**UNITED STATES SECURITIES ANDEXCHANGE COMMISSION**

**Washington, D.C.20549**

** **

**FORM 10-Q**

 

**(Mark One)**

 

**x****          ****QUARTERLY REPORT PURSUANT TO SECTION 13OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

** **

**For thequarterly period ended June 30, 2009**

** **

**OR**

** **

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

** **

**For thetransition period from                to               **

** **

**CommissionFile Number 0-51085**

 

# **ML ASPECTFUTURESACCESS LLC**

(Exact Name of Registrant asspecified in its charter)

 

| **Delaware**                    | ** ** | **20-1227650**                    |
|---------------------------------|------------|-----------------------------------|
| (State or other jurisdiction of |       | (IRS Employer Identification No.) |
| incorporation or organization)  |       |                              |

 

**c/oMerrill Lynch Alternative Investments LLC**

**Two World Financial Center, 7****th**** Floor**

**New York, New York 10281**

(Address of principal executive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephonenumber, including area code)

 

Indicate by check markwhether the registrant (1) has filed all reports required to be filed by Section 13or 15(d) of the Securities Exchange Act of 1934 during the preceding 12months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements forthe past 90 days.   Yes  x  No  o

 

Indicate by check markwhether the registrant has submitted electronically and posted on its corporateWeb site, if any, every Interactive Data File required to be submitted andposted 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 registrantwas required to submit and post such files).  Yes  o  No  o

 

Indicate by checkmark whether the registrant is a large accelerated filer, an accelerated filer,a non-accelerated filer, or a smaller reporting company.  See the definitions of “large acceleratedfiler,” “accelerated filer” and “smaller reporting company” in Rule 12b-2of the Exchange Act. (Check one):

 

| Large accelerated filer o                |   | Accelerated filer o       |
|-----------------------------------------------|--------|--------------------------------|
|                                          |   |                           |
| Non-accelerated filer x                  |   | Small reporting company o |
| (Do not check if a smaller reporting company) |   |                           |

 

Indicateby check mark whether the registrant is a shell company (as defined by Rule 12b-2of the Exchange Act).  Yes  o  No  x

 

Asof June 30, 2009, 186,940,809 units of membership were outstanding.

 

 

 

----

 

**ML ASPECT FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR JUNE 30, 2009 ON FORM 10-Q

 
| ** ** | ** **                                                                                  | **PAGE** |
|------------|---------------------------------------------------------------------------------------------|----------|
|       | PART I                                                                                 |     |
|       |                                                                                        |     |
| Item 1.    | Financial Statements                                                                        | 1        |
|       |                                                                                        |     |
| Item 2.    | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 15       |
|       |                                                                                        |     |
| Item 3.    | Quantitative  and Qualitative Disclosures About Market Risk                                 | 21       |
|       |                                                                                        |     |
| Item 4T.   | Controls and  Procedures                                                                    | 25       |
|       |                                                                                        |     |
|       | PART II                                                                                |     |
|       |                                                                                        |     |
| Item 1.    | Legal Proceedings                                                                           | 26       |
|       |                                                                                        |     |
| Item 1A.   | Risk Factors                                                                                | 26       |
|       |                                                                                        |     |
| Item 2.    | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 26       |
|       |                                                                                        |     |
| Item 3.    | Defaults Upon  Senior Securities                                                            | 27       |
|       |                                                                                        |     |
| Item 4.    | Submission of  Matters to a Vote of Security Holders                                        | 27       |
|       |                                                                                        |     |
| Item 5.    | Other Information                                                                           | 27       |
|       |                                                                                        |     |
| Item 6     | Exhibits                                                                                    | 27       |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item1.    Financial Statements

 

ML ASPECT FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 
| ** **                                                                         | ** ** | **June 30,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------|------------|-------------------|-------------|-----------------------|------------|
| ** **                                                                         | ** ** | **2009**          | ** **  | **2008**              | ** ** |
| **ASSETS:**                                                                        |       |              |        |                  |       |
| Equity in commodity futures trading accounts:                                      |       |              |        |                  |       |
| Cash (including restricted cash of $28,207,464 for  2009 and $24,334,309 for 2008) |       | $                 | 267,033,015 |                  | $          | 334,291,578 |   |
| Net unrealized profit on open contracts                                            |       | —            |        | 11,866,510            |       |
| Cash                                                                               |       | 247,953           |        | 241,619               |       |
| Accrued interest                                                                   |       | —            |        | 19,502                |       |
|                                                                               |       |              |        |                  |       |
| **TOTAL ASSETS**                                                                   |       | $                 | 267,280,968 |                  | $          | 346,419,209 |   |
|                                                                               |       |              |        |                  |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                         |       |              |        |                  |       |
| LIABILITIES:                                                                       |       |              |        |                  |       |
| Brokerage commissions payable                                                      |       | $                 | 116,587     |                  | $          | 58,192 |   |
| Management fee payable                                                             |       | 411,947           |        | 536,784               |       |
| Sponsor fee payable                                                                |       | 204,299           |        | 279,746               |       |
| Redemptions payable                                                                |       | 1,979,794         |        | 9,241,236             |       |
| Performance fee payable                                                            |       | —            |        | 15,635,853            |       |
| Net unrealized loss on open contracts                                              |       | 2,270,009         |        | —                |       |
| Other                                                                              |       | 161,569           |        | 233,592               |       |
|                                                                               |       |              |        |                  |       |
| Total liabilities                                                                  |       | 5,144,205         |        | 25,985,403            |       |
|                                                                               |       |              |        |                  |       |
| MEMBERS’ CAPITAL:                                                             |       |              |        |                  |       |
| Sponsor’s Interest (20,647 Units)                                             |       | 27,334            |        | 32,331                |       |
| Members’ Interest (186,920,162 Units and 195,021,681  Units)                  |       | 262,109,429       |        | 320,401,475           |       |
| Total members’ capital                                                        |       | 262,136,763       |        | 320,433,806           |       |
|                                                                               |       |              |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                   |       | $                 | 267,280,968 |                  | $          | 346,419,209 |   |
| ** **                                                                         | ** ** | ** **        | ** **  | ** **            | ** ** |
| **NET ASSET VALUE PER UNIT (SEE NOTE  4)**                                         |       |              |        |                  |       |
| (Based on and 186,940,809 Units outstanding,  unlimited Units authorized)          |       |              |        |                  |       |

 

See notes to financial statements.

 

1

----

 

ML 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,** | ** **  |
| ** **                                   | ** ** | **2009**           | ** **  | **2008**           | ** ** | **2009**          | ** ** | **2008**          | ** **  |
| **TRADING PROFIT (LOSS):**                   | ** ** | ** **         | ** **  | ** **         | ** ** | ** **        | ** ** | ** **        | ** **  |
|                                         |       |               |        |               |       |              |       |              |        |
| Realized                                     |       | $                  | (38,114,632 | )                  | $          | 3,163,719         |       | $                 | (27,382,698 | ) | $ | 53,295,609 |   |
| Change in unrealized, net                    |       | 989,899            |        | 17,653,413         |       | (14,136,520       | )          | 5,640,477         |        |
| Brokerage commissions                        |       | (294,488           | )           | (236,051           | )          | (390,187          | )          | (435,589          | )           |
|                                         |       |               |        |               |       |              |       |              |        |
| Total trading profit (loss)                  |       | (37,419,221        | )           | 20,581,081         |       | (41,909,405       | )          | 58,500,497        |        |
|                                         |       |               |        |               |       |              |       |              |        |
| **INVESTMENT INCOME:**                       |       |               |        |               |       |              |       |              |        |
| Interest                                     |       | (1,657             | )           | 1,433,538          |       | 22,515            |       | 3,650,309         |        |
|                                         |       |               |        |               |       |              |       |              |        |
| **EXPENSES:**                                |       |               |        |               |       |              |       |              |        |
| Management fee                               |       | 1,321,711          |        | 1,399,236          |       | 2,799,033         |       | 2,771,730         |        |
| Sponsor fee                                  |       | 669,681            |        | 775,338            |       | 1,455,945         |       | 1,581,235         |        |
| Performance fee                              |       | —             |        | 3,507,562          |       | 17,428            |       | 10,153,382        |        |
| Other                                        |       | 245,575            |        | 170,244            |       | 372,123           |       | 391,394           |        |
| Total expenses                               |       | 2,236,967          |        | 5,852,380          |       | 4,644,529         |       | 14,897,741        |        |
|                                         |       |               |        |               |       |              |       |              |        |
| **NET INVESTMENT INCOME (LOSS)**             |       | (2,238,624         | )           | (4,418,842         | )          | (4,622,014        | )          | (11,247,432       | )           |
|                                         |       |               |        |               |       |              |       |              |        |
| **NET INCOME (LOSS)**                        |       | $                  | (39,657,845 | )                  | $          | 16,162,239        |       | $                 | (46,531,419 | ) | $ | 47,253,065 |   |
|                                         |       |               |        |               |       |              |       |              |        |
| **NET INCOME (LOSS) PER UNIT:**              |       |               |        |               |       |              |       |              |        |
|                                         |       |               |        |               |       |              |       |              |        |
| Weighted average number of Units outstanding |       |               |        |               |       |              |       |              |        |
| Class A                                 |       | 17,101,968         |        | 17,915,709         |       | 17,691,199        |       | 18,063,473        |        |
| Class C                                 |       | 63,210,412         |        | 75,661,136         |       | 65,052,999        |       | 77,624,438        |        |
| Class D                                 |       | 6,915,976          |        | 9,610,790          |       | 6,915,976         |       | 12,893,684        |        |
| Class I                                 |       | 6,716,131          |        | 10,894,654         |       | 7,354,252         |       | 11,112,736        |        |
| Class DS*                               |       | 47,694,962         |        | 30,788,209         |       | 45,380,941        |       | 23,458,943        |        |
| Class DT**                              |       | 47,319,662         |        | 63,517,457         |       | 48,364,675        |       | 65,219,650        |        |
|                                         |       |               |        |               |       |              |       |              |        |
| Net income (loss) per weighted average Unit  |       |               |        |               |       |              |       |              |        |
| Class A                                 |       | $                  | (0.2035     | )                  | $          | 0.0707            |       | $                 | (0.2347     | ) | $ | 0.2091 |   |
| Class C                                 |       | $                  | (0.1997     | )                  | $          | 0.0640            |       | $                 | (0.2345     | ) | $ | 0.2017 |   |
| Class D                                 |       | $                  | (0.2158     | )                  | $          | 0.0586            |       | $                 | (0.2505     | ) | $ | 0.2399 |   |
| Class I                                 |       | $                  | (0.1994     | )                  | $          | 0.0624            |       | $                 | (0.2186     | ) | $ | 0.2116 |   |
| Class DS*                               |       | $                  | (0.2180     | )                  | $          | 0.1091            |       | $                 | (0.2630     | ) | $ | 0.2416 |   |
| Class DT**                              |       | $                  | (0.2174     | )                  | $          | 0.0858            |       | $                 | (0.2445     | ) | $ | 0.2562 |   |

 

----

*Class DScommenced on April 2, 2007 and was previously known as Class D-SM.

**Class DTcommenced on June 1, 2007 and was previously known as Class D-TF.

 

See notes tofinancial statements.

 

2

----

 

ML ASPECT FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2009 and 2008

(unaudited in Units)

 
| ** **                 | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital June 30, 2008** | ** ** | **Members’ Capital December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  June 30, 2009** | ** ** |
|----------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------------------|------------|--------------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------------------------|------------|
| Class A               |       | 17,887,996                                        |       | 2,095,230         |       | (2,128,848      | )          | 17,854,378                                   |       | 18,704,606                                       |       | 874,918           |       | (3,171,455      | )          | 16,408,069                                    |       |
| Class C               |       | 79,170,266                                        |       | 8,017,731         |       | (12,041,931     | )          | 75,146,066                                   |       | 68,270,745                                       |       | 3,467,178         |       | (10,756,248     | )          | 60,981,675                                    |       |
| Class D               |       | 16,300,492                                        |       | 659,229           |       | (8,580,499      | )          | 8,379,222                                    |       | 6,915,976                                        |       | —            |       | —          |       | 6,915,976                                     |       |
| Class I               |       | 11,363,798                                        |       | 1,138,694         |       | (3,276,295      | )          | 9,226,197                                    |       | 8,961,247                                        |       | 264,096           |       | (3,227,468      | )          | 5,997,875                                     |       |
| Class DS*             |       | 13,768,122                                        |       | 22,271,688        |       | —          |       | 36,039,810                                   |       | 41,543,859                                       |       | 8,071,715         |       | —          |       | 49,615,574                                    |       |
| Class DT**            |       | 69,643,298                                        |       | 1,078,544         |       | (9,901,726      | )          | 60,820,116                                   |       | 50,625,248                                       |       | 314,606           |       | (3,938,861      | )          | 47,000,993                                    |       |
|                       |       |                                              |       |              |       |            |       |                                         |       |                                             |       |              |       |            |       |                                          |       |
| Total Members’ Units  |       | 208,133,972                                       |       | 35,261,116        |       | (35,929,299     | )          | 207,465,789                                  |       | 195,021,681                                      |       | 12,992,513        |       | (21,094,032     | )          | 186,920,162                                   |       |
|                       |       |                                              |       |              |       |            |       |                                         |       |                                             |       |              |       |            |       |                                          |       |
| Class A               |       | 10,319                                            |       | —            |       | —          |       | 10,319                                       |       | 10,319                                           |       | —            |       | —          |       | 10,319                                        |       |
| Class C               |       | 10,328                                            |       | —            |       | —          |       | 10,328                                       |       | 10,328                                           |       | —            |       | —          |       | 10,328                                        |       |
|                       |       |                                              |       |              |       |            |       |                                         |       |                                             |       |              |       |            |       |                                          |       |
| Total Sponsor’s Units |       | 20,647                                            |       | —            |       | —          |       | 20,647                                       |       | 20,647                                           |       | —            |       | —          |       | 20,647                                        |       |

 

----

*Class DScommenced on April 2, 2007 and was previously known as Class D-SM.

 

**Class DTcommenced on June 1, 2007 and was previously known as Class D-TF.

 

See notes tofinancial statements.

 

3

----

 

ML ASPECT FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the six months ended June 30,2009 and 2008

(unaudited)

 
| ** **                    | ** ** | **Members’ Capital  December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  June 30,2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  June 30, 2009** | ** ** |
|-------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|-----------------------------|-------------|---------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------------|------------|---------------------------------------------------------|------------|
| Class A                  |       | $                                                           | 22,428,464  |              | $          | 2,904,377       |       | $                           | (2,957,396  | )                                                 | $          | 3,774,718                                                   |       | $                 | 26,150,163  |            | $          | 29,790,712                  |       | $                                                       | 1,369,266  |   | $ | (4,861,502 | ) | $ | (4,152,116 | ) | $ | 22,146,360 |   |
| Class C                  |       | 96,858,723                                                  |        | 10,642,734        |       | (16,285,981     | )          | 15,652,090                  |        | 106,867,566                                       |       | 105,091,001                                                 |       | 5,202,772         |        | (15,876,873     | )          | (15,261,731                 | )          | 79,155,169                                              |       |
| Class D                  |       | 21,583,979                                                  |        | 974,999           |       | (12,578,954     | )          | 3,093,200                   |        | 13,073,224                                        |       | 11,849,513                                                  |       | —            |        | —          |       | (1,729,679                  | )          | 10,119,834                                              |       |
| Class I                  |       | 14,374,152                                                  |        | 1,564,994         |       | (4,628,791      | )          | 2,351,983                   |        | 13,662,338                                        |       | 14,465,113                                                  |       | 420,990           |        | (5,057,588      | )          | (1,602,164                  | )          | 8,226,351                                               |       |
| Class DS*                |       | 18,235,954                                                  |        | 32,242,180        |       | —          |       | 5,667,597                   |        | 56,145,731                                        |       | 70,902,871                                                  |       | 13,330,189        |        | —          |       | (11,942,770                 | )          | 72,290,290                                              |       |
| Class DT**               |       | 92,508,126                                                  |        | 1,536,709         |       | (14,631,186     | )          | 16,709,251                  |        | 96,122,900                                        |       | 88,302,264                                                  |       | 522,026           |        | (6,814,903      | )          | (11,837,962                 | )          | 70,171,425                                              |       |
| ** **                    | ** ** | ** **                                                  | ** **  | ** **        | ** ** | ** **      | ** ** | ** **                  | ** **  | ** **                                        | ** ** | ** **                                                  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                  | ** ** | ** **                                              | ** ** |
| Total Members’ Interest  |       | $                                                           | 265,989,398 |              | $          | 49,865,993      |       | $                           | (51,082,308 | )                                                 | $          | 47,248,839                                                  |       | $                 | 312,021,922 |            | $          | 320,401,475                 |       | $                                                       | 20,845,243 |   | $ | (32,610,866 | ) | $ | (46,526,422 | ) | $ | 262,109,429 |   |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                              |       |                                                        |       |              |        |            |       |                        |       |                                                    |       |
| Class A                  |       | $                                                           | 12,940      |              | $          | —          |       | $                           | —      |                                              | $          | 2,175                                                       |       | $                 | 15,115      |            | $          | 16,435                      |       | $                                                       | —     |   | $ | — |   | $ | (2,506 | ) | $ | 13,929 |   |
| Class C                  |       | 12,636                                                      |        | —            |       | —          |       | 2,051                       |        | 14,687                                            |       | 15,896                                                      |       | —            |        | —          |       | (2,491                      | )          | 13,405                                                  |       |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                              |       |                                                        |       |              |        |            |       |                        |       |                                                    |       |
| Total Sponsor’s Interest |       | $                                                           | 25,576      |              | $          | —          |       | $                           | —      |                                              | $          | 4,226                                                       |       | $                 | 29,802      |            | $          | 32,331                      |       | $                                                       | —     |   | $ | — |   | $ | (4,997 | ) | $ | 27,334 |   |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                              |       |                                                        |       |              |        |            |       |                        |       |                                                    |       |
| Total Members’ Capital   |       | $                                                           | 266,014,974 |              | $          | 49,865,993      |       | $                           | (51,082,308 | )                                                 | $          | 47,253,065                                                  |       | $                 | 312,051,724 |            | $          | 320,433,806                 |       | $                                                       | 20,845,243 |   | $ | (32,610,866 | ) | $ | (46,531,419 | ) | $ | 262,136,763 |   |

 

----

*Class DScommenced on April 2, 2007 and was previously known as Class D-SM.

 

**Class DTcommenced on June 1, 2007 and was previously known as Class D-TF.

 

See notes tofinancial statements.

 

4

----

 

 

ML ASPECTFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED JUNE 30, 2009

 

The following perUnit data and ratios have been derived from information provided in thefinancial statements.

 
| ** **                                                   | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**           | ** ** | **2009**            | ** ** |
|--------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------|------------|---------------------|------------|
| ** **                                                   | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS*** | ** ** | **Class DT**** | ** ** |
| **Per Unit Operating Performance:**                          |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, beginning of period                         |       | $                | 1.5546     |             | $          | 1.4988           |       | $                | 1.6790     |               | $          | 1.5781              |       | $ | 1.6719 |   | $ | 1.7110 |   |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Realized and change in unrealized trading profit (loss) |       | (0.1897          | )          | (0.1826          | )          | (0.2051          | )          | (0.1926          | )          | (0.2043            | )          | (0.2092             | )          |
| Brokerage commissions                                        |       | (0.0015          | )          | (0.0014          | )          | (0.0016          | )          | (0.0015          | )          | (0.0016            | )          | (0.0017             | )          |
| Interest income                                              |       | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000            | )          | (0.0000             | )          |
| Expenses                                                     |       | (0.0137          | )          | (0.0168          | )          | (0.0090          | )          | (0.0125          | )          | (0.0090            | )          | (0.0071             | )          |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, end of period                               |       | $                | 1.3497     |             | $          | 1.2980           |       | $                | 1.4633     |               | $          | 1.3715              |       | $ | 1.4570 |   | $ | 1.4930 |   |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Total Return:**                                            |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Total return before Performance fees                         |       | -13.18           | %          | -13.40           | %          | 0.00             | %          | -13.09           | %          | -12.74             | %          | -12.85              | %          |
| Performance fees                                             |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00               | %          | 0.00                | %          |
| Total return after Performance fees                          |       | -13.18           | %          | -13.40           | %          | 0.00             | %          | -13.09           | %          | -12.74             | %          | -12.85              | %          |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Ratios to Average Members’ Capital:**                 |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Expenses (excluding Performance fees)                        |       | 0.93             | %          | 1.17             | %          | 0.00             | %          | 0.83             | %          | 0.56               | %          | 0.44                | %          |
| Performance fees                                             |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00               | %          | 0.00                | %          |
| Expenses (including Performance fees)                        |       | 0.93             | %          | 1.17             | %          | 0.00             | %          | 0.83             | %          | 0.56               | %          | 0.44                | %          |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net investment income (loss)                                 |       | -0.93            | %          | -1.17            | %          | 0.00             | %          | -0.83            | %          | -0.56              | %          | -0.44               | %          |

 

----

*Class DS andwas previously known as Class D-SM.

**Class DTwas previously known as Class D-TF.

 

See notes tofinancial statements.

 

5

----

 

ML ASPECTFUTURESACCESS LLC

(A DelawareLimited Liability Company)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE SIX MONTHSENDED JUNE 30, 2009

 

The following perUnit data and ratios have been derived from information provided in thefinancial statements.

 
| ** **                                                   | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**           | ** ** | **2009**            | ** ** |
|--------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------|------------|---------------------|------------|
| ** **                                                   | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS*** | ** ** | **Class DT**** | ** ** |
| **Per Unit Operating Performance:**                          |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, beginning of period                         |       | $                | 1.5927     |             | $          | 1.5393           |       | $                | 1.7134     |               | $          | 1.6142              |       | $ | 1.7067 |   | $ | 1.7442 |   |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Realized and change in unrealized trading profit (loss) |       | (0.2126          | )          | (0.2048          | )          | (0.2300          | )          | (0.2159          | )          | (0.2290            | )          | (0.2345             | )          |
| Brokerage commissions                                        |       | (0.0020          | )          | (0.0019          | )          | (0.0021          | )          | (0.0020          | )          | (0.0021            | )          | (0.0022             | )          |
| Interest income                                              |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001             |       | 0.0001              |       |
| Expenses                                                     |       | (0.0285          | )          | (0.0347          | )          | (0.0181          | )          | (0.0249          | )          | (0.0187            | )          | (0.0146             | )          |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net asset value, end of period                               |       | $                | 1.3497     |             | $          | 1.2980           |       | $                | 1.4633     |               | $          | 1.3715              |       | $ | 1.4570 |   | $ | 1.4930 |   |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Total Return:**                                            |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Total return before Performance fees                         |       | -15.26           | %          | -15.68           | %          | -14.62           | %          | -15.09           | %          | -14.62             | %          | -14.40              | %          |
| Performance fees                                             |       | 0.00             | %          | 0.00             | %          | -0.01            | %          | 0.01             | %          | -0.02              | %          | 0.00                | %          |
| Total return after Performance fees                          |       | -15.26           | %          | -15.68           | %          | -14.63           | %          | -15.08           | %          | -14.64             | %          | -14.40              | %          |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| **Ratios to Average Members’ Capital:**                 |       |             |       |             |       |             |       |             |       |               |       |                |       |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Expenses (excluding Performance fees)                        |       | 1.85             | %          | 2.34             | %          | 1.11             | %          | 1.65             | %          | 1.11               | %          | 0.86                | %          |
| Performance fees                                             |       | -0.01            | %          | -0.01            | %          | 0.00             | %          | -0.02            | %          | 0.01               | %          | -0.01               | %          |
| Expenses (including Performance fees)                        |       | 1.84             | %          | 2.33             | %          | 1.11             | %          | 1.63             | %          | 1.12               | %          | 0.85                | %          |
|                                                         |       |             |       |             |       |             |       |             |       |               |       |                |       |
| Net investment income (loss)                                 |       | -1.84            | %          | -2.33            | %          | -1.10            | %          | -1.62            | %          | -1.11              | %          | -0.85               | %          |

 

----

*Class DS andwas previously known as Class D-SM.

**Class DTwas previously known as Class D-TF.

 

See notes tofinancial statements.

 

6

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ML ASPECT FUTURESACCESSLLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML Aspect FuturesAccess LLC(the “Fund”) was organized under the Delaware Limited Liability Company Act on May 17,2004 and commenced trading activities on April 1, 2005. The Fund issuesnew units of limited liability company interest (“Units”) at Net Asset Valueper Unit. The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. Aspect CapitalLimited (“Aspect”) is the trading advisor of the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI”)is the sponsor (“Sponsor”) and manager (“Manager”) of the Fund. MLAI is anindirect wholly-owned subsidiary of Merrill Lynch & Co., Inc.(“Merrill Lynch”).  Merrill Lynch,Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-ownedsubsidiary of Merrill Lynch, is the Fund’s commodity broker. On September 15,2008, Merrill Lynch entered into an Agreement and Plan of Merger (as amended byAmendment No. 1 dated as of October 21, 2008, the “Merger Agreement”)with Bank of America Corporation (“Bank of America”). Pursuant to the MergerAgreement, on January 1, 2009, a wholly-owned subsidiary of Bank ofAmerica merged with and into Merrill Lynch, with Merrill Lynch continuing asthe surviving corporation and a subsidiary of Bank of America.

 

In the opinion of management, these interim financialstatements contain all adjustments necessary for a fair statement of thefinancial position of the Fund as of June 30, 2009, and the results of itsoperations for the three and six months ended June 30, 2009 and 2008.  However, the operating results for theinterim periods may not be indicative of the results for the full year.

 

Certain information andfootnote disclosures normally included in annual financial statements preparedin accordance with accounting principles generally accepted in the UnitedStates of America (“U.S. GAAP”) have been omitted.  These financial statements should be read inconjunction with the financial statements and notes thereto included in theFund’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2008.

 

The preparation offinancial statements in conformity with U.S. GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

 

7

----

 

2.               CONDENSED SCHEDULES OF INVESTMENTS

 

The Fund’s investments, defined as Net unrealizedprofit (loss) on open contracts in the Statements of Financial Condition as of June 30,2009 and December 31, 2008 are as follows:

 

**June 30, 2009**

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 1,484                   |       | $                        | 1,014,098  |                           | 0.39       | %                  | 1,849      |                   | $          | 126,875 |   | 0.05 | % | $ | 1,140,973 |   | 0.44 | % | September 2009 - October 2009 |   |
| Currencies                  |       | 221,800                 |       | (6,687                   | )          | 0.00                           | %          | 347,900            |       | (163,854               | )          | -0.06 | % | (170,541 | ) | -0.07 | % | July 2009 |   |
| Energy                      |       | 129                     |       | 159,677                  |       | 0.06                           | %          | (410               | )          | 984,900                |       | 0.38 | % | 1,144,577 |   | 0.44 | % | July 2009 |   |
| Interest rates              |       | 14,395                  |       | (1,157,021               | )          | -0.44                          | %          | (827               | )          | (1,364,441             | )          | -0.52 | % | (2,521,462 | ) | -0.96 | % | July 2009 - December 2011 |   |
| Metals                      |       | 750                     |       | (1,159,379               | )          | -0.44                          | %          | (951               | )          | (1,140,651             | )          | -0.44 | % | (2,300,030 | ) | -0.88 | % | September 2009 - October 2009 |   |
| Stock indices               |       | 567                     |       | 276,838                  |       | 0.11                           | %          | (303               | )          | 159,636                |       | 0.06 | % | 436,474 |   | 0.17 | % | July 2009 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | (872,474   | )                              | -0.33      | %                  |       |                   | $          | (1,397,535 | ) | -0.53 | % | $ | (2,270,009 | ) | -0.86 | % |   |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| **December 31, 2008**  |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |
| ** **                  |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 145                     |       | $                        | 333,270    |                           | 0.11       | %                  | (1,240     | )                      | $          | (860,947 | ) | -0.27 | % | $ | (527,677 | ) | -0.17 | % | January 2009 -  March 2009 |   |
| Currencies                  |       | 2,211,124               |       | 1,544,260                |       | 0.48                           | %          | (461,942           | )          | (2,356,344             | )          | -0.74 | % | (812,084 | ) | -0.26 | % | January 2009 |   |
| Energy                      |       | 41                      |       | 75,848                   |       | 0.02                           | %          | (407               | )          | 946,274                |       | 0.30 | % | 1,022,122 |   | 0.32 | % | February 2009 |   |
| Interest rates              |       | 8,731                   |       | 13,032,113               |       | 4.07                           | %          | —             |       | —                 |       | 0.00 | % | 13,032,113 |   | 4.07 | % | March 2009 -  March 2010 |   |
| Metals                      |       | 45                      |       | 88,866                   |       | 0.03                           | %          | (503               | )          | (723,498               | )          | -0.23 | % | (634,632 | ) | -0.20 | % | February 2009 -  April 2009 |   |
| Stock indices               |       | 3                       |       | 3,950                    |       | 0.00                           | %          | (176               | )          | (217,282               | )          | -0.07 | % | (213,332 | ) | -0.07 | % | January 2009 -  March 2009 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 15,078,307 |                           | 4.70       | %                  |       |                   | $          | (3,211,797 | ) | -1.01 | % | $ | 11,866,510 |   | 3.69 | % |   |   |
|                             |            |                         |            |                          |            |                                |            |                    |            |                        |            |  |  |  |  |  |  |  |  |  |  |  |  |

 

Noindividual contract’s unrealized gain or loss comprised greater than 5% of theMembers’ Capital as of June 30, 2009 and December 31, 2008.

 

8

----

 

The Fund’s net unrealized profit (loss) on openforward and futures contracts as of June 30, 2009 and December 31,2008 are as follows:

 
| **June 30, 2009** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|-----------------------------|------------|-----------------------------------------|------------|------------------------------------------|------------|------------|------------|
| Futures                     |       | $                                       | (865,787   | )                                        | $          | (1,233,681 | )          | $ | (2,099,468 | ) |
| Forwards                    |       | (6,687                                  | )          | (163,854                                 | )          | (170,541   | )          |
| Total                       |       | $                                       | (872,474   | )                                        | $          | (1,397,535 | )          | $ | (2,270,009 | ) |

 
| **December 31, 2008** | ** ** | **Unrealized Long Positions** | ** ** | **Unrealized Short Positions** | ** ** | **Total**  | ** ** |
|---------------------------------|------------|-----------------------------------------|------------|------------------------------------------|------------|------------|------------|
| Futures                         |       | $                                       | 13,534,047 |                                     | $          | (855,453   | )          | $ | 12,678,594 |   |
| Forwards                        |       | 1,544,260                               |       | (2,356,344                               | )          | (812,084   | )          |
| Total                           |       | $                                       | 15,078,307 |                                     | $          | (3,211,797 | )          | $ | 11,866,510 |   |

 

3.               FAIR VALUE OF INVESTMENTS

 

In September 2006, the Financial AccountingStandards Board (“FASB”) issued Statement of Financial Accounting Standards No. 157,Fair Value Measurement (“FAS 157”). FAS 157 defines fair value, establishes aframework for measuring fair value and expands disclosures about fair valuemeasurements. The Fund adopted FAS 157 as of January 1, 2008. The adoptionof FAS 157 did not have a material impact on the Fund’s financial statements.

 

Fair value of aninvestment is the amount that would be received to sell the investment in anorderly transaction between market participants at the measurement date (i.e.the exit price). All investments (including derivativefinancial instruments and derivative commodity instruments) are held fortrading purposes.  The investments arerecorded on trade date and open contracts are recorded at fair value (describedbelow) at the measurement date. Investments denominated in foreign currenciesare translated into U.S. dollars at the exchange rates prevailing at themeasurement date.  Gains or losses arerealized when contracts are liquidated. Unrealized gains or losses on open contracts are included in equity incommodity futures trading account.  Anychange in net unrealized gain or loss from the preceding period is reported inthe Statement of Operations.

 

FAS 157 established a hierarchal disclosure frameworkwhich prioritizes and ranks the level of market price observability used inmeasuring investments at fair value. Market price observability is impacted bya number of factors, including the type of investment and the characteristicsspecific to the investment. Investments with readily available active quotedprices or for which fair value can be measured from actively quoted pricesgenerally will have a higher degree of market price observability and a lesserdegree of judgment used in measuring fair value.

 

Investments measured and reported at fair value areclassified and disclosed in one of the following categories:

 

Level I — Quoted prices are available in activemarkets for identical investments as of the reporting date. The type ofinvestments included in Level I are publicly traded investments. As required byFAS 157, the Fund does not adjust the quoted price for these investments evenin situations where the Fund holds a large position and a sale could reasonablyimpact the quoted price.

 

Level II — Pricing inputs are other than quoted pricesin active markets, which are either directly or indirectly observable as of thereporting date, and fair value is determined through the use of generallyaccepted and understood models or other valuation methodologies. Investmentswhich are generally included in this category are investments valued usingmarket data.

 

9

----

 

Level III — Pricing inputs are unobservable andinclude situations where there is little, if any, market activity for theinvestment. Fair value for these investments is determined using valuationmethodologies that consider a range of factors, including but not limited tothe nature of the investment, local market conditions, trading values on publicexchanges for comparable securities, current and projected operatingperformance and financing transactions subsequent to the acquisition of theinvestment. The inputs into the determination of fair value require significantmanagement judgment. Due to the inherent uncertainty of these estimates, thesevalues may differ materially from the values that would have been used had aready market for these investments existed.

 

In certain cases, theinputs used to measure fair value may fall into different levels of the fairvalue hierarchy. In such cases, an investment’s level within the fair valuehierarchy is based on the lowest level of input that is significant to the fairvalue measurement. The Sponsor’s assessment of the significance of a particularinput to the fair value measurement in its entirety requires judgment, andconsiders factors specific to the investment.

 

Following is a description of the valuation methodologies used forinvestments, as well as the general classification of such investments pursuantto the valuation hierarchy.

 

Exchange traded investments are fair valued by the Fund by using thereported closing price on the primary exchange where it trades suchinvestments.  These closing prices areobserved through the clearing broker and third party pricing services. For nonexchange traded investments, quoted values and other data provided bynationally recognized independent pricing sources are used as inputs into itsprocess for determining fair values.

 

The independent pricing sources obtain market quotations and actualtransaction prices for securities that have quoted prices in active markets.Each source has its own proprietary method for determining the fair value ofsecurities that are not actively traded. In general, these methods involve theuse of “matrix pricing” in which the independent pricing source uses observablemarket inputs including, but not limited to, investment yields, credit risksand spreads, benchmarking of like securities, broker-dealer quotes, reportedtrades and sector groupings to determine a reasonable fair market value.

 

Upon adoption of SFAS No. 157, the Fund determined that Level Isecurities would include all of its futures and options contracts where itbelieves that quoted prices are available in an active market.

 

Where the Fund believes that quoted market prices are not available orthat the market is not active, fair values are estimated by using quoted pricesof securities with similar characteristics, pricing models or matrix pricingand these are generally classified as Level II securities. The Fund determinedthat Level II securities would include its forward contracts.

 

The following tablesummarizes the valuation of the Fund’s investments by the above FAS 157 fairvalue hierarchy levels as of December 31, 2008 and June 30, 2009:

 
| ** **                                     | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|------------------------------------------------|------------|-----------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| Net unrealized profit (loss) on open contracts |       |      |       |             |       |              |       |               |       |
| December 31, 2009                         |       | $         | 11,866,510 |             | $          | 12,678,594        |       | $                  | (812,084   | ) | N/A |   |
| June 30, 2009                             |       | $         | (2,270,009 | )                | $          | (2,099,468        | )          | $                  | (170,541   | ) | N/A |   |

 

10

----

 

Effective January 1, 2009, the Fund adopted Statement of FinancialAccounting Standards No. 161, “Disclosures about Derivative Instrumentsand Hedging Activities” (“FAS 161”) as of January 1, 2009 which requiresqualitative disclosures about objectives and strategies for using derivatives,quantitative disclosures about fair value amounts of and gains and losses onderivative instruments, and disclosures about credit-risk-related contingentfeatures in derivative agreements. FAS 161 only expands the disclosure requirementsfor derivative instruments and related hedging activities and has no impact onStatements of Financial Condition or Statements of Operations and Member’sCapital.

 

The Fund engages in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities. Such contractsmeet the definition of a derivative as noted in FASB Statement No. 133, *Accounting for Derivative Instruments and HedgingActivities*. The fair value amounts of and the gains and losses onderivative instruments is disclosed in the statements of financial conditionand statements of operations respectively. There are no credit relatedcontingent features embedded in these derivative contracts.

 

The Fund is subject to therisk of insolvency of a counterparty, an exchange, a clearinghouse orMLPF&S.  Fund assets could be lost orimpounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Fund’scapital tied up in a bankruptcy, MLAI might suspend or limit trading, perhapscausing the Fund to miss significant profit opportunities.  There are increased risks in dealing withunregulated trading counterparties including the risk that assets may notbenefit from the protection afforded to “customer funds” deposited withregulated dealers and brokers.

 

4.               NET ASSET VALUE PER UNIT

 

In conformity with U.S.GAAP, the Fund deducted the total initial offering costs at inception fromMembers’ Capital for purposes of determining Net Asset Value.  The Net Asset Value per Unit of the differentClasses at June 30, 2009 and December 31, 2008 are as follows:

 

June 30, 2009

 

Net Asset Value per Unit

 
| Class A  |   | $      | 1.3497 |   |
|---------------|--------|--------|--------|--------|
| Class C  |   | 1.2980 |   |
| Class D  |   | 1.4633 |   |
| Class I  |   | 1.3715 |   |
| Class DS |   | 1.4570 |   |
| Class DT |   | 1.4930 |   |

 

December 31, 2008

 

Net Asset Value per Unit

 
| Class A  |   | $      | 1.5927 |   |
|---------------|--------|--------|--------|--------|
| Class C  |   | 1.5393 |   |
| Class D  |   | 1.7134 |   |
| Class I  |   | 1.6142 |   |
| Class DS |   | 1.7067 |   |
| Class DT |   | 1.7442 |   |

 

11

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5.               MARKET AND CREDIT RISK

 

The nature of this Fundhas certain risks, which cannot be presented on the financial statements.  The following summarizes some of those risks.

 

### Market Risk

###  

Derivativeinstruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Fund’s Net unrealized profit (loss) on suchderivative 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 Fundas well as the volatility and liquidity of the markets in which the derivativeinstruments are traded. Investment in foreign markets may also entail legal andpolitical risks.

 

MLAI hasprocedures in place intended to control market risk exposure, although therecan be no assurance that they will, in fact, succeed in doing so.  These procedures focus primarily onmonitoring the trading of Aspect, calculating the Net Asset Value of the Fundas of the close of  business on each dayand reviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the marketsto hedge or diversify the Fund’s market exposure, MLAI may urge Aspect toreallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected tobe unusual.  It is expected that MLAI’sbasic risk control procedures will consist simply of the ongoing process ofadvisor monitoring, with the market risk controls being applied by Aspect.

 

Credit Risk

 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties.  Margins,which may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may also require margin in theover-the-counter markets.

 

The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit, if any, included in the Statements of Financial Condition.The Fund attempts to mitigate this risk by dealing exclusively with MerrillLynch entities as clearing brokers.

 

The Fund, in itsnormal course of business, enters into various contracts, with MLPF&Sacting as its commodity broker.  Pursuantto the brokerage arrangement with MLPF&S (which includes a nettingarrangement), to the extent that such trading results in receivables from andpayables to MLPF&S, these receivables and payables are offset and reportedas a net receivable or payable and included in Equity in commodity futurestrading accounts in the Statements of Financial Condition.

 

12

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6.               RECENT ACCOUNTING PRONOUNCEMENTS

 

In May 2008, the FASBissued Statement of Financial Accounting Standards No. 162, “*The Hierarchy of Generally Accepted Accounting Principles*” (“FAS162”). FAS 162 identifies the sources of accounting principles and theframework for selecting the accounting principles used in preparing financialstatements of nongovernmental entities that are presented in conformity withU.S. GAAP. Currently, U.S. GAAP hierarchy is provided in the American Instituteof Certified Public Accountants U.S. Auditing Standards (“AU”) Section 411,“*The Meaning of Present Fairly in Conformity WithGenerally Accepted Accounting Principles*” (“AU Section 411”).FAS 162 is effective 60 days following the SEC’s approval of the Public CompanyAccounting Oversight Board’s amendments to AU Section 411. The Fund doesnot expect the adoption of FAS 162 to have an impact on its financialstatements.

 

In April 2009, theFASB issued FSP No. FAS 157-4, “*DeterminingFair Value When the Volume and Level of Activity for the Asset or LiabilityHave Significantly Decreased and Identifying Transactions That Are Not Orderly*”(FSP 157-4). FSP 157-4 (‘FSP”) provides additional guidance for estimating fairvalue in accordance with FASB Statement No. 157, *Fair Value Measurements*, when the volumeand level of activity for the asset or liability have significantly decreased.This FSP also includes guidance on identifying circumstances that indicate atransaction is not orderly. The FSP emphasizes that even if there has been asignificant decrease in the volume and level of activity for the asset orliability and regardless of the valuation technique(s) used, the objectiveof a fair value measurement remains the same. Fair value is the price thatwould be received to sell an asset or paid to transfer a liability in anorderly transaction (that is, not a forced liquidation or distressed sale)between market participants at the measurement date under current marketconditions. The FSP also contains enhanced disclosure requirements whereby fairvalue disclosures as well as certain disaggregated information will bedisclosed. The Fund does not expect the adoption of FSP 157-4 to have an impacton its financial statements.

 

InJune 2008, the FASB issued Statement of Financial Accounting Standards No. 168,“The FASB Accounting Standards Codification and “The Hierarchy of GenerallyAccepted Accounting Principles - a replacement of FASB Statement No. 162”(“FAS 168”).  FAS 168 identifies thesources of accounting principles and the framework for selecting the accountingprinciples used in preparing financial statements of nongovernmental entitiesthat are presented in conformity with U.S. GAAP.  FAS 168 will be effective for financialstatements that cover interim and annual periods ending after September 15,2009.  We do not expect the adoption ofFAS 168 to have an impact on our financial statements.

 

FASBissued Statement of Financial Accounting Standards No. 165, SubsequentEvents (“FAS 165”), which is effective for interim and annual periods endingafter June 15, 2009.  FAS 165establishes general standards of accounting for and disclosure of events thatoccur after the balance sheet date but before financial statements are issuedor are available to be issued.  Itrequires the disclosure of the date through which an entity has evaluatedsubsequent events and the basis for that date. The Fund has performed anevaluation of subsequent events, as defined under FAS 165, through August 14,2009, which is the date the financial statements were issued, and determinedthat there are no subsequent events that are required to be adjusted to, ordisclosed in, the financial statements other than those disclosed in thesubsequent event section in Note 7.

 

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7.               SUBSEQUENT EVENT

 

The following subsequent event occurred thatrequires disclosure under FAS 165.

 

1. Effective as of August 13, 2009, Paul Mortonresigned as a Chief Executive Officer and President of MLAI and resigned as amember of MLAI’s Board of Managers.

 

2. Effective as of August 13, 2009, Thomas W.Lee resigned as a Vice President of MLAI and resigned as a member of MLAI’sBoard of Managers.

 

3. Effective as of August 13, 2009, Justin C.Ferri, a Vice President and a member of MLAI’s Board of Managers, became theChief Executive Officer and President of MLAI. He continues to serve as amember of MLAI’s Board of Managers, a position which he held prior to hisappointment as the Chief Executive Officer and President.

 

4.Effective as of August 13, 2009, Deann Morgan, a VicePresident of MLAI, became a member of MLAI’s Board ofManagers. She continues to serve as a VicePresident of MLAI, a position which she held prior to her appointment as amember of MLAI’s Board of Managers.

 

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Item 2.            Management’sDiscussion and Analysis of Financial Condition and Results of Operations

 

MONTH-END NET ASSET VALUE PER UNIT

 

MLAI believes that the Net Asset Value used to calculate subscriptionand redemption value and to report performance to investors throughout the yearis the most valuable performance measure to the Members of the Fund.  Therefore, the charts below referencing NetAsset Value and performance measurements are based on the Net Asset Value forfinancial reporting purposes as discussed in Note 4 to the financialstatements.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.3141     |     | $          | 1.4206   |       | $        | 1.3950     |     | $          | 1.3319   |       | $ | 1.3723 |   | $ | 1.4646 |   |
| 2009       |       | $        | 1.5995     |     | $          | 1.6080   |       | $        | 1.5546     |     | $          | 1.5051   |       | $ | 1.4710 |   | $ | 1.3497 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.2812     |     | $          | 1.3839   |       | $        | 1.3578     |     | $          | 1.2952   |       | $ | 1.3335 |   | $ | 1.4221 |   |
| 2009       |       | $        | 1.5447     |     | $          | 1.5516   |       | $        | 1.4988     |     | $          | 1.4499   |       | $ | 1.4159 |   | $ | 1.2980 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.3898     |     | $          | 1.5043   |       | $        | 1.4790     |     | $          | 1.4131   |       | $ | 1.4586 |   | $ | 1.5606 |   |
| 2009       |       | $        | 1.7234     |     | $          | 1.7347   |       | $        | 1.6790     |     | $          | 1.6277   |       | $ | 1.5928 |   | $ | 1.4633 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.3268     |     | $          | 1.4348   |       | $        | 1.4094     |     | $          | 1.3460   |       | $ | 1.3874 |   | $ | 1.4815 |   |
| 2009       |       | $        | 1.6225     |     | $          | 1.6316   |       | $        | 1.5781     |     | $          | 1.5284   |       | $ | 1.4943 |   | $ | 1.3715 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.3899     |     | $          | 1.5043   |       | $        | 1.4792     |     | $          | 1.4146   |       | $ | 1.4589 |   | $ | 1.5579 |   |
| 2009       |       | $        | 1.7162     |     | $          | 1.7274   |       | $        | 1.6719     |     | $          | 1.6207   |       | $ | 1.5860 |   | $ | 1.4570 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.3982     |     | $          | 1.5206   |       | $        | 1.4941     |     | $          | 1.4248   |       | $ | 1.4730 |   | $ | 1.5804 |   |
| 2009       |       | $        | 1.7551     |     | $          | 1.7679   |       | $        | 1.7110     |     | $          | 1.6593   |       | $ | 1.6245 |   | $ | 1.4930 |   |

 

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Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods orservices.  The Fund’s assets are its (i) equityin its trading account, consisting of cash and cash equivalents and (ii) interestreceivable.    Because of the low margindeposits normally required in commodity futures trading relatively small pricemovements may result in substantial losses to the Fund.  While substantial losses could lead to amaterial decrease in liquidity, no such material losses occurred during thesecond quarter of 2009.

 

The Fund’s capital consists of the capitalcontributions of the member as increased or decreased by gains or losses ontrading, expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

 

For the six months ended June 30, 2009, Fundcapital decreased 18.19% from $320,433,806 to $262,136,765.  This decrease was attributable to the netloss from operations of $46,531,419, coupled with the redemption of 21,094,032Redeemable Units resulting in an outflow of $32,610,869.  The cash outflow was offset with cash inflowof $20,845,243 due to subscription of 12,992,513 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Use of Estimates

 

The preparation of financial statements andaccompanying notes in conformity with U.S. generally accepted accountingprinciples (“GAAP”‘) requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities, income and expenses, andrelated disclosures of contingent assets and liabilities in the financialstatements and accompanying notes.  As aresult, actual results could differ from these estimates.

 

Statement of Cash Flows

 

The Fund has elected not to provide a Statement ofCash Flows as permitted by Statement of Financial Accounting Standards No. 102“Statement of Cash Flows-Exemption of Certain Enterprises and Classification ofCash Flows from Certain Securities Acquired for Resale” (“FAS 102”).

 

Investments

 

All investments (including derivatives) are held fortrading purposes.  Investments arerecorded on trade date and open contracts are recorded at fair value (asdescribed below) at the measurement date. Investments denominated in foreign currencies are translated into U.S.dollars at the exchange rates prevailing at the measurement date.  Gains or losses are realized when contractsare liquidated.  Unrealized gains orlosses on open contracts are included as a component of equity in tradingaccount on the Statements of Financial Condition.  Realized gains or losses and any change innet unrealized gains or losses from the preceding period are reported in theStatement of Operations and Statement of Changes in Members’ Capital.

 

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Fair Value Measurements

 

The Fund adopted Statement of Financial AccountingStandards No. 157, *Fair Value Measurements*(“SFAS 157”) as of January 1, 2008 which defines fair value as the pricethat would be received to sell an asset or paid to transfer a liability in anorderly transaction between market participants at the measurement date.  The Fund did not apply the deferral allowedby FASB Staff Positions No. FAS 157-2, for nonfinancial assets andnonfinancial liabilities measured at fair value on a nonrecurring basis.  For more information on our treatment of fairvalue, see Note 3, Fair Value of Investments.

 

Futures Contracts

 

The Fund trades futures contracts.  A futures contract is a firm commitment tobuy or sell a specified quantity of investments, currency or a standardizedamount of a deliverable grade commodity, at a specified price on a specifiedfuture date, unless the contract is closed before the delivery date or if thedelivery quantity is something where physical delivery cannot occur (such as S&P500 Index), whereby such contract is settled in cash.  Payments (“variation margin”) may be made orreceived by the Fund each business day, depending on the daily fluctuations inthe value of the underlying contracts, and are recorded as unrealized gains or lossesby the Fund.  When the contract isclosed, the Fund records a realized gain or loss equal to the differencebetween the value of the contract at the time it was opened and the value atthe time it was closed.  Becausetransactions in futures contracts require participants to make both initialmargin deposits of cash or other assets and variation margin deposits, throughthe futures broker, directly with the exchange on which the contracts aretraded, credit exposure is limited. Realized gains (losses) and changes in unrealized gains (losses) onfutures contracts are included in the Statements of Operations and Statementsof Changes in Members’ Capital.

 

Forward Foreign Currency Contracts

 

Foreign currency contracts are those contracts wherethe Fund agrees to receive or deliver a fixed quantity of foreign currency foran agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Fund’s net equitytherein, representing unrealized gain or loss on the contracts as measured bythe difference between the forward foreign exchange rates at the dates of entryinto the contracts and the forward rates at the reporting date, is included inthe Statements of Operations.  Realizedgains (losses) and changes in unrealized gains (losses) on foreign currencycontracts are recognized in the period in which the contract is closed or thechanges occur, respectively and are included in the Statements of Operationsand Statements of Changes in Members’ Capital.

 

Income Taxes

 

Income taxes have not been provided as each memberis individually liable for the taxes, if any, on their share of the Fund’sincome and expenses and Members’ Capital.

 

In 2007, the Fund adopted FASB interpretation No. 48“Accounting for Uncertainty in Income Taxes” (“FIN 48”).  FIN 48 provides guidance for how uncertaintax positions should be recognized, measured, presented and disclosed in thefinancial statements.  FIN 48 requiresthe evaluation of tax positions taken or expected to be taken in the course ofpreparing the Fund’s financial statements to determine whether the taxpositions are “more-likely-than-not” to be sustained by the applicable taxauthority.  Tax positions with respect totax at the Fund level not deemed to meet the “more-likely-than-not” thresholdwould be recorded as a tax benefit or expense in the current year.  MLAI has concluded that the adoption of FIN48 had no impact on the operations of the Fund for the period ended June 30,2009 and that no provision for income tax is required in the Fund’s financialstatements.

 

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Results of Operations

 

January 1,2009 to March 31, 2009

 

The Fund experienced a net trading loss beforebrokerage commissions and related fees in the first quarter of 2009 of$4,394,485.  Losses were primarilyattributable to Fund’s trading in the energy sector posting profits while theinterest rate, metals, agriculture, stock indices and currencies sectors postedlosses.

 

Theenergy sector posted profits for the Fund. Profits were posted to the Fund atthe beginning of the quarter driven by gains from crude oil and natural gas,whose prices declined from bearish inventory data. The Fund’s short positionsin natural gas and products of crude oil posted profits to the Fund in themiddle of the quarter. The quarter ended with losses being posted to the Fundas crude oil prices rose despite OPEC announcing that it will not cut output.

 

The interest ratesector posted losses for the Fund. The quarter began with losses being postedto the Fund due to bonds being sold off and interest rates rose as governmentscontinued to develop rescue plans and packages to boost growth. This wasparticularly seen in European bond markets with U.K. Gilts and Bunds being twoof the worst contracts. However, the Fund’s long positions in interest ratesbenefited from the rate cut decisions of the Bank of England and the EuropeanCentral Bank but were not enough to offset the losses. Long positions in theinterest rate model was profitable for the Fund in the middle of the quarterhowever, performance was dragged down by losses in short positions in theAustralian dollar and British sterling as quantitative easing seemed morelikely than further interest rate cuts in the United Kingdom. The U.S. FederalReserve’s plan to repurchase debt caused U.S. fixed income markets to rally.U.S. interest rate markets and European fixed income markets followed and theFund’s long positions posted profits to the Fund at the end of the quarter.

 

The metals sectorposted losses for the Fund. Profits were posted to the Fund at the beginning ofthe quarter as industrial metals declined due to stock build-ups whichbenefited from the Fund’s short positions. Losses were posted in the middle ofthe quarter due to volatility in the global markets. Revised inflationaryexpectations caused commodities markets to rally to the detriment of the Fund’sshort positions in base metals posting losses to the Fund as the quarter ended.Precious metals declined as investors sold out of safe haven assets which wasalso detrimental to the Fund’s long positions.

 

The agriculturesector posted losses for the Fund. Profits were posted to the Fund at thebeginning through the middle of the quarter despite losses from a sharpreversal in cocoa markets. Losses were posted to the Fund at the end of thequarter due to challenging market conditions.

 

The stock indicessector posted losses for the Fund. Profits were posted to the Fund at thebeginning of the quarter due to the stock markets rallying with renewedinvestor optimism in response to the U.S. President Obama’s stimulus plan.Profits continued to be posted to the Fund through the middle of the quarter asglobal equity markets continue their poor performance caused by further weakeconomic data and problems for financial companies which benefited the Fund’sshort positions. Although most global stock markets remain in negativeterritory at the end of the quarter, many saw a strong rally to the detrimentof the Fund’s short positions resulting in losses being posted to the Fund.

 

The currencysector posted losses for the Fund. The U.S. dollar continued strengthening as aresult of risk aversion and the increasingly negative outlook for Europe.Europe continues to deal with crises in the financial sector particularly inthe weakness of the British sterling to the benefit of the Fund’s shortpositions resulting in profits being posted to the fund at the beginning of thequarter. Profits were posted to the Fund in the middle of the quarter. The currenciessector had an eventful February and provided the most volatility; profitswere seen from weakness in the Swedish krona and Canadian dollar which offsetlosses in the Japanese yen against the U.S. dollar. The Swedish krona fell to arecord low against the Euroafter an unexpectedly large rate-cut and the worst Swedish GDP figuressince 1940. The quarter

 

18

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ended with losses being posted to the Fund. The announcement of the U.S. Treasury’s newplans resulted in the U.S. dollar weakening against major currencies resultingin losses being posted to the Fund at the end of the quarter.

 

April 1, 2009 to June 30,2009

 

The Fund experienced a net trading loss beforebrokerage commissions and related fees in the second quarter of 2009 of$37,124,733. The Fund posted overall losses for the quarter withthe agriculture and stock indicessector posting profits while the metals, currencies, energy and interest ratessectors posted losses.

 

The agriculturesector posted profits for the Fund. Profits were posted to the Fund at thebeginning of the quarter driven by short positions in lean hogs followingconcerns over swine flu. Losses were posted to the Fund in the middle of thequarter due to challenging market conditions. Commodities markets rallied atthe end of quarter which benefited long positions in agricultural such as sugarand soy meal resulting in profits posted to the Fund.

 

The stock indicesposted profits for the Fund. Losses were posted to the Fund as most equityindex positions also suffered from this rally continuing in early April, butpositions responded and small profits were seen in the MSCI Taiwan index and inEuropean sectors indices only. Positive economic releases continued to boostinvestor optimism and risk appetite; consequently global stock indices finishedthe month positively posting profits to the Fund in the middle of the quarter.Rallying equity markets continued to boost investor optimism resulting inprofits posted to the Fund at the end of the quarter.

 

The metals sectorsposted losses for the Fund. Losses were posted to the Fund at the beginning ofthe quarter due short positions in aluminum and nickel which suffered lossesdue to markets anticipation increased demand as equities rallied following theG20 summit. Improving global outlook prompted most commodity markets to rallyresulting in profits being posted to the Fund in the middle of the quarter.Short positions in metals including aluminum resulted in losses being posted tothe Fund at the end of the quarter.

 

The currencysector posted losses for the Fund. Trend reversals were seen in late March continuinginto April resulting in losses being posted to the Fund. The Britishsterling and the Canadian dollar recovered following recent weakness and theresulting losses outweighed the profits seen from the strengthening SouthAfrican rand. Short positions in the British sterling rallied in the middle ofthe quarter following the latest United Kingdom inflation report however,increased risk appetite resulted in a sell off in the U.S. dollar which hit2009 lows resulting in losses being posted to the Fund. The United Statesdollar, which had been weakening since the United States Federal Reserveannounced its quantitative easing policies in March, regained some of itsstrength and the recent trend in short-term interest rates reversed. The Eurodollar, the British sterling and Euribor all saw their most aggressive sellingsince October 2008. These sharp moves resulted in losses on the Program’slong positions in these contracts. In response, the Program reduced itspositions as volatility increased. Performance in other sectors also reflectedthe difficult market environment for medium-term trend-following strategies. Incurrencies, the losses in the U.S. dollar positions were compounded by lossesin the Swiss franc and Japanese yen; these were partially offset by gains onthe Program’s short Euro exposure.

 

Theenergy sector posted losses for the Fund. Profits were posted to the Fund atthe beginning of the quarter driven by short positions in natural gas whichreached multi year lows. Prices of energies were boosted by bullish inventoryparticularly in natural gas but did not offset the losses due to a volatileglobal market posting losses to the Fund from the middle to the end of thequarter.

 

The interest ratesector posted losses for the Fund. The quarter began with losses being postedto the Fund due to trend reversals seen in late March continuing into thebeginning of the quarter due to the European Central Bank’s surprise decisionto reduce rates. Profits were posted to the Fund in the middle

 

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of the quarter dueto rallying equity markets accompanied by a sell-off in fixed income markets.This was to the benefit of the Program’s short positions in several bondcontracts, most notably the Japanese and Australian government bonds. The quarter ended with losses beingposted to the Fund due to the difficult market environment. The bonds sectorsaw losses with the Program’s short exposure to Japanese Government bondssuffering from the weak outlook for the Japanese economy.

 

January 1,2008 to March 31, 2008

 

The Fund experienced a net trading gain beforebrokerage commissions and related fees in the first quarter of 2008 of$38,118,954.  Gains were primarilyattributable to the Fund’s trading in interest rates, agriculture, stockindices, currencies, and the metal sectors posting gains while the energysector posted losses.

 

Theinterest rate sector posted profits for the Fund at the beginning of the year.The weak economic data early in January suggested an increased likelihoodof a recession that was reflected in an increased level of risk aversion on thepart of many investors. This prompted the U.S. Federal Reserve to cut interestrates by a total of 125 basis points. The Fund’s long positions in short terminterest rates were particularly profitable as were the long positions inbonds. The reduction in interest rates created positive market sentiment.Profits continued to be posted to the Fund mid-quarter only to be offset bylosses at the end of the quarter due to short term interest rates finishingdown.

 

Theagriculture sector posted profits for the Fund. Profits were posted to the Fundat the beginning of the year driven by long positions in corn and soybean. Theagriculture sector was the best performing sector mid-quarter due to the robustgains from the Fund’s long positions in soybeans, coffee and wheat. Amid highvolatility, the markets reversed sharply at the end of the quarter, causinglong positions to give back some of their gains made earlier in the year.

 

Thestock indices sector posted profits for the Fund. Short positions in manyequity indices were profitable for the Fund at the beginning of the year whichcontinued through the mid-quarter. Profits were posted for the Fund at the endof the quarter as short positions in stock indices took advantage of furthermarket weakness, especially in Japan.

 

Thecurrency sector posted profits for the Fund. After recent months that havewitnessed higher volatility in foreign exchange, global currency markets wererelatively subdued in January with a small loss in the currency sector.The Euro versus the U.S. dollar and the U.S. dollar versus the Swiss Francpairs were the most profitable positions for the Fund after the U.S. dollarfinished near record lows against several of the major currencies at the end ofthe mid-quarter. The currency sector finished profitably as positions benefitedfrom the continued depreciation of the U.S. dollar against the Euro and SwissFranc.

 

Themetals sector posted profits for the Fund. Profits were posted to the Fund atthe beginning of the year. The Fund’s long positions in precious metalsaccounted for much of the gains posted for the Fund in the middle of thequarter. The Fund struggled in the final weeks of the quarter with lossesposted for the Fund from precious metals amid high market volatility.

 

Theenergy sector posted losses for the Fund. A negative contribution from energiesas the strength in oil prices seen at the end of 2007 reversed posting lossesfor the Fund at the beginning of the quarter. The Fund’s long positions in oilsaccounted for much of the gains posted to the Fund mid-quarter. The energiessector saw more mixed results, but strong performance in gas oil and heatingoil ensured a net profit for the Fund as the quarter ended.

 

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April 1, 2008to June 30, 2008

 

TheFund posted profits for the quarter with the currencies, energy, agricultureand stock indices sectors posting gains while the metals and interest ratesectors posted losses.

 

Thecurrency sector posted profits for the Fund. Losses were posted to the Fund atthe beginning of the quarter after the United States dollar strengthened latein April particularly against the Euro and the Swiss franc. Profits wereposted to the Fund mid-quarter through the end of the quarter as emergingmarket currencies made gains against the majors.

 

Theenergy sector posted profits for the Fund. Energies finished strong at the beginning of the quarter after crude oiladvanced to reach new highs. Profits continued to be posted to the Fundmid-quarter due to the oil complex continued its surge to all-time highs.Important influences included supply disruptions, bullish inventory data,long-term analyst forecasts and a weakening United States dollar. The longposition in natural gas was the best performer at the end of the quarter asenergy prices continued to rally posting profits to the Fund.

 

Theagriculture sector posted profits for the Fund. Marginal losses were posted tothe Fund at the beginning of the quarter after key prices came off their recenthighs. Losses continued to be posted to the Fund mid-quarter as many cropsretreated from their recent highs causing some profit give back. The quarterended with profits being posted to the Fund due to grain prices rocketing torecord levels after poor weather affected the United States crop forecasts.

 

Thestock indices sector posted profits for the Fund. Losses were posted to theFund at the beginning of the quarter due to the Fund’s short positions in thestock indices. Losses continued to be posted to the Fund mid-quarter as globalstock indices remained largely range bound. As the United States economy showedfurther signs of weakening, global stock markets fell steadily to the benefitof the Fund’s predominantly short stock indices positions resulting in theprofit being posted to the Fund at the end of the quarter.

 

Themetals sector posted losses for the Fund. Marginal losses were posted to theFund at the beginning of the quarter after key prices came off their recenthighs. Metals sector finished close to flat mid-quarter experiencing a mix ofsmall offsetting returns. Amid high market volatility the quarter ended withprofits being posted to the Fund.

 

The interest rate sector posted losses for the Fund.  Losses were posted to the Fund as conditionsin the global equity and fixed income markets remained challenging at thebeginning of the quarter with bonds incurring the most significant losses.However, through the middle of the quarter profits were posted to the Fund dueto interest rates expectations becoming more hawkish in Europe and the UnitedKingdom. The quarter ended with profits being posted to the Fund due to theshort positions in British and European markets following suggestions of rateincreases at Jean Claude Trichet’s, President of the European Central BankSystem press conference.

 

The Fund has noapplicable off-balance sheet arrangements and tabular disclosure or contractualobligations of the type described in Items 303(a)(4) and 303(a)(5) ofRegulation S-K.

 

Item 3.  Quantitative and Qualitative Disclosures About Market Risk

 

The Fund is a speculative commodity pool. The marketsensitive instruments held by it are acquired for speculative trading purposesand all or substantially all of the Fund’s assets are subject to the risk oftrading loss.  Unlike an operatingcompany, the risk of market sensitive instruments is integral, not incidental,to the Fund’s main line of business.

 

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Market movements result in frequent changes in thefair market value of the Fund’s open positions and, consequently, in itsearnings and cash flow. The Fund’s market risk is influenced by a wide varietyof factors, including the level and volatility of interest rates, exchangerates, equity price levels, the market value of financial instruments and contracts,the diversification effects among the Fund’s open positions and the liquidityof the markets in which it trades.

 

The Fund, under the direction of Aspect, rapidlyacquires and liquidates both long and short positions in a wide range ofdifferent markets.  Consequently, it isnot possible to predict how a particular future market scenario will affectperformance, and the Fund’s past performance is not necessarily indicative ofits future results.

 

Value at Risk is a measure of the maximum amount whichthe Fund could reasonably be expected to lose in a given market sector.However, the inherent uncertainty of the Fund’s speculative trading and therecurrence in the markets traded by the Fund of market movements far exceedingexpectations could result in actual trading or non-trading losses far beyondthe indicated Value at Risk or the Fund’s experience to date (i.e., “risk ofruin”). In light of the foregoing, as well as the risks and uncertaintiesintrinsic to all future projections, the quantifications included in thissection should not be considered to constitute any assurance or representationthat the Fund’s losses in any market sector will be limited to Value at Risk orby 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 theFund’s market risk exposures contain “forward-looking statement” within themeaning of the safe harbor from civil liability provided for such statements bythe Private Securities Litigation Reform Act of 1995 (set forth in Section 27Aof the Securities Act of 1933 and Section 21E of the Securities ExchangeAct of 1934).  All quantitativedisclosures in this section are deemed to be forward-looking statements forpurposes of the safe harbor, except for statements of historical fact.

 

The Fund’s risk exposure in the various market sectorstraded by Aspect is quantified below in terms of Value at Risk.  Due to the Fund’s mark-to-market accounting,any loss in the fair value of the Fund’s open positions is directly reflectedin the Fund’s earnings (realized or unrealized) and cash flow (at least in thecase of exchange-traded contracts in which profits and losses on open positionsare settled daily through variation margin).

 

Maintenance margin requirements have been used by theFund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceedthe maximum loss in the fair value of any given contract incurred in 95%-99% ofthe one-day time periods included in the historical sample (generallyapproximately one year) researched for purposes of establishing marginlevels.  The maintenance margin levelsare established by dealers and exchanges using historical price studies as wellas an assessment of current market volatility (including the implied volatilityof the options on a given futures contract) and economic fundamentals toprovide a probabilistic estimate of the maximum expected near-term one-dayprice fluctuation.

 

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the Fund), themargin requirements for the equivalent futures positions have been used asValue at Risk.  In those rare cases inwhich a futures-equivalent margin is not available, dealers’ margins have beenused.

 

100% positive correlation in the different positions held in eachmarket risk category has been assumed. Consequently, the margin requirements applicable to the open contractshave been aggregated to determine each trading category’s aggregate Value atRisk.  The diversification effectsresulting from the fact that the Fund’s positions are rarely, if ever, 100%positively correlated have not been reflected.

 

22

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***TheFund’s Trading Value at Risk in Different Market Sectors***

 

The following table indicates theaverage, highest and lowest trading Value at Risk associated with the Fund’sopen positions by market category for the fiscal period. For the six monthsended June 30, 2009 and 2008, the Fund’s average Month-end Net Asset Valuefor all other purposes was approximately$297,578,971 and $283,568,933, respectively.

** **

**June 30,2009**

 
| **Market Sector** | ** ** | **Average Value  at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  at Risk** | ** ** | **Lowest Value  at Risk** | ** ** |
|------------------------|------------|--------------------------------------|------------|--------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|------------|
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| Agriculture            |       | $                                    | 198,798    |                                       | 0.07       | %                                    | $          | 299,521                             |       | $ | 7,807 |   |
| Currencies             |       | 727,574                              |       | 0.24                                       | %          | 1,116,966                            |       | 313,886                             |       |
| Energy                 |       | 195,390                              |       | 0.07                                       | %          | 472,835                              |       | 42,162                              |       |
| Interest Rates         |       | 26,934,175                           |       | 9.05                                       | %          | 47,880,957                           |       | 15,102,568                          |       |
| Metals                 |       | 140,688                              |       | 0.05                                       | %          | 237,901                              |       | 11,621                              |       |
| Stock Indices          |       | 139,270                              |       | 0.05                                       | %          | 248,030                              |       | 18,996                              |       |
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| Total                  |       | $                                    | 28,335,895 |                                       | 9.53       | %                                    | $          | 50,256,210                          |       | $ | 15,497,040 |   |

** **

**June 30,2008**

 
| **Market Sector**   | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|--------------------------|------------|--------------------------------------|------------|--------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|------------|
|                     |       |                                 |       |                                       |       |                                 |       |                                |       |
| Agricultural Commodities |       | $                                    | 977,328    |                                       | 0.34       | %                                    | $          | 3,229,047                           |       | $ | 294,323 |   |
| Currencies               |       | 3,377,164                            |       | 1.19                                       | %          | 9,038,747                            |       | 1,289,222                           |       |
| Energy                   |       | 1,609,381                            |       | 0.57                                       | %          | 4,458,641                            |       | 800,626                             |       |
| Interest Rates           |       | 17,633,102                           |       | 6.22                                       | %          | 29,572,634                           |       | 8,163,193                           |       |
| Metals                   |       | 579,758                              |       | 0.20                                       | %          | 2,047,636                            |       | 139,919                             |       |
| Stock Indices            |       | 1,454,202                            |       | 0.51                                       | %          | 3,820,724                            |       | 511,838                             |       |
|                     |       |                                 |       |                                       |       |                                 |       |                                |       |
| TOTAL                    |       | $                                    | 25,630,935 |                                       | 9.03       | %                                    | $          | 52,167,429                          |       | $ | 11,199,121 |   |

 

23

----

 

Material Limitations on Value at Riskas an Assessment of Market Risk

 

The face value of the market sectorinstruments held by the Fund is typically many times the applicable maintenancemargin requirement (maintenance margin requirements generally ranging betweenapproximately 1% and 10% of contract face value) as well as many times thecapitalization of the Fund.  Themagnitude of the Fund’s open positions creates a “risk of ruin” not typicallyfound 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 toincur severe losses over a short period of time.   The foregoing Value at Risk table — as wellas the past performance of the Fund — gives no indication of this “risk ofruin.”

 

Non-Trading Risk

 

Foreign Currency Balances; Cash on Deposit with MLPF&S

 

TheFund has non-trading market risk on its foreign cash balances not needed formargin. However, these balances (as well as the market risk they represent) areimmaterial.

 

TheFund also has non-trading market risk on the approximately 90%-95% of itsassets which are held in cash at MLPF&S. The value of this cash is notinterest rate sensitive, but there is cash flow risk in that if interest ratesdecline so will the cash flow generated on these monies. This cash flow risk isimmaterial.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures —except for (i) those disclosures that are statements of historical factand (ii) the descriptions of how the Fund manages its primary market riskexposures — constitute forward-looking statements within the meaning of Section 27Aof the Securities Act and Section 21E of the Securities Exchange Act. TheFund’s primary market risk exposures as well as the strategies used and to beused by MLAI and Aspect for managing such exposures are subject to numerousuncertainties, contingencies and risks, any one of which could cause the actualresults of the Fund’s risk controls to differ materially from the objectives ofsuch strategies. Government interventions, defaults and expropriations,illiquid markets, the emergence of dominant fundamental factors, politicalupheavals, changes in historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could result inmaterial losses as well as in material changes to the risk exposures and therisk management strategies of the Fund. There can be no assurance that the Fund’scurrent market exposure and/or risk management strategies will not changematerially 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 ofthe time value of their investment in the Fund.

 

The following were the primary trading risk exposures of the Fund as ofJune 30, 2009, by market sector.

 

Interest Rates

 

Interest rate risk is the principal market exposure of the Fund.  Interest rate movements directly affect theprice of derivative sovereign bond positions held by the Fund and indirectlythe value of its stock index and currency positions. Interest rate movements inone country as well as relative interest rate movements between countries materiallyimpact the Fund’s profitability. The Fund’s primary interest rate exposure isto interest rate fluctuations in the United States and the other G-7countries.  However, the Fund also takespositions in the government debt of smaller nations e.g., Australia. MLAIanticipates that G-7 interest rates will remain the primary market exposure ofthe Fund for the foreseeable future.

 

24

----

 

Currencies

 

The Fund trades in a number of currencies. However, the Fund’s majorexposures have typically been in the U.S. dollar/Japanese yen, U.S. dollar/Euroand U.S. dollar/Swiss franc positions. The Fund does not anticipate that the risk profile of the Fund’scurrency sector will change significantly in the future. The currency tradingValue at Risk figure includes foreign margin amounts converted into U.S.dollars with an incremental adjustment to reflect the exchange rate risk ofmaintaining 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 GermanDAX equity index price movements. The Fund is primarily exposed to the risk ofadverse price trends or static markets in the major U.S., European and Asianindices.

 

Metals

 

The Fund’s metals market exposure is to fluctuations in both the priceof precious and non-precious metals.

 

Agricultural Commodities

 

The Fund’s primary agricultural commodities exposure is to agriculturalprice movements which are often directly affected by severe or unexpectedweather conditions. Grains, cocoa and livestock accounted for the substantialbulk of the Fund’s agricultural commodities exposure as of June 30, 2009.

 

Energy

 

The Fund’s primary energy market exposure is to natural gas and crudeoil price movements, often resulting from political developments in the MiddleEast. Oil prices can be volatile and substantial profits and losses have beenand are expected to continue to be experienced in this market.

 

Qualitative Disclosures Regarding Non-Trading Risk Exposure

 

The following were the only non-trading risk exposures of the Fund asof June 30, 2009.

 

Foreign Currency Balances

 

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

 

U.S. Dollar Cash Balance

 

The Fund holds U.S. dollars only in cash at MLPF&S. The Fund hasimmaterial cash flow interest rate risk on its cash on deposit with MLPF&Sin that declining interest rates would cause the income from such cash todecline.

 

Item 4T. Controls and Procedures

 

MLAI, the Sponsorof ML Aspect FuturesAccess LLC, with the participation of the Sponsor’s ChiefExecutive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors during the latestfiscal quarter that has materially affected, or is reasonably likely tomaterially affect, the Fund’s internal control over financial reporting.

 

25

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PART II - OTHER INFORMATION

 

Item 1.                                   Legal Proceedings

 

None.

 

Item 1A.  Risk Factors

 

Thereare no material changes from risk factors as previously disclosed in the AnnualReport onForm 10-Kfor the year ended December 31, 2008, filed on March 31, 2009.

 

Item 2.                                   Unregistered Sales of Equity Securities and Use ofProceeds

 

(a)   Issuance to accredited investors pursuant toRegulation D and Section 4(6) under the Securities Act.  The selling agent of the following Class ofUnits was MLPF&S.

 

**CLASS A**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | 1.5925 |   |
| Feb-09     |       | 612,698          |       | 383,056    |       | 1.5995 |   |
| Mar-09     |       | 196,943          |       | 122,477    |       | 1.6080 |   |
| Apr-09     |       | 203,771          |       | 131,076    |       | 1.5546 |   |
| May-09     |       | 233,981          |       | 155,459    |       | 1.5051 |   |
| Jun-09     |       | 121,873          |       | 82,850     |       | 1.4710 |   |
| Jul-09     |       | 452,391          |       | 335,179    |       | 1.3497 |   |
|            |            |                  |            |            |            |  |  |  |

 

**CLASS C**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 442,877    |       | 287,732    |   | 1.5392 |   |
| Feb-09     |       | 696,976          |       | 451,205    |       | 1.5447 |   |
| Mar-09     |       | 1,227,957        |       | 791,413    |       | 1.5516 |   |
| Apr-09     |       | 1,441,995        |       | 962,100    |       | 1.4988 |   |
| May-09     |       | 547,990          |       | 377,952    |       | 1.4499 |   |
| Jun-09     |       | 844,977          |       | 596,776    |       | 1.4159 |   |
| Jul-09     |       | 713,878          |       | 549,983    |       | 1.2980 |   |
|       |       |             |       |       |       |   |   |
|            |            |                  |            |            |            |  |  |  |

 

**CLASS D**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | 1.7137 |   |
| Feb-09     |       | —           |       | —     |       | 1.7234 |   |
| Mar-09     |       | —           |       | —     |       | 1.7347 |   |
| Apr-09     |       | —           |       | —     |       | 1.6790 |   |
| May-09     |       | —           |       | —     |       | 1.6277 |   |
| Jun-09     |       | —           |       | —     |       | 1.5928 |   |
| Jul-09     |       | —           |       | —     |       | 1.4633 |   |
|            |            |                  |            |            |            |  |  |  |

 

**CLASS I**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 9,999      |       | 6,192      |   | 1.6148 |   |
| Feb-09     |       | 19,999           |       | 12,326     |       | 1.6225 |   |
| Mar-09     |       | 259,995          |       | 159,350    |       | 1.6316 |   |
| Apr-09     |       | 10,999           |       | 6,970      |       | 1.5781 |   |
| May-09     |       | 69,999           |       | 45,798     |       | 1.5284 |   |
| Jun-09     |       | 49,999           |       | 33,460     |       | 1.4943 |   |
| Jul-09     |       | 119,998          |       | 87,494     |       | 1.3715 |   |
|            |            |                  |            |            |            |  |  |  |

 

**CLASS DS**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 1,014,112  |       | 594,264    |   | 1.7065 |   |
| Feb-09     |       | 1,916,850        |       | 1,116,915  |       | 1.7162 |   |
| Mar-09     |       | 954,491          |       | 552,559    |       | 1.7274 |   |
| Apr-09     |       | 3,054,678        |       | 1,827,070  |       | 1.6719 |   |
| May-09     |       | 3,565,504        |       | 2,199,977  |       | 1.6207 |   |
| Jun-09     |       | 2,824,554        |       | 1,780,930  |       | 1.5860 |   |
| Jul-09     |       | 8,190,706        |       | 5,621,624  |       | 1.4570 |   |
|            |            |                  |            |            |            |  |  |  |

 

**CLASS DT**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | 1.7440 |   |
| Feb-09     |       | —           |       | —     |       | 1.7551 |   |
| Mar-09     |       | —           |       | —     |       | 1.7679 |   |
| Apr-09     |       | —           |       | —     |       | 1.7110 |   |
| May-09     |       | 522,026          |       | 314,606    |       | 1.6593 |   |
| Jun-09     |       | —           |       | —     |       | 1.6245 |   |
| Jul-09     |       | 3,039,694        |       | 2,035,964  |       | 1.4930 |   |
|            |            |                  |            |            |            |  |  |  |

 

----

(1) Beginningof the month Net Asset Value for all other purposes

 

(b) None.

(c) None.

 

26

----

 

Item 3.                                   Defaults Upon Senior Securities

 

None.

 

Item 4.                                   Submission of Matters to a Vote of Security Holders

 

None.

 

Item 5.                                   Other Information

 

None.

 

Item 6.                                   Exhibits

 

The followingexhibits are incorporated by reference or are filed herewith to this QuarterlyReport 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.

 

27

----

 

**SIGNATURES**

 

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.

 

 
|                        | ML ASPECT FUTURESACCESS  LLC |
|-----------------------------|------------------------------|
| .                           |                         |
|                        |                         |
|                        | By:                          | MERRILL LYNCH  ALTERNATIVE |
|                        |                         | INVESTMENTS LLC |
|                        |                         |   (Manager) |
|                        |                         |   |
|                        |                         |   |
| Date: August 14,  2009 | By                           | /s/ JUSTIN C. FERRI |
|                        |                         | Justin C. Ferri |
|                        |                         | Chief Executive  Officer, President and Manager |
|                        |                         | (Principal Executive  Officer) |
|                        |                         |   |
|                        |                         |   |
| Date: August 14,  2009 |                         |   |
|                        | By                           | /s/ BARBRA E. KOCSIS |
|                        |                         | Barbra E. Kocsis |
|                        |                         | Chief Financial Officer |
|                        |                         | (Principal  Financial and Accounting Officer) |

 

28

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