10-Q 1 a18-14102_110q.htm 10-Q

 

 

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

 

OR

 

o         TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the transition period from                  to                

 

Commission File Number 0-51085

 

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.

 

1



 

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.

 

2



 

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.

 

3



 

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.

 

4



 

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.

(c) The ratios and total return are not annualized.

(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.

 

5



 

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.

(c) The ratios and total return are not annualized.

(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.

 

6



 

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.

(c) The ratios and total return are not annualized.

(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.

 

7



 

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.

(c) The ratios and total return are not annualized.

(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.

 

8



 

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.

 

9



 

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.

 

10



 

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.

 

11



 

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.

 

12



 

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

 

13



 

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.

 

14



 

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:

 

15



 

 

 

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.

 

16



 

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.

 

17



 

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.

 

18



 

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