**UNITED STATES SECURITIESAND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-Q**

 

**(Mark One)**

 

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

 

**For the quarterly period ended September 30,2010**

 

**OR**

 

**o****         TRANSITION REPORTPURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF1934**

 

**For the transition period from                to                **

 

**Commission File Number 0-51085**

 

**MLASPECT FUTURESACCESS 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/o Merrill Lynch AlternativeInvestments LLC**

**Four World FinancialCenter, 10****TH**** Floor**

**250 Vesey Street**

**New York, New York 10080**

(Address of principalexecutive offices)

(Zip Code)

** **

**212-449-3517**

(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 mark whetherthe registrant has submitted electronically and posted on its corporatewebsite, 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   Noo

 

Indicate by check mark whether the registrant is a large acceleratedfiler, an accelerated filer, a non-accelerated filer, or a smaller reportingcompany.  See the definitions of “largeaccelerated filer,” “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

 

As of September 30, 2010, 166,979,564 units of limited liabilitycompany interest were outstanding.

 

 

 

----

 

**ML ASPECT FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR SEPTEMBER 30, 2010 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 | 17       |
|         |                                                                                        |     |
| Item  3.     | Quantitative  and Qualitative Disclosures About Market Risk                                 | 27       |
|         |                                                                                        |     |
| Item  4.     | Controls  and Procedures                                                                    | 31       |
|         |                                                                                        |     |
| PART II |
|         |                                                                                        |     |
| Item  1.     | Legal  Proceedings                                                                          | 31       |
|         |                                                                                        |     |
| Item  1A.    | Risk  Factors                                                                               | 31       |
|         |                                                                                        |     |
| Item  2.     | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 32       |
|         |                                                                                        |     |
| Item  3.     | Defaults  Upon Senior Securities                                                            | 33       |
|         |                                                                                        |     |
| Item  4.     | (Removed  and Reserved)                                                                     | 33       |
|         |                                                                                        |     |
| Item  5.     | Other  Information                                                                          | 33       |
|         |                                                                                        |     |
| Item  6      | Exhibits                                                                                    | 33       |

 

----

 

PART I - FINANCIALINFORMATION

 

Item 1.    Financial Statements

 

ML ASPECT FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

(unaudited)

 
| ** **                                                                            | ** ** | **September 30,** | ** **  | **December 31,** | ** ** |
|---------------------------------------------------------------------------------------|------------|------------------------|-------------|-----------------------|------------|
| ** **                                                                            | ** ** | **2010**               | ** **  | **2009**              | ** ** |
| **ASSETS:**                                                                           |       |                   |        |                  |       |
| Equity in commodity trading accounts:                                                 |       |                   |        |                  |       |
| Cash (including restricted cash of $28,333,046 for  2010 and $30,538,024 for 2009)    |       | $                      | 251,185,919 |                  | $          | 269,793,907 |   |
| Net unrealized profit on open futures contracts                                       |       | 10,465,790             |        | 3,670,863             |       |
| Net unrealized profit on open forwards contracts                                      |       | 10,383,759             |        | 1,010,082             |       |
| Cash and cash equivalents                                                             |       | 257,721                |        | 1,397,466             |       |
| Other assets                                                                          |       | 727                    |        | —                |       |
|                                                                                  |       |                   |        |                  |       |
| **TOTAL ASSETS**                                                                      |       | $                      | 272,293,916 |                  | $          | 275,872,318 |   |
|                                                                                  |       |                   |        |                  |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                            |       |                   |        |                  |       |
| LIABILITIES:                                                                          |       |                   |        |                  |       |
| Brokerage commissions payable                                                         |       | $                      | 30,180      |                  | $          | 84,821 |   |
| Sponsor and Advisory fees payable                                                     |       | 631,773                |        | 1,940,265             |       |
| Redemptions payable                                                                   |       | 1,234,054              |        | 2,307,660             |       |
| Net unrealized loss on open futures contracts                                         |       | 391,059                |        | 3,745,486             |       |
| Net unrealized loss on open forwards contracts                                        |       | 6,197,844              |        | 1,905,933             |       |
| Other liabilities                                                                     |       | 263,148                |        | 258,991               |       |
|                                                                                  |       |                   |        |                  |       |
| Total liabilities                                                                     |       | 8,748,058              |        | 10,243,156            |       |
|                                                                                  |       |                   |        |                  |       |
| MEMBERS’ CAPITAL:                                                                |       |                   |        |                  |       |
| Sponsor’s Interest (20,647 Units and 20,647 Units)                               |       | 30,348                 |        | 27,998                |       |
| Members’ Interest (166,958,917 Units and  183,714,476 Units)                     |       | 263,515,510            |        | 265,601,164           |       |
| Total members’ capital                                                           |       | 263,545,858            |        | 265,629,162           |       |
|                                                                                  |       |                   |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                      |       | $                      | 272,293,916 |                  | $          | 275,872,318 |   |
| ** **                                                                            | ** ** | ** **             | ** **  | ** **            | ** ** |
| **NET ASSET VALUE PER UNIT:**                                                         |       |                   |        |                  |       |
| (Based on 166,979,564 and 183,735,123 Units  outstanding; unlimited Units authorized) |       |                   |        |                  |       |
|                                                                                  |       |                   |        |                  |       |
| Class A                                                                          |       | $                      | 1.5136      |                  | $          | 1.3859 |   |
| Class C                                                                          |       | $                      | 1.4375      |                  | $          | 1.3261 |   |
| Class D                                                                          |       | $                      | 1.6719      |                  | $          | 1.5138 |   |
| Class I                                                                          |       | $                      | 1.5457      |                  | $          | 1.4111 |   |
| Class DS                                                                         |       | $                      | 1.6648      |                  | $          | 1.5073 |   |
| Class DT                                                                         |       | $                      | 1.7166      |                  | $          | 1.5484 |   |

 

See notes to financial statements.

 

1

----

 

ML ASPECT FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the nine** | ** ** | **For the nine** | ** ** |
|----------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|----------------------------|------------|----------------------------|------------|
| ** **                                   | ** ** | **months ended**       | ** ** | **months ended**       | ** ** | **months ended**      | ** ** | **months ended**      | ** ** |
| ** **                                   | ** ** | **September 30,**      | ** ** | **September 30,**      | ** ** | **September 30,**     | ** ** | **September 30,**     | ** ** |
| ** **                                   | ** ** | **2010**                    | ** ** | **2009**                    | ** ** | **2010**                   | ** ** | **2009**                   | ** ** |
| **TRADING PROFIT (LOSS):**                   | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                 | ** ** | ** **                 | ** ** |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| Realized, net                                |       | $                           | 11,463,838 |                        | $          | 3,157,393                  |       | $                          | 15,660,658 |   | $ | (24,225,305 | ) |
| Change in unrealized, net                    |       | 7,254,673                   |       | 13,848,046                  |       | 15,231,120                 |       | (288,474                   | )          |
| Brokerage commissions                        |       | (166,660                    | )          | (233,906                    | )          | (477,755                   | )          | (624,093                   | )          |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| Total trading profit (loss)                  |       | 18,551,851                  |       | 16,771,533                  |       | 30,414,023                 |       | (25,137,872                | )          |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **INVESTMENT INCOME:**                       |       |                        |       |                        |       |                       |       |                       |       |
| Interest                                     |       | 4,833                       |       | (3,040                      | )          | 2,346                      |       | 19,475                     |       |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **EXPENSES:**                                |       |                        |       |                        |       |                       |       |                       |       |
| Management fee                               |       | 1,260,762                   |       | 1,303,270                   |       | 3,803,345                  |       | 4,102,303                  |       |
| Sponsor fee                                  |       | 604,396                     |       | 614,008                     |       | 1,774,656                  |       | 2,069,953                  |       |
| Performance fee                              |       | —                      |       | —                      |       | —                     |       | 17,428                     |       |
| Other                                        |       | 140,740                     |       | 174,459                     |       | 424,035                    |       | 546,582                    |       |
| Total expenses                               |       | 2,005,898                   |       | 2,091,737                   |       | 6,002,036                  |       | 6,736,266                  |       |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **NET INVESTMENT INCOME (LOSS)**             |       | (2,001,065                  | )          | (2,094,777                  | )          | (5,999,690                 | )          | (6,716,791                 | )          |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **NET INCOME (LOSS)**                        |       | $                           | 16,550,786 |                        | $          | 14,676,756                 |       | $                          | 24,414,333 |   | $ | (31,854,663 | ) |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| **NET INCOME (LOSS) PER UNIT:**              |       |                        |       |                        |       |                       |       |                       |       |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| Weighted average number of Units outstanding |       |                        |       |                        |       |                       |       |                       |       |
| Class A                                 |       | 14,335,802                  |       | 16,397,934                  |       | 15,026,688                 |       | 17,260,110                 |       |
| Class C                                 |       | 57,352,485                  |       | 61,135,706                  |       | 57,310,760                 |       | 63,747,235                 |       |
| Class D                                 |       | 6,256,747                   |       | 6,696,233                   |       | 6,256,747                  |       | 6,842,728                  |       |
| Class I                                 |       | 5,559,296                   |       | 6,001,078                   |       | 5,598,119                  |       | 6,903,194                  |       |
| Class DS                                |       | 58,259,026                  |       | 56,030,315                  |       | 59,077,189                 |       | 48,930,732                 |       |
| Class DT                                |       | 30,312,007                  |       | 47,766,991                  |       | 35,911,332                 |       | 48,165,447                 |       |
|                                         |       |                        |       |                        |       |                       |       |                       |       |
| Net income (loss) per weighted average Unit  |       |                        |       |                        |       |                       |       |                       |       |
| Class A                                 |       | $                           | 0.0915     |                        | $          | 0.0695                     |       | $                          | 0.1245     |   | $ | (0.1745 | ) |
| Class C                                 |       | $                           | 0.0844     |                        | $          | 0.0639                     |       | $                          | 0.1115     |   | $ | (0.1780 | ) |
| Class D                                 |       | $                           | 0.1075     |                        | $          | 0.0804                     |       | $                          | 0.1582     |   | $ | (0.1745 | ) |
| Class I                                 |       | $                           | 0.0960     |                        | $          | 0.0723                     |       | $                          | 0.1376     |   | $ | (0.1701 | ) |
| Class DS                                |       | $                           | 0.1067     |                        | $          | 0.0828                     |       | $                          | 0.1565     |   | $ | (0.1491 | ) |
| Class DT                                |       | $                           | 0.0983     |                        | $          | 0.0841                     |       | $                          | 0.1433     |   | $ | (0.1621 | ) |

 

See notes to financial statements.

 

2

----

 

ML ASPECT FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the nine months ended September 30, 2010 and 2009

(unaudited)(in Units)

 
| ** **                 | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2010** | ** ** |
|----------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------------------------------------|------------|
| Class A               |       | 18,704,606                                                  |       | 1,652,973         |       | (4,845,471      | )          | 15,512,108                                                   |       | 15,485,685                                                  |       | 1,183,392         |       | (2,408,041      | )          | 14,261,036                                                   |       |
| Class C               |       | 68,270,745                                                  |       | 4,700,324         |       | (13,078,859     | )          | 59,892,210                                                   |       | 58,603,514                                                  |       | 4,483,946         |       | (5,672,416      | )          | 57,415,044                                                   |       |
| Class D               |       | 6,915,976                                                   |       | —            |       | (659,229        | )          | 6,256,747                                                    |       | 6,256,747                                                   |       | —            |       | —          |       | 6,256,747                                                    |       |
| Class I               |       | 8,961,247                                                   |       | 379,007           |       | (3,500,890      | )          | 5,839,364                                                    |       | 5,483,592                                                   |       | 573,820           |       | (591,017        | )          | 5,466,395                                                    |       |
| Class DS              |       | 41,543,859                                                  |       | 15,050,677        |       | (335,326        | )          | 56,259,210                                                   |       | 57,165,976                                                  |       | 3,762,823         |       | (3,981,189      | )          | 56,947,610                                                   |       |
| Class DT              |       | 50,625,248                                                  |       | 2,350,570         |       | (7,982,113      | )          | 44,993,705                                                   |       | 40,718,962                                                  |       | —            |       | (14,106,877     | )          | 26,612,085                                                   |       |
|                       |       |                                                        |       |              |       |            |       |                                                         |       |                                                        |       |              |       |            |       |                                                         |       |
| Total Members’ Units  |       | 195,021,681                                                 |       | 24,133,551        |       | (30,401,888     | )          | 188,753,344                                                  |       | 183,714,476                                                 |       | 10,003,981        |       | (26,759,540     | )          | 166,958,917                                                  |       |
|                       |       |                                                        |       |              |       |            |       |                                                         |       |                                                        |       |              |       |            |       |                                                         |       |
| 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                                                       |       |

 

Seenotes to financial statements.

 

3

----

 

ML ASPECT FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months ended September 30,2010 and 2009

(unaudited)

 
| ** **                    | ** ** | **Members’ Capital  December 31, 2008** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  September 30, 2009** | ** ** | **Members’ Capital  December 31, 2009** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income (Loss)** | ** ** | **Members’ Capital  September 30, 2010** | ** ** |
|-------------------------------|------------|-------------------------------------------------------------|-------------|-------------------|------------|-----------------|------------|-----------------------------|-------------|--------------------------------------------------------------|------------|-------------------------------------------------------------|------------|-------------------|-------------|-----------------|------------|---------------------------------|------------|--------------------------------------------------------------|------------|
| Class A                  |       | $                                                           | 29,790,712  |              | $          | 2,422,994       |       | $                           | (7,170,497  | )                                                            | $          | (3,012,970                                                  | )          | $                 | 22,030,239  |            | $          | 21,461,284                      |       | $                                                            | 1,667,713  |   | $ | (3,413,484 | ) | $ | 1,869,406 |   | $ | 21,584,919 |   |
| Class C                  |       | 105,091,001                                                 |        | 6,802,811         |       | (18,947,961     | )          | (11,352,561                 | )           | 81,593,290                                                   |       | 77,715,571                                                  |       | 6,079,993         |        | (7,654,525      | )          | 6,390,394                       |       | 82,531,433                                                   |       |
| Class D                  |       | 11,849,514                                                  |        | —            |       | (989,305        | )          | (1,191,077                  | )           | 9,669,131                                                    |       | 9,471,276                                                   |       | —            |        | —          |       | 989,641                         |       | 10,460,917                                                   |       |
| Class I                  |       | 14,465,113                                                  |        | 578,986           |       | (5,440,322      | )          | (1,168,525                  | )           | 8,435,252                                                    |       | 7,737,925                                                   |       | 818,066           |        | (876,605        | )          | 770,234                         |       | 8,449,620                                                    |       |
| Class DS                 |       | 70,902,871                                                  |        | 23,472,610        |       | (501,078        | )          | (7,303,288                  | )           | 86,571,115                                                   |       | 86,166,473                                                  |       | 5,721,956         |        | (6,326,867      | )          | 9,244,847                       |       | 94,806,409                                                   |       |
| Class DT                 |       | 88,302,264                                                  |        | 3,561,720         |       | (13,008,722     | )          | (7,821,244                  | )           | 71,034,018                                                   |       | 63,048,635                                                  |       | —            |        | (22,513,884     | )          | 5,147,461                       |       | 45,682,212                                                   |       |
| ** **                    | ** ** | ** **                                                  | ** **  | ** **        | ** ** | ** **      | ** ** | ** **                  | ** **  | ** **                                                   | ** ** | ** **                                                  | ** ** | ** **        | ** **  | ** **      | ** ** | ** **                      | ** ** | ** **                                                   | ** ** |
| Total Members’ Interest  |       | $                                                           | 320,401,475 |              | $          | 36,839,121      |       | $                           | (46,057,885 | )                                                            | $          | (31,849,666                                                 | )          | $                 | 279,333,045 |            | $          | 265,601,164                     |       | $                                                            | 14,287,728 |   | $ | (40,785,365 | ) | $ | 24,411,983 |   | $ | 263,515,510 |   |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                                         |       |                                                        |       |              |        |            |       |                            |       |                                                         |       |
| Class A                  |       | $                                                           | 16,435      |              | $          | —          |       | $                           | —      |                                                         | $          | (2,506                                                      | )          | $                 | 13,929      |            | $          | 14,303                          |       | $                                                            | —     |   | $ | — |   | $ | 1,227 |   | $ | 15,530 |   |
| Class C                  |       | 15,896                                                      |        | —            |       | —          |       | (2,491                      | )           | 13,405                                                       |       | 13,695                                                      |       | —            |        | —          |       | 1,123                           |       | 14,818                                                       |       |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                                         |       |                                                        |       |              |        |            |       |                            |       |                                                         |       |
| Total Sponsor’s Interest |       | $                                                           | 32,331      |              | $          | —          |       | $                           | —      |                                                         | $          | (4,997                                                      | )          | $                 | 27,334      |            | $          | 27,998                          |       | $                                                            | —     |   | $ | — |   | $ | 2,350 |   | $ | 30,348 |   |
|                          |       |                                                        |        |              |       |            |       |                        |        |                                                         |       |                                                        |       |              |        |            |       |                            |       |                                                         |       |
| Total Members’ Capital   |       | $                                                           | 320,433,806 |              | $          | 36,839,121      |       | $                           | (46,057,885 | )                                                            | $          | (31,854,663                                                 | )          | $                 | 279,360,379 |            | $          | 265,629,162                     |       | $                                                            | 14,287,728 |   | $ | (40,785,365 | ) | $ | 24,414,333 |   | $ | 263,545,858 |   |

 

See notes to financial statements.

 

4

----

 

MLASPECT FUTURESACCESS LLC

(ADelaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2010(unaudited)

 

Thefollowing per Unit data and ratios have been derived from information providedin the financial statements.

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                             |       | $                | 1.4216     |             | $          | 1.3535           |       | $                | 1.5645     |              | $          | 1.4504            |       | $ | 1.5578 |   | $ | 1.6043 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net realized and net change in unrealized trading  profit (loss) |       | 0.1066           |       | 0.1013           |       | 0.1175           |       | 0.1088           |       | 0.1170            |       | 0.1205            |       |
| Brokerage commissions                                            |       | (0.0009          | )          | (0.0009          | )          | (0.0010          | )          | (0.0010          | )          | (0.0010           | )          | (0.0011           | )          |
| Interest income                                                  |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000            |       | 0.0000            |       |
| Expenses                                                         |       | (0.0137          | )          | (0.0164          | )          | (0.0091          | )          | (0.0125          | )          | (0.0090           | )          | (0.0071           | )          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                   |       | $                | 1.5136     |             | $          | 1.4375           |       | $                | 1.6719     |              | $          | 1.5457            |       | $ | 1.6648 |   | $ | 1.7166 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                             |       | 6.47             | %          | 6.20             | %          | 6.87             | %          | 6.58             | %          | 6.87              | %          | 7.00              | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Total return after Performance fees                              |       | 6.47             | %          | 6.20             | %          | 6.87             | %          | 6.58             | %          | 6.87              | %          | 7.00              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’  Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                            |       | 0.94             | %          | 1.19             | %          | 0.56             | %          | 0.84             | %          | 0.43              | %          | 0.56              | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Expenses (including Performance fees)                            |       | 0.94             | %          | 1.19             | %          | 0.56             | %          | 0.84             | %          | 0.43              | %          | 0.56              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                     |       | -0.94            | %          | -1.19            | %          | -0.56            | %          | -0.84            | %          | -0.43             | %          | -0.56             | %          |

 

----

(a) Thetotal return calculations are based on compounded monthly returns and arecalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

Seenotes to financial statements.

 

5

----

 

MLASPECT FUTURESACCESS LLC

(ADelaware Limited Liability Company)

 

FINANCIALDATA HIGHLIGHTS

FORTHE NINE MONTHS ENDED SEPTEMBER 30, 2010 (unaudited)

 

Thefollowing per Unit data and ratios have been derived from information providedin the financial statements.

 
| ** **                                                       | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS** | ** ** | **Class DT** | ** ** |
|------------------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|-------------------|------------|
| **Per Unit Operating Performance:**                              |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, beginning of period                             |       | $                | 1.3859     |             | $          | 1.3261           |       | $                | 1.5138     |              | $          | 1.4111            |       | $ | 1.5073 |   | $ | 1.5484 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net realized and net change in unrealized trading  profit (loss) |       | 0.1701           |       | 0.1620           |       | 0.1871           |       | 0.1735           |       | 0.1863            |       | 0.1918            |       |
| Brokerage commissions                                            |       | (0.0026          | )          | (0.0024          | )          | (0.0028          | )          | (0.0026          | )          | (0.0028           | )          | (0.0029           | )          |
| Interest income                                                  |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000            |       | 0.0000            |       |
| Expenses                                                         |       | (0.0398          | )          | (0.0482          | )          | (0.0262          | )          | (0.0363          | )          | (0.0260           | )          | (0.0207           | )          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net asset value, end of period                                   |       | $                | 1.5136     |             | $          | 1.4375           |       | $                | 1.6719     |              | $          | 1.5457            |       | $ | 1.6648 |   | $ | 1.7166 |   |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Total Return: (a)**                                            |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Total return before Performance fees                             |       | 9.21             | %          | 8.40             | %          | 10.45            | %          | 9.54             | %          | 10.45             | %          | 10.86             | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Total return after Performance fees                              |       | 9.21             | %          | 8.40             | %          | 10.45            | %          | 9.54             | %          | 10.45             | %          | 10.86             | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| **Ratios to Average Members’  Capital:**                    |       |             |       |             |       |             |       |             |       |              |       |              |       |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Expenses (excluding Performance fees)                            |       | 2.80             | %          | 3.56             | %          | 1.67             | %          | 2.50             | %          | 1.67              | %          | 1.29              | %          |
| Performance fees                                                 |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00              | %          |
| Expenses (including Performance fees)                            |       | 2.80             | %          | 3.56             | %          | 1.67             | %          | 2.50             | %          | 1.67              | %          | 1.29              | %          |
|                                                             |       |             |       |             |       |             |       |             |       |              |       |              |       |
| Net investment income (loss)                                     |       | -2.80            | %          | -3.56            | %          | -1.67            | %          | -2.50            | %          | -1.67             | %          | -1.29             | %          |

 

----

(a) Thetotal return calculations are based on compounded monthly returns and arecalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

Seenotes to financial statements.

 

6

----

 

ML ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2009 (unaudited)

 

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS *** | ** ** | **Class DT **** | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------------|------------|---------------------------|------------|
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net asset value, beginning of period                     |       | $                | 1.3497     |             | $          | 1.2980           |       | $                | 1.4633     |                     | $          | 1.3715                    |       | $ | 1.4570 |   | $ | 1.4930 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Realized and change in unrealized trading profit  (loss) |       | 0.0846           |       | 0.0812           |       | 0.0918           |       | 0.0860           |       | 0.0914                   |       | 0.0938                    |       |
| Brokerage commissions                                    |       | (0.0012          | )          | (0.0011          | )          | (0.0013          | )          | (0.0012          | )          | (0.0013                  | )          | (0.0013                   | )          |
| Interest income                                          |       | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000          | )          | (0.0000                  | )          | (0.0000                   | )          |
| Expenses                                                 |       | (0.0130          | )          | (0.0158          | )          | (0.0084          | )          | (0.0118          | )          | (0.0083                  | )          | (0.0067                   | )          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net asset value, end of period                           |       | $                | 1.4201     |             | $          | 1.3623           |       | $                | 1.5454     |                     | $          | 1.4445                    |       | $ | 1.5388 |   | $ | 1.5788 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| **Total Return: (a)**                                    |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Total return before Performance fees                     |       | 5.22             | %          | 4.95             | %          | 5.61             | %          | 5.32             | %          | 5.61                     | %          | 5.75                      | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00                     | %          | 0.00                      | %          |
| Total return after Performance fees                      |       | 5.22             | %          | 4.95             | %          | 5.61             | %          | 5.32             | %          | 5.61                     | %          | 5.75                      | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| **Ratios to Average Members’  Capital:**            |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Expenses (excluding Performance fees)                    |       | 0.95             | %          | 1.20             | %          | 0.57             | %          | 0.85             | %          | 0.57                     | %          | 0.44                      | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00                     | %          | 0.00                      | %          |
| Expenses (including Performance fees)                    |       | 0.95             | %          | 1.20             | %          | 0.57             | %          | 0.85             | %          | 0.57                     | %          | 0.44                      | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net investment income (loss)                             |       | -0.95            | %          | -1.20            | %          | -0.57            | %          | -0.85            | %          | -0.57                    | %          | -0.44                     | %          |

 

----

*Class DSand was previously known as Class D-SM.

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

(a) Thetotal return calculations are based on compounded monthly returns and arecalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

Seenotes to financial statements.

 

7

----

 

ML ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2009 (unaudited)

 

The following per Unit data and ratios have been derived frominformation provided in the financial statements.

 
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class DS *** | ** ** | **Class DT **** | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|--------------------------|------------|---------------------------|------------|
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net asset value, beginning of period                     |       | $                | 1.5927     |             | $          | 1.5393           |       | $                | 1.7134     |                     | $          | 1.6142                    |       | $ | 1.7067 |   | $ | 1.7442 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.1281          | )          | (0.1236          | )          | (0.1382          | )          | (0.1300          | )          | (0.1376                  | )          | (0.1408                   | )          |
| Brokerage commissions                                    |       | (0.0031          | )          | (0.0030          | )          | (0.0034          | )          | (0.0032          | )          | (0.0034                  | )          | (0.0035                   | )          |
| Interest income                                          |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001                   |       | 0.0001                    |       |
| Expenses                                                 |       | (0.0415          | )          | (0.0505          | )          | (0.0265          | )          | (0.0366          | )          | (0.0270                  | )          | (0.0212                   | )          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net asset value, end of period                           |       | $                | 1.4201     |             | $          | 1.3623           |       | $                | 1.5454     |                     | $          | 1.4445                    |       | $ | 1.5388 |   | $ | 1.5788 |   |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| **Total Return: (a)**                                    |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Total return before Performance fees                     |       | -10.84           | %          | -11.50           | %          | -9.83            | %          | -10.57           | %          | -9.83                    | %          | -9.49                     | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | -0.01            | %          | 0.01             | %          | -0.02                    | %          | 0.00                      | %          |
| Total return after Performance fees                      |       | -10.84           | %          | -11.50           | %          | -9.84            | %          | -10.56           | %          | -9.85                    | %          | -9.49                     | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| **Ratios to Average Members’  Capital:**            |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Expenses (excluding Performance fees)                    |       | 1.68             | %          | 1.30             | %          | 2.28             | %          | 1.68             | %          | 1.68                     | %          | 1.30                      | %          |
| Performance fees                                         |       | -0.01            | %          | -0.01            | %          | 0.00             | %          | -0.02            | %          | 0.01                     | %          | -0.01                     | %          |
| Expenses (including Performance fees)                    |       | 1.67             | %          | 1.30             | %          | 2.28             | %          | 1.66             | %          | 1.69                     | %          | 1.30                      | %          |
|                                                     |       |             |       |             |       |             |       |             |       |                     |       |                      |       |
| Net investment income (loss)                             |       | -2.78            | %          | -3.53            | %          | -1.67            | %          | -2.47            | %          | -1.68                    | %          | -1.29                     | %          |

 

----

*Class DSand was previously known as Class D-SM.

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

(a) Thetotal return calculations are based on compounded monthly returns and arecalculated for each class taken as a whole. An individual members’ return mayvary from these returns based on timing of capital transactions.

 

Seenotes to financial statements.

 

8

----

 

ML ASPECT FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANTACCOUNTING POLICIES

 

ML Aspect FuturesAccess LLC (the “Fund”), a Merrill Lynch FuturesAccessProgram (the “Program”) fund, was organized under the Delaware LimitedLiability Company Act on May 17, 2004 and commenced trading activities on April 1,2005. The Fund issues new units of limited liability company interest (“Units”)at Net Asset Value per Unit (see Item 2 for discussion of net asset value andnet asset value per unit for subscriptions and redemptions purposes hereinafterreferred to as Net Asset Value and Net Asset Value per Unit) as of thebeginning of each calendar month. The Fund engages in the speculative tradingof futures, options on futures and forward contracts on a wide range ofcommodities. Aspect Capital Limited (“Aspect” or “trading advisor”) is thetrading advisor of the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) isthe Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of MerrillLynch & Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce,Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiaryof Merrill Lynch, is the Fund’s commodity broker. Merrill Lynch is awholly-owned subsidiary of Bank of America Corporation.

 

The Program is a group of commodity pools sponsored by MLAI (each poolis a “Program Fund” or collectively, “Program Funds”) each of which placessubstantially all of its assets in a managed futures or forward trading accountmanaged by a single or multiple commodity trading advisors. Each Program Fundis generally similar in terms of fees, Classes of Units and redemptionrights.  Each of the Program Fundsimplements a different trading strategy.

 

The Fund offers six Classes of Units: Class A, Class C, Class D, DT, DS, and Class I.  Each Class of Units except for DT and DSwas offered at $1.00 per Unit during the initial offering period andsubsequently is offered at Net Asset Value per Unit.  Class DS commenced on April 2, 2007and was offered at $1.1631 and Class DT commenced on June 1, 2007 andwas offered at $1.2795.  The six Classesof Units are subject to different Sponsor fees.

 

Interests in the Fund arenot insured or otherwise protected by the Federal Deposit Insurance Corporationor any other government authority. Interests are not deposits or other obligations of, and are notguaranteed by, Bank of America Corporation or any of its affiliates or by anybank.  Interests are subject toinvestment risks, including the possible loss of the full amount invested.

 

In the opinion of management, these interim financial statementscontain all adjustments, consisting only of normal recurring adjustments,necessary for a fair statement of the financial position of the Fund as of September 30,2010, and the results of its operations for the three and nine months ended September 30,2010 and 2009.  However, the operatingresults for the interim periods may not be indicative of the results for thefull year.

 

9

----

 

Certain information and footnote disclosures normally included inannual financial statements prepared in accordance with accounting principlesgenerally accepted in the United States of America (“U.S. GAAP”) have beenomitted.  These financial statementsshould be read in conjunction with the financial statements and notes theretoincluded in the Fund’s Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the year ended December 31, 2009.Certain prior period items have been reclassified to conform to the currentperiod presentation.

 

Estimates

 

The preparation of financialstatements in conformity with U.S. GAAP requires management to make estimatesand assumptions that may affect the reported amounts of assets and liabilitiesand disclosure of contingent assets and liabilities at the date of thefinancial statements as well as the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

 

10

----

 

2.              CONDENSED SCHEDULES OFINVESTMENTS

 

The Fund’s investments, defined as Net unrealizedprofit (loss) on open contracts in the Statements of Financial Condition, as ofSeptember 30, 2010, and December 31, 2009 are as follows:

 

**September 30, 2010**

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 2,367                   |       | $                        | 2,597,881  |                           | 0.99       | %                  | (308       | )                      | $          | (140,387 | ) | -0.05 | % | $ | 2,457,494 |   | 0.94 | % | November 2010  - February 2011 |   |
| Currencies                  |       | 5,200,465,618           |       | 10,393,642               |       | 3.94                           | %          | (1,458,425,248     | )          | (6,197,844             | )          | -2.35 | % | 4,195,798 |   | 1.59 | % | December 2010 |   |
| Energy                      |       | —                  |       | —                   |       | 0.00                           | %          | (763               | )          | (1,310,729             | )          | -0.50 | % | (1,310,729 | ) | -0.50 | % | October 2010  - November 2010 |   |
| Interest rates              |       | 9,794                   |       | 5,069,459                |       | 1.92                           | %          | (815               | )          | (45,664                | )          | -0.02 | % | 5,023,795 |   | 1.90 | % | December 2010  - March 2013 |   |
| Metals                      |       | 638                     |       | 3,893,816                |       | 1.48                           | %          | (10                | )          | (47,866                | )          | -0.02 | % | 3,845,950 |   | 1.46 | % | December 2010  - January 2011 |   |
| Stock indices               |       | 1,396                   |       | 270,564                  |       | 0.10                           | %          | (146               | )          | (222,226               | )          | -0.08 | % | 48,338 |   | 0.02 | % | October 2010  - December 2010 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | 22,225,362 |                           | 8.43       | %                  |       |                   | $          | (7,964,716 | ) | -3.02 | % | $ | 14,260,646 |   | 5.41 | % |   |   |

 

**December 31, 2009**

 
| ** **                  | ** ** | **Long Positions** | ** ** | **Short Positions** | ** ** | **Net Unrealized**        | ** ** | ** **         | ** ** | ** **             | ** ** |
|-----------------------------|------------|-------------------------|------------|--------------------------|------------|--------------------------------|------------|--------------------|------------|------------------------|------------|
| **Commodity Industry** | ** ** | **Number of**      | ** ** | **Unrealized**           | ** ** | **Percent of**            | ** ** | **Number of** | ** ** | **Unrealized**         | ** ** | **Percent of** | ** ** | **Profit (Loss)** | ** ** | **Percent of** | ** ** | ** ** | ** ** |
| **Sector**                  | ** ** | **Contracts**           | ** ** | **Profit (Loss)**   | ** ** | **Members’ Capital** | ** ** | **Contracts**      | ** ** | **Profit (Loss)** | ** ** | **Members’ Capital** | ** ** | **on Open Positions** | ** ** | **Members’ Capital** | ** ** | **Maturity Dates** | ** ** |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Agriculture                 |       | 1,523                   |       | $                        | 2,546,812  |                           | 0.96       | %                  | (856       | )                      | $          | (68,607 | ) | -0.03 | % | $ | 2,478,205 |   | 0.93 | % | January 2010  - March 2010 |   |
| Currencies                  |       | 70,150,008              |       | (354,360                 | )          | -0.13                          | %          | (177,950,000       | )          | (600,291               | )          | -0.23 | % | (954,651 | ) | -0.36 | % | January 2010 |   |
| Energy                      |       | 380                     |       | 738,906                  |       | 0.27                           | %          | (46                | )          | 146,890                |       | 0.06 | % | 885,796 |   | 0.33 | % | February 2010 |   |
| Interest rates              |       | 10,072                  |       | (4,193,429               | )          | -1.58                          | %          | (413               | )          | 82,065                 |       | 0.03 | % | (4,111,364 | ) | -1.55 | % | March 2010  - June 2010 |   |
| Metals                      |       | 940                     |       | (1,151,067               | )          | -0.43                          | %          | (28                | )          | (161,195               | )          | -0.06 | % | (1,312,262 | ) | -0.49 | % | February 2010  - April 2010 |   |
| Stock indices               |       | 2,275                   |       | 2,052,362                |       | 0.77                           | %          | (23                | )          | (8,560                 | )          | 0.00 | % | 2,043,802 |   | 0.77 | % | January 2010  - March 2010 |   |
|                        |       |                    |       |                     |       |                           |       |               |       |                   |       |   |   |   |   |   |   |   |   |
| Total                       |       |                    |       | $                        | (360,776   | )                              | -0.14      | %                  |       |                   | $          | (609,698 | ) | -0.23 | % | $ | (970,474 | ) | -0.37 | % |   |   |

 

No individual contract’s unrealized gain or loss comprised greater than5% of the Members’ Capital as of September 30, 2010 and December 31,2009.

 

11

----

 

3.   FAIR VALUE OF INVESTMENTS

 

The Financial Accounting Standards Board (“FASB”) issued the AccountingStandards Codification (“ASC”) which provides authoritative guidance on fairvalue measurement. This guidance defines fair value, establishes a frameworkfor measuring fair value and expands disclosures about fair value measurements.

 

Fairvalue of an investment is the amount that would be received to sell theinvestment in an orderly transaction between market participants at themeasurement date (i.e. the exit price). Allinvestments (including derivative financial instruments and derivativecommodity instruments) are held for trading purposes.  The investments are recorded on trade dateand open contracts are recorded at fair value (described below) at themeasurement date. Investments denominated in foreign currencies are translatedinto U.S. dollars at the exchange rates prevailing at the measurementdate.  Gains or losses are realized whencontracts are liquidated.  Unrealizedgains or losses on open contracts are included in Equity in a commodity tradingaccount.  Any change in net unrealizedgain or loss from the preceding period is reported in the Statements ofOperations.

 

The fair value measurement guidance established a hierarchal disclosureframework which prioritizes and ranks the level of market price observabilityused in measuring investments at fair value. Market price observability isimpacted by a number of factors, including the type of investment and thecharacteristics specific to the investment. Investments with readily availableactive quoted prices or for which fair value can be measured from activelyquoted prices generally will have a higher degree of market price observabilityand a lesser degree of judgment used in measuring fair value.

 

Investments measured and reported at fair value are classified anddisclosed in one of the following categories:

 

Level I — Quoted prices are available in active markets for identicalinvestments as of the reporting date. The type of investments included in LevelI are publicly traded investments. As required by the fair market valuemeasurement guidance, the Fund does not adjust the quoted price for theseinvestments even in situations where the Fund holds a large position and a salecould reasonably impact the quoted price.

 

Level II — Pricing inputs are other than quoted prices in activemarkets, which are either directly or indirectly observable as of the reportingdate, and fair value is determined through the use of generally accepted andunderstood models or other valuation methodologies. Investments which aregenerally included in this category are investments valued using market data.

 

Level III — Pricing inputs are unobservable and include situationswhere there is little, if any, market activity for the investment. Fair valuefor these investments is determined using valuation methodologies that considera range of factors, including but not limited to the nature of the investment,local market conditions, trading values on public exchanges for comparablesecurities, current and projected operating performance and financingtransactions subsequent to the acquisition of the investment. The inputs intothe determination of fair value require significant management judgment. Due tothe inherent uncertainty of these estimates, these values may differ materiallyfrom the values that would have been used had a ready market for theseinvestments existed.

 

12

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In certain cases, the inputs used to measure fair value may fall intodifferent levels of the fair value hierarchy. In such cases, an investment’slevel within the fair value hierarchy is based on the lowest level of inputthat is significant to the Fair Value Measurement. MLAI’s assessment of thesignificance of a particular input to the Fair Value Measurement in itsentirety requires judgment, and considers factors specific to the investment.

 

Followingis a description of the valuation methodologies used for investments, as wellas the general classification of such investments pursuant to the valuationhierarchy.

 

Exchangetraded investments are fair valued by the Fund by using the reported closingprice on the primary exchange where it trades such investments.  These closing prices are observed through theclearing broker and third party pricing services. For non-exchange tradedinvestments, quoted values and other data provided by nationally recognizedindependent pricing sources are used by the Fund as inputs into its process fordetermining fair values.

 

Theindependent pricing sources obtain market quotations and actual transactionprices for securities that have quoted prices in active markets. Each sourcehas its own proprietary method for determining the fair value of securitiesthat are not actively traded. In general, these methods involve the use of “matrixpricing” in which the independent pricing source uses observable market inputsincluding, but not limited to, investment yields, credit risks and spreads,benchmarking of like securities, broker-dealer quotes, reported trades andsector groupings to determine a reasonable fair market value.

 

TheFund has determined that Level I securities would include all of its futuresand options contracts where it believes that quoted prices are available in anactive market.

 

Wherethe Fund believes that quoted market prices are not available or that themarket is not active, fair values are estimated by using quoted prices ofsecurities with similar characteristics, pricing models or matrix pricing andthese are generally classified as Level II securities. The Fund determined thatLevel II securities would include its forward contracts.

 

The Fund’s net unrealized profit (loss) on open forward and futurescontracts by the above fair value hierarchy levels as of September 30,2010 and December 31, 2009 are as follows:

 
| **Net unrealized profit (loss)** | ** ** | ** ** | ** ** | ** **       | ** ** | ** **        | ** ** | ** **         | ** ** |
|-------------------------------------------------|------------|------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| **on open contracts**                 | ** ** | **Total**  | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|                                            |       |       |       |             |       |              |       |               |       |
| Futures                                         |       |       |       |             |       |              |       |               |       |
| Long                                            |       | $          | 11,841,603 |             | 11,012,228 |              | 829,375    |               | —     |   |
| Short                                           |       | $          | (1,766,872 | )                | (1,719,007 | )                 | (47,865    | )                  | —     |   |
|                                            |       | $          | 10,074,731 |             | $          | 9,293,221         |       | $                  | 781,510    |   | $ | — |   |
|                                            |       |       |       |             |       |              |       |               |       |
| Forwards                                        |       |       |       |             |       |              |       |               |       |
| Long                                            |       | $          | 10,383,759 |             | —     |              | 10,383,759 |               | —     |   |
| Short                                           |       | $          | (6,197,844 | )                | —     |              | (6,197,844 | )                  | —     |   |
|                                            |       | $          | 4,185,915  |             | $          | —            |       | $                  | 4,185,915  |   | $ | — |   |
|                                            |       |       |       |             |       |              |       |               |       |
| September 30, 2010                         |       | $          | 14,260,646 |             | $          | 9,293,221         |       | $                  | 4,967,425  |   | $ | — |   |

 

13

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| **Net unrealized profit (loss)** | ** ** | ** ** | ** ** | ** **       | ** ** | ** **        | ** ** | ** **         | ** ** |
|-------------------------------------------------|------------|------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| **on open contracts**                 | ** ** | **Total**  | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|                                            |       |       |       |             |       |              |       |               |       |
| Futures                                         |       |       |       |             |       |              |       |               |       |
| Long                                            |       | $          | (65,216    | )                | (94,122    | )                 | 28,906     |               | —     |   |
| Short                                           |       | $          | (9,408     | )                | (9,408     | )                 |       |               | —     |   |
|                                            |       | $          | (74,624    | )                | $          | (103,530          | )          | $                  | 28,906     |   | $ | — |   |
|                                            |       |       |       |             |       |              |       |               |       |
| Forwards                                        |       |       |       |             |       |              |       |               |       |
| Long                                            |       | $          | (295,560   | )                | —     |              | (295,560   | )                  | —     |   |
| Short                                           |       | $          | (600,290   | )                | —     |              | (600,290   | )                  | —     |   |
|                                            |       | $          | (895,850   | )                | $          | —            |       | $                  | (895,850   | ) | $ | — |   |
|                                            |       |       |       |             |       |              |       |               |       |
| December 31, 2009                          |       | $          | (970,474   | )                | $          | (103,530          | )          | $                  | (866,944   | ) | $ | — |   |

 

TheFund’s volume of trading forward and futures as of the period and year ended September 30,2010 and December 31, 2009, respectively, are representative of theactivity throughout these periods.

 

Therewere no significant transfers to or from Level I or II during the quarter andperiod ended September 30, 2010.

 

TheFund engages in the speculative trading of futures, options on futures andforward contracts on a wide range of commodities. Such contracts meet thedefinition of a derivative as noted in the guidance for derivatives and hedging activities. The fair value amountsof and the gains and losses on derivative instruments is disclosed in theStatements of Financial Condition and Statements of Operations, respectively.There are no credit related contingent features embedded in these derivativecontracts.

 

Thefollowing table indicates the trading gains and losses, by commodity industrysector, on derivative instruments for each of the three month and nine monthperiods ended September 30, 2010 and 2009:

 
| ** **                  | ** ** | **For the three months ended** | ** ** | **For the nine months ended** | ** ** |
|-----------------------------|------------|----------------------------------------------------|------------|---------------------------------------------------|------------|
| ** **                  | ** ** | **September 30, 2010**                   | ** ** | **September 30, 2010**                  | ** ** |
| **Commodity Industry** | ** ** | **Gain (loss)**                               | ** ** | **Gain (loss)**                              | ** ** |
| **Sector**                  | ** ** | **from trading**                              | ** ** | **from trading**                             | ** ** |
|                        |       |                                               |       |                                              |       |
| Agriculture                 |       | $                                                  | 1,402,743  |                                              | $          | (4,521,198 | ) |
| Currencies                  |       | 6,408,801                                          |       | 7,692,898                                         |       |
| Energy                      |       | (4,594,231                                         | )          | (9,630,618                                        | )          |
| Interest rates              |       | 15,863,195                                         |       | 50,508,921                                        |       |
| Metals                      |       | 1,969,011                                          |       | (2,980,423                                        | )          |
| Stock indices               |       | (2,331,008                                         | )          | (10,177,802                                       | )          |
|                        |       |                                               |       |                                              |       |
| Total                       |       | $                                                  | 18,718,511 |                                              | $          | 30,891,778 |   |

 

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| ** **                  | ** ** | **For the three months ended** | ** ** | **For the nine months ended** | ** ** |
|-----------------------------|------------|----------------------------------------------------|------------|---------------------------------------------------|------------|
| ** **                  | ** ** | **September 30, 2009**                   | ** ** | **September 30, 2009**                  | ** ** |
| **Commodity Industry** | ** ** | **Gain (loss)**                               | ** ** | **Gain (loss)**                              | ** ** |
| **Sector**                  | ** ** | **from trading**                              | ** ** | **from trading**                             | ** ** |
|                        |       |                                               |       |                                              |       |
| Agriculture                 |       | $                                                  | 2,551,632  |                                              | $          | 2,025,112 |   |
| Currencies                  |       | 2,860,778                                          |       | (7,943,413                                        | )          |
| Energy                      |       | (3,300,251                                         | )          | (9,969,754                                        | )          |
| Interest rates              |       | 9,102,154                                          |       | (4,994,624                                        | )          |
| Metals                      |       | 2,781,743                                          |       | (5,312,490                                        | )          |
| Stock indices               |       | 3,009,383                                          |       | 1,681,390                                         |       |
|                        |       |                                               |       |                                              |       |
| Total                       |       | $                                                  | 17,005,439 |                                              | $          | (24,513,779 | ) |

 

The Fund is subject to the risk of insolvency of a counterparty, anexchange, a clearinghouse or MLPF&S. Fund assets could be lost or impounded during lengthy bankruptcyproceedings.  Were a substantial portionof the Fund’s capital tied up in a bankruptcy or other similar types ofproceedings, MLAI might suspend or limit trading, perhaps causing the Fund tomiss significant profit opportunities. There are increased risks in dealing with unregulated tradingcounterparties including the risk that assets may not benefit from theprotection afforded to “customer funds” deposited with regulated dealers andbrokers.

 

4.   MARKET AND CREDIT RISK

 

The nature of this Fund has certain risks, which cannot be presented onthe financial statements.  The followingsummarizes some of those risks.

 

MarketRisk

 

Derivative instruments 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 has procedures in place intended to control market risk exposure,although there can be no assurance that they will, in fact, succeed in doingso.  These procedures focus primarily onmonitoring the trading of Aspect, calculating the Net Asset Value of the Fundas of the close of business on each day and reviewing outstanding positions forover-concentrations.  While MLAI does notintervene in the markets to hedge or diversify the Fund’s market exposure, MLAImay urge Aspect to reallocate positions in an attempt to avoidover-concentrations.  However, suchinterventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consistsimply of the ongoing process of advisor monitoring, with the market riskcontrols being applied by Aspect.

 

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Credit Risk

 

The risks associated with exchange-traded contracts are typicallyperceived to be less than those associated with over-the-counter (non-exchange-traded)transactions, because exchanges typically provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins, which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.

 

The credit risk associated with these instruments from counterpartynonperformance is the net unrealized profit on open contracts, if any, includedin the Statements of Financial Condition. The Fund attempts to mitigate thisrisk by dealing exclusively with Merrill Lynch entities as clearing brokers.

 

The Fund, in its normal course of business, enters into variouscontracts, with MLPF&S acting as its commodity broker.  Pursuant to the brokerage arrangement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in Equity in commodity trading accounts in the Statements ofFinancial Condition.

 

Indemnifications

 

In the normal course of business, the Fund has entered, or may in thefuture enter into agreements that obligate the Fund to indemnify third parties,including affiliates of the Fund, for breach of certain representations andwarranties made by the Fund. No claims have actually been made with respect tosuch indemnities and any quantification would involve hypothetical claims thathave not been made. Based on the Fund’s experience, MLAI expected the risk ofloss to be remote and, therefore, no provision has been recorded.

 

5.   RECENT ACCOUNTING PRONOUNCEMENTS

 

In January 2010, the FASB issued an update to the fair valuemeasurements disclosure. Pursuant to this update, additional disclosures in thefinancial statements relating to transfers in and out of Levels 1 and 2 fairvalue measurements and separate disclosure of purchases, sales, issuances, andsettlements in Level 3 roll forward, will be required. In addition, this updateprovides clarifications on i) the level of aggregation of classes of assets andliabilities disclosed in the fair value measurement disclosures and ii)disclosures relating to the inputs and valuation techniques for Level 2 andLevel 3 fair value measurements. The new disclosures and clarifications ofexisting disclosures are effective for annual reporting periods beginning afterDecember 15, 2009, except for the disclosures about purchases, sales,issuances, and settlements in the Level 3 roll forward which are effective forfiscal years beginning after December 15, 2010. This update furtherenhances the fair value disclosures and the Sponsor has determined that theadoption of this update on January 1, 2010 did not have a material impactto the Fund’s financial statements.

 

6.   SUBSEQUENT EVENTS

 

Management has evaluated the impact of subsequent events on the Fundand has determined that there were no subsequent events that requireadjustments to, or disclosure in, the financial statements.

 

16

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

 

MONTH-END NET ASSET VALUEPER UNIT

 

MLAI believes that the Net Asset Value used to calculate subscriptionand redemption value and to report performance to investors throughout the yearis a useful performance measure for the investors of the Fund.  Therefore, the charts below referencing NetAsset Value and performance measurements are based on Net Asset Value forfinancial reporting purposes.

 

The Fund calculates the Net Asset Value per unitof each class of units as of the close of business on the last business day ofeach calendar month and such other dates as MLAI may determine in itsdiscretion. The Fund’s “Net Asset Value” as of any calculation date willgenerally equal the value of the Fund’s account under the management of itstrading advisor as of such date, plus any other assets held by the Fund, minusaccrued brokerage commissions, sponsor’s, management and performance fees, andany operating costs and other liabilities of the Fund. MLAI is authorized tomake all Net Asset Value determinations.

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.5995     |     | $          | 1.6080   |       | $        | 1.5546     |    | $          | 1.5051   |       | $        | 1.4710     |     | $          | 1.3497    |       | $ | 1.3304 |   | $ | 1.3808 |   | $ | 1.4201 |   |
| 2010       |       | $        | 1.3476     |     | $          | 1.3807   |       | $        | 1.4306     |    | $          | 1.4557   |       | $        | 1.4097     |     | $          | 1.4216    |       | $ | 1.4004 |   | $ | 1.4983 |   | $ | 1.5136 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.5447     |     | $          | 1.5516   |       | $        | 1.4988     |    | $          | 1.4499   |       | $        | 1.4159     |     | $          | 1.2980    |       | $ | 1.2783 |   | $ | 1.3257 |   | $ | 1.3623 |   |
| 2010       |       | $        | 1.2884     |     | $          | 1.3190   |       | $        | 1.3655     |    | $          | 1.3883   |       | $        | 1.3433     |     | $          | 1.3535    |       | $ | 1.3322 |   | $ | 1.4241 |   | $ | 1.4375 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.7234     |     | $          | 1.7347   |       | $        | 1.6790     |    | $          | 1.6277   |       | $        | 1.5928     |     | $          | 1.4633    |       | $ | 1.4441 |   | $ | 1.5007 |   | $ | 1.5454 |   |
| 2010       |       | $        | 1.4738     |     | $          | 1.5119   |       | $        | 1.5685     |    | $          | 1.5980   |       | $        | 1.5495     |     | $          | 1.5645    |       | $ | 1.5431 |   | $ | 1.6530 |   | $ | 1.6719 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.6225     |     | $          | 1.6316   |       | $        | 1.5781     |    | $          | 1.5284   |       | $        | 1.4943     |     | $          | 1.3715    |       | $ | 1.3523 |   | $ | 1.4041 |   | $ | 1.4445 |   |
| 2010       |       | $        | 1.3725     |     | $          | 1.4068   |       | $        | 1.4581     |    | $          | 1.4842   |       | $        | 1.4378     |     | $          | 1.4504    |       | $ | 1.4292 |   | $ | 1.5296 |   | $ | 1.5457 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.7162     |     | $          | 1.7274   |       | $        | 1.6719     |    | $          | 1.6207   |       | $        | 1.5860     |     | $          | 1.4570    |       | $ | 1.4379 |   | $ | 1.4943 |   | $ | 1.5388 |   |
| 2010       |       | $        | 1.4675     |     | $          | 1.5054   |       | $        | 1.5618     |    | $          | 1.5912   |       | $        | 1.5428     |     | $          | 1.5578    |       | $ | 1.5365 |   | $ | 1.6459 |   | $ | 1.6648 |   |

 

MONTH-END NET ASSET VALUE PER INITIAL UNITCLASS DT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2009       |       | $        | 1.7551     |     | $          | 1.7679   |       | $        | 1.7110     |    | $          | 1.6593   |       | $        | 1.6245     |     | $          | 1.4930    |       | $ | 1.4740 |   | $ | 1.5325 |   | $ | 1.5788 |   |
| 2010       |       | $        | 1.5081     |     | $          | 1.5478   |       | $        | 1.6064     |    | $          | 1.6373   |       | $        | 1.5882     |     | $          | 1.6043    |       | $ | 1.5830 |   | $ | 1.6964 |   | $ | 1.7166 |   |

 

17

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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 restrictedcash) and (ii) interest receivable. Because of the low margin deposits normally required in commodityfutures trading relatively small price movements may result in substantiallosses to the Fund.  While substantiallosses could lead to a material decrease in liquidity, no such material lossesoccurred during the third quarter of 2010 and there was no impact on the Fund’sliquidity.

 

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

 

For the nine months ended September 30, 2010,Fund capital decreased 0.78% from $265,629,162 to $263,545,858.  This decrease was attributable to the netgain from operations of $24,414,333 coupled with the redemption of 26,759,540Redeemable Units resulting in an outflow of $40,785,365.  The cash outflow was offset with cash inflowof $14,287,728 due to subscription of 10,003,981 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Statement of Cash Flows

 

The Fund is not required to provide a Statement of Cash Flows.

 

Investments

 

All investments (including derivatives) are held 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 a commoditytrading account 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 theStatements of Operations.

 

Cash Equivalents

 

TheFund considers all highly liquid investments, with a maturity of three monthsor less when acquired, to be cash equivalents. Cash equivalents were recordedat amortized cost which approximated fair value (Level II see Note 3).  Cash was held at a nationally recognizedfinancial institution.

 

Fair Value Measurements

 

Fair value is defined as the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction between market participants at the measurement date.  For more information on our treatment of fairvalue, see Note 3, Fair Value of Investments.

 

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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 asS&P 500 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 orlosses by 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.

 

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 Operations.

 

Interest Rates and Income

 

The Fund currently earns interest based on the prevailingFed Funds rate plus a spread for short cash positions and minus a spread forlong cash positions. The current short term interest rates have remainedextremely low when compared with historical rates and thus has contributednegligible amounts to overall Fund performance.

 

Income Taxes

 

No provision for income taxes has been made in the accompanyingfinancial statements as each Member is individually responsible for reportingincome or loss based on such Member’s share of the Fund’s income and expensesas reported for income tax purposes.

 

The Fund follows the ASC guidance onaccounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized,measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation oftax positions taken or expected to be taken in the course of preparing the Fund’sfinancial statements to determine whether the tax positions are “more-likely-than-not”to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fundlevel not deemed to meet the “more-likely-than-not” threshold would be recordedas a tax benefit or expense in the current year.  MLAI has analyzed the Fund’s tax positionsand has concluded that no provision for income tax is required in the Fund’sfinancial statements. The following are the major tax jurisdictions for theFund and the earliest tax year subject to examination: United States – 2007.

 

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Results of Operations

 

January 1, 2010 to March 31, 2010

 

TheFund experienced a net trading profit of $11,121,210 before brokeragecommissions and related fees in the first quarter of 2010. Profits wereprimarily attributable to interest rates and currency sectors posting profits.Energy, stock indices, metals and agriculture sectors posted losses.

 

Theinterest rate sector posted profits to the Fund. Profits were posted to theFund at the beginning of the quarter. Long positions in fixed income marketsbenefited from the move toward risk aversion due to United Kingdom data andcomments by the Bank of England and the European Central Bank. The prevailingmacroeconomic sentiment oscillated between risk aversion and inflationaryconcerns with the former being marginally dominant in February. As a result,profits were posted to the Fund in the middle of the quarter from the longpositions in both short-term interest rate futures contracts and some bondmarkets. Data releases pointing to economic recovery drove the prices of riskyassets higher in March despite some continued concerns about Europeansovereign debt mid-month.  Consequently,global stock markets rallied and bond markets sold off with the JapaneseGovernment Bonds being the worst performer for the sector. European interestrate markets were buoyed by concerns over Greece and poor economic data out ofthe United Kingdom resulted in losses being posted to the Fund at the end ofthe quarter.

 

Thecurrency sector posted profits to the Fund. Losses were posted to the Fund atthe beginning of the quarter due to the net short exposure to the strengtheningof the U.S. dollar. The weakness of the euro and the British pound providedopportunity for profits posted to the Fund in the middle of the quarter. Incurrencies, emerging market and commodity currencies strengthened against theU.S. dollar to the benefit of the trading program’s positioning, resulting inprofits being posted to the Fund.

 

Theenergy sector posted losses to the Fund. Losses were posted to the Fund at thebeginning of the quarter. Poorer growth outlook resulted in many commoditiesmarkets selling off. This was particularly detrimental to the trading program’slong positioning in the oil complex. Oil prices faced additional downwardpressure due to an increase in inventories and milder weather in the UnitedStates. Profits were posted to the Fund in the middle of the quarter due tolong positions in energy contracts benefiting from the further upward move inprices. Commodity markets generally follow the direction of stock markets andfinished the month of March higher. Inenergies, long positions in the oil complex resulted in positive performance,but the Fund also profited on the short side from the decline in the naturalgas price following milder weather in the United States and a build-up ininventories. The quarter ended with profits being posted to the Fund.

 

Thestock indices posted losses to the Fund. After positive performance in thefirst two weeks of the year, a reversal in investor risk appetite resulted in aloss for the calendar month. The change in sentiment was driven, in part, bydisappointing earnings announcements and fears over potential monetarytightening in China as the People’s Bank of China increased banks’ reserverequirements and introduced measures aimed at curbing lending. As a result thetrading program’s long positions in stock indices resulted in losses beingposted to the Fund at the beginning of the quarter. The prevailingmacroeconomic sentiment oscillated between risk aversion and inflationaryconcerns with the former being marginally dominant. As a result profits wereposted to the Fund in the middle of the quarter from long positions in stockindices. Data releases pointing to economic recovery drove the prices of riskyassets higher in March despite some continued concerns about Europeansovereign debt. Consequently, global stock markets rallied, producing profitsfor the Fund at the end of the quarter.

 

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Themetals sector posted losses to the Fund. Losses were posted to the Fund at thebeginning of the quarter. Poorer growth outlook resulted in many commoditiesmarkets selling off. This was particularly detrimental to the trading program’slong positions in industrial metals. The month of February was, to a largedegree, dominated by news flow relating to the debt crisis within the Eurozone. The prevailing macroeconomic sentiment oscillated between risk aversionand inflationary concerns with the former being marginally dominant. As aresult, the Fund posted profits in the middle of the quarter from longpositions in the metals sectors. Profits were seen in industrial metals inMarch, especially nickel which reached a twenty two month high. The quarterended with profits being posted to the Fund.

 

Theagriculture sector posted losses to the Fund. Profits were posted to the Fundat the beginning of the quarter. Gains on long exposure to sugar markets, whoseprice rallied due to supply concerns, more than offset losses on long positionsin the soy complex and cotton. Losses were posted to the Fund in the middle ofthe quarter. The longer term bull market in sugar reversed sharply from multiyear highs as output in both Brazil and India rose. Positive performance onshort positions in corn and wheat was more than offset by losses in sugar andcoffee.  The sugar losses were incurredwhen prices fell to an eleven week low as the supply outlook improved.  The quarter ended with losses being posted tothe Fund.

 

April 1,2010 to June 30, 2010

 

TheFund experienced a net trading profit of $1,052,057 before brokeragecommissions and related fees in the second quarter of 2010. The Funds profitswere primarily attributable to the interest rate sector posting profits and thecurrency, metals, agriculture, energy and stock indices posted losses.

 

Theinterest rate sector posted profits to the Fund. The sovereign creditdowngrades in Europe provided the opportunity for the trading program’s longpositions in fixed income to post profits to the Fund in April. Fixed incomemarkets saw positive performance throughout the month of May as thegeneral risk aversion saw these markets rally strongly resulting in profitsbeing posted to the Fund. The best performances came from the trading program’slong positions in European and United Kingdom markets at both ends of the curve.Fixed income prices rallied, particularly towards the end of June asinvestors questioned the sustainability of global growth given the pooreconomic data out of the United States, Japan and China and concerns about thecreditworthiness of European banks and governments. The commitment of centralbanks to keep interest rates at current levels also helped boost the price ofinterest rate futures. The quarter ended with profits being posted to the Fund.

 

The currency sector postedlosses to the Fund. Positive returns in currency markets were driven by aweakening Euro and emerging market exposure resulting in profits posted to theFund at the beginning of the quarter. The strengthening U.S. dollar yieldedprofits in the trading program’s long positions against the major Europeancurrencies which was not enough to offset losses in the U.S. dollar against theAustralian dollar resulting in losses being posted to the Fund in the middle ofthe quarter. The currency sector was the worst performer in the month of June aslosses in short positions in the Swiss franc and British pound exposures offsetsmall gains in short positions in Euro. The Swiss National Bank decided thatdeflationary risks were no longer a threat and stopped limiting the Swiss franc’sstrength, while in the United Kingdom the emergency budget and commentarysurrounding it caused the British pound to strengthen against the U.S. dollarand the quarter ended with losses posted to the Fund.

 

The metals sector postedlosses to the Fund. Losses were posted to the Fund at the beginning of thequarter. Base metals declined following more bearish economic sentiment towardsthe end of April resulting in losses in the trading program’s longpositions in aluminum and copper. The trading program’s long positions inindustrial metals resulted in losses being posted to the Fund in the middle ofthe quarter. Profits were posted to the Fund at the end of the quarter due toprecious metals.

 

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The agriculture sectorposted losses to the Fund. Losses were posted to the Fund at the beginning ofthe quarter with gains on short positions in sugar being offset by losses onshort positions in grains.

 

Stocks and commodities soldoff which hurt the trading program’s long exposures in agriculture resulting inlosses being posted to the Fund in the middle of the quarter. In agricultures,the New York Mercantile Exchange front-month coffee futures rallied over thecourse of June to the detriment of the trading program’s short positions,resulting in losses being posted to the Fund at the end of the quarter

 

The energy sector postedlosses to the Fund. Profits were posted to the Fund at the beginning of thequarter due to continuing rises in oil markets. Losses were posted to the Fundin the middle of the quarter as the energy markets fell in May resultingfrom volatility in global markets. In energies, natural gas prices rallied inthe first half of June due to a combination of short covering and bullishinventory data which was not enough to offset losses. The quarter ended withlosses being posted to the Fund.

 

The stock indices postedlosses to the Fund. Strong economic data and positive earnings announcementsresulted in profits being posted to the Fund at the beginning of the quarterdue to the trading programs long stock positions.  Fears of contagion in the European debtcrisis drove stock markets downwards, furthered by the intraday volatility seenin United States Stock indices on the 6th of May caused by an alleged tradingirregularity resulting in losses being posted to the Fund in the middle of thequarter. Equities continued their downward slide in June as concernsregarding European financial stability and global growth plagued markets. Whilestock markets globally rebounded slightly in the middle of June, the last twoweeks were particularly volatile and stocks sold off at the end of the monthresulting in losses being posted to the Fund.

 

July 1, 2010 to September 30,2010

 

TheFund experienced a net trading profit of $18,718,511 before brokeragecommissions and related fees in the third quarter of 2010. The Funds profitswere primarily attributable to the interest rate, currency, metals and theagriculture sectors posting profits and the stock indices and energy sectorsposted losses.

 

The interest rate sector posted profits to the Fund.Profits were posted to the Fund at the beginning of the quarter. In the UnitedStates, weaker than expected economic data released in the middle of the monthpushed both government bonds and short term interest rate futures higher. Inthe United Kingdom, the trend was briefly derailed by unexpectedly strong grossdomestic product figures but prices recovered following the Bank of Englandstatement playing down the significance of this on the outlook for interestrates. Profits continued to be posted in the middle of the quarter as August wascharacterized by risk-aversion in markets, which was fuelled by poor economicdata out of the United States and dovish comments by the Federal Reserve’sChairman early in the month. The United Kingdom, Europe and Japan also releasedweak data. Consequently, the majority of global stock markets sold off andposted losses for the month. Against this backdrop, fixed income marketsrallied worldwide and the U.S. dollar strengthened, resulting in profits postedto the Fund.  September started withinvestor optimism following strong manufacturing numbers out of China and theUnited States. Consequently, fixed income markets sold off, to the detriment ofthe trading program’s long positions, while equity markets rallied. However,the prices of U.S. bonds recovered following the U.S. Federal Reserve’scomments towards the end of the month about the possibility of a further roundof quantitative easing resulting in profits being posted to the Fund at the endof the quarter.

 

Thecurrency sector posted profits to the Fund. Profits were posted to the Fund atthe beginning of the quarter. In July a similar pattern to recent months,positive performance was seen in currency markets despite volatility towardsthe end of the month. Losses were posted to the Fund in the middle of thequarter as the U.S. dollar strengthened which was fuelled by poor economic dataout of the United States and dovish comments by the Federal Reserve’s Chairmanearly in the month. The United Kingdom, Europe and Japan also released weakdata. Losses on the trading program’s net short exposure to the U.S. dollarwere partially offset by gains on long

 

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exposuresto other safe-haven currencies, namely the Swiss franc and the Japanese yen.The Japanese yen hit 15-year highs in August and the Bank of Japan metseveral times to discuss the Japanese yen’s strength. Profits were posted tothe Fund at the end of the quarter. The U.S. dollar declined to the benefit ofthe trading program’s net short positioning, particularly against commoditycurrencies and the Swiss franc. Long positions in emerging market currenciesalso contributed positively.

 

Themetals sector posted profits to the Fund. Losses were posted to the Fund at thebeginning of the quarter as metal markets rallied, hurting the trading program’sshort positions, especially in zinc. By contrast, the gold price fell back in July continuinginto August as economic worries waned, causing some giveback of recentprofits. Profits were posted to the Fund in the middle through the end of thequarter. In September performance in metals was largely driven by gainsfrom gold and silver, whose prices rallied due to safe-haven buying.

 

Theagriculture sector posted profits to the Fund. The trading program’s shortposition in wheat suffered as the market saw its biggest monthly gain since1973 driven by supply concerns over droughts in Russia and Ukraine. However,long exposure in coffee profited as prices reached a 12-year high which was notenough to offset losses being posted to the Fund at the beginning of thequarter. Losses continued to be posted to the Fund in the middle of the quarterwhich was largely driven by losses on the trading program’s long positions inRobusta coffee. After range bound behavior for most of the August, pricespulled back sharply towards the end of the month following strong exportnumbers out of Vietnam. Profits were posted to the Fund at the end of thequarter which was driven by gains on long positions in cotton, soy complex,sugar and corn. Grain prices rallied after delays in the United States harvestand poor crop yields. Cotton reached 15-year highs as poor weather in China andfloods in Pakistan damaged crops.

 

Stockindices posted losses to the Fund. Losses were posted to the Fund at thebeginning of the quarter as short positions in equities experienced losses asthis sector generally rallied, reversing the downward trends of previousmonths. Profits were posted to the Fund in the middle of the quarter in lieu ofthe risk-aversion in markets, which was fuelled by poor economic data out ofthe United States and dovish comments by the Federal Reserve’s Chairman earlyin the month. The United Kingdom, Europe and Japan also released weak data. Themonth of September started with investor optimism following strongmanufacturing numbers out of China and the United States. Consequently, fixedincome markets sold off, to the detriment of the trading program’s longpositions, while equity markets rallied which was not enough to offset lossesbeing posted to the Fund at the end of the quarter.

 

Theenergy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter as energymarkets rallied hurting the trading program’s short positions. Profits wereposted to the Fund in the middle of the quarter due to the trading program’sshort positions in crude oil and natural gas. Crude oil and natural gas pricesdeclined as a result of the weaker growth outlook and risk aversion. Oil pricesgained in September due to a weaker U.S. dollar and an unexpected drop ininventories towards the end of the month, resulting in losses being posted tothe Fund due to the trading program’s short positioning.

 

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.

 

The energy sector posted profits for the Fund.Profits were posted to the Fund at the beginning of the quarter driven by gainsfrom crude oil and natural gas, whose prices declined from bearish inventorydata. The Fund’s short positions in natural gas and products of crude oilposted profits to the Fund in the middle of the quarter. The quarter ended withlosses being posted to the Fund as crude oil prices rose despite OPECannouncing that it will not cut output.

 

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The interest rate sector posted losses for the Fund. The quarter beganwith losses being posted to the Fund due to bonds being sold off and interestrates rose as governments continued to develop rescue plans and packages toboost growth. This was particularly seen in European bond markets with U.K.Gilts and Bunds being two of the worst contracts. However, the Fund’s longpositions in interest rates benefited from the rate cut decisions of the Bankof England and the European Central Bank but were not enough to offset thelosses. Long positions in the interest rate model was profitable for the Fundin the middle of the quarter however, performance was dragged down by losses inshort positions in the Australian dollar and British sterling as quantitativeeasing seemed more likely than further interest rate cuts in the UnitedKingdom. The U.S. Federal Reserve’s plan to repurchase debt caused U.S. fixedincome markets to rally. U.S. interest rate markets and European fixed incomemarkets followed and the Fund’s long positions posted profits to the Fund atthe end of the quarter.

 

The metals sector posted losses for the Fund. Profits were posted tothe Fund at the beginning of the quarter as industrial metals declined due tostock build-ups which benefited from the Fund’s short positions. Losses wereposted in the middle of the quarter due to volatility in the global markets.Revised inflationary expectations caused commodities markets to rally to thedetriment of the Fund’s short positions in base metals posting losses to theFund as the quarter ended. Precious metals declined as investors sold out ofsafe haven assets which was also detrimental to the Fund’s long positions.

 

The agriculture sector posted losses for the Fund. Profits were postedto the Fund at the beginning through the middle of the quarter despite lossesfrom a sharp reversal in cocoa markets. Losses were posted to the Fund at theend of the quarter due to challenging market conditions.

 

The stock indices sector posted losses for the Fund. Profits wereposted to the Fund at the beginning of the quarter due to the stock marketsrallying with renewed investor optimism in response to the U.S. President Obama’sstimulus plan. Profits continued to be posted to the Fund through the middle ofthe quarter as global equity markets continue their poor performance caused byfurther weak economic data and problems for financial companies which benefitedthe Fund’s short positions. Although most global stock markets remain innegative territory at the end of the quarter, many saw a strong rally to thedetriment of the Fund’s short positions resulting in losses being posted to theFund.

 

The currency sector posted losses for the Fund. The U.S. dollarcontinued strengthening as a result of risk aversion and the increasinglynegative outlook for Europe. Europe continues to deal with crises in thefinancial sector particularly in the weakness of the British sterling to thebenefit of the Fund’s short positions resulting in profits being posted to theFund at the beginning of the quarter. Profits were posted to the Fund in themiddle of the quarter. The currencies sector had an eventful February andprovided the most volatility; profits were seen from weakness in the Swedishkrona and Canadian dollar which offset losses in the Japanese yen against theU.S. dollar. The Swedish krona fell to a record low against the Euro after anunexpectedly large rate-cut and the worst Swedish GDP figures since 1940. Thequarter ended with losses being posted to the Fund. The announcement of theU.S. Treasury’s new plans resulted in the U.S. dollar weakening against majorcurrencies resulting in losses being posted to the Fund at the end of thequarter.

 

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 agriculture sector posted profits for the Fund. Profits were postedto the Fund at the beginning of the quarter driven by short positions in leanhogs following concerns over swine flu. Losses were posted to the Fund in themiddle of the quarter due to challenging market conditions. Commodities marketsrallied at the 

 

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end of quarter which benefited long positions in agricultural such assugar and soy meal resulting in profits posted to the Fund.

 

The stock indices posted profits for the Fund. Losses were posted tothe Fund as most equity index positions also suffered from this rallycontinuing in early April, but positions responded and small profits were seenin the MSCI Taiwan index and in European sectors indices only. Positiveeconomic releases continued to boost investor optimism and risk appetite;consequently global stock indices finished the month positively posting profitsto the Fund in the middle of the quarter. Rallying equity markets continued toboost investor optimism resulting in profits posted to the Fund at the end ofthe quarter.

 

The metals sectors posted losses for the Fund. Losses were posted tothe Fund at the beginning of the quarter due short positions in aluminum andnickel which suffered losses due to markets anticipation increased demand asequities rallied following the G20 summit. Improving global outlook promptedmost commodity markets to rally resulting in profits being posted to the Fundin the middle of the quarter. Short positions in metals including aluminumresulted in losses being posted to the Fund at the end of the quarter.

 

The currency sector posted losses for the Fund. Trend reversals wereseen in late March continuing into April resulting in losses beingposted to the Fund. The British sterling and the Canadian dollar recoveredfollowing recent weakness and the resulting losses outweighed the profits seenfrom the strengthening South African rand. Short positions in the Britishsterling rallied in the middle of the quarter following the latest United

 

Kingdom inflation report however, increased risk appetite resulted in asell off in the U.S. dollar which hit 2009 lows resulting in losses beingposted to the Fund. The United States dollar, which had been weakening sincethe United States Federal Reserve announced its quantitative easing policies inMarch, regained some of its strength and the recent trend in short-terminterest rates reversed. The Euro dollar, the British sterling and Euribor allsaw their most aggressive selling since October 2008. These sharp movesresulted in losses on the Program’s long positions in these contracts. Inresponse, the Program reduced its positions as volatility increased.Performance in other sectors also reflected the difficult market environmentfor medium-term trend-following strategies. In currencies, the losses in the U.S.dollar positions were compounded by losses in the Swiss franc and Japanese yen;these were partially offset by gains on the Program’s short Euro exposure.

 

The energy sector posted losses for the Fund.Profits were posted to the Fund at the beginning of the quarter driven by shortpositions in natural gas which reached multi year lows. Prices of energies wereboosted by bullish inventory particularly in natural gas but did not offset thelosses due to a volatile global market posting losses to the Fund from themiddle to the end of the quarter.

 

The interest rate sector posted losses for the Fund. The quarter beganwith losses being posted to the Fund due to trend reversals seen in late March continuinginto the beginning of the quarter due to the European Central Bank’s surprisedecision to reduce rates. Profits were posted to the Fund in the middle of thequarter due to rallying equity markets accompanied by a sell-off in fixedincome markets. This was to the benefit of the Program’s short positions inseveral bond contracts, most notably the Japanese and Australian governmentbonds. The quarter ended with losses being posted to the Fund due to thedifficult market environment. The bonds sector saw losses with the Program’sshort exposure to Japanese Government bonds suffering from the weak outlook forthe Japanese economy.

 

July 1,2009 to September 30, 2009

 

The Fund experienced a net trading profit of$17,005,439 before brokerage commissions and related fees in the third quarterof 2009 of $233,906. The Fund posted overall profits for the quarter withinterest rates, stock indices, currencies, metals and agriculture sectorsposting profits while the energy sector postedlosses.

 

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The interest rate sector posted profits for the Fund. Profits wereposted to the Fund at the beginning of the quarter. Global equity markets soldoff at the start of July in response to poor economic data in the UnitedStates. In addition, the European Central Bank announced that it would keepinterest rates on hold at their current levels resulting in a rally in fixedincome markets which benefited the Fund’s long position exposure to Europeanbonds and short term interest rates. The major central banks reiterated in August thatinterest rate increases are unlikely in the near term, causing the prices ofshort term interest rate futures to rise resulting in profits being posted tothe Fund. The European Central Bank cautioned in September that it was tooearly to unwind monetary stimuli, which resulted in fixed income markets,particularly short term interest rates rallying as the likelihood of interestrate hikes was discounted resulting in profits being posted to the Fund at theend of the quarter.

 

The stock indices posted profits for the Fund. Losses were posted tothe Fund at the beginning of the quarter as global equity markets sold off inresponse to poor economic data in the United States. Profits were posted to theFund in the middle of the quarter as the recovery of risk appetite continuedwith global stock markets finishing higher at the end of August.  Global stock markets started the month of September ona decline following some poor economic data from the United States and theUnited Kingdom. Sentiment later recovered and stock markets rallied followingmore positive economic releases, increased merger activity and comments by theEuropean Central Bank indicating that the worst of the recession is overresulted in profits being posted to the Fund at the end of the quarter.

 

The currency sector posted profits for the Fund. Losses were posted tothe Fund at the beginning through the middle of the quarter as corporateearnings, announcements across a broad range of industries exceeded analystsforecasts. Increased risk appetite in turn resulted in commodities marketsrallying; the United States dollar weakened and the Fund’s net short UnitedStates dollar exposure also saw losses. Profits were posted to the Fund at theend of the quarter as the United States dollar sold off and the Dollar Indexhit its lowest levels since September 2008.

 

The metals sector posted profits for the Fund throughout the quarterwith copper rallying in August and precious metals rallying in September.Precious metals were the key within this sector resulting in strong gains onlong positions in gold and silver.

 

The agriculture sector posted profits for the Fund. Losses were postedto the Fund at the beginning of the quarter due to the Fund’s long positions inthe soy complex suffered as grains sold off in early in the month due tofavorable weather conditions in the United States. Profits were posted to theFund in the middle of the quarter due to long positions in sugar which providedmost of the profit, as global supplies and crop forecasts declined due toadverse weather conditions in Brazil and India, pushing prices to 28 yearhighs. The quarter ended with losses being posted to the Fund due to volatilityin global markets.

 

The energy sector posted losses for the Fund.Losses were posted to the Fund at the beginning of the quarter as shortpositions in natural gas continued to be profitable as mild weather andinventory build up pushed prices downwards. However, these gains were more thanoffset by losses on short positions across most of the other energy markets.Profits were posted to the Fund in the middle of the market as natural gasprofits came on the short side as inventory build ups pushed prices down to aseven year low. Positions elsewhere in the energies sector were less successfulas the oil price became more range bound. The quarter ended with losses beingposted to the Fund as the front month natural gas contracts eventually ralliedfrom seven year lows following bullish inventory data and short covering.Consequently, the Program’s short positions in energy resulted in losses forthe Fund.

 

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The Fund has no applicable off-balance sheet arrangements or tabulardisclosure of contractual obligations of the type described in Items 303(a)(4) and303(a)(5) of Regulation S-K.

 

Item 3.  Quantitative andQualitative Disclosures About Market Risk

 

Introduction

 

The Fund is a speculative commodity pool. The market sensitiveinstruments held by it are acquired for speculative trading purposes and all orsubstantially all of the Fund’s assets are subject to the risk of tradingloss.  Unlike an operating company, therisk of market sensitive instruments is integral, not incidental, to the Fund’smain line of business.

 

Market movements result in frequent changes in the fair market value ofthe Fund’s open positions and, consequently, in its earnings and cash flow. TheFund’s market risk is influenced by a wide variety of factors, including thelevel and volatility of interest rates, exchange rates, equity price levels,the market value of financial instruments and contracts, the diversificationeffects among the Fund’s open positions and the liquidity of the markets inwhich it trades.

 

The Fund, under the direction of Aspect, rapidly acquires and liquidatesboth long and short positions in a wide range of different markets.  Consequently, it is not possible to predicthow a particular future market scenario will affect performance, and the Fund’spast performance is not necessarily indicative of its future results.

 

Value at Risk is a measure of the maximum amount which the Fund couldreasonably be expected to lose in a given market sector. However, the inherentuncertainty of the Fund’s speculative trading and the recurrence in the marketstraded by the Fund of market movements far exceeding expectations could resultin actual trading or non-trading losses far beyond the indicated Value at Riskor the Fund’s experience to date (i.e., “risk of ruin”). In light of theforegoing, as well as the risks and uncertainties intrinsic to all futureprojections, the quantifications included in this section should not beconsidered to constitute any assurance or representation that the Fund’s lossesin any market sector will be limited to Value at Risk or by the Fund’s attemptsto manage its market risk.

 

Quantifying The Fund’s Trading Value At Risk

 

Quantitative Forward-Looking Statements

 

The following quantitative disclosures regarding the Fund’s market riskexposures contain “forward-looking statement” within the meaning of the safeharbor from civil liability provided for such statements by the PrivateSecurities Litigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Act of1934).  All quantitative disclosures inthis section are deemed to be forward-looking statements for purposes of thesafe harbor, except for statements of historical fact.

 

The Fund’s risk exposure in the various market sectors traded by Aspectis quantified below in terms of Value at Risk. Due to the Fund’s fair value accounting, any loss in the fair value ofthe Fund’s open positions is directly reflected in the Fund’s earnings(realized or unrealized) and cash flow (at least in the case of exchange-tradedcontracts in which profits and losses on open positions are settled dailythrough variation margin).

 

Maintenance margin requirements have been used by the Fund as themeasure 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 margin levels.  The maintenance

 

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margin levels are established by dealers and exchanges using historicalprice studies as well as an assessment of current market volatility (includingthe implied volatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-term one-day price 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.

 

***The Fund’s Trading Value at Risk in DifferentMarket Sectors***

 

The following table indicates the average, highest andlowest trading Value at Risk associated with the Fund’s open positions bymarket category for the fiscal period. For the nine months ended September 30,2010 and 2009, the Fund’s average Month-end Net Asset Value was approximately$263,092,449 and $290,444,007 respectively.

 

**September 30, 2010**

 
| ** **             | ** ** | **Average Value** | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **at Risk**       | ** ** | **Capitalization**         | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|                   |       |                   |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                      | 1,934,704  |                       | 0.74       | %                      | $          | 2,957,852             |       | $ | 1,217,478 |   |
| Currencies             |       | 295,512                |       | 0.11                       | %          | 541,923                |       | 8,130                 |       |
| Energy                 |       | 2,481,410              |       | 0.94                       | %          | 4,050,804              |       | 1,171,515             |       |
| Interest Rates         |       | 6,483,597              |       | 2.46                       | %          | 11,043,714             |       | 3,327,058             |       |
| Metals                 |       | 3,129,216              |       | 1.19                       | %          | 4,625,808              |       | 2,024,455             |       |
| Stock Indices          |       | 2,129,822              |       | 0.81                       | %          | 4,164,565              |       | 498,971               |       |
|                   |       |                   |       |                       |       |                   |       |                  |       |
| Total                  |       | $                      | 16,454,261 |                       | 6.25       | %                      | $          | 27,384,666            |       | $ | 8,247,607 |   |

 

**September 30, 2009**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural           |       | $                           | 156,799    |                       | 0.05       | %                      | $          | 299,521               |       | $ | 7,807 |   |
| Currencies             |       | 1,031,056                   |       | 0.35                       | %          | 2,084,800              |       | 313,886               |       |
| Energy                 |       | 198,225                     |       | 0.07                       | %          | 481,439                |       | 26,673                |       |
| Interest Rates         |       | 25,862,535                  |       | 8.90                       | %          | 47,880,957             |       | 15,102,568            |       |
| Metals                 |       | 263,066                     |       | 0.09                       | %          | 688,438                |       | 11,621                |       |
| Stock Indices          |       | 396,709                     |       | 0.14                       | %          | 1,223,683              |       | 18,996                |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 27,908,390 |                       | 9.60       | %                      | $          | 52,658,838            |       | $ | 15,481,551 |   |

 

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Material Limitations on Value at Risk as an Assessmentof Market Risk

 

The face value of the market sector instruments held bythe Fund is typically many times the applicable maintenance margin requirement(maintenance margin requirements generally ranging between approximately 1% and10% of contract face value) as well as many times the capitalization of theFund.  The magnitude of the Fund’s openpositions creates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Fund to incur severe losses over a short periodof time.   The foregoing Value at Risktable — as well as the past performance of the Fund — gives no indication ofthis “risk of ruin.”

 

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 or BlackRock. The value of thiscash is not interest rate sensitive, but there is cash flow risk in that ifinterest rates decline so will the cash flow generated on these monies.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures — exceptfor (i) those disclosures that are statements of historical fact and (ii) thedescriptions of how the Fund manages its primary market risk exposures — constituteforward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act. The Fund’sprimary market risk exposures as well as the strategies used and to be used byMLAI 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 ofSeptember 30, 2010, by market sector.

 

InterestRates

 

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 countriesmaterially impact the Fund’s profitability. The Fund’s primary interest rateexposure is to interest rate fluctuations in the United States and the otherG-7 countries.  However, the Fund alsotakes positions 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.

 

29

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Currencies

 

The Fund trades in a number of currencies. The Fund’s major exposureshave typically been in the U.S. dollar/Japanese yen, U.S. dollar/Euro and U.S.dollar/Swiss franc positions.  The Funddoes not anticipate that the risk profile of the Fund’s currency sector willchange significantly in the future. The currency trading Value at Risk figureincludes foreign margin amounts converted into U.S. dollars with an incrementaladjustment to reflect the exchange rate risk of maintaining Value at Risk in afunctional currency other than U.S. dollars.

 

StockIndices

 

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. Soybeans, grains, livestock, cotton, corn and coffeeaccounted for the substantial bulk of the Fund’s agricultural commoditiesexposure as of September 30, 2010.

 

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.

 

QualitativeDisclosures Regarding Non-Trading Risk Exposure

 

Thefollowing were the only non-trading risk exposures of the Fund as of September 30,2010.

 

ForeignCurrency 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

 

TheFund holds U.S. dollars only in cash at MLPF&S and BlackRock. 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.

 

30

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Item 4. Controls and Procedures

 

MLAI, the Sponsor of ML Aspect FuturesAccess LLC, with theparticipation of the Sponsor’s Chief Executive Officer and the Chief FinancialOfficer, has evaluated the effectiveness of the design and operation of itsdisclosure controls and procedures (as defined in Rule 13a-15(e) underthe Securities Exchange Act of 1934) with respect to the Fund as of the end ofthe period covered by this quarterly report, and, based on this evaluation, hasconcluded that these disclosure controls and procedures are effective.  Nochange in internal control over financial reporting (as defined in Rule 13a-15(f) underthe Securities Exchange Act of 1934) occurred during the quarter ended September 30,2010  that has materially affected, or isreasonably likely to materially affect, the Fund’s internal control overfinancial reporting.

 

PART II - OTHERINFORMATION

 

Item 1.            LegalProceedings

 

None.

 

Item 1A.  Risk Factors

 

There are no materialchanges from risk factors as previously disclosed in the Annual Report on Form 10-Kfor the year ended December 31, 2009, filed with the Securities andExchange Commission on March 31, 2010.

 

31

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Item 2.            UnregisteredSales of Equity Securities and Use of Proceeds

 

(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-10     |       | $                | 99,447     |       | 71,756     |   | 1.3859 |   |
| Feb-10     |       | 267,112          |       | 198,213    |       | 1.3476 |   |
| Mar-10     |       | 64,347           |       | 46,605     |       | 1.3807 |   |
| Apr-10     |       | 48,748           |       | 34,075     |       | 1.4306 |   |
| May-10     |       | 328,929          |       | 225,959    |       | 1.4557 |   |
| Jun-10     |       | 135,521          |       | 96,136     |       | 1.4097 |   |
| Jul-10     |       | 377,489          |       | 265,538    |       | 1.4216 |   |
| Aug-10     |       | 302,246          |       | 215,828    |       | 1.4004 |   |
| Sep-10     |       | 43,874           |       | 29,282     |       | 1.4983 |   |
| Oct-10     |       | 111,145          |       | 73,431     |       | 1.5136 |   |
|            |            |                  |            |            |            |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 205,992    |       | 155,337    |   | 1.3261 |   |
| Feb-10     |       | 779,995          |       | 605,398    |       | 1.2884 |   |
| Mar-10     |       | 250,952          |       | 190,259    |       | 1.3190 |   |
| Apr-10     |       | 625,232          |       | 457,878    |       | 1.3655 |   |
| May-10     |       | 444,753          |       | 320,358    |       | 1.3883 |   |
| Jun-10     |       | 772,846          |       | 575,334    |       | 1.3433 |   |
| Jul-10     |       | 641,987          |       | 474,316    |       | 1.3535 |   |
| Aug-10     |       | 1,013,985        |       | 761,136    |       | 1.3322 |   |
| Sep-10     |       | 1,344,251        |       | 943,930    |       | 1.4241 |   |
| Oct-10     |       | 2,693,986        |       | 1,874,077  |       | 1.4375 |   |
|            |            |                  |            |            |            |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |       | —     |   | 1.5138 |   |
| Feb-10     |       | —           |       | —     |       | 1.4738 |   |
| Mar-10     |       | —           |       | —     |       | 1.5119 |   |
| Apr-10     |       | —           |       | —     |       | 1.5685 |   |
| May-10     |       | —           |       | —     |       | 1.5980 |   |
| Jun-10     |       | —           |       | —     |       | 1.5495 |   |
| Jul-10     |       | —           |       | —     |       | 1.5645 |   |
| Aug-10     |       | —           |       | —     |       | 1.5431 |   |
| Sep-10     |       | —           |       | —     |       | 1.6530 |   |
| Oct-10     |       | —           |       | —     |       | 1.6719 |   |
|            |            |                  |            |            |            |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |       | —     |   | 1.4111 |   |
| Feb-10     |       | —           |       | —     |       | 1.3725 |   |
| Mar-10     |       | 533,197          |       | 379,014    |       | 1.4068 |   |
| Apr-10     |       | 19,999           |       | 13,716     |       | 1.4581 |   |
| May-10     |       | 9,999            |       | 6,737      |       | 1.4842 |   |
| Jun-10     |       | 114,998          |       | 79,982     |       | 1.4378 |   |
| Jul-10     |       | 50,000           |       | 34,473     |       | 1.4504 |   |
| Aug-10     |       | 24,874           |       | 17,404     |       | 1.4292 |   |
| Sep-10     |       | 64,999           |       | 42,494     |       | 1.5296 |   |
| Oct-10     |       | 118,538          |       | 76,689     |       | 1.5457 |   |
|            |            |                  |            |            |            |  |  |  |

 

CLASS DS

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | 2,931,444  |       | 1,944,831  |   | 1.5073 |   |
| Feb-10     |       | 602,799          |       | 410,766    |       | 1.4675 |   |
| Mar-10     |       | —           |       | —     |       | 1.5054 |   |
| Apr-10     |       | 1,368,166        |       | 876,019    |       | 1.5618 |   |
| May-10     |       | —           |       | —     |       | 1.5912 |   |
| Jun-10     |       | 819,547          |       | 531,207    |       | 1.5428 |   |
| Jul-10     |       | —           |       | —     |       | 1.5578 |   |
| Aug-10     |       | —           |       | —     |       | 1.5365 |   |
| Sep-10     |       | —           |       | —     |       | 1.6459 |   |
| Oct-10     |       | 1,656,921        |       | 995,267    |       | 1.6648 |   |
|            |            |                  |            |            |            |  |  |  |

 

CLASS DT

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-10     |       | $                | —     |       | —     |   | 1.5484 |   |
| Feb-10     |       | —           |       | —     |       | 1.5081 |   |
| Mar-10     |       | —           |       | —     |       | 1.5478 |   |
| Apr-10     |       | —           |       | —     |       | 1.6064 |   |
| May-10     |       | —           |       | —     |       | 1.6373 |   |
| Jun-10     |       | —           |       | —     |       | 1.5882 |   |
| Jul-10     |       | —           |       | —     |       | 1.6043 |   |
| Aug-10     |       | —           |       | —     |       | 1.5830 |   |
| Sep-10     |       | —           |       | —     |       | 1.6964 |   |
| Oct-10     |       | —           |       | —     |       | 1.7166 |   |
|            |            |                  |            |            |            |  |  |  |

 

----

(1) Beginning of the month Net Asset Value

 

Class A Units are subject to a sales commission paid to MerrillLynch ranging from 1.0% to 2.5%.  Class Dand Class I Units are subject to sales commissions up to 0.5%.  The rate assessed to a given subscription isbased upon the subscription amount. Sales commissions are directly deducted from subscription amounts.  Class C, Class DS and Class DTUnits are not subject to any sales commissions.

 

32

----

 

(b) Not applicable.

(c) Not applicable.

 

Item 3.            Defaults UponSenior Securities

 

None.

 

Item 4.            (Removed andReserved)

 

Item5.            Other Information

 

None.

 

Item6.            Exhibits

 
| The  following exhibits are filed herewith to this Quarterly Report on  Form 10-Q: |
|-----------------------------------------------------------------------------------------|
|                                                                                    |
| 31.01 and 31.02                                                                         | Rule 13a-14(a)/15d-14(a) Certifications |
|                                                                                    |   |
| Exhibit 31.01 and 31.02:                                                           | Are  filed herewith. |
|                                                                                    |   |
| 32.01 and 32.02                                                                         | Section 1350  Certifications |
|                                                                                    |   |
| Exhibit 32.01 and 32.02                                                            | Are  filed herewith. |

 

33

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**SIGNATURES**

 

Pursuant to the requirements of the Securities Exchange Act of 1934,the registrant has duly caused this report to be signed on its behalf by theundersigned thereunto duly authorized.

 
|                          | ML  ASPECT FUTURESACCESS LLC |
|-------------------------------|------------------------------|
|                          |                         |   |
|                          |                         |   |
|                          | By:                          | MERRILL  LYNCH ALTERNATIVE |
|                          |                         | INVESTMENTS  LLC |
|                          |                         | (Manager) |
|                          |                         |   |
|                          |                         |   |
| Date:  November 12, 2010 | By:                          | /s/  JUSTIN C. FERRI |
|                          |                         | Justin  C. Ferri |
|                          |                         | Chief  Executive Officer, President and Manager |
|                          |                         | (Principal  Executive Officer) |
|                          |                         |   |
|                          |                         |   |
| Date:  November 12, 2010 |                         |   |
|                          |                         |   |
|                          | By:                          | /s/  BARBRA E. KOCSIS |
|                          |                         | Barbra  E. Kocsis |
|                          |                         | Chief  Financial Officer |
|                          |                         | (Principal  Financial and Accounting Officer) |

 

34

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