOME (EXPENSE):
Interest, net	177,824			171,267			395,553			299,269
Other income	—			517,000			—			517,000
Total investment income (expense)	177,824			688,267			395,553			816,269

EXPENSES:
Management fee	156,541			452,733			331,848			972,680
Sponsor fee	217,419			442,202			463,209			942,538
Performance fee	—			—			—			—
Other	190,847			158,099			376,892			318,294
Total expenses	564,807			1,053,034			1,171,949			2,233,512

NET INVESTMENT INCOME (LOSS)	(386,983		)	(364,767		)	(776,396		)	(1,417,243		)

NET INCOME (LOSS)	$	(3,209,730	)	$	(4,348,928	)	$	(2,808,726	)	$	(7,021,658	)

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	29,846,993			13,447,325			30,577,599			13,819,993
Class C	2,783,367			40,493,543			3,367,857			42,166,911
Class D	1,351,835			1,920,371			1,636,102			1,920,371
Class I	531,514			951,195			549,810			1,012,519
Class M	5,211,389			6,312,832			5,390,086			7,523,394

Net income (loss) per weighted average Unit
Class A	$	(0.0788	)	$	(0.0752	)	$	(0.0682	)	$	(0.1172	)
Class C	$	(0.1024	)	$	(0.0699	)	$	(0.0736	)	$	(0.1089	)
Class D	$	(0.1853	)	$	(0.0867	)	$	(0.1375	)	$	(0.1325	)
Class I	$	(0.0854	)	$	(0.0708	)	$	(0.0475	)	$	(0.1133	)
Class M	$	(0.0529	)	$	(0.0434	)	$	(0.0418	)	$	(0.0585	)

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2018 AND 2017

(unaudited) (in Units)

	Members’ Units				Members’ Units	Members’ Units December				Members’ Units June
	December 31, 2016	Subscriptions	Redemptions		June 30, 2017	31, 2017	Subscriptions	Redemptions		30, 2018
Class A*	14,454,830	60,247	(1,921,716	)	12,593,361	31,461,991	2,843,541	(4,842,539	)	29,462,993
Class C**	45,337,665	132,736	(6,572,770	)	38,897,631	4,857,611	—	(3,361,849	)	1,495,762
Class D	1,920,371	—	—		1,920,371	1,920,371	—	(1,859,798	)	60,573
Class I	1,077,016	17,896	(271,202	)	823,710	681,225	—	(158,498	)	522,727
Class M	9,111,918	369,571	(3,602,229	)	5,879,260	5,623,699	179,952	(933,870	)	4,869,781

Total Members’ Units	71,901,800	580,450	(12,367,917	)	60,114,333	44,544,897	3,023,493	(11,156,554	)	36,411,836

*Subscription units include conversion in of 2,609,565 units which were converted from Class C in 2018.

**Redemption units include conversion out of 2,963,424 units which were converted to Class A in 2018.

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2018 AND 2017

(unaudited)

	Members’ Capital										Members’ Capital		Members’ Capital										Members’ Capital
	December 31, 2016		Subscriptions		Redemptions			Net Income (Loss)			June 30, 2017		December 31, 2017		Subscriptions		Redemptions			Net Income (Loss)			June 30, 2018
Class A*	$	23,937,426	$	98,375	$	(3,094,691	)	$	(1,619,712	)	$	19,321,398	$	51,941,334	$	4,579,780	$	(8,049,040	)	$	(2,084,813	)	$	46,387,261
Class C**	66,943,683		196,000		(9,572,446		)	(4,592,817		)	52,974,420		7,082,060		—		(4,765,006		)	(247,758		)	2,069,296
Class D	3,856,070		—		—			(254,531		)	3,601,539		3,894,785		—		(3,552,235		)	(224,960		)	117,590
Class I	1,866,159		31,000		(456,407		)	(114,730		)	1,326,022		1,182,385		—		(289,287		)	(26,125		)	866,973
Class M	9,803,215		398,820		(3,859,199		)	(439,868		)	5,902,968		6,121,407		193,000		(996,111		)	(225,070		)	5,093,226

Total Members’ Capital	$	106,406,553	$	724,195	$	(16,982,743	)	$	(7,021,658	)	$	83,126,347	$	70,221,971	$	4,772,780	$	(17,651,679	)	$	(2,808,726	)	$	54,534,346

*Subscription includes conversion in the amount of $4,172,146 which was converted from Class C in 2018.

**Redemption includes conversion out in the amount of $4,172,146 which was converted to Class A in 2018.

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2018 (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 M
Per Unit Operating Performance:
Net asset value, beginning of period	$	1.6586		$	1.4611		$	2.0415		$	1.7455		$	1.0977

Net realized and net change in unrealized trading profit (loss)	(0.0708		)	(0.0622		)	(0.0873		)	(0.0745		)	(0.0470		)
Brokerage commissions	(0.0028		)	(0.0025		)	(0.0034		)	(0.0029		)	(0.0019		)
Interest income, net	0.0047			0.0041			0.0057			0.0049			0.0031
Expenses	(0.0153		)	(0.0171		)	(0.0152		)	(0.0144		)	(0.0060		)

Net asset value, end of period	$	1.5744		$	1.3834		$	1.9413		$	1.6586		$	1.0459

Total Return: (a) (c) (d)

Total return before Performance fees	-5.08		%	-5.32		%	-4.91		%	-4.98		%	-4.72		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-5.08		%	-5.32		%	-4.91		%	-4.98		%	-4.72		%

Ratios to Average Members’ Capital: (c) (d)

Expenses (excluding Performance fees) (b)	0.93		%	1.18		%	0.75		%	0.83		%	0.56		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	0.93		%	1.18		%	0.75		%	0.83		%	0.56		%

Net investment income (loss) (excluding Performance fees)	-0.65		%	-0.90		%	-0.46		%	-0.55		%	-0.27		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-0.65		%	-0.90		%	-0.46		%	-0.55		%	-0.27		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

(b) The expense ratios do not include brokerage commissions.

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2018 (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 M
Per Unit Operating Performance:
Net asset value, beginning of period	$	1.6509		$	1.4579		$	2.0281		$	1.7357		$	1.0885

Net realized and net change in unrealized trading profit (loss)	(0.0508		)	(0.0445		)	(0.0628		)	(0.0536		)	(0.0339		)
Brokerage commissions	(0.0052		)	(0.0046		)	(0.0064		)	(0.0055		)	(0.0035		)
Interest income, net	0.0099			0.0087			0.0122			0.0104			0.0066
Expenses (d)	(0.0304		)	(0.0341		)	(0.0298		)	(0.0284		)	(0.0118		)

Net asset value, end of period	$	1.5744		$	1.3834		$	1.9413		$	1.6586		$	1.0459

Total Return: (a) (c) (d)

Total return before Performance fees	-4.63		%	-5.11		%	-4.28		%	-4.44		%	-3.92		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-4.63		%	-5.11		%	-4.28		%	-4.44		%	-3.92		%

Ratios to Average Members’ Capital: (c) (d)

Expenses (excluding Performance fees) (b)	1.83		%	2.33		%	1.45		%	1.63		%	1.08		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	1.83		%	2.33		%	1.45		%	1.63		%	1.08		%

Net investment income (loss) (excluding Performance fees)	-1.23		%	-1.73		%	-0.85		%	-1.03		%	-0.48		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-1.23		%	-1.73		%	-0.85		%	-1.03		%	-0.48		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

(b) The expense ratios do not include brokerage commissions.

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2017 (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 M
Per Unit Operating Performance:
Net asset value, beginning of period	$	1.6117		$	1.4331		$	1.9621		$	1.6882		$	1.0502

Net realized and net change in unrealized trading profit (loss)	(0.0698		)	(0.0620		)	(0.0852		)	(0.0732		)	(0.0456		)
Brokerage commissions	(0.0019		)	(0.0017		)	(0.0023		)	(0.0020		)	(0.0012		)
Interest income, net	0.0030			0.0027			0.0037			0.0032			0.0020
Expenses (d)	(0.0087		)	(0.0102		)	(0.0029		)	(0.0064		)	(0.0014		)

Net asset value, end of period	$	1.5343		$	1.3619		$	1.8754		$	1.6098		$	1.0040

Total Return: (a) (c) (d)

Total return before Performance fees	-4.80		%	-4.97		%	-4.42		%	-4.65		%	-4.41		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-4.80		%	-4.97		%	-4.42		%	-4.65		%	-4.41		%

Ratios to Average Members’ Capital: (c) (d)

Expenses (excluding Performance fees) (b)	1.05		%	1.30		%	0.68		%	0.95		%	0.68		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	1.05		%	1.30		%	0.68		%	0.95		%	0.68		%

Net investment income (loss) (excluding Performance fees)	-0.32		%	-0.49		%	0.05		%	-0.02		%	0.21		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-0.32		%	-0.49		%	0.05		%	-0.02		%	0.21		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

(b) The expense ratios do not include brokerage commissions.

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2017 (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 M
Per Unit Operating Performance:
Net asset value, beginning of period	$	1.6560		$	1.4766		$	2.0080		$	1.7327		$	1.0759

Net realized and net change in unrealized trading profit (loss)	(0.0970		)	(0.0862		)	(0.1184		)	(0.1017		)	(0.0634		)
Brokerage commissions	(0.0035		)	(0.0031		)	(0.0042		)	(0.0036		)	(0.0023		)
Interest income, net	0.0051			0.0045			0.0062			0.0053			0.0033
Expenses (d)	(0.0263		)	(0.0299		)	(0.0162		)	(0.0229		)	(0.0095		)

Net asset value, end of period	$	1.5343		$	1.3619		$	1.8754		$	1.6098		$	1.0040

Total Return: (a) (c) (d)

Total return before Performance fees	-7.35		%	-7.77		%	-6.60		%	-7.09		%	-6.69		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Total return after Performance fees	-7.35		%	-7.77		%	-6.60		%	-7.09		%	-6.69		%

Ratios to Average Members’ Capital: (c) (d)

Expenses (excluding Performance fees) (b)	2.08		%	2.58		%	1.33		%	1.88		%	1.33		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Expenses (including Performance fees)	2.08		%	2.58		%	1.33		%	1.88		%	1.33		%

Net investment income (loss) (excluding Performance fees)	-1.22		%	-1.64		%	-0.48		%	-0.83		%	-0.32		%
Performance fees	0.00		%	0.00		%	0.00		%	0.00		%	0.00		%
Net investment income (loss) (including Performance fees)	-1.22		%	-1.64		%	-0.48		%	-0.83		%	-0.32		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value.

(b) The expense ratios do not include brokerage commissions.

(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. ORGANIZATION

Aspect FuturesAccess LLC (the “Fund”), a FuturesAccessTM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, 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 and forward contracts on a wide range of commodities. Aspect Capital Limited (“Aspect” or the “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Aspect Diversified Program (the “Trading Program”) for the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. MLAI may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. MLAI may select other of its affiliates, or third parties, as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BofA Corp. affiliates.

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BofA Corp. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

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, BofA Corp. or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents classified as Level II within the fair value hierarchy discussed in Note 3. As of June 30, 2018, the Fund held no cash equivalents. Cash was held at a nationally recognized financial institution.

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 June 30, 2018 and December 31, 2017 and the results of its operations for the three and six month periods ended June 30, 2018 and 2017. 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 report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2017.

Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments as of June 30, 2018 and December 31, 2017 are as follows:

June 30, 2018 (a)

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture - Futures	168	$	(22,697	)	-0.04	%	(683	)	$	337,651		0.62	%	$	314,954		0.58	%	August 2018 - March 2019
Currencies - Futures	—	—			0.00	%	(41	)	22,350			0.04	%	22,350			0.04	%	September 2018
Currencies - Forwards*	136,028,806	(1,447,806		)	-2.65	%	(203,226,343	)	2,330,935			4.27	%	883,129			1.62	%	September 2018
Energy - Futures	313	914,743			1.68	%	(9	)	(22,445		)	-0.04	%	892,298			1.64	%	July 2018 - December 2019
Interest rates - Futures	1,349	292,272			0.54	%	(1,123	)	(136,923		)	-0.25	%	155,349			0.29	%	September 2018 - December 2020
Metals - Futures	115	(149,821		)	-0.27	%	(200	)	454,893			0.83	%	305,072			0.56	%	August 2018 - October 2018
Stock indices - Futures	612	(418,679		)	-0.77	%	(163	)	(36,638		)	-0.07	%	(455,317		)	-0.84	%	July 2018 - September 2018

Total		$	(831,988	)	-1.51	%			$	2,949,823		5.40	%	$	2,117,835		3.89	%

(a) Certain exchanges have modified their rulebook from the collateralized-to-market model to the settled-to-market model, resulting in the characterization of variation margin postings as settlement payments, as opposed to adjustments to collateral. As a result, the Fund has classified such amounts within the receivable from broker due to variation margin account on the Statement of Financial Condition. This receivable from broker due to variation margin account combined with the unrealized profit (loss) on open futures and forwards accounts on the Statement of Financial Condition represents the total net unrealized profit (loss) on open positions in the above condensed schedule of investments as of June 30, 2018. At this time, the Chicago Mercantile Exchange and its related exchanges are the only central clearing parties of the Fund where variation margin payments are considered settlement payments.

December 31, 2017

	Long Positions						Short Positions							Net Unrealized
Commodity Industry	Number of	Unrealized			Percent of		Number of		Unrealized			Percent of		Profit (Loss)			Percent of
Sector	Contracts/Notional*	Profit (Loss)			Members’ Capital		Contracts/Notional*		Profit (Loss)			Members’ Capital		on Open Positions			Members’ Capital		Maturity Dates

Agriculture - Futures	103	$	137,853		0.20	%	(1,181	)	$	384,308		0.55	%	$	522,161		0.75	%	February 2018 - April 2018
Currencies - Futures	5	5,540			0.01	%	(11	)	(15,485		)	-0.02	%	(9,945		)	-0.01	%	March 2018
Currencies - Forwards*	252,071,735	2,876,659			4.10	%	(228,725,253	)	(3,246,617		)	-4.62	%	(369,958		)	-0.52	%	March 2018
Energy - Futures	434	1,265,666			1.80	%	(264	)	(494,590		)	-0.70	%	771,076			1.10	%	January 2018 - December 2018
Interest rates - Futures	2,233	(1,589,571		)	-2.26	%	(2,312	)	359,823			0.51	%	(1,229,748		)	-1.75	%	March 2018 - June 2020
Metals - Futures	302	1,228,177			1.75	%	(73	)	(464,140		)	-0.66	%	764,037			1.09	%	January 2018 - April 2018
Stock indices - Futures	1,071	526,852			0.75	%	(148	)	(3,042		)	0.00	%	523,810			0.75	%	January 2018 - March 2018

Total		$	4,451,176		6.35	%			$	(3,479,743	)	-4.94	%	$	971,433		1.41	%

*Currencies — Forwards present notional amounts as converted to USD.

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of June 30, 2018 and December 31, 2017. With respect to each commodity industry sector listed in the above charts, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.

3. FAIR VALUE OF INVESTMENTS

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. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts and receivable from broker due to variation margin are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss and receivable from broker due to variation margin from the preceding period/year is reported in the respective Statements of Operations.

The fair value measurement guidance established by U.S. GAAP is a hierarchical 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 in U.S. GAAP, 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.

The 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 such investments are traded. 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 the process for determining fair values.

The Fund has determined that Level I investments would include its futures and options contracts where 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 observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts.

Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level during the three or six month periods ended June 30, 2018 or the year ended December 31, 2017.

The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of June 30, 2018 and December 31, 2017, are as follows:

2018

Net unrealized profit (loss) (a)
on open contracts	Total		Level I		Level II		Level III

Assets
Futures	$	2,605,056	$	2,201,086	$	403,970	$	—
Forwards	2,713,000		—		2,713,000		—
	$	5,318,056	$	2,201,086	$	3,116,970	$	—

Liabilities
Futures	$	1,370,350	$	1,012,222	$	358,128	$	—
Forwards	1,829,871		—		1,829,871		—
	$	3,200,221	$	1,012,222	$	2,187,999	$	—

June 30, 2018	$	2,117,835	$	1,188,864	$	928,971	$	—

(a) Refer to note (a) within Note 2 regarding the presentation of receivable from broker due to variation margin which is included within the above fair value hierarchy.

2017

Net unrealized profit (loss)
on open contracts	Total		Level I		Level II		Level III

Assets
Futures	$	4,494,939	$	3,651,733	$	843,206	$	—
Forwards	3,290,984		—		3,290,984		—
	$	7,785,923	$	3,651,733	$	4,134,190	$	—

Liabilities
Futures	$	3,153,548	$	2,795,267	$	358,281	$	—
Forwards	3,660,942		—		3,660,942		—
	$	6,814,490	$	2,795,267	$	4,019,223	$	—

December 31, 2017	$	971,433	$	856,466	$	114,967	$	—

The Fund’s volume of trading forwards and futures as of the six month period ended June 30, 2018 and year ended December 31, 2017 are representative of the activity throughout these periods.

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 accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments are 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 total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.

The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At June 30, 2018 and December 31, 2017, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. For exchanges which consider variation margin payments as collateral and not settlement, the variation margin on open contracts is presented gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with its counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts in addition to the receivable from broker due to variation margin and the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Fund’s net exposure.

The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for each of the three and six month periods ended June 30, 2018 and 2017:

	For the three months ended			For the six months ended
	June 30, 2018			June 30, 2018
Commodity Industry	profit (loss)			profit (loss)
Sector	from trading, net			from trading, net

Agriculture	$	(361,208	)	$	(754,028	)
Currencies	(728,959		)	(506,219		)
Energy	2,118,664			2,390,435
Interest rates	(3,642,456		)	29,647
Metals	(74,956		)	(956,679		)
Stock indices	(28,474		)	(2,029,224		)

Total, net	$	(2,717,389	)	$	(1,826,068	)

	For the three months ended			For the six months ended
	June 30, 2017			June 30, 2017
Commodity Industry	profit (loss)			profit (loss)
Sector	from trading, net			from trading, net

Agriculture	$	1,687,968		$	1,173,546
Currencies	(2,175,483		)	(3,291,605		)
Energy	(1,502,112		)	(2,982,868		)
Interest rates	(2,507,882		)	(5,208,218		)
Metals	(685,687		)	(462,980		)
Stock indices	1,305,879			5,373,820

Total, net	$	(3,877,317	)	$	(5,398,305	)

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BofA Corp. entities. 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. MARKET AND CREDIT RISKS

The nature of this Fund has certain risks, which cannot all be presented in 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 receivable from broker due to variation margin and 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 it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Trading Advisor, 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 the Trading Advisor 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 process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor.

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 (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. 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 traded contracts, and in the over-the-counter markets counterparties may also require margin. The credit risk associated with these instruments from counterparty nonperformance is the receivable from broker due to variation margin and unrealized profit (loss) on open contracts included in the Statements of Financial Condition.

MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Fund. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLI as its forwards prime broker. In the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S. In the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.

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 certain parties, including BofA Corp. affiliates. 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 expects the risk of loss to be remote and, therefore, no provision has been recorded.

5. RELATED PARTY TRANSACTIONS

MLAI owns 50 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of June 30, 2018 and December 31, 2017.

MLAI, the Fund and certain other FuturesAccess Funds, MLAI’s HedgeAccess® Program of hedge funds and other BofA Corp. funds (each a “Serviced Fund” and collectively, the “Serviced Funds”) have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly owned subsidiary of BofA Corp. and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services were 0.02% per year of the aggregate net assets of the Serviced Funds. The fee is paid monthly in arrears. The Transfer Agent also receives reimbursement for its out-of-pocket expenses and certain extraordinary expenses. MLAI allocates the Transfer Agent fees to each of the Serviced Funds, including the Fund, on a monthly basis based on each Serviced Fund’s net assets. The Transfer Agent fee allocated to the Fund for the three month periods ended June 30, 2018 and 2017 amounted to $3,156 and $4,558, respectively. The Transfer Agent fee allocated to the Fund for the six month periods ended June 30, 2018 and 2017 amounted to $6,666 and $9,770, respectively, of which $3,537 and $3,975 was payable to the Transfer Agent as of June 30, 2018 and December 31, 2017, respectively.

Brokerage commissions, interest, net and Sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash, receivable from broker due to variation margin, and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with a related party.

6. SUBSEQUENT EVENTS

Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued 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

PERIOD-END NET ASSET VALUE PER UNIT

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the last calendar day of each month, the fifteenth calendar day of each month and as of any other dates MLAI may determine in its discretion (each, a “Calculation Date”). The Fund’s Net Asset Value as of any Calculation Date generally equals the value of the Fund’s account under the management of the Trading Advisor as of that date, plus any other assets held by the Fund, minus accrued Sponsor, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund. Therefore, the charts below are referencing Net Asset Value at each Calculation Date.

PERIOD-END NET ASSET VALUE PER UNIT CLASS A

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.6689	$	1.6461	$	1.6976	$	1.6694	$	1.6412	$	1.6117	$	1.6048	$	1.5969	$	1.5931	$	1.5771	$	1.5834	$	1.5343
2018	$	1.7528	$	1.8014	$	1.6626	$	1.6375	$	1.6262	$	1.6586	$	1.7013	$	1.7092	$	1.7692	$	1.5462	$	1.5679	$	1.5744

PERIOD-END NET ASSET VALUE PER UNIT CLASS C

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.4874	$	1.4664	$	1.5116	$	1.4858	$	1.4600	$	1.4331	$	1.4263	$	1.4186	$	1.4147	$	1.3997	$	1.4049	$	1.3619
2018	$	1.5472	$	1.5895	$	1.4664	$	1.4437	$	1.4331	$	1.4611	$	1.4981	$	1.5044	$	1.5566	$	1.3598	$	1.3783	$	1.3834

PERIOD-END NET ASSET VALUE PER UNIT CLASS D

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	2.0249	$	1.9986	$	2.0625	$	2.0296	$	1.9967	$	1.9621	$	1.9549	$	1.9466	$	1.9433	$	1.9250	$	1.9343	$	1.8754
2018	$	2.1539	$	2.2144	$	2.0444	$	2.0142	$	2.0009	$	2.0415	$	2.0946	$	2.1050	$	2.1796	$	1.9055	$	1.9327	$	1.9413

PERIOD-END NET ASSET VALUE PER UNIT CLASS I

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.7464	$	1.7229	$	1.7773	$	1.7482	$	1.7189	$	1.6882	$	1.6813	$	1.6734	$	1.6678	$	1.6510	$	1.6579	$	1.6098
2018	$	1.8431	$	1.8945	$	1.7488	$	1.7227	$	1.7111	$	1.7455	$	1.7907	$	1.7993	$	1.8628	$	1.6283	$	1.6514	$	1.6586

PERIOD-END NET ASSET VALUE PER UNIT CLASS M

	Jan. 15th		Jan.		Feb. 15th		Feb.		Mar. 15th		Mar.		Apr. 15th		Apr.		May 15th		May		Jun. 15th		Jun.
2017	$	1.0851	$	1.0709	$	1.1047	$	1.0871	$	1.0687	$	1.0502	$	1.0453	$	1.0409	$	1.0391	$	1.0290	$	1.0339	$	1.0040
2018	$	1.1564	$	1.1892	$	1.0983	$	1.0824	$	1.0755	$	1.0977	$	1.1267	$	1.1326	$	1.1731	$	1.0259	$	1.0409	$	1.0459

Liquidity and Capital Resources

The Fund borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Fund’s U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

Substantially all of the Fund’s assets are held in cash with the brokers. Changes in interest rates could cause periods of strong up or down price trends, during which the Fund’s profit or loss potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully

follow. The Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the Fund has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, MLAI, as the manager of the Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.

For the six month period ended June 30, 2018 Fund capital decreased 22.34% from $70,221,971 to $54,534,346. This decrease was attributable to the net loss from operations of $2,808,726 coupled with the redemption of 11,156,554 redeemable Units resulting in an outflow of $17,651,679. The cash outflow was offset with cash inflow of $4,772,780 due to subscriptions of 3,023,493 Units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

Critical Accounting Policies

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. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts and receivable from broker due to variation margin are included as a component of equity in commodity trading accounts on the Statements of Financial Condition. Realized profits or losses and any change in net unrealized profits or losses and receivable from broker due to variation margin from the preceding period are reported in the Statements of Operations.

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 the Fund’s treatment of fair value, see Financial Statements Note 3, Fair Value of Investments.

Futures Contracts

The Fund trades exchange listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Fund buys and sells contracts based on indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Fund’s Statements of Financial Condition. Contracts are priced daily by the Fund and the profit or loss is based on the daily mark to market and is recorded as unrealized profit (loss). When the contract is closed, the Fund records a realized profit 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 or directly with the exchange on which the contracts are traded, credit exposure is limited.

Realized profit (loss), net and change in unrealized profit (loss), net on futures 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. The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bids and asks from open outcry sessions.

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 profit 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 Financial Condition. Realized profit (loss), net and change in unrealized profit (loss), net 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.

Interest Rates and Income

BofA Corp.’s “Interest Earning Program”, which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by MLAI with its affiliates. At the beginning of the quarter the interest rate under the Interest Earning Program on U.S. dollar cash balances was the daily effective federal funds rate minus 20 basis points. Effective as of May 7, 2018, the interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate minus 100 basis points. The interest rate is recalculated and accrued daily, and subject to a floor of 0%, except for currencies designated by MLPF&S as “negative interest rate currencies”. MLPF&S deposits certain of the Fund’s assets as margin or collateral with clearinghouses and/or depositories. As a result of the present low interest rate environment, these clearinghouses and depositories charge MLPF&S fees to account for the negative interest rates on cash balances for certain currencies, which may change from time to time. Accordingly, MLPF&S charges the Fund a “negative interest rate fee” for any currencies designated by MLPF&S as a “negative interest rate currency”.

Income Taxes

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

The Fund follows the ASC guidance on accounting for uncertain tax positions. 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. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Fund, including reducing the Net Asset Value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. 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 is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2014.

Eligible Contract Participant

The Fund expects to meet the definition of “eligible contract participant” (as defined in the Commodity Exchange Act) as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million. If the Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions

Results of Operations:

January 1, 2018 to June 30, 2018

January 1, 2018 to March 31, 2018

The Fund experienced a net trading profit of $891,321 before brokerage commissions and related fees in the first quarter of 2018. The Fund’s profits were primarily attributable to the interest rates, energy and currency sectors. The agriculture, metals and stock indices sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Trading Program’s short positions in U.S. markets. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s short positions in U.S. bond and interest rate markets. Profits were posted to the Fund at the end of the first quarter due to the Trading Program’s long positions in Italian, German and French bonds.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Trading Program’s long oil positions performing well as political unrest in Iran and falls in crude stocks pushed prices higher. Losses were posted to the Fund in the middle of the quarter due to the Trading Program’s long positions in oils as prices fell, driven by the stronger U.S. dollar and signs of rising inventories. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in energy markets and in particular European Emissions were among the best performers.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. At the World Economic Forum at Davos, the U.S. Treasury Secretary’s comments on the favorably weak U.S. dollar prompted a further sell-off in the currency, leading to profits from the Trading Program’s short U.S. dollar positions against Sterling, the Euro and the Australian dollar. Losses were posted to the Fund in the middle of the quarter as the U.S. dollar rose leading to losses from the Trading Program’s short U.S. dollar positions against Sterling and the Australian dollar. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s long EUR/SEK position which was one of the top performers as the Swedish krona fell on signs of dovishness from the Swedish riksbank.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter due to the Trading Program’s short wheat positions as prices rose on low seeding figures combined with cold weather in the U.S. Losses were posted to the Fund in the middle of the quarter. Profits were posted to the Fund at the end of the quarter as the Trading Program captured the continued rise in cocoa and fall in wheat prices.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter due to the Trading Program’s long positions in nickel and zinc. Losses were posted to the Fund in the middle of the quarter. The stronger U.S. dollar and rising yields pushed the gold price lower, leading to losses from the Trading Program’s long positions in February. Losses were posted to the Fund in the middle and at the end of the quarter due to the Trading Program’s long zinc and nickel positions which incurred losses as prices fell on news of surging supplies.

The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The Trading Program profited from its net long exposure to stock indices, in particular from Chinese and emerging market indices which were further helped by strong Chinese export data. Losses were posted to the Fund in the middle of the quarter. Stock markets fell in February with the majority of the Trading Program’s negative performance coming from its long stock index positions, in particular from Asian and emerging market indices. Losses were posted to the Fund at the end of the quarter due to Trading Program’s positions in Asian and most European indices.

April 1, 2018 to June 30, 2018

The Fund experienced a net trading loss of $2,717,389 before brokerage commissions and related fees in the second quarter of 2018. The Fund’s profits were primarily attributable to the energy sector. The stock indices, metals, agriculture, currency and interest rates sectors posted losses.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Trading Program’s long positions in energy markets as prices rose, fueled by the tension in the Middle East together with news of shrinking U.S. surpluses. Profits were posted to the Fund in the middle of the quarter as news of U.S. sanctions on Iran and Venezuela pushed oils higher, with Brent crude increasing its price per barrel, leading to profits from the energies sector. Losses were posted to the Fund at the end of the quarter. The Trading Program’s long positions in zinc and nickel suffered as prices fell on signs of easing demand. Crude oil markets surged as OPEC agreed to lower than expected output increases, benefiting the Trading Program’s long positions. However, oil products including heating oil and gas oil were largely range-bound during June.

The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Trading Program’s long positions in European and Asian stock indices. Losses were posted to the Fund in the middle of the quarter from the majority of the Trading Program’s long stock index positions, in particular from European stock indices amid the regional uncertainty. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s long stock index positions, especially from Chinese stock indices which were undermined by trade worries and also by weak Chinese economic data.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter as the aluminum price surged following the U.S. decision to place sanctions on Rusal, the Russian aluminum producer, leading to losses from the Trading Program’s short position. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s long nickel position from increased demand from the stainless steel and clean technology industries. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in zinc and nickel suffered as prices fell on signs of easing demand.

The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Trading Program’s long cocoa positions as prices rose on signs of strong demand. Losses were posted to the Fund in the middle of the quarter as the price of cocoa fell on news of a larger than expected Ghanaian harvest. Profits were posted to the Fund at the end of the quarter as the crop-friendly weather in the U.S. contributed to pushing corn prices lower.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. Weak economic data from New Zealand and the United Kingdom led to losses from the Trading Program’s net long New Zealand dollar and British sterling exposures. Losses were posted to the Fund in the middle of the quarter due to the Trading Program’s long positions in the Euro/Swiss franc and Euro/Swedish krona positions. Profits were posted to the Fund at the end of the quarter as the Euro was boosted after assurances from Italy that it would not leave the European Union. The Swedish krona fell following poor unemployment data, leading to gains. The Canadian dollar weakened to the benefit of the Trading Program. Long positions in some emerging market currencies suffered, largely due to safe-haven demand for the U.S. dollar.

The interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the second quarter due to the Trading Program’s U.S. fixed income short positions. Losses were posted to the Fund in the middle of the quarter as the political deadlock in Italy combined with the dovish tone in the U.S. led to significant losses from the Trading Program’s long Italian and short North American fixed income positions. Profits were posted to the Fund at the end of the second quarter. Yields on North American fixed income rose at the beginning of June following the release of strong economic data, benefiting the Trading Program’s short positions. Long positions in Korean bonds were also profitable as tensions eased on the Korean peninsula.

January 1, 2017 to June 30, 2017

January 1, 2017 to March 31, 2017

The Fund experienced a net trading loss of $1,520,988 before brokerage commissions and related fees in the first quarter of 2017. The Fund’s profits were primarily attributable to the stock indices and metals sectors. The agriculture, currency, energy and interest rates sectors posted losses.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Stock markets made gains in January, with long positions in Asian stock indices among the Trading Program’s top performers, boosted by signs of growth in China. The Korean Kospi index rose strongly following news that the country’s jobless rate fell. Despite the uncertain mood in markets, the VIX index fell to its lowest level in more than two years making the Trading Program’s short position one of the top performers. Profits were posted to the Fund in the middle of the quarter. Stock markets rallied strongly through most of February as stronger U.S. economic data helped to boost risk appetite. The Trading Program’s long positions in most stock indices contributed positively in February. Profits were posted to the Fund at the end of the quarter due to the Trading Program’s long positions in Korea and European markets being among the most profitable.

The metals sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Market uncertainty caused gold prices to rise in January, leading to losses from the Trading Program’s short positions. Expectations of increased demand for industrial metals led to gains from the Trading Program’s long positions in copper and zinc. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s long positions in aluminum and nickel. Losses were posted to the Fund at the end of the quarter as the silver price fell in March leading to losses from the Trading Program’s long position.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter only to be reversed in the middle of the first quarter. Profits were posted to the Fund in the middle of the quarter as cocoa prices fell on concerns about a glut in West Africa, making the Trading Program’s short position the top performer in February. Losses were posted to the Fund at the end of the quarter as increasing likelihood of an El Niño weather system caused cocoa prices to reverse their previous downward trend.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The Dollar Index rose at the beginning of January only to fall at the end of the month. The weakening

U.S. dollar led to losses from the Trading Program’s long USD/JPY position, but long positions in commodity currencies and the Brazilian real were profitable. Profits were posted to the Fund in the middle of the quarter. The release of strong Australian jobs data pushed the Australian dollar higher to the benefit of the Trading Program’s long exposure. The Brazilian real also rose after the central bank resumed currency intervention. By contrast, the New Zealand dollar fell on expectations that the Reserve Bank of New Zealand would keep rates unchanged, leading to losses for the Trading Program. Losses were posted to the Fund at the end of the quarter due to the Trading Program’s short position in EUR/NOK, as the Norwegian krone fell on news that inflation in Norway is below expectations. The Trading Program’s long exposure to the New Zealand dollar also incurred losses following news of weaker-than-expected economic growth figures in New Zealand.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. In energy markets, natural gas prices declined following reports that U.S. inventory levels decreased by less than expected, while oil prices also fell on signs that U.S. output may offset OPEC-led production cuts. Losses were posted to the Fund in the middle of the quarter as natural gas prices fell on news of lower than expected draws on storage. Losses were posted to the Fund at the end of the quarter. The Trading Program’s long oil positions suffered as prices fell as U.S. crude inventories remained at high levels.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Anticipation of rising U.S. rates caused fixed income markets to sell off. Losses were posted to the Fund in the middle of the quarter. Italian bond yields fell in February following Matteo Renzi’s resignation as leader of the ruling Democratic Party and the announcement of a leadership contest, leading to losses from the Trading Program’s short position in the Italian 10 year bond. Yields on other fixed income markets also fell, leading to losses from the Trading Program’s short positions. Losses were posted to the Fund at the end of the quarter. Government bond yields fell during March, following the U.S. Federal Reserve’s signal of a more gradual path of future tightening, leading to losses from the Trading Program’s short fixed income positions.

April 1, 2017 to June 30, 2017

The Fund experienced a net trading loss of $3,877,317 before brokerage commissions and related fees in the second quarter of 2017. The Fund’s profits were primarily attributable to the agriculture and stock indices sectors. The metals, energy, currency and interest rate sectors posted losses.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the second quarter as cattle prices continued to rise on news of tight supplies, while cocoa prices fell on the prospect of increased supply from the Ivory Coast. Sugar prices fell on expectations of strong Brazilian exports, leading to gains. Profits were posted to the Fund in the middle of the quarter due to the Trading Program’s short position in sugar and long position in cattle. Sugar prices fell on news of higher than expected supplies from Brazil, while cattle prices rose following news that extreme weather in the U.S. Midwest may have killed thousands of animals. Losses were posted to the Fund at the end of the second quarter due to the Trading Program’s short positions in soy markets and wheat making the sector a negative contributor.

The stock indices sector posted profits to the Fund. Profits were posted to the Fund at the beginning through the middle of the second quarter. Global stock markets continued to rise in May, fuelled by strong U.S. jobs figures at the start of the month and expectations that the U.S. Federal Reserve may raise U.S. interest rates in June. Additionally, the victory of centrist Emmanuel Macron over the Eurosceptic Marine Le Pen in the French presidential election boosted European markets. The Trading Program made gains from its long positions in stock indices, despite a temporary mid-month reversal in stock markets. Losses were posted to the Fund at the end of the second quarter. The stock indices sector gave back most of its profits, ending June with gains from long positions in Asian and emerging market indices but losses from long positions in European indices.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the second quarter. The weaker U.S. dollar helped gold and silver advance, leading to losses from the metals sector in May. Losses were posted to the Fund at the end of the second quarter.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. Energy markets exhibited some sharp swings amid uncertainty over the impact of output cuts by major producers. Losses came from some of the Trading Program’s long oils positions amid demand concerns. Losses were posted to the Fund in the middle of the second quarter. The Trading Program’s short positions in oils markets made losses, after the decision by OPEC members and Russia to extend output cuts. Losses were posted to the Fund at the end of the second quarter. The energies sector gave back earlier profits in June as prices rose at the end of the month, leading to losses from the Trading Program’s short positions.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the second quarter. The Trading Program’s net short Euro position incurred losses as the currency hit a five-month high against the U.S. dollar following the outcome of France’s presidential vote. The Trading Program’s net short British sterling position also made losses as the British sterling rallied in the aftermath of the announcement of a U.K. general election for early June. Gains came from the Trading Program’s short exposure to the Canadian dollar. Losses were posted to the Fund in the middle of the second quarter. The Dollar Index fell in May, leading to losses from the Trading Program’s long U.S. dollar positions against major currencies. Losses were posted to the Fund at the end of the second quarter. Performance from currencies were mixed in June as the Trading Program’s long exposures to the New Zealand dollar and the Mexican peso were profitable, but losses came from the Trading Program’s short exposure to the Canadian dollar, which rose on hints that Canadian rates could rise earlier than expected.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the second quarter. Performance in fixed income markets were muted in May. Small profits from the Trading Program’s long position in the Italian 10 year bond were not enough to offset losses in other fixed income markets. Losses were posted to the Fund at the end of the second quarter. The bonds sector had been profitable up until the final week of June, but ended as the main underperformer, with the Trading Program’s long positions in U.K. and European bonds among the worst performers.

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 the Trading Advisor, 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 statements” 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 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”)). 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 the Trading Advisor 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 (in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange 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 six month periods ended June 30, 2018 and 2017 the Fund’s average capitalization was $65,569,004 and $96,079,821, respectively.

June 30, 2018

	Average Value		% of Average		Highest Value		Lowest Value
Market Sector	at Risk		Capitalization		at Risk		at Risk

Agriculture	$	485,846	0.74	%	$	832,376	$	218,287
Currencies	2,028,018		3.09	%	3,977,903		575,507
Energy	1,708,701		2.61	%	3,773,433		244,059
Interest Rates	1,833,762		2.80	%	2,545,081		1,193,183
Metals	1,381,950		2.11	%	2,150,198		815,998
Stock Indices	696,744		1.06	%	1,328,451		226,604

Total	$	8,135,021	12.41	%	$	14,607,442	$	3,273,638

June 30, 2017

	Average Value		% of Average		Highest Value		Lowest Value
Market Sector	at Risk		Capitalization		at Risk		at Risk

Agriculture	$	1,610,441	1.68	%	$	1,776,989	$	1,372,850
Currencies	3,070,733		3.20	%	3,912,231		2,150,051
Energy	379,700		0.40	%	465,455		313,492
Interest Rates	2,038,485		2.12	%	2,816,901		1,405,097
Metals	317,758		0.33	%	493,221		171,724
Stock Indices	2,024,696		2.11	%	2,767,375		1,422,222

Total	$	9,441,813	9.84	%	$	12,232,172	$	6,835,436

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 and MLI.

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 approximately 90% of its assets which are held in cash at MLPF&S. 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 the Trading Advisor 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 December 31, 2017, by market sector. There have been no material changes at June 30, 2018.

Interest Rates

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 may 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 may also take positions in the government debt of smaller nations. 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 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. Soybeans, cocoa and livestock accounted for the substantial bulk of the Fund’s agricultural commodities exposure.

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, which may cause substantial profits and losses to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Fund as of December 31, 2017. There have been no material changes at June 30, 2018.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Japanese yen, British pounds and Euros.

U.S. Dollar Cash Balance

The Fund holds the vast majority of its U.S. dollars in cash at MLPF&S and MLI. 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.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Trading Risk

MLAI has procedures in place intended to control market risk, although there can be no assurance that it will, in fact, succeed in doing so. While MLAI does not itself intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically. MLAI’s basic control procedures consist of the process of monitoring the Trading Advisor with the market risk controls being applied by the Trading Advisor itself.

Risk Management

With respect to market and liquidity risk, the Trading Advisor employs a value-at-risk methodology and other risk management procedures to monitor the exposure of the Trading Program to this risk within pre-defined guidelines. If risk exceeds the maximum prescribed level, risk reducing investments will be entered into. Additionally, the Trading Advisor has developed mechanisms designed to ensure that risk is controlled effectively at both an individual market and portfolio level. In seeking to control the risks of the Trading Program, the Trading Advisor may intervene in the risk management framework in extreme market situations where the Trading Advisor believes that an intervention is in the best interests of its clients. The Trading Advisor has an Operational Risk Committee, which is responsible for managing all operational risk affecting the Trading Advisor. Operational risk is defined as the risk of loss resulting from inadequate or failed processes, people and systems or external events. It includes the risk of failure of a broker or other service

provider, the risk of the loss of investment or operational capability at the Trading Advisor, the risk of breaches of intellectual property security and the risk of breaches of law or regulation.

Non-Trading Risk

The Fund controls the non-trading exchange rate risk by regularly converting foreign currency balances back into U.S. dollars at least once per week, and more frequently if a particular foreign currency balance becomes unusually high.

The Fund has 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. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its cash held on deposit at MLPF&S.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

MLAI’s Chief Executive Officer and Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of the end of the quarter which ended June 30, 2018, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended June 30, 2018 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2017, filed with the Securities and Exchange Commission on March 19, 2018.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(a)(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units is MLPF&S.

The Fund’s sales of unregistered securities are as follows for each Class of Units:

CLASS A

	Subscription
	Amount (2)		Units (3)	NAV (1)
1/01/2018	$	906,849	549,306	$	1.6509
1/16/2018	—		—	1.7528
2/01/2018	491,426		272,802	1.8014
2/16/2018	19,700		11,849	1.6626
3/01/2018	229,450		140,122	1.6375
3/16/2018	22,770		14,002	1.6262
4/01/2018	253,201		152,659	1.6586
4/16/2018	49,500		29,095	1.7013
5/01/2018	166,527		97,430	1.7092
5/16/2018	24,750		13,989	1.7692
6/01/2018	2,415,607		1,562,287	1.5462
6/16/2018	—		—	1.5679
7/01/2018	102,710		65,237	1.5744

(2) Subscription amount includes conversion in the amount of $4,274,856 (including $102,710 for the month of July 2018) which was converted from Class C in 2018.

(3) Subscription units include conversion in of 2,674,802 units (including 65,237 units for the month of July 2018) which were converted from Class C in 2018.

CLASS C*

	Subscription
	Amount		Units	NAV (1)
1/01/2018	$	—	—	$	1.4579
1/16/2018	—		—	1.5472
2/01/2018	—		—	1.5895
2/16/2018	—		—	1.4664
3/01/2018	—		—	1.4437
3/16/2018	—		—	1.4331
4/01/2018	—		—	1.4611
4/16/2018	—		—	1.4981
5/01/2018	—		—	1.5044
5/16/2018	—		—	1.5566
6/01/2018	—		—	1.3598
6/16/2018	—		—	1.3783
7/01/2018	—		—	1.3834

(* For Class C — Effective after February 1, 2017, the Fund will no longer offer Class C Units to new or existing investors.)

CLASS D

	Subscription
	Amount		Units	NAV (1)
1/01/2018	$	—	—	$	2.0281
1/16/2018	—		—	2.1539
2/01/2018	—		—	2.2144
2/16/2018	—		—	2.0444
3/01/2018	—		—	2.0142
3/16/2018	—		—	2.0009
4/01/2018	—		—	2.0415
4/16/2018	—		—	2.0946
5/01/2018	—		—	2.1050
5/16/2018	—		—	2.1796
6/01/2018	—		—	1.9055
6/16/2018	—		—	1.9327
7/01/2018	—		—	1.9413

CLASS I

	Subscription
	Amount		Units	NAV (1)
1/01/2018	$	—	—	$	1.7357
1/16/2018	—		—	1.8431
2/01/2018	—		—	1.8945
2/16/2018	—		—	1.7488
3/01/2018	—		—	1.7227
3/16/2018	—		—	1.7111
4/01/2018	—		—	1.7455
4/16/2018	—		—	1.7907
5/01/2018	—		—	1.7993
5/16/2018	—		—	1.8628
6/01/2018	—		—	1.6283
6/16/2018	—		—	1.6514
7/01/2018	—		—	1.6586

CLASS M

	Subscription
	Amount		Units	NAV (1)
1/01/2018	$	75,000	68,902	$	1.0885
1/16/2018	—		—	1.1564
2/01/2018	—		—	1.1892
2/16/2018	—		—	1.0983
3/01/2018	10,000		9,239	1.0824
3/16/2018	—		—	1.0755
4/01/2018	20,000		18,220	1.0977
4/16/2018	13,000		11,538	1.1267
5/01/2018	—		—	1.1326
5/16/2018	—		—	1.1731
6/01/2018	—		—	1.0259
6/16/2018	75,000		72,053	1.0409
7/01/2018	20,000		19,122	1.0459

(1) Beginning of the period Net Asset Value

Class A Units, Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class M Units are not subject to upfront sales commissions. No upfront sales commission is charged to Class M Units because investors purchasing Class M Units are subject to asset-based fees on BofA Corp. managed accounts in which the Class M Units are held.

If an investor holding Class M Units ceases to have a managed account with BofA Corp. and, accordingly, is no longer subject to the asset-based program fee structure with respect to those investments, the investor will no longer be eligible to purchase Class M Units. In these cases, a former managed account investor’s Class M Units may be converted by the Sponsor to Class A Units, Class D Units or Class I Units as applicable. No upfront sales commissions are applicable to a conversion of Class M Units to Class A, Class D or Class I Units.

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable

Item 5. Other Information

(a) None.

(b) Not applicable.

Item 6. Exhibits

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.

Exhibit 101 Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three and six month periods ended June 30, 2018 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

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.

	ASPECT FUTURESACCESS LLC
.

	By:	MERRILL LYNCH ALTERNATIVE
		INVESTMENTS LLC
		(Manager)


Date: August 10, 2018	By:	/s/ NANCY FAHMY
		Nancy Fahmy
		Chief Executive Officer and President
		(Principal Executive Officer)


Date: August 10, 2018	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial Officer)

Attached files

Aspect FuturesAccess LLC Reports

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