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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
/X/ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended JUNE 30, 2005
OR
/ / TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the transition period from to
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Commission File Number 0-51085
ML ASPECT FUTURESACCESS LLC
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(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
Princeton Corporate Campus
800 Scudders Mill Road - Section 2G
Plainsboro, New Jersey 08536
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(Address of principal executive offices)
(Zip Code)
609-282-6996
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(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 / /
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PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
ML ASPECT FUTURESACCESS LLC
(A DELAWARE LIMITED LIABILITY COMPANY)
STATEMENT OF FINANCIAL CONDITION
(unaudited)
<Table>
<Caption>
JUNE 30,
2005
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ASSETS:
Equity in commodity futures trading accounts:
Cash $ 15,740,670
Net unrealized gains on open contracts 477,438
Accrued interest 33,911
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TOTAL ASSETS $ 16,252,019
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LIABILITIES AND MEMBERS' CAPITAL:
LIABILITIES:
Brokerage fee payable $ 8,657
Management fee payable 26,936
Sponsor's fee payable 17,679
Incentive fee payable 181,562
Redemptions payable 72,673
Other fees payable 33,193
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Total liabilities 340,700
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MEMBERS' CAPITAL:
Sponsor's Interest (20,647 Units) 21,449
Members' Interests (15,265,277 Units) 15,889,870
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Total members' capital 15,911,319
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TOTAL LIABILITIES AND MEMBERS' CAPITAL $ 16,252,019
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</Table>
NET ASSET VALUE PER UNIT (NOTE 2)
See notes to financial statements.
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ML ASPECT FUTURESACCESS LLC
(A DELAWARE LIMITED LIABILITY COMPANY)
STATEMENT OF INCOME
(unaudited)
<Table>
<Caption>
FOR THE PERIOD
APRIL 1, 2005
(COMMENCEMENT OF OPERATIONS)
TO
JUNE 30, 2005
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TRADING PROFITS:
Realized $ 470,354
Change in unrealized 477,438
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Total trading profits 947,792
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INVESTMENT INCOME:
Interest 88,248
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EXPENSES:
Brokerage commissions 26,264
Management fee 68,775
Incentive fee 181,562
Sponsor's fee 40,925
Other 33,192
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Total expenses 350,718
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NET INVESTMENT LOSS (262,470)
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NET INCOME $ 685,322
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NET INCOME PER UNIT:
Weighted average number of Units outstanding 5,095,308
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Net income per weighted average Unit $ 0.1345
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</Table>
See notes to financial statements.
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ML ASPECT FUTURESACCESS LLC
(A DELAWARE LIMITED LIABILITY COMPANY)
STATEMENT OF CHANGES IN MEMBERS' CAPITAL
FOR THE PERIOD APRIL 1, 2005 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 2005
(unaudited)
<Table>
<Caption>
MEMBERS' CAPITAL
SPONSOR'S MEMBERS'
UNITS INTEREST INTERESTS TOTAL
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MEMBERS' CAPITAL,
April 1, 2005 - $ - $ - $ -
Additions 15,425,924 19,999 15,346,445 15,366,444
Net income - 1,450 683,872 685,322
Redemptions (140,000) - (140,447) (140,447)
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MEMBERS' CAPITAL,
June 30, 2005 15,285,924 $ 21,449 $ 15,889,870 $ 15,911,319
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See notes to financial statements.
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ML ASPECT FUTURESACCESS LLC
(A DELAWARE LIMITED LIABILITY COMPANY)
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
In the opinion of management, the financial statements contain all
adjustments necessary to present fairly the financial position of ML
Aspect FuturesAccess LLC (the "Fund") as of June 30, 2005, and the results
of its operations for the period April 1, 2005 (commencement of
operations) to June 30, 2005. However, the operating results for the
interim period may not be indicative of the results for the period ended
December 31, 2005.
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 have been omitted. It
is suggested that these financial statements be read in conjunction with
the Fund's Form 10 filed with the Securities and Exchange Commission.
2. NET ASSET VALUE PER UNIT
At June 30, 2005 the Net Asset Values of the different series of Units are
as follows:
<Table>
<Caption>
NET ASSET
NET ASSET NUMBER OF VALUE PER
VALUE UNITS UNIT
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Series A $ 754,853 725,761 $ 1.0401
Series C 7,681,168 7,403,155 1.0376
Series D 6,865,645 6,571,743 1.0447
Series I 609,653 585,265 1.0417
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$ 15,911,319 15,285,924
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3. FAIR VALUE AND OFF-BALANCE SHEET RISK
The nature of this Fund has certain risks, which cannot be presented on
the financial statements. The following summarizes some of those risks.
MARKET RISK
Derivative instruments involve varying degrees of off-balance sheet 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 on such derivative instruments
as reflected in the Statement 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.
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Merrill Lynch Alternative Investments LLC ("MLAI"), the Sponsor of the
Fund, 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 Capital Limited ("Aspect"), the trading advisor, calculating the
Net Asset Value of the Fund as of the close of business on each day and
reviewing outstanding positions for over-concentrations. While MLAI does
not itself 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 will consist of the ongoing process of advisor monitoring, with
the market risk controls being applied by Aspect itself.
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 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, if any, included in the
Statement of Financial Condition. The Fund attempts to mitigate this risk
by dealing exclusively with Merrill Lynch entities as clearing brokers.
The Fund, in its normal course of business, enters into various contracts,
with Merrill Lynch Pierce Fenner & Smith Inc. ("MLPF&S") acting as its
commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which
includes a netting arrangement), to the extent that such trading results
in receivables from and payables to MLPF&S, these receivables and payables
are offset and reported as a net receivable or payable and included in
equity from commodity futures trading accounts in the Statement of
Financial Condition.
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Item 2: Management's Discussion and Analysis of Financial Condition and
Results of Operations
MONTH-END NET ASSET VALUE PER UNIT
Class A
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<Caption>
JAN. FEB. MAR. APR. MAY JUN.
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2005 n/a n/a n/a $ 0.9690 $ 1.0071 $ 1.0401
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Class C
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN.
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2005 n/a n/a n/a $ 0.9682 $ 1.0054 $ 1.0376
</Table>
Class D
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN.
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2005 n/a n/a n/a $ 0.9702 $ 1.0096 $ 1.0447
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Class I
<Table>
<Caption>
JAN. FEB. MAR. APR. MAY JUN.
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2005 n/a n/a n/a $ 0.9693 $ 1.0078 $ 1.0417
</Table>
Performance Summary
April 1, 2005 to June 30, 2005
The Fund posted an overall gain for the quarter after incurring losses early on.
The interest rate sector posted the majority of the profits, followed by the
currency and stock indices sectors. Losses were posted in the metals,
agriculture, and energy sectors.
Trading in interest rates was profitable throughout the quarter. Short term
interest rates were profitable as speculation that the next move in U.K.
interest rates could be downwards. The Riskbank cut interest rates as well.
Speculation that the U.K. will likely cut interest rates before the end of the
year continued.
The currency sector posted gains despite losses early on. Currency markets were
dominated by the strengthening U.S. dollar and the Euro falling to seven month
lows after the French rejected the European constitution. The currency markets
were the most profitable towards the end of the quarter.
Trading in stock indices was also profitable for the Fund. Trading in stock
indices was turbulent in the beginning of the quarter as the sharp mid-month
falls triggered by the Asian indices impacted performance. Mid-quarter global
markets recovered and stock indices were a source of profit. The quarter ended
with gains as European and Asian markets enjoyed a good month.
Losses were posted in the metals sector throughout the month. Base metal markets
suffered a sharp drop after copper reached new highs, hurting the long positions
held in the Fund.
Trading in agricultural commodities posted losses for the Fund. Trading in soft
agricultural markets attributed to these losses.
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The largest losses were posted in the energy sector. Trading in energies was
difficult as crude fell back from its highs, but remained volatile amid
speculation about refinery capacity issues. The downward trend in natural gas
continued throughout the quarter.
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Not applicable
Item 4. Controls and Procedures
Merrill Lynch Alternative Investments LLC, the Sponsor of ML Aspect
FuturesAccess LLC, with the participation of the Sponsor's Chief Executive
Officer and the Chief Financial Officer, has evaluated the effectiveness of the
design and operation of its disclosure controls and procedures with respect to
the Fund as of the end of the period of this quarterly report, and, based on
this evaluation, has concluded that these disclosure controls and procedures are
effective. Additionally, there were no significant changes in the Fund's
internal controls or in other factors that could significantly affect these
controls subsequent to the date of this evaluation, including any corrective
actions with regard to significant deficiencies and material weaknesses.
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PART II - OTHER INFORMATION
Item 1. Legal Proceedings
There are no pending proceedings to which the Fund or MLAI is a
party.
Item 2. Changes in Securities and Use of Proceeds
(a) None.
(b) None.
(c) None.
(d) None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Submission of Matters to a Vote of Security Holders
None.
Item 5. Other Information
None.
Item 6. Exhibits and Reports on Form 8-K.
(a)Exhibits.
There are no exhibits required to be filed as part of this
document.
(b) Reports on Form 8-K.
There were no reports on Form 8-K filed during the three months of
fiscal 2005.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
ML ASPECT FUTURESACCESS LLC
By: MERRILL LYNCH ALTERNATIVE
INVESTMENTS LLC
(General Partner)
Date: August 12, 2005 By /s/ ROBERT M. ALDERMAN
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Robert M. Alderman
Chief Executive Officer, President and Manager
(Principal Executive Officer)
Date: August 12, 2005
By /s/ MICHAEL L. PUNGELLO
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Michael L. Pungello
Vice President, Chief Financial Officer
and Treasurer
(Principal Financial and Accounting Officer)
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