Aspect FuturesAccess 10Q 2012 Q3 Quarterly report

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended September 30, 2012

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

For the transition period from to

Commission File Number 0-51085

ASPECT FUTURESACCESS LLC

(Exact Name of Registrant as specified in its charter)

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

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 10TH Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

212-449-3517

(Registrant’s telephone number, including area code)

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

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

Large accelerated filer o		Accelerated filer o

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

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

As of September 30, 2012, 195,778,019 units of limited liability company interest were outstanding.

ASPECT FUTURESACCESS LLC

QUARTERLY REPORT FOR SEPTEMBER 30, 2012 ON FORM 10-Q

Table of Contents

		PAGE

PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	17

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	27

Item 4.	Controls and Procedures	31

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	31

Item 1A.	Risk Factors	31

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	32

Item 3.	Defaults Upon Senior Securities	34

Item 4.	Mine Safety Disclosures	34

Item 5.	Other Information	34

Item 6	Exhibits	34

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

ASPECT FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	September 30,		December 31,
	2012		2011
ASSETS:
Equity in commodity trading accounts:
Cash (including restricted cash of $30,504,474 for 2012 and $30,647,830 for 2011)	$	308,843,540	$	323,132,681
Net unrealized profit on open futures contracts	2,996,258		7,062,706
Net unrealized profit on open forwards contracts	727,213		405,685
Cash	556,833		333,335
Other assets	1,105		—

TOTAL ASSETS	$	313,124,949	$	330,934,407

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:

Brokerage commissions payable	$	39,044	$	10,433
Sponsor and Advisory fees payable	868,040		4,716,412
Redemptions payable	6,373,890		20,179,950
Net unrealized loss on open futures contracts	5,064,233		264,343
Net unrealized loss on open forwards contracts	—		78,075
Other liabilities	367,830		167,510

Total liabilities	12,713,037		25,416,723

MEMBERS’ CAPITAL:
Members’ Interest (195,778,019 Units and 182,013,494 Units)	300,411,912		305,517,684
Total members’ capital	300,411,912		305,517,684

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	313,124,949	$	330,934,407

NET ASSET VALUE PER UNIT:
(Based on 195,778,019 and 182,013,494 Units outstanding; unlimited Units authorized)

Class A	$	1.5299	$	1.6405
Class C	$	1.4241	$	1.5386
Class D	$	1.7414	$	1.8464
Class I	$	1.5750	$	1.6838
Class DS	$	1.7340	$	1.8386
Class DT	$	1.8134	$	1.9154
Class M	$	0.9323	$	—

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three			For the three			For the nine			For the nine
	months ended			months ended			months ended			months ended
	September 30,			September 30,			September 30,			September 30,
	2012			2011			2012			2011
TRADING PROFIT (LOSS):

Realized, net	$	(14,832,755	)	$	27,441,012		$	(3,733,326	)	$	35,976,489
Change in unrealized, net	6,399,755			5,174,659			(8,466,735		)	(8,198,349		)
Brokerage commissions	(231,662		)	(176,505		)	(645,339		)	(519,283		)

Total trading profit (loss), net	(8,664,662		)	32,439,166			(12,845,400		)	27,258,857

INVESTMENT INCOME (LOSS):
Interest, net	(8,708		)	31,854			1,772			25,219

EXPENSES:
Management fee	1,562,974			1,543,447			4,666,417			4,373,430
Sponsor fee	1,141,290			859,961			3,301,902			2,319,602
Performance fee	4,456			4,315,238			19,461			4,330,569
Other	237,799			152,233			666,950			450,615
Total expenses	2,946,519			6,870,879			8,654,730			11,474,216

NET INVESTMENT INCOME (LOSS)	(2,955,227		)	(6,839,025		)	(8,652,958		)	(11,448,997		)

NET INCOME (LOSS)	$	(11,619,889	)	$	25,600,141		$	(21,498,358	)	$	15,809,860

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	21,100,347			14,335,802			19,349,694			16,311,652
Class C	105,130,626			57,352,485			98,018,265			67,516,057
Class D	6,626,695			6,256,747			5,719,975			7,044,649
Class I	9,737,908			5,559,296			10,696,218			7,734,690
Class DS	39,613,290			58,259,026			41,396,130			58,155,198
Class DT	15,286,510			30,312,007			16,234,151			23,089,465
Class M*	2,604,033			—			1,425,304			—

Net income (loss) per weighted average Unit
Class A	$	(0.0620	)	$	0.0915		$	(0.1238	)	$	0.0803
Class C	$	(0.0581	)	$	0.0844		$	(0.1226	)	$	0.0665
Class D	$	(0.0620	)	$	0.1075		$	(0.1205	)	$	0.1022
Class I	$	(0.0438	)	$	0.0960		$	(0.0942	)	$	0.0668
Class DS	$	(0.0577	)	$	0.1067		$	(0.0897	)	$	0.1042
Class DT	$	(0.0592	)	$	0.0983		$	(0.0908	)	$	0.1178
Class M*	$	(0.0666	)	$	—		$	(0.1384	)	$	—

* Units issued on April 1, 2012

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2012 AND 2011

(unaudited) (in Units)

	Members’ Capital December 31, 2010	Subscriptions	Redemptions		Members’ Capital September 30, 2011	Members’ Capital December 31, 2011	Subscriptions	Redemptions		Members’ Capital September 30, 2012
Class A	14,518,670	5,058,832	(5,049,180	)	14,528,322	16,360,228	7,204,033	(2,028,448	)	21,535,813
Class C	59,323,819	21,431,355	(5,787,160	)	74,968,014	85,475,661	29,573,386	(12,623,317	)	102,425,730
Class D	6,256,747	2,202,198	(54,759	)	8,404,186	4,932,784	1,878,634	—		6,811,418
Class I	6,130,636	6,159,087	(2,650,387	)	9,639,336	10,690,500	2,003,822	(3,647,038	)	9,047,284
Class DS	59,087,316	846,307	(7,536,291	)	52,397,332	46,734,768	1,609,577	(10,654,163	)	37,690,182
Class DT	25,243,355	—	(5,079,077	)	20,164,278	17,819,553	—	(2,949,739	)	14,869,814
Class M*	—	—	—		—	—	3,397,778	—		3,397,778

Total Members’ Units	170,560,543	35,697,779	(26,156,854	)	180,101,468	182,013,494	45,667,230	(31,902,705	)	195,778,019

Class A	10,319	—	—		10,319	—	—	—		—
Class C	10,328	—	—		10,328	—	—	—		—

Total Sponsor’s Units	20,647	—	—		20,647	—	—	—		—

* Units issued on April 1, 2012

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2012 AND 2011

(unaudited)

	Members’ Capital December 31, 2010		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital September 30, 2011		Members’ Capital December 31, 2011		Subscriptions		Redemptions			Net Income (Loss)			Members' Capital September 30, 2012
Class A	$	22,955,242	$	8,103,885	$	(8,293,178	)	$	1,308,217	$	24,074,166	$	26,838,790	$	11,802,027	$	(3,298,389	)	$	(2,395,452	)	$	32,946,976
Class C	88,856,777		32,179,874		(8,719,628		)	4,486,185		116,803,208		131,513,252		45,370,768		(18,998,937		)	(12,018,833		)	145,866,250
Class D	10,968,679		4,023,599		(96,338		)	720,056		15,615,996		9,108,026		3,442,751		—			(689,269		)	11,861,508
Class I	9,909,054		10,256,383		(4,304,360		)	516,805		16,377,882		18,000,337		3,404,213		(6,147,603		)	(1,007,865		)	14,249,082
Class DS	103,143,351		1,483,646		(13,739,629		)	6,057,433		96,944,801		85,925,338		2,887,420		(19,742,526		)	(3,715,255		)	65,354,977
Class DT	45,566,638		—		(9,443,359		)	2,719,471		38,842,750		34,131,941		—		(5,692,138		)	(1,474,385		)	26,965,418
Class M*	—		—		—			—		—		—		3,365,000		—			(197,299		)	3,167,701

Total Members’ Interest	$	281,399,741	$	56,047,387	$	(44,596,492	)	$	15,808,167	$	308,658,803	$	305,517,684	$	70,272,179	$	(53,879,593	)	$	(21,498,358	)	$	300,411,912

Class A	$	16,186	$	—	$	—		$	926	$	17,112	$	—	$	—	$	—		$	—		$	—
Class C	15,446		—		—			767		16,213		—		—		—			—			—

Total Sponsor’s Interest	$	31,632	$	—	$	—		$	1,693	$	33,325	$	—	$	—	$	—		$	—		$	—

Total Members’ Capital	$	281,431,373	$	56,047,387	$	(44,596,492	)	$	15,809,860	$	308,692,128	$	305,517,684	$	70,272,179	$	(53,879,593	)	$	(21,498,358	)	$	300,411,912

* Units issued on April 1, 2012

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2012 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS			Class DT			Class M*
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.5887		$	1.4826		$	1.8016		$	1.6338		$	1.7939		$	1.8737		$	0.9645

Net realized and net change in unrealized trading profit (loss)	(0.0425		)	(0.0396		)	(0.0484		)	(0.0438		)	(0.0482		)	(0.0504		)	(0.0259		)
Brokerage commissions	(0.0012		)	(0.0011		)	(0.0013		)	(0.0012		)	(0.0013		)	(0.0014		)	(0.0007		)
Interest income	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0000		)	(0.0001		)	(0.0000		)
Expenses	(0.0151		)	(0.0178		)	(0.0105		)	(0.0138		)	(0.0104		)	(0.0084		)	(0.0056		)

Net asset value, end of period	$	1.5299		$	1.4241		$	1.7414		$	1.5750		$	1.7340		$	1.8134		$	0.9323

Total Return: (a)

Total return before Performance fees	-3.71		%	-3.95		%	-3.34		%	-3.61		%	-3.34		%	-3.22		%	-3.34		%
Performance fees	-0.01		%	-0.01		%	-0.01		%	-0.01		%	-0.01		%	-0.01		%	-0.01		%
Total return after Performance fees	-3.72		%	-3.96		%	-3.35		%	-3.62		%	-3.35		%	-3.23		%	-3.35		%

Ratios to Average Members’ Capital: (b)

Expenses (excluding Performance fees)	0.95		%	1.20		%	0.57		%	0.85		%	0.57		%	0.45		%	0.57		%
Performance fees	0.00		%	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		%	0.45		%	0.57		%

Net investment income (loss)	-0.95		%	-1.20		%	-0.58		%	-0.85		%	-0.58		%	-0.45		%	-0.58		%

(a) The total return calculations are based on compounded monthly returns and are calculated for each class taken as a whole. An individual member’s return may vary from these returns based on timing of capital transactions.

(b) The ratio to average members’ capital have been annualized. The total return is not annualized.

* Units issued on April 1, 2012

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2012 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS			Class DT			Class M*
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.6405		$	1.5386		$	1.8464		$	1.6838		$	1.8386		$	1.9154		$	1.0000

Net realized and net change in unrealized trading profit (loss)	(0.0607		)	(0.0563		)	(0.0693		)	(0.0625		)	(0.0690		)	(0.0724		)	(0.0578		)
Brokerage commissions	(0.0033		)	(0.0031		)	(0.0037		)	(0.0034		)	(0.0037		)	(0.0039		)	(0.0014		)
Interest income	0.0000			0.0000			0.0000			0.0000			0.0000			0.0000			0.0000
Expenses	(0.0466		)	(0.0551		)	(0.0320		)	(0.0429		)	(0.0319		)	(0.0257		)	(0.0085		)

Net asset value, end of period	$	1.5299		$	1.4241		$	1.7414		$	1.5750		$	1.7340		$	1.8134		$	0.9323

Total Return: (a)

Total return before Performance fees	-6.77		%	-7.47		%	-5.71		%	-6.49		%	-5.71		%	-5.36		%	-7.06		%
Performance fees	-0.04		%	-0.04		%	-0.04		%	-0.04		%	-0.04		%	-0.02		%	0.26		%
Total return after Performance fees	-6.81		%	-7.51		%	-5.75		%	-6.53		%	-5.75		%	-5.38		%	-6.80		%

Ratios to Average Members’ Capital: (b)

Expenses (excluding Performance fees)	2.83		%	3.58		%	1.71		%	2.53		%	1.71		%	1.33		%	1.14		%
Performance fees	0.01		%	0.01		%	0.01		%	0.01		%	0.01		%	0.00		%	-0.28		%
Expenses (including Performance fees)	2.84		%	3.59		%	1.72		%	2.54		%	1.72		%	1.33		%	0.86		%

Net investment income (loss)	-2.84		%	-3.59		%	-1.72		%	-2.54		%	-1.72		%	-1.33		%	-0.86		%

(b) The ratio to average members’ capital have been annualized. The total return is not annualized.

* Units issued on April 1, 2012

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED SEPTEMBER 30, 2011 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS			Class DT
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.5264		$	1.4388		$	1.7052		$	1.5635		$	1.6979		$	1.7606

Net realized and net change in unrealized trading profit (loss)	0.1699			0.1601			0.1899			0.1741			0.1891			0.1962
Brokerage commissions	(0.0009		)	(0.0009		)	(0.0010		)	(0.0009		)	(0.0010		)	(0.0011		)
Interest income	0.0002			0.0002			0.0002			0.0002			0.0002			0.0002
Expenses	(0.0385		)	(0.0402		)	(0.0362		)	(0.0378		)	(0.0360		)	(0.0296		)

Net asset value, end of period	$	1.6571		$	1.5580		$	1.8581		$	1.6991		$	1.8502		$	1.9263

Total Return: (a)

Total return before Performance fees	10.10		%	9.82		%	10.51		%	10.21		%	10.65		%	10.51		%
Performance fees	-1.48		%	-1.48		%	-1.48		%	-1.48		%	-1.48		%	-1.18		%
Total return after Performance fees	8.62		%	8.34		%	9.03		%	8.73		%	9.17		%	9.33		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	0.94		%	1.20		%	0.56		%	0.84		%	0.56		%	0.43		%
Performance fees	1.44		%	1.44		%	1.44		%	1.44		%	1.44		%	1.16		%
Expenses (including Performance fees)	2.38		%	2.64		%	2.00		%	2.28		%	2.00		%	1.59		%

Net investment income (loss)	-2.38		%	-2.63		%	-2.00		%	-2.28		%	-2.00		%	-1.58		%

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(A Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2011 (unaudited)

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

	Class A			Class C			Class D			Class I			Class DS			Class DT
Per Unit Operating Performance:

Net asset value, beginning of period	$	1.5811		$	1.4978		$	1.7531		$	1.6163		$	1.7456		$	1.8051

Net realized and net change in unrealized trading profit (loss)	0.1471			0.1387			0.1642			0.1506			0.1635			0.1693
Brokerage commissions	(0.0028		)	(0.0026		)	(0.0031		)	(0.0028		)	(0.0031		)	(0.0032		)
Interest income	0.0001			0.0001			0.0001			0.0001			0.0001			0.0002
Expenses	(0.0684		)	(0.0760		)	(0.0562		)	(0.0651		)	(0.0559		)	(0.0451		)

Net asset value, end of period	$	1.6571		$	1.5580		$	1.8581		$	1.6991		$	1.8502		$	1.9263

Total Return: (a)

Total return before Performance fees	6.26		%	5.47		%	7.46		%	6.58		%	7.46		%	7.87		%
Performance fees	-1.58		%	-1.58		%	-1.58		%	-1.58		%	-1.58		%	-1.23		%
Total return after Performance fees	4.68		%	3.89		%	5.88		%	5.00		%	5.88		%	6.64		%

Ratios to Average Members’ Capital:

Expenses (excluding Performance fees)	2.80		%	3.55		%	1.67		%	2.50		%	1.67		%	1.29		%
Performance fees	1.48		%	1.48		%	1.48		%	1.48		%	1.48		%	1.16		%
Expenses (including Performance fees)	4.28		%	5.03		%	3.15		%	3.98		%	3.15		%	2.45		%

Net investment income (loss)	-4.27		%	-5.03		%	-3.14		%	-3.97		%	-3.14		%	-2.43		%

See notes to financial statements.

ASPECT FUTURESACCESS LLC

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Aspect FuturesAccess LLC (the “Fund”), formerly known as ML Aspect FuturesAccess LLC, a Merrill Lynch FuturesAccessSM Program (“FuturesAccess”) fund, was organized under the Delaware Limited Liability 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 and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit) as of the beginning of each calendar month. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Aspect Capital Limited (“Aspect” or “trading advisor”) is the trading advisor of the Fund.

Merrill Lynch Alternative Investments LLC (“MLAI” or the “Sponsor”) is the Sponsor of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are sometimes referred to herein as “BAC”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive futures clearing broker for the Fund. The Sponsor may select other parties as futures clearing broker(s). Merrill Lynch International Bank Ltd. (“MLIB”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. The Sponsor may select other parties as F/X or other over-the-counter (“OTC”) prime brokers, including Bank of America N.A. (“BANA”). MLPF&S, MLIB and BANA are BAC affiliates.

FuturesAccess offers investors the opportunity to allocate and reallocate capital among a number of managed futures and other commodity trading advisors collectively employing different technical, fundamental, systematic and/or discretionary trading strategies or to those fund of funds for which MLAI allocates capital to a number of trading advisors.

Effective September 30, 2012, the Sponsor adopted an Amendment to the Fund’s Operating Agreement (the “Amendment”). The Amendment revised the Fund’s Operating Agreement with respect to the following, among other things:

I. Providing that an investor will be entitled to redeem all or part of such investor’s Units effective as of (a) the 15th calendar day of each month and/or (b) the last calendar day of each month (each, a redemption date), upon providing oral or written notice by the “Subscription/Redemption Notice Date,” which is eight business days prior to the 1st and 16th of every month; provided that the Sponsor, at any time in its discretion, may discontinue allowing redemptions as of the 15th calendar day of each month on a going forward basis.

II. Providing that the Sponsor may admit new investors as of the 1st and 16th calendar day of each month, or as of such other times as the Sponsor may deem appropriate.

III. Providing that operating expenses will be allocated among the Units pro rata based on their respective Net Asset Values as of the beginning of the relevant accounting period.

IV. Permitting the Sponsor to adjust the allocation and other provisions of the Operating Agreement as to reflect the ability of investors to subscribe and redeem on a semi-monthly basis.

On April 1, 2012 the Fund opened Class M at $1.00 per Unit. The Class M Units are for Investors who are subscribing through a managed investment account program at MLPF&S and who satisfy other requirements as determined by the Sponsor from time to time. The Class M Units are not subject to an upfront sales commission and no ongoing compensation is paid to MLFPF&S as selling agent. The Class M Units are not subject to Sponsor’s fees. However, a portion of the asset-based program fee applicable to a Managed Account, including the amounts invested in Class M Units, will be paid to the Managed Account’s Financial Advisor.

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of September 30, 2012 and December 31, 2011 and the results of its operations for the three and nine months ended September 30, 2012 and 2011. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2011.

Estimates

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

2. CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as net unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of September 30, 2012 and December 31, 2011 are as follows:

September 30, 2012

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

Agriculture	787	$	(140,583	)	-0.05	%	(1,146	)	$	(276,527	)	-0.09	%	$	(417,110	)	-0.14	%	November 2012 - February 2013
Currencies	9,009,147,250	181,425			0.06	%	(1,329,809,373	)	521,644			0.17	%	703,069			0.23	%	December 2012
Energy	347	101,018			0.03	%	(235	)	(92,320		)	-0.03	%	8,698			0.00	%	October 2012 - November 2012
Interest rates	8,577	2,817,335			0.94	%	(560	)	(188,822		)	-0.06	%	2,628,513			0.88	%	December 2012 - March 2015
Metals	1,310	5,096,447			1.70	%	(1,105	)	(6,852,915		)	-2.28	%	(1,756,468		)	-0.58	%	December 2012 - January 2013
Stock indices	3,624	(2,418,092		)	-0.80	%	(168	)	(89,372		)	-0.03	%	(2,507,464		)	-0.83	%	October 2012 - December 2012

Total, net		$	5,637,550		1.88	%			$	(6,978,312	)	-2.32	%	$	(1,340,762	)	-0.44	%

December 31, 2011

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

Agriculture	26	$	5,068		0.00	%	(1,531	)	$	(25,648	)	-0.01	%	$	(20,580	)	-0.01	%	February 2012 - March 2012
Currencies	1,147,058,631	426,778			0.14	%	(829,072,077	)	(62,779		)	-0.02	%	363,999			0.12	%	March 2012
Energy	261	189,602			0.06	%	(790	)	1,942,121			0.64	%	2,131,723			0.70	%	January 2012 - February 2012
Interest rates	11,260	5,139,777			1.68	%	(359	)	(17,873		)	-0.01	%	5,121,904			1.67	%	March 2012 - June 2014
Metals	194	(1,296,137		)	-0.42	%	(509	)	135,362			0.04	%	(1,160,775		)	-0.38	%	February 2012 - March 2012
Stock indices	316	146,111			0.05	%	(1,293	)	543,591			0.18	%	689,702			0.23	%	January 2012 - March 2012

Total, net		$	4,611,199		1.51	%			$	2,514,774		0.82	%	$	7,125,973		2.33	%

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of September 30, 2012 and December 31, 2011.

3. FAIR VALUE OF INVESTMENTS

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). All investments (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The investments are recorded on trade date and open contracts are recorded at fair value (described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included in Equity in commodity trading accounts on the Statements of Financial Condition. Any change in net unrealized profit or loss from the preceding year, or period, is reported on the Statements of Operations.

The fair value measurement guidance established a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

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

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

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

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed. Investments that are included in this category generally are privately held debt and equity securities.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

Following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and third party pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into its process for determining fair values.

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

The Fund has determined that Level I securities would include its futures and options contracts where it believes that quoted prices are available in an active market.

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

The Fund’s net unrealized profit (loss) on open forward and futures contracts, by the above fair value hierarchy levels, as of September 30, 2012 and December 31, 2011 are as follows:

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

Futures
Long	$	5,444,163		$	2,246,231		$	3,197,932		$	—
Short	(7,512,138		)	(659,223		)	(6,852,915		)	—
	(2,067,975		)	1,587,008			(3,654,983		)	—

Forwards
Long	193,387			—			193,387			—
Short	533,826			—			533,826			—
	727,213			—			727,213			—

September 30, 2012	$	(1,340,762	)	$	1,587,008		$	(2,927,770	)	$	—

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

Futures
Long	$	4,205,514		$	4,449,071	$	(243,557	)	$	—
Short	2,592,849			2,457,487		135,362			—
	6,798,363			6,906,558		(108,195		)	—

Forwards
Long	405,685			—		405,685			—
Short	(78,075		)	—		(78,075		)	—
	327,610			—		327,610			—

December 31, 2011	$	7,125,973		$	6,906,558	$	219,415		$	—

The Fund’s volume of trading forwards and futures as of the nine month period and year ended September 30, 2012 and December 31, 2011, respectively, are representative of the activity throughout these periods. There were no transfers to or from any level during the three or nine month periods ended September 30, 2012.

The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the Accounting Standards Codification (“ASC”) guidance for accounting for derivative and hedging activities. The fair value amounts of and the net profits and losses on derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, contract amount, or number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2, above.

The following table indicates the trading profits and losses, before brokerage commissions, by commodity industry sector, on derivative instruments for each of the three and nine month periods ended September 30, 2012 and 2011:

	For the three months ended			For the nine months ended
	September 30, 2012			September 30, 2012
Commodity Industry	profit (loss)			profit (loss)
Sector	from trading, net			from trading, net

Agriculture	$	522,539		$	72,377
Currencies	2,694,294			(6,502,246		)
Energy	(6,595,920		)	(1,901,180		)
Interest rates	3,004,015			14,254,321
Metals	(4,876,513		)	(7,137,961		)
Stock indices	(3,181,415		)	(10,985,372		)

Total, net	$	(8,433,000	)	$	(12,200,061	)

	For the three months ended			For the nine months ended
	September 30, 2011			September 30, 2011
Commodity Industry	profit (loss)			profit (loss)
Sector	from trading, net			from trading, net

Agriculture	$	(4,869,724	)	$	(8,493,109	)
Currencies	(4,939,825		)	405,063
Energy	220,861			4,834,749
Interest rates	42,938,821			38,931,617
Metals	(1,647,482		)	(3,221,996		)
Stock indices	913,020			(4,678,184		)

Total, net	$	32,615,671		$	27,778,140

The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BAC entities. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

4. MARKET AND CREDIT RISKS

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

Market Risk

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Fund’s net unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of Aspect, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge Aspect to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures which consist simply of the ongoing process of trading advisor monitoring, along with monitoring the market risk controls being applied by Aspect is sufficient to detect if any such intervention is needed.

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets.

The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition. The Fund attempts to mitigate this risk by dealing exclusively with BAC entities as clearing brokers.

The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLIB as its foreign currency forward counterpart. Pursuant to the arrangements with MLPF&S and MLIB (which each includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S or MLIB, respectively, the receivables and payables are offset and reported as unrealized profit or loss on open futures contracts for MLPF&S and as unrealized profit or loss on forward contracts for MLIB on the Statements of Financial Condition.

Indemnifications

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

5. RELATED PARTY TRANSACTIONS

MLAI and the Fund have entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Registrar and Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Registrar and Transfer Agent performs the transfer agent and investor services functions for the Fund. The agreement with the Registrar and Transfer Agent calls for a fee to be paid based on the collective net asset of funds managed or sponsored by MLAI with the minimum annual fee of $2,700,000. The fee rate ranges from 0.016% to 0.02% based on aggregate net assets. MLAI allocates the Registrar and Transfer Agent fees to each of the managed/sponsored funds on a monthly basis based on the Fund’s net assets and the fee is payable monthly in arrears. The Registrar and Transfer Agent fee, which ranged between 0.018% and 0.02% of aggregate asset level, allocated to the Fund for the three and nine months ended September 30, 2012 amounted to $15,445 and $46,963, respectively, of which $16,418 was payable to the Registrar and Transfer Agent as of September 30, 2012.

6. SUBSEQUENT EVENTS

Management has evaluated the impact of subsequent events on the Fund through the date the financials were able to be issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

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

MONTH-END NET ASSET VALUE PER UNIT

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

The Fund calculates the Net Asset Value per unit of each class of units as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Fund’s “Net Asset Value” as of any calculation date will generally equal the value of the Fund’s account under the management of its trading advisor as of such date, plus any other assets held by the Fund, minus accrued Sponsor’s, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, amortized organizational and initial offering costs and all other liabilities of the Fund. MLAI is authorized to make all Net Asset Value determinations.

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2011	$	1.5586	$	1.5969	$	1.5808	$	1.6463	$	1.5722	$	1.5264	$	1.6323	$	1.6563	$	1.6571
2012	$	1.6554	$	1.6864	$	1.6534	$	1.6608	$	1.6683	$	1.5887	$	1.6362	$	1.5873	$	1.5299

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2011	$	1.4753	$	1.5103	$	1.4938	$	1.5544	$	1.4832	$	1.4388	$	1.5373	$	1.5587	$	1.5580
2012	$	1.5513	$	1.5790	$	1.5468	$	1.5525	$	1.5582	$	1.4826	$	1.5257	$	1.4788	$	1.4241

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2011	$	1.7304	$	1.7751	$	1.7593	$	1.8345	$	1.7542	$	1.7052	$	1.8258	$	1.8550	$	1.8581
2012	$	1.8656	$	1.9028	$	1.8679	$	1.8787	$	1.8895	$	1.8016	$	1.8578	$	1.8045	$	1.7414

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2011	$	1.5939	$	1.6336	$	1.6176	$	1.6852	$	1.6099	$	1.5635	$	1.6725	$	1.6978	$	1.6991
2012	$	1.6997	$	1.7320	$	1.6987	$	1.7069	$	1.7152	$	1.6338	$	1.6833	$	1.6335	$	1.5750

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2011	$	1.7230	$	1.7675	$	1.7518	$	1.8267	$	1.7467	$	1.6979	$	1.8180	$	1.8471	$	1.8502
2012	$	1.8577	$	1.8947	$	1.8600	$	1.8707	$	1.8815	$	1.7939	$	1.8499	$	1.7968	$	1.7340

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

	Jan.		Feb.		Mar.		Apr.		May		Jun.		Jul.		Aug.		Sept.
2011	$	1.7824	$	1.8305	$	1.8139	$	1.8970	$	1.8096	$	1.7606	$	1.8894	$	1.9222	$	1.9263
2012	$	1.9372	$	1.9790	$	1.9412	$	1.9537	$	1.9664	$	1.8737	$	1.9331	$	1.8783	$	1.8134

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS M

	Jan.	Feb.	Mar.	Apr.		May		Jun.		Jul.		Aug.		Sept.
2012	n/a	n/a	n/a	$	1.0058	$	1.0116	$	0.9645	$	0.9946	$	0.9661	$	0.9323

Liquidity and Capital Resources

The Fund does not engage in the sale of goods or services. The Fund’s assets generally are its (i) equity in its trading accounts, consisting of cash (including restricted cash), and unrealized profit net of unrealized losses and (ii) interest receivable. Because of the low margin deposits normally required in commodity futures trading relatively small price movements may result in substantial losses to the Fund. While substantial losses could lead to a material decrease in liquidity, no such material losses occurred during the three or nine months ended September 30, 2012 and there was no impact on the Fund’s liquidity.

The Fund’s capital consists of the capital contributions of the members as increased or decreased by profits or losses on trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.

For the nine months ended September 30, 2012, Fund capital decreased 1.67% from $305,517,684 to $300,411,912. This decrease was attributable to the net loss from operations of $21,498,358 coupled with the redemption of 31,902,705 Redeemable Units resulting in an outflow of $53,879,593. The cash outflow was offset with cash inflow of $70,272,179 due to subscriptions of 45,667,230 Units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.

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 for trading purposes. Investments are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Profits or losses are realized when contracts are liquidated. Unrealized profits or losses on open contracts are included as a component of equity in commodity trading accounts on the Statements of Financial Condition. Realized profits or losses and any change in net unrealized profits or losses from the preceding period are reported in the Statements of Operations.

Cash and Cash Equivalents

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of September 30, 2012 the Fund holds no cash equivalents. Cash was held at a nationally recognized financial institution.

Fair Value Measurements

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on the Fund’s treatment of fair value, see Note 3, Fair Value of Investments.

Futures Contracts

The Fund trades exchange listed futures contracts. A listed futures contract is a firm commitment to buy or sell a standardized quantity of an underlying asset over a specified duration. The Fund buys and sells contracts based on

indices of financial assets such as stocks, domestic and global stock indices, as well as contracts on various physical commodities. Prices paid or received on these contracts are determined by the ask or bid provided by the exchanges on which they are traded. Contracts may be settled in physical form or cash settled depending upon the contract. Upon the execution of a trade, margin requirements determine the amount of cash that must be on deposit to secure the transaction. These amounts are considered restricted cash on the Fund’s Statements of Financial Condition. Contracts are priced daily by the Fund and the profit or loss based on the daily mark to market are recorded as unrealized profits. When the contract is closed, the Fund records a realized profit or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Because transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded, credit exposure is limited. Realized profits (losses), net and changes in unrealized profits (losses), net on futures contracts are included in the Statements of Operations. The Fund also trades futures contracts on the London Metals Exchange (LME). The valuation pricing for LME contracts is based on action of a committee that incorporates prices from the most liquid trading sessions of the day and can also rely on other inputs such as supply and demand factors and bid and asks from open outcry sessions.

Forward Foreign Currency Contracts

Foreign currency contracts are those contracts where the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Fund’s net equity therein, representing unrealized profit or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized profits (losses) and changes in unrealized profits (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.

Interest Rates and Income

The Fund currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.

Income Taxes

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

The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. MLAI has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2009.

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) was signed into law on July 21, 2010. The Reform Act enacts financial regulatory reform, and may alter the way in which the Fund conducts certain trading activities. The Reform Act includes measures to broaden the scope of derivative instruments subject to regulation, including by requiring clearing and exchange trading of certain derivatives, imposing new capital and margin reporting, registration and business conduct requirements for certain market participants and imposing position limits on certain over-the-counter derivatives. The Reform Act grants the U.S. Commodity Futures Trading Commission and the Securities and Exchange Commission substantial new authority and requires numerous rulemakings by these agencies. The ultimate impact of these derivatives regulations, and the time it will take to comply, remains uncertain. The final regulations may impose additional operational and compliance costs on the Fund.

Results of Operations

January 1, 2012 to September 30, 2012

January 1, 2012 to March 31, 2012

The Fund experienced a net trading gain of $6,539,822 before brokerage commissions and related fees in the first quarter of 2012. The Fund’s profits were primarily attributable to the energy and the stock indices sectors posting profits. The agriculture, currency, metals and the interest rate sectors posted losses.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as natural gas continued to trend lower, making the trading program’s short position the top performer. Additional gains in energies came from the trading program’s long position in reformulated gasoline as the price rallied on reports of U.S. refinery shutdowns. Profits were posted to the Fund in the middle of the quarter as increased global demand and Iranian-induced supply-stresses meant the oil complex rallied strongly. Profits were posted to the Fund at the end of the quarter due to the trading program’s short position in natural gas that made gains as continued warm weather and reports of high supplies pushed prices lower.

The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter as the rise in global stock markets resulted in losses from short positions, especially in Asian indices. Notably, Chinese indices were also driven upwards by speculation of further monetary easing by The People’s Bank of China. Profits were posted to the Fund in the middle of the quarter as the European Central Bank’s anticipated long-term refinancing operation was over-subscribed when it finally occurred. As a result, world equity markets rallied to the trading program’s benefit. Profits continued to be posted to the Fund at the end of the quarter as the trading program made gains from its long stock index exposures.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter due to the trading program’s short positions in agriculturals. Profits were posted to the Fund at the end of the trading program’s short position in coffee made gains as prices fell on signs that output from Brazil and Vietnam will increase.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Towards the end of the month of January the U.S. Federal Reserve forecast that U.S. interest rates would remain low until the end of 2014, boosting U.S. treasuries, stock indices and gold. The U.S. dollar fell in response, to the benefit of the trading program’s positions. Profits were posted to the Fund in the middle of the quarter. In Asia, the Bank of Japan began a liquidity operation, focusing on purchasing longer maturity Japanese government bonds in an apparent to bring about some inflation. This led the Japanese yen to weaken sharply against its longer term trend making. However, higher yielding currencies contributed to making the

currencies sector a positive performer overall despite reversals in the Japanese yen and Euro. In Australia, as interest rates were left unchanged with rhetoric suggesting potential monetary easing in the near future, the Australian dollar fell making it the along with the Japanese yen the trading program’s worst performers resulting in losses posted to the Fund at the end of the quarter.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter from the trading program’s short positions in zinc and aluminum. Losses were posted to the Fund in the middle through the end of the quarter.

Interest rate sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Towards the end of the month the U.S. Federal Reserve forecast that U.S. interest rates would remain low until the end of 2014, boosting U.S. treasuries. Gains were also made on long fixed income positions. Euribor futures rose amid the prospect of further liquidity injections by the European Central Bank. Losses were posted to the Fund in the middle of the quarter as bonds traded lower incurring losses from the Trading program’s reducing long exposures. The Reserve Bank of Australia did not cut rates, contributing to the trading program making losses from its Australian bond exposures. The U.S. Federal Reserve upwardly revised the economic outlook for the U.S. leading to a global sell-off in bonds which amounted to losses from the trading program’s fixed income exposures resulting in losses posted to the Fund at the end of the quarter.

April 1, 2012 to June 30, 2012

The Fund experienced a net trading loss of $10,306,883 before brokerage commissions and related fees in the second quarter of 2012. The Fund’s profits were primarily attributable to the interest rates, metals and the agriculture sectors posting profits. The currency, energy and stock indices sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as fixed income advanced, leading to gains from the trading program’s long bond and interest rate positions. Profits were posted to the Fund in the middle of the quarter as the central bank action also drove the trading program’s positive performance in fixed income. The Reserve Bank of Australia signaled the possibility of further rate cuts, thus driving the prices of Australian fixed income higher and benefiting the trading program’s long positioning. Losses were posted to the Fund at the end of the quarter as fixed income sectors contributed negatively with losses dominated by long positions in German government bonds. U.S. Treasuries also declined following the U.S. Federal Reserve’s decision to extend ‘Operation Twist’ rather than provide a more aggressive form of easing.

The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter which reversed in the middle of the quarter. The metals contributed positively to performance in May with gains being derived from short positions across both industrial and precious metals as prices declined with the general sell off in risky assets. Losses were posted to the Fund at the end of the quarter. The metal prices rose over the month of June resulting in losses for the trading program.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter with gains coming in particular from long positions in the soy complex as news of strong demand, combined with poor weather in South America, pushed prices higher. Losses were posted to the Fund in the middle through the end of the quarter as losses sustained from the net short position in the sector were lessened by long positions held in the soy complex which gained as news of low soil-moisture levels in the U.S. drove grain prices higher.

The currency sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter as the trading program’s long position in U.S. dollar/Japanese yen made losses as the U.S. dollar fell following a weaker-than-expected U.S. Gross Domestic Product growth figure towards the end of the month. Losses

were posted to the Fund in the middle of the quarter as the short U.S. dollar exposure was significantly reduced and switched to long towards the end of the month. Losses were posted to the Fund at the end of the quarter as the U.S. dollar declined, resulting in losses for the trading program. Gains made from the Euro based cross pairs currencies such as the Swedish Krona, Polish Zloty and Hungarian Forint continued to be supported by Eurozone uncertainty were not enough to overcome the losses from the trading program’s short Euro position against the U.S. dollar.

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Oil markets fell as the International Energy Agency gave signs that the oil supply and demand in balance has started to ease, while talks between Iran and the West progressed. Losses were posted to the Fund in the middle of the quarter. Oil prices were further pushed downwards by increasing inventories in the U.S. and a potential increase in supply by Saudi Arabia. Natural gas experienced a strong rally following short covering to the detriment of the trading program’s short positioning. Losses were posted to the Fund at the end of the quarter as natural gas prices surged following reports of smaller than expected inventories and above average temperatures in the U.S. The trading program’s losses from natural gas were slightly offset by gains from short positions in crude oil as prices declined following weak U.S. and European employment data.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Japanese stock indices fell sharply, and in an effort to boost Japan’s economy the Bank of Japan expanded its asset purchase program. Losses were posted to the Fund in the middle of the quarter. Risk aversion dominated markets following poor U.S. labor market data at the start of the month, increasing concerns about Greece exiting the Euro and the health of banks in Spain. Equity markets sold off and the U.S. dollar strengthened. The trading program responded to these sharp reversals and switched to a net short position in stock indices by the middle of the month. Losses were posted to the Fund at the end of the quarter. The majority of June’s losses occurred on the last trading day as European leaders agreed to ease repayment rules for Spanish banks and help reduce Italy’s borrowing costs. Broadly, June was characterized by a return of risk appetite amid expectations that central banks would act to help spur growth.

July 1, 2012 to September 30, 2012

The Fund experienced a net trading loss of $8,433,000 before brokerage commissions and related fees in the third quarter of 2012. The Fund’s profits were primarily attributable to the interest rates, currencies and the agriculture sectors posting profits. The stock indices, metals and energy sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The Bank of England extended their Quantitative Easing program while central banks in the Eurozone, China, Korea and South Africa cut rates in July. Accordingly, the trading program made gains across its long fixed income positions, except in Australia where the Reserve Bank surprised markets and kept rates on hold. Losses were posted to the Fund in the middle of the quarter. Increased optimism surrounding Euro zone issues, the prospect of further quantitative easing by global central banks and strong U.S. economic data helped boost risk appetite during the month of August. As a result, losses arose from the Fund’s long exposure to fixed income. Losses were posted to the Fund at the end of the quarter. In Europe, a ratification of the European Stability Mechanism by Germany and a strengthening of the pro-Euro political landscape helped increase risk appetite. As a result, the trading program generally incurred losses from long fixed income exposures.

The currency sector posted profits to the Fund. The trading program’s short Euro position, especially against the Swedish krona, made the currencies sector the top performer for the month of July. Losses were posted to the Fund in the middle of the quarter. The Euro also had a strong month, advancing against both the U.S.

dollar and the Japanese yen, causing further losses for the Fund. The weakening Australian dollar and strengthening Swiss franc also led to negative performance from the trading program’s positioning in these currencies relative to the U.S. dollar. Losses were posted to the Fund at the end of the quarter. The U.S. dollar depreciated in the middle of September, as the U.S. Federal Reserve initiated an open-ended quantitative easing program, thus benefiting the trading program’s short exposures especially against the New Zealand and Singapore dollar. However, some of these currency gains were offset by losses from a stronger Euro where the trading program held a net short exposure.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The impact of the worst U.S. drought in more than half a century pushed soy prices higher, to the benefit of the Fund’s long positions. Profits were posted to the Fund in the middle of the quarter. The impact of the worst U.S. drought in more than half a century pushed soy prices higher, to the benefit of the trading program’s long positions. Short positions in sugar also made gains as prices fell due to declining demand from India and an acceleration of harvesting in Brazil. Losses were posted to the Fund at the end of the quarter as the established trends in grains such as soy and corn reversed following improved conditions for the new planting season.

The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter through the middle of the quarter. Increased optimism surrounding Euro zone issues, the prospect of further quantitative easing by global central banks and stronger U.S. economic data helped boost risk appetite during the month of August. As a result, losses arose from the trading program’s long exposure to fixed income and the remaining short positions within the stock indices sector. Losses were posted to the Fund at the end of the quarter. In Europe, a ratification of the European Stability Mechanism by Germany and a strengthening of the pro-Euro political landscape helped increase risk appetite. As a result, the trading program incurred losses from the remaining short stock indices exposures.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter as the trading program made gains from its short positions in base metals. Losses were posted to the Fund in the middle of the quarter due to the Fund’s short positions in platinum. Losses were posted to the Fund at the end of the quarter. In Europe, a ratification of the European Stability Mechanism by Germany and a strengthening of the pro-Euro political landscape helped increase risk appetite. As a result, the trading program generally incurred losses from the short exposures to industrial metals

The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. Natural gas appreciated in price as a result of hot weather in the U.S. and the trading program’s short exposures in the oils complex caused losses as geopolitical tensions and potential supply disruptions resulted in higher oil prices. Losses were posted to the Fund in the middle of the quarter due to the trading program’s short positions in the energies sector. Oil prices rose due to the stronger U.S. economic data as well as bullish inventory statistics. However some gains were made from the trading program’s short natural gas positions amid forecasts of milder weather in the U.S. which was not enough to offset losses. Losses were posted to the Fund at the end of the quarter. The trading program’s short natural gas exposure incurred losses as the onset of colder weather drove prices higher.

January 1, 2011 to September 30, 2011

January 1, 2011 to March 31, 2011

The Fund experienced a net profit of $3,048,909 before brokerage commissions and related fees in the first quarter of 2011. The Funds profits were primarily attributable to energy, currencies and the agriculture sectors posting profits. The stock indices, metals and the interest rates posted losses.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as concerns about the Egyptian crisis drove Brent crude, gas oil and heating oil higher, to the benefit of the trading program’s long positions across the oils complex. Profits continued to be posted in the middle of the quarter. Tension in North Africa and the Middle East increased towards the end of February, causing the oil price to soar. The trading program made profits from its long positions in oil and its products, making energies the top sector for the month. The trading program’s long positions in oil products and oil resulted in profits posted to the Fund at the end of the quarter as the Libyan turmoil continued.

The currency sector posted profits to the Fund. The trading program benefited from a weaker euro which could not offset losses posted to the Fund at the beginning of the quarter. Profits were posted to the Fund in the middle of the quarter due to the trading program’s commodity-linked currencies which found support as the political turmoil boosted raw materials prices. Profits were also seen from the trading program’s net short position exposure to the U.S. dollar as it lost ground against several currencies including the British sterling, which was supported by speculation that the Bank of England may raise interest rates earlier than the United States Federal Reserve. Profits continued to be posted to the Fund at the end of the quarter as expectations of an interest rate increase by the European Central Bank resulted in the euro strengthening against the U.S. dollar. These expectations also resulted in profits from the trading program’s short position in Euribor, which were partly offset by losses from long exposure to Eurodollar after the United States Federal Reserve announced that they would begin unwinding some stimulus measures.

The agriculture sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as the trading program’s long positions continued to generate positive performance as prices in grains and softs moved upwards. Profits continued to be posted to the Fund in the middle of the quarter only to be offset by losses as the quarter ended. Agricultural markets sold off to the detriment of the trading program’s long positions. Signs that the political turmoil in the Ivory Coast may be easing caused the cocoa price to tumble from near 33-year highs.

The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The main losses came from silver and gold which were both affected by profit-taking after silver hit multi-decade highs and gold reached all-time highs, reinforced by some stronger economic news during January. Profits were posted to the Fund in the middle of the quarter as metals prices generally increased during the month of February. Some industrial metals rose due to supply concerns and rising global demand, while precious metals rose as safe-haven appeal returned to the market, with silver hitting a 30-year high. In response to the earthquake and tsunami in Japan on March 11th positions in the portfolio were systematically reduced. The quarter ended with profits posted to the Fund.

The stock indices sector posted losses to the Fund. Profits were posted to the Fund at the beginning through the middle of the quarter. There were two main themes that drove markets during the month of January: civil unrest in North Africa and increased concerns about inflation. The People’s Bank of China raised its reserve ratio requirement for the fourth time in two months in an effort to prevent its economy from overheating. Following a robust economic and earnings data, global stock markets rose at the start of the February with the Standard & Poors 500 pushing above the 1,300 level and doubling the low achieved in March 2009. On March 11th the worst earthquake and tsunami in Japanese history devastated the country. Japanese equities sold off sharply, resulting in the trading program’s long positions in the Nikkei and Topix being the month’s worst performers. The sell-off in equities spread across the globe on worries about the implications for global growth. Strong U.S. economic data released later in the month enabled the trading program to recoup some of its earlier losses but not enough to offset the losses posted to the Fund at the end of the quarter.

The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter. The bonds sector saw losses from the trading program’s short positions in Australian instruments as the severe flooding saw prices rally on safe haven demand. Bonds rallied in February amid the flight to safety, to the detriment of the trading program’s short positions resulting in losses posted to the Fund. Expectations of

an interest rate increase by the European Central Bank resulted in profits from the trading program’s short position in Euribor, which were offset by losses from long exposure to Eurodollar after the United States Federal Reserve announced that they would begin unwinding some stimulus measures. The quarter ended with losses posted to the Fund.

April 1, 2011 to June 30, 2011

The Fund experienced a net trading loss of $7,886,440 before brokerage commissions and related fees in the second quarter of 2011. The Fund’s profits were primarily attributable to the currency and the interest rate sectors posting profits. The metals, stock indices, agriculture and energy sectors posted losses.

The currency sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter as the U.S. dollar fell against major currencies, benefiting the trading program’s net short positioning. Losses were posted to the Fund in the middle of the quarter. Risk aversion boosted demand for the U.S. dollar to the detriment of the Fund’s net short exposure. The Euro fell due to the Eurozone worries, resulting in losses from the Fund’s long Euro/U.S. dollar positions. The British sterling fell against the U.S. dollar while short positions in the British sterling rallied which was not enough to offset losses posted to the Fund at the end of the quarter.

The interest rate sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the quarter as concerns about peripheral European debt boosted the prices of core European fixed income, resulting in losses from the trading program’s short positions in Euro, German bund and Euribor. Towards the end of the month a series of positive U.S. earnings announcements and successful European government bond auctions helped increase risk appetite but not enough to offset losses. Profits were posted to the Fund in the middle of the quarter as interest rate futures rose due to safe haven appeal, to the benefit of the trading program’s long bond positions. Profits were posted to the Fund at the end of the quarter as the trading program’s long positions in the fixed income markets, particularly in the German, U.S. and Japanese government bonds as prices rallied. In the United Kingdom, the minutes of the Monetary Policy Committee reinforced the Bank of England’s commitment to a low interest rate environment.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter as Standard & Poor’s cut its outlook on U.S. sovereign debt from stable to negative, driving investors to precious metals, which rallied as a result. Key themes for the month of May were sell-offs in the commodity markets and continued concerns surrounding Eurozone sovereign debt and global growth. The metals markets also retraced from their previous highs resulting in losses posted to the Fund in the middle of the quarter. Disappointing European and Chinese data further added to bearish market sentiment. Against this backdrop the trading program made losses as commodities declined resulting in losses posted to the Fund at the end of the quarter.

The stock indices posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Towards the end of the month of April a series of positive U.S. earnings announcements and successful European government bond auctions helped increase risk appetite. As a result the trading program made strong gains from risky assets. Global equities declined amid poor global growth data in the middle of the quarter to the detriment of the trading program’s long positions resulting in losses posted to the Fund. Greek sovereign debt concerns combined with the U.S. Federal Reserve’s downward revision of growth forecasts led to broad risk aversion towards the middle of the month of June. Disappointing European and Chinese data further added to bearish market sentiment. Against this backdrop the trading program made losses as stock markets declined.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the quarter as performance from agriculturals was mixed. Cotton futures fell amid uncertainty over demand, while the trading program made gains from its long position in coffee as the cost of Arabica rose to a 34 year high following increased demand from developing countries. During the middle of the quarter were sell-offs in the

commodity markets as agricultural markets retreated from their previous highs resulting in losses posted to the Fund. Losses were posted to the Fund at the end at the quarter as the worst performer was in corn as prices fell following reports of an unexpectedly large planting season in the U.S. towards the end of the quarter.

The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. Long positions in oil and its products made gains at the start of the month as military action in Libya and the civil unrest in the wider region continued. Losses were posted to the Fund in the middle of the quarter as oil prices fell from their recent highs following the release of bearish inventory statistics at the start of the month and moves by investors to take profits in this commodity sector. The International Energy Agency’s decision to release strategic oil reserves added to the downward pressure on oil prices resulting in losses posted to the Fund at the end of the quarter.

July 1, 2011 to September 30, 2011

The Fund experienced a net trading gain of $32,615,671 before brokerage commissions and related fees in the third quarter of 2011. The Fund’s profits were primarily attributable to the interest rate stock indices and the energy sectors posting profits. The metals, agriculture and currency sectors posted losses.

The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter. The trading program made strong gains from its long positions in both short term interest rates and bonds, with the United Kingdom fixed income and German 10-year government bonds being the strongest markets overall. Profits were posted to the Fund in the middle of the quarter as investors sought the safety of U.S. Treasuries, which rallied, benefiting the Fund’s long positions in fixed income. Profits continued to be posted to the Fund at the end of the quarter from the trading program’s long positions in fixed income.

The stock indices posted profits to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter as the stock indices were sold off in August. Profits were posted to the Fund at the end of the quarter. Following a downbeat assessment of the risks to the U.S. economy, the U.S. Federal Reserve launched ‘Operation Twist’ and subsequently, equity markets sold off.

The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the Fund’s long positions in oils. Losses were posted to the Fund in the middle of the quarter as oils sold off for most of the month. The quarter ended with profits posted to the Fund as oils and natural gas prices fell.

The metals sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter due to the trading program’s long positions in metals. Notably the Fund profited from its long position in gold, which reached an all-time high at the end of the month. Losses were posted to the Fund in the middle of the quarter even though gold reached a new record which was not enough to offset losses posted to the Fund. Losses continued to be posted to the Fund at the end of the quarter as gold and silver prices reversed sharply to the detriment of the trading program’s positions.

The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning through the middle of the quarter due to global volatility. Losses continued to be posted to the Fund at the end of the quarter which was driven by falls in coffee and grains prices following strong harvest yields.

The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the quarter. The trading program benefited from its net short exposure to the U.S. dollar despite losses from a long Euro position as the Japanese yen and New Zealand dollars strengthened against the U.S. dollar and the Swiss franc which rose to record levels. Losses were posted to the Fund in the middle of the quarter following the central bank interventions in the Japanese yen and Swiss franc; safe haven demand saw the U.S. dollar strengthen and commodity currencies sell off against the Fund’s positions. The trading program suffered losses in the

currencies sector, driven by a strengthening U.S. dollar resulting in losses posted to the Fund at the end of the quarter.

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

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

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

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

Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Fund’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantifications included in this section should not be considered to constitute any assurance or representation that the Fund’s losses in any market sector will be limited to Value at Risk or by the Fund’s attempts to manage its market risk.

Quantifying The Fund’s Trading Value At Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

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

Exchange maintenance margin requirements have been used by the Fund as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value

of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

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

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

The Fund’s Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest trading Value at Risk associated with the Fund’s open positions by market category for the fiscal period. For the nine months ended September 30, 2012 and 2011, the Fund’s average Month-end Net Asset Value was approximately $310,632,531 and $293,485,571, respectively.

September 30, 2012

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

Agriculture	$	6,099,003	1.96	%	$	8,773,514	$	2,877,282
Currencies	1,804,544		0.58	%	4,511,438		428,075
Energy	6,661,015		2.14	%	11,422,080		3,604,133
Interest Rates	5,061,327		1.63	%	8,692,769		2,634,393
Metals	1,721,756		0.55	%	2,443,925		734,799
Stock Indices	6,960,039		2.24	%	10,956,258		854,887

Total	$	28,307,684	9.10	%	$	46,799,984	$	11,133,569

September 30, 2011

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

Agriculture	$	757,359	0.26	%	$	2,385,542	$	24,521
Currencies	5,121,873		1.75	%	6,686,255		4,131,543
Energy	7,128,487		2.43	%	8,868,279		5,026,584
Interest Rates	3,337,319		1.14	%	5,677,876		73,518
Metals	1,924,614		0.66	%	2,835,599		776,797
Stock Indices	2,654,406		0.90	%	3,871,846		1,534,743

Total	$	20,924,058	7.14	%	$	30,325,397	$	11,567,706

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Fund’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Fund — gives no indication of this “risk of ruin.”

Non-Trading Risk

Foreign Currency Balances; Cash on Deposit with MLPF&S and MLIB

The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.

The Fund also has non-trading market risk on the approximately 90%-95% of its assets which are held in cash at MLPF&S. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by MLAI and Aspect for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the value of their investment in the Fund.

The following were the primary trading risk exposures of the Fund as of September 30, 2012, by market sector.

Interest Rates

Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. The Fund’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund also takes positions in the government debt of smaller nations (e.g., Australia). MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.

Currencies

The Fund trades in a number of currencies. The Fund does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.

Stock Indices

The Fund’s primary equity exposure is to S&P 500, NASDAQ and OMX S30 equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.

Metals

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

Agricultural Commodities

The Fund’s primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, grains, livestock, cocoa and coffee accounted for the substantial bulk of the Fund’s agricultural commodities exposure as of September 30, 2012.

Energy

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Fund as of September 30, 2012.

Foreign Currency Balances

The Fund’s primary foreign currency balances are in Hong Kong dollar and Australian dollar.

U.S. Dollar Cash Balance

The Fund holds U.S. dollars in cash at MLPF&S and MLIB. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.

Item 4. Controls and Procedures

MLAI, the Sponsor of Aspect FuturesAccess LLC, with the participation of the Sponsor’s Chief Executive Officer and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Fund as of the end of the period covered by this quarterly report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended September 30, 2012 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Annual Report on Form 10-K for the year ended December 31, 2011, filed with the Securities and Exchange Commission on March 23, 2012.

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

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

CLASS A

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	1,521,792	927,639	$	1.6405
Feb-12	1,037,706		626,861	1.6554
Mar-12	829,806		492,058	1.6864
Apr-12	1,406,195		850,487	1.6534
May-12	1,670,980		1,006,130	1.6608
Jun-12	1,271,738		762,295	1.6683
Jul-12	1,077,788		678,408	1.5887
Aug-12	1,117,547		683,014	1.6362
Sep-12	1,868,475		1,177,141	1.5873
Oct-12	609,807		398,592	1.5299

CLASS C

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	4,980,450	3,237,001	$	1.5386
Feb-12	2,874,523		1,852,977	1.5513
Mar-12	7,447,676		4,716,704	1.5790
Apr-12	5,591,076		3,614,608	1.5468
May-12	4,460,932		2,873,386	1.5525
Jun-12	5,523,420		3,544,745	1.5582
Jul-12	8,996,354		6,067,958	1.4826
Aug-12	2,441,304		1,600,121	1.5257
Sep-12	3,055,033		2,065,886	1.4788
Oct-12	2,982,106		2,094,029	1.4241

CLASS D

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	—	—	$	1.8464
Feb-12	—		—	1.8656
Mar-12	—		—	1.9028
Apr-12	750,000		401,520	1.8679
May-12	750,000		399,213	1.8787
Jun-12	—		—	1.8895
Jul-12	1,442,751		800,817	1.8016
Aug-12	—		—	1.8578
Sep-12	500,000		277,084	1.8045
Oct-12	—		—	1.7414

CLASS I

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	179,997	106,899	$	1.6838
Feb-12	96,371		56,699	1.6997
Mar-12	277,311		160,111	1.7320
Apr-12	987,423		581,281	1.6987
May-12	1,299,204		761,149	1.7069
Jun-12	206,100		120,161	1.7152
Jul-12	147,530		90,299	1.6338
Aug-12	83,034		49,328	1.6833
Sep-12	127,243		77,895	1.6335
Oct-12	112,435		71,387	1.5750

CLASS DS

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	—	—	$	1.8386
Feb-12	—		—	1.8577
Mar-12	—		—	1.8947
Apr-12	—		—	1.8600
May-12	—		—	1.8707
Jun-12	—		—	1.8815
Jul-12	2,887,420		1,609,577	1.7939
Aug-12	—		—	1.8499
Sep-12	—		—	1.7968
Oct-12	—		—	1.7340

CLASS DT

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	—	—	$	1.9154
Feb-12	—		—	1.9372
Mar-12	—		—	1.9790
Apr-12	—		—	1.9412
May-12	—		—	1.9537
Jun-12	—		—	1.9664
Jul-12	—		—	1.8737
Aug-12	—		—	1.9331
Sep-12	—		—	1.8783
Oct-12	—		—	1.8134

CLASS M

	Subscription
	Amount		Units	NAV (1)
Jan-12	$	—	—	$	—
Feb-12	—		—	—
Mar-12	—		—	—
Apr-12	75,000		75,000	1.0000
May-12	60,000		59,654	1.0058
Jun-12	400,000		395,413	1.0116
Jul-12	594,000		615,863	0.9645
Aug-12	2,111,000		2,122,461	0.9946
Sep-12	125,000		129,387	0.9661
Oct-12	125,000		134,077	0.9323

(1) Beginning of the month Net Asset Value

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions paid to MLPF&S up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are directly deducted from subscription amounts. Class C, Class DS, Class DT and Class M Units are not subject to any sales commissions.

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

The following exhibits are filed herewith to this Quarterly Report on Form 10-Q:

31.01 and

31.02 Rule 13a-14(a)/15d-14(a) Certifications

Exhibit 31.01

and 31.02: Are filed herewith.

32.01 and

32.02 Section 1350 Certifications

Exhibit 32.01

and 32.02 Are filed herewith.

Exhibit 101 Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three and nine month periods ended September 30, 2012 formatted in XBRL (Extensible Business Reporting Language): ( i ) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text. (1)

(1) These interactive data files shall not be deemed filed for purposes of Section 11 or 12 of the Securities Act as amended, or Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to liability under those sections.

SIGNATURES

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

	ASPECT FUTURESACCESS LLC
.

	By:	MERRILL LYNCH ALTERNATIVE
		INVESTMENTS LLC
		(Manager)


Date: November 14, 2012	By:	/s/ DEANN MORGAN
		Deann Morgan
		Chief Executive Officer and President
		(Principal Executive Officer)


Date: November 14, 2012	By:	/s/ BARBRA E. KOCSIS
		Barbra E. Kocsis
		Chief Financial Officer
		(Principal Financial and Accounting Officer)

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Constraining
Legalese
Litigious
Readability	8th grade Avg

Aspect FuturesAccess Inactive 10-Q2012 Q3 Quarterly report

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