Attached files
| file | filename |
|---|---|
| EX-32.02 - EX-32.02 - Aspect FuturesAccess LLC | a18-1053_1ex32d02.htm |
| EX-32.01 - EX-32.01 - Aspect FuturesAccess LLC | a18-1053_1ex32d01.htm |
| EX-31.02 - EX-31.02 - Aspect FuturesAccess LLC | a18-1053_1ex31d02.htm |
| EX-31.01 - EX-31.01 - Aspect FuturesAccess LLC | a18-1053_1ex31d01.htm |
| 10-K - 10-K - Aspect FuturesAccess LLC | a18-1053_110k.htm |
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
Financial Statements as of December 31, 2017 and 2016 and
for the years ended December 31, 2017, 2016 and 2015
and Report of Independent Registered Public Accounting Firm
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
TABLE OF CONTENTS
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Page |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
1 |
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FINANCIAL STATEMENTS: |
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Statements of Financial Condition as of December 31, 2017 and 2016 |
2 |
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Statements of Operations for the years ended December 31, 2017, 2016 and 2015 |
3 |
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Statements of Changes in Members’ Capital for the years ended December 31, 2017, 2016 and 2015 |
4 |
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Financial Data Highlights for the years ended December 31, 2017, 2016 and 2015 |
6 |
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Notes to Financial Statements |
9 |
Report of Independent Registered Public Accounting Firm
To the Board of Managers and Members of Aspect FuturesAccess LLC:
Opinion on the Financial Statements
We have audited the accompanying statements of financial condition of Aspect FuturesAccess LLC (the “Fund”) as of December 31, 2017 and 2016, and the related statements of operations and of changes in members’ capital and the financial data highlights for each of the three years in the period ended December 31, 2017, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2017 and 2016, and the results of its operations, the changes in its members’ capital and its financial data highlights for each of the three years in the period ended December 31,2017 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
March 19, 2018
We have served as the Fund’s auditor since 2009.
PricewaterhouseCoopers LLP, PricewaterhouseCoopers Center, 300 Madison Avenue, New York, NY 10017
T: (646) 471 3000, F:(813) 286 6000, www.pwc.com/us
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
AS OF DECEMBER 31, 2017 AND 2016
|
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2017 |
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2016 |
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ASSETS: |
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Equity in commodity trading accounts: |
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|
|
| ||
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Cash (including restricted cash of $24,062,735 for 2017 and $18,554,979 for 2016) |
|
$ |
70,693,933 |
|
$ |
108,234,200 |
|
|
Unrealized profit on open futures contracts |
|
4,494,939 |
|
3,315,560 |
| ||
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Unrealized profit on open forwards contracts |
|
3,290,984 |
|
2,545,779 |
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Cash and cash equivalents |
|
540,090 |
|
498,940 |
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Other assets |
|
56,112 |
|
29,752 |
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TOTAL ASSETS |
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$ |
79,076,058 |
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$ |
114,624,231 |
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LIABILITIES AND MEMBERS’ CAPITAL: |
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LIABILITIES: |
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Unrealized loss on open futures contracts |
|
$ |
3,153,548 |
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$ |
2,688,443 |
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Unrealized loss on open forwards contracts |
|
3,660,942 |
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2,166,697 |
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Brokerage commissions payable |
|
17,194 |
|
13,237 |
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Sponsor and Advisory fees payable |
|
147,475 |
|
364,710 |
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Redemptions payable |
|
1,557,158 |
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2,168,565 |
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Other liabilities |
|
317,770 |
|
816,026 |
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Total liabilities |
|
8,854,087 |
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8,217,678 |
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MEMBERS’ CAPITAL: |
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Members’ Capital (44,544,897 Units and 71,901,800 Units outstanding; unlimited Units authorized) |
|
70,221,971 |
|
106,406,553 |
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Total Members’ Capital |
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70,221,971 |
|
106,406,553 |
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TOTAL LIABILITIES AND MEMBERS’ CAPITAL |
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$ |
79,076,058 |
|
$ |
114,624,231 |
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NET ASSET VALUE PER UNIT: |
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Class A |
|
$ |
1.6509 |
|
$ |
1.6560 |
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Class C |
|
$ |
1.4579 |
|
$ |
1.4766 |
|
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Class D |
|
$ |
2.0281 |
|
$ |
2.0080 |
|
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Class I |
|
$ |
1.7357 |
|
$ |
1.7327 |
|
|
Class M |
|
$ |
1.0885 |
|
$ |
1.0759 |
|
See notes to financial statements.
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2017, 2016 AND 2015
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2017 |
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2016 |
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2015 |
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TRADING PROFIT (LOSS), NET: |
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|
| |||
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Realized, net |
|
$ |
1,266,678 |
|
$ |
(9,140,334 |
) |
$ |
28,415,973 |
|
|
Change in unrealized, net |
|
(34,766 |
) |
1,920,372 |
|
(11,847,606 |
) | |||
|
Brokerage commissions |
|
(427,983 |
) |
(427,452 |
) |
(463,158 |
) | |||
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|
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| |||
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Total trading profit (loss), net |
|
803,929 |
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(7,647,414 |
) |
16,105,209 |
| |||
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INVESTMENT INCOME (EXPENSE): |
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Interest, net |
|
682,995 |
|
228,808 |
|
6,174 |
| |||
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Other income |
|
517,000 |
|
647,420 |
|
— |
| |||
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Total investment income (expense) |
|
1,199,995 |
|
876,228 |
|
6,174 |
| |||
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EXPENSES: |
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Management fee |
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1,492,543 |
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2,446,584 |
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2,752,521 |
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Sponsor fee |
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1,632,685 |
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2,396,438 |
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2,405,145 |
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Performance fee |
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— |
|
330,158 |
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2,973,476 |
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Other |
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669,041 |
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661,855 |
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680,050 |
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Total expenses |
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3,794,269 |
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5,835,035 |
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8,811,192 |
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NET INVESTMENT INCOME (LOSS) |
|
(2,594,274 |
) |
(4,958,807 |
) |
(8,805,018 |
) | |||
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NET INCOME (LOSS) |
|
$ |
(1,790,345 |
) |
$ |
(12,606,221 |
) |
$ |
7,300,191 |
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NET INCOME (LOSS) PER UNIT: |
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Weighted average number of Units outstanding |
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Class A |
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16,246,406 |
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14,195,046 |
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13,077,702 |
| |||
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Class C |
|
34,119,491 |
|
49,511,607 |
|
50,553,044 |
| |||
|
Class D |
|
1,920,371 |
|
2,170,371 |
|
2,674,226 |
| |||
|
Class I |
|
878,252 |
|
1,213,834 |
|
1,219,457 |
| |||
|
Class DS* |
|
— |
|
— |
|
11,455,528 |
| |||
|
Class DT** |
|
— |
|
— |
|
5,182,416 |
| |||
|
Class M |
|
6,596,491 |
|
8,674,085 |
|
6,913,868 |
| |||
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Net income (loss) per weighted average Unit |
|
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| |||
|
Class A |
|
$ |
(0.0078 |
) |
$ |
(0.1769 |
) |
$ |
0.1078 |
|
|
Class C |
|
$ |
(0.0504 |
) |
$ |
(0.1728 |
) |
$ |
0.0754 |
|
|
Class D |
|
$ |
0.0202 |
|
$ |
(0.1817 |
) |
$ |
0.2068 |
|
|
Class I |
|
$ |
(0.0338 |
) |
$ |
(0.1807 |
) |
$ |
0.1238 |
|
|
Class DS* |
|
$ |
— |
|
$ |
— |
|
$ |
(0.0266 |
) |
|
Class DT** |
|
$ |
— |
|
$ |
— |
|
$ |
0.2110 |
|
|
Class M |
|
$ |
0.0068 |
|
$ |
(0.1069 |
) |
$ |
0.0845 |
|
*Units fully redeemed as of April 30, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period January 1, 2015 to April 30, 2015.)
**Units fully redeemed as of December 31, 2015.
See notes to financial statements.
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2017, 2016 AND 2015 (IN UNITS)
|
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Members’ Units |
|
|
|
|
|
Members’ Units |
|
|
|
|
|
Members’ Units |
|
|
|
|
|
Members’ Units |
|
|
|
|
December 31, 2014 |
|
Subscriptions |
|
Redemptions |
|
December 31, 2015 |
|
Subscriptions |
|
Redemptions |
|
December 31, 2016 |
|
Subscriptions |
|
Redemptions |
|
December 31, 2017 |
|
|
Class A*** |
|
12,349,527 |
|
2,270,434 |
|
(835,634 |
) |
13,784,327 |
|
2,159,599 |
|
(1,489,096 |
) |
14,454,830 |
|
24,861,552 |
|
(7,854,391 |
) |
31,461,991 |
|
|
Class C**** |
|
49,129,741 |
|
5,420,466 |
|
(3,916,597 |
) |
50,633,610 |
|
2,506,983 |
|
(7,802,928 |
) |
45,337,665 |
|
132,736 |
|
(40,612,790 |
) |
4,857,611 |
|
|
Class D |
|
2,482,365 |
|
522,844 |
|
(834,838 |
) |
2,170,371 |
|
— |
|
(250,000 |
) |
1,920,371 |
|
— |
|
— |
|
1,920,371 |
|
|
Class I |
|
1,207,316 |
|
58,000 |
|
(87,734 |
) |
1,177,582 |
|
94,065 |
|
(194,631 |
) |
1,077,016 |
|
17,896 |
|
(413,687 |
) |
681,225 |
|
|
Class DS* |
|
11,804,527 |
|
73,442 |
|
(11,877,969 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Class DT** |
|
5,440,620 |
|
1,026,778 |
|
(6,467,398 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
|
Class M |
|
5,538,484 |
|
2,531,648 |
|
(423,939 |
) |
7,646,193 |
|
2,639,320 |
|
(1,173,595 |
) |
9,111,918 |
|
868,574 |
|
(4,356,793 |
) |
5,623,699 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Members’ Units |
|
87,952,580 |
|
11,903,612 |
|
(24,444,109 |
) |
75,412,083 |
|
7,399,967 |
|
(10,910,250 |
) |
71,901,800 |
|
25,880,758 |
|
(53,237,661 |
) |
44,544,897 |
|
*Units fully redeemed as of April 30, 2015.
**Units fully redeemed as of December 31, 2015.
***Subscription units include conversion in of 24,597,496 units which were converted from Class C in 2017.
****Redemption units include conversion out of 27,803,430 units which were converted to Class A in 2017.
See notes to financial statements.
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL
FOR THE YEARS ENDED DECEMBER 31, 2017, 2016 AND 2015
|
|
|
Members’ Capital |
|
|
|
|
|
Net |
|
Members’ Capital |
|
|
|
|
|
Net |
|
Members’ Capital |
|
|
|
|
|
Net |
|
Members’ Capital |
| |||||||||||||
|
|
|
December 31, 2014 |
|
Subscriptions |
|
Redemptions |
|
Income(Loss) |
|
December 31, 2015 |
|
Subscriptions |
|
Redemptions |
|
Income(Loss) |
|
December 31, 2016 |
|
Subscriptions |
|
Redemptions |
|
Income(Loss) |
|
December 31, 2017 |
| |||||||||||||
|
Class A*** |
|
$ |
21,386,741 |
|
$ |
3,941,551 |
|
$ |
(1,470,667 |
) |
$ |
1,409,709 |
|
$ |
25,267,334 |
|
$ |
3,864,380 |
|
$ |
(2,682,714 |
) |
$ |
(2,511,574 |
) |
$ |
23,937,426 |
|
$ |
40,550,269 |
|
$ |
(12,420,262 |
) |
$ |
(126,099 |
) |
$ |
51,941,334 |
|
|
Class C**** |
|
77,465,333 |
|
8,658,518 |
|
(6,305,500 |
) |
3,813,899 |
|
83,632,250 |
|
4,145,000 |
|
(12,279,757 |
) |
(8,553,810 |
) |
66,943,683 |
|
196,000 |
|
(58,339,627 |
) |
(1,717,996 |
) |
7,082,060 |
| |||||||||||||
|
Class D |
|
5,075,852 |
|
1,000,100 |
|
(1,873,877 |
) |
552,976 |
|
4,755,051 |
|
— |
|
(504,550 |
) |
(394,431 |
) |
3,856,070 |
|
— |
|
— |
|
38,715 |
|
3,894,785 |
| |||||||||||||
|
Class I |
|
2,150,219 |
|
112,000 |
|
(162,220 |
) |
150,930 |
|
2,250,929 |
|
181,766 |
|
(347,146 |
) |
(219,390 |
) |
1,866,159 |
|
31,000 |
|
(685,052 |
) |
(29,722 |
) |
1,182,385 |
| |||||||||||||
|
Class DS* |
|
23,951,811 |
|
161,403 |
|
(23,808,292 |
) |
(304,922 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
| |||||||||||||
|
Class DT** |
|
11,715,686 |
|
2,270,636 |
|
(15,079,959 |
) |
1,093,637 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
| |||||||||||||
|
Class M |
|
6,055,077 |
|
2,820,000 |
|
(492,767 |
) |
583,962 |
|
8,966,272 |
|
3,146,172 |
|
(1,382,213 |
) |
(927,016 |
) |
9,803,215 |
|
903,927 |
|
(4,630,492 |
) |
44,757 |
|
6,121,407 |
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
|
Total Members’ Interest |
|
$ |
147,800,719 |
|
$ |
18,964,208 |
|
$ |
(49,193,282 |
) |
$ |
7,300,191 |
|
$ |
124,871,836 |
|
$ |
11,337,318 |
|
$ |
(17,196,380 |
) |
$ |
(12,606,221 |
) |
$ |
106,406,553 |
|
$ |
41,681,196 |
|
$ |
(76,075,433 |
) |
$ |
(1,790,345 |
) |
$ |
70,221,971 |
|
*Units fully redeemed as of April 30, 2015.
**Units fully redeemed as of December 31, 2015.
***Subscription includes conversion in the amount of $40,123,556 which was converted from Class C in 2017.
****Redemption includes conversion out in the amount of $40,123,556 which was converted to Class A in 2017.
See notes to financial statements.
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2017
The following per Unit data and ratios have been derived from information provided in the financial statements.
|
|
|
Class A |
|
Class C |
|
Class D |
|
Class I |
|
Class M |
| |||||
|
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net asset value, beginning of year |
|
$ |
1.6560 |
|
$ |
1.4766 |
|
$ |
2.0080 |
|
$ |
1.7327 |
|
$ |
1.0759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net realized and net change in unrealized trading profit (loss) |
|
0.0461 |
|
0.0404 |
|
0.0571 |
|
0.0486 |
|
0.0307 |
| |||||
|
Brokerage commissions |
|
(0.0081 |
) |
(0.0072 |
) |
(0.0099 |
) |
(0.0085 |
) |
(0.0053 |
) | |||||
|
Interest income, net |
|
0.0130 |
|
0.0115 |
|
0.0159 |
|
0.0136 |
|
0.0085 |
| |||||
|
Expenses (c) |
|
(0.0561 |
) |
(0.0634 |
) |
(0.0430 |
) |
(0.0507 |
) |
(0.0213 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net asset value, end of year |
|
$ |
1.6509 |
|
$ |
1.4579 |
|
$ |
2.0281 |
|
$ |
1.7357 |
|
$ |
1.0885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Total Return: (a) (d) |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Total return before Performance fees |
|
-0.31 |
% |
-1.27 |
% |
1.00 |
% |
0.17 |
% |
1.17 |
% | |||||
|
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% | |||||
|
Total return after Performance fees |
|
-0.31 |
% |
-1.27 |
% |
1.00 |
% |
0.17 |
% |
1.17 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Ratios to Average Members’ Capital: (d) |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Expenses (excluding Performance fees) (b) |
|
3.97 |
% |
4.98 |
% |
2.72 |
% |
3.57 |
% |
2.47 |
% | |||||
|
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% | |||||
|
Expenses (including Performance fees) |
|
3.97 |
% |
4.98 |
% |
2.72 |
% |
3.57 |
% |
2.47 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net investment income (loss) (excluding Performance fees) |
|
-2.61 |
% |
-3.53 |
% |
-1.36 |
% |
-2.01 |
% |
-0.95 |
% | |||||
|
Performance fees |
|
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% |
0.00 |
% | |||||
|
Net investment income (loss) (including Performance fees) |
|
-2.61 |
% |
-3.53 |
% |
-1.36 |
% |
-2.01 |
% |
-0.95 |
% | |||||
(a) The total return is calculated for each class taken as a whole based on the change in net asset value.
(b) The expense ratios do not include brokerage commissions.
(c) Expenses are presented net inclusive of other income.
(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.
See notes to financial statements.
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2016
The following per Unit data and ratios have been derived from information provided in the financial statements.
|
|
|
Class A |
|
Class C |
|
Class D |
|
Class I |
|
Class M |
| |||||
|
Per Unit Operating Performance: |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net asset value, beginning of year |
|
$ |
1.8330 |
|
$ |
1.6517 |
|
$ |
2.1909 |
|
$ |
1.9115 |
|
$ |
1.1726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net realized and net change in unrealized trading profit (loss) |
|
(0.1063 |
) |
(0.0949 |
) |
(0.1287 |
) |
(0.1112 |
) |
(0.0689 |
) | |||||
|
Brokerage commissions |
|
(0.0063 |
) |
(0.0056 |
) |
(0.0076 |
) |
(0.0066 |
) |
(0.0040 |
) | |||||
|
Interest income, net |
|
0.0034 |
|
0.0030 |
|
0.0041 |
|
0.0035 |
|
0.0022 |
| |||||
|
Expenses (c) |
|
(0.0678 |
) |
(0.0776 |
) |
(0.0507 |
) |
(0.0645 |
) |
(0.0260 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net asset value, end of year |
|
$ |
1.6560 |
|
$ |
1.4766 |
|
$ |
2.0080 |
|
$ |
1.7327 |
|
$ |
1.0759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Total Return: (a) (d) |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Total return before Performance fees |
|
-9.39 |
% |
-10.33 |
% |
-8.08 |
% |
-9.09 |
% |
-7.98 |
% | |||||
|
Performance fees |
|
-0.27 |
% |
-0.27 |
% |
-0.27 |
% |
-0.27 |
% |
-0.27 |
% | |||||
|
Total return after Performance fees |
|
-9.66 |
% |
-10.60 |
% |
-8.35 |
% |
-9.36 |
% |
-8.25 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Ratios to Average Members’ Capital: (d) |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Expenses (excluding Performance fees) (b) |
|
4.06 |
% |
5.06 |
% |
2.56 |
% |
3.66 |
% |
2.56 |
% | |||||
|
Performance fees |
|
0.26 |
% |
0.26 |
% |
0.26 |
% |
0.26 |
% |
0.26 |
% | |||||
|
Expenses (including Performance fees) |
|
4.32 |
% |
5.32 |
% |
2.82 |
% |
3.92 |
% |
2.82 |
% | |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Net investment income (loss) (excluding Performance fees) |
|
-3.36 |
% |
-4.31 |
% |
-1.84 |
% |
-2.98 |
% |
-1.93 |
% | |||||
|
Performance fees |
|
-0.26 |
% |
-0.26 |
% |
-0.26 |
% |
-0.26 |
% |
-0.26 |
% | |||||
|
Net investment income (loss) (including Performance fees) |
|
-3.62 |
% |
-4.57 |
% |
-2.10 |
% |
-3.24 |
% |
-2.19 |
% | |||||
(a) The total return is calculated for each class taken as a whole based on the change in net asset value.
(b) The expense ratios do not include brokerage commissions.
(c) Expenses are presented net inclusive of other income.
(d) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.
See notes to financial statements.
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
FINANCIAL DATA HIGHLIGHTS
FOR THE YEAR ENDED DECEMBER 31, 2015
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 year |
|
$ |
1.7318 |
|
$ |
1.5768 |
|
$ |
2.0448 |
|
$ |
1.7810 |
|
$ |
2.0290 |
|
$ |
2.1534 |
|
$ |
1.0933 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net realized and net change in unrealized trading profit (loss) |
|
0.2132 |
|
0.1925 |
|
0.2471 |
|
0.2396 |
|
0.0233 |
|
0.2917 |
|
0.1334 |
| |||||||
|
Brokerage commissions |
|
(0.0059 |
) |
(0.0053 |
) |
(0.0070 |
) |
(0.0061 |
) |
(0.0023 |
) |
(0.0074 |
) |
(0.0037 |
) | |||||||
|
Interest income, net |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0001 |
|
0.0000 |
| |||||||
|
Expenses |
|
(0.1062 |
) |
(0.1124 |
) |
(0.0941 |
) |
(0.1031 |
) |
(0.0574 |
) |
(0.0816 |
) |
(0.0504 |
) | |||||||
|
Net asset value, before full redemption (if applicable) |
|
1.8330 |
|
1.6517 |
|
2.1909 |
|
1.9115 |
|
1.9927 |
|
2.3562 |
|
1.1726 |
| |||||||
|
Less redemption |
|
— |
|
— |
|
— |
|
— |
|
1.9927 |
|
2.3562 |
|
— |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net asset value, end of year |
|
$ |
1.8330 |
|
$ |
1.6517 |
|
$ |
2.1909 |
|
$ |
1.9115 |
|
$ |
— |
|
$ |
— |
|
$ |
1.1726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Total Return: (a) (c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Total return before Performance fees |
|
7.88 |
% |
6.78 |
% |
9.18 |
% |
9.38 |
% |
0.18 |
% |
11.14 |
% |
9.29 |
% | |||||||
|
Performance fees |
|
-2.04 |
% |
-2.03 |
% |
-2.04 |
% |
-2.05 |
% |
-1.97 |
% |
-1.72 |
% |
-2.04 |
% | |||||||
|
Total return after Performance fees |
|
5.84 |
% |
4.75 |
% |
7.14 |
% |
7.33 |
% |
-1.79 |
% |
9.42 |
% |
7.25 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Ratios to Average Members’ Capital: (c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Expenses (excluding Performance fees) (b) |
|
4.01 |
% |
5.02 |
% |
2.51 |
% |
3.61 |
% |
2.44 |
% |
2.01 |
% |
2.51 |
% | |||||||
|
Performance fees |
|
1.95 |
% |
1.95 |
% |
1.95 |
% |
1.95 |
% |
1.88 |
% |
1.63 |
% |
1.95 |
% | |||||||
|
Expenses (including Performance fees) |
|
5.96 |
% |
6.97 |
% |
4.46 |
% |
5.56 |
% |
4.32 |
% |
3.64 |
% |
4.46 |
% | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
Net investment income (loss) (excluding Performance fees) |
|
-4.01 |
% |
-5.02 |
% |
-2.51 |
% |
-3.61 |
% |
-2.44 |
% |
-2.01 |
% |
-2.51 |
% | |||||||
|
Performance fees |
|
-1.95 |
% |
-1.95 |
% |
-1.95 |
% |
-1.95 |
% |
-1.88 |
% |
-1.63 |
% |
-1.95 |
% | |||||||
|
Net investment income (loss) (including Performance fees) |
|
-5.96 |
% |
-6.97 |
% |
-4.46 |
% |
-5.56 |
% |
-4.32 |
% |
-3.64 |
% |
-4.46 |
% | |||||||
(a) The total return is calculated for each class taken as a whole based on the change in net asset value.
(b) The expense ratios do not include brokerage commissions.
(c) An individual member’s return and ratios may vary based on timing and amount of capital transactions and class specific fee structures.
*Units fully redeemed as of April 30, 2015. The ratios to average members’ capital have been annualized. The performance fee ratios and total return have not been annualized.
**Units fully redeemed as of December 31, 2015.
See notes to financial statements.
ASPECT FUTURESACCESS LLC
(A Delaware Limited Liability Company)
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Organization
Aspect FuturesAccess LLC (the “Fund”), a FuturesAccessTM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on April 1, 2005. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Aspect Capital Limited (“Aspect” or the “Trading Advisor”) is the trading advisor of the Fund. The Trading Advisor trades the Aspect Diversified Program (the “Trading Program”) for the Fund.
Merrill Lynch Alternative Investments LLC (“MLAI”, the “Sponsor” or the “Managing Member”) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.”. Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Fund. MLAI may select other parties as clearing broker(s). Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Fund. MLAI may select other of its affiliates, or third parties, as F/X or other over-the-counter (“OTC”) prime brokers. MLPF&S and MLI are BofA Corp. affiliates.
FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”). FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BofA Corp. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor. Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.
As of December 31, 2017, the Fund offers four Classes of Units: Class A, Class I, Class D and Class M. Each Class of Units is offered at the Net Asset Value per Unit.
As of February 2017, the Fund no longer offers Class C Units. The Fund will convert Class C Units that have been outstanding for thirty (30) months or more to Class A Units. The first conversion commenced on November 1, 2017. Thereafter, the Fund will convert its outstanding Class C Units to Class A Units on the 30 month anniversary of such Units’ issuance or, if such anniversary date is not the first business day of a month, the first business day of the following month.
The Class M Units are for investors who are subscribing through certain accounts enrolled in an eligible managed account program (“Eligible Managed Accounts”). The Sponsor may modify, on a prospective basis, the Eligible Managed Accounts.
Class DT was solely for investments made by ML Trend-Following Futures Fund L.P., which was a FuturesAccess fund of funds. ML Trend-Following Futures Fund L.P. liquidated as of December 31, 2015. Class DS was solely for investments made by Systematic Momentum FuturesAccess LLC, which also was a FuturesAccess fund of funds.
Systematic Momentum FuturesAccess LLC redeemed its investment in the Fund as of April 30, 2015. Class DT Units and Class DS Units are no longer offered.
Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, BofA Corp. or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.
The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents which are classified as Level II within the fair value hierarchy discussed in Note 3. As of December 31, 2017 and 2016, the Fund held no cash equivalents. Cash was held at a nationally recognized financial institution.
Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“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.
Revenue Recognition
Commodity futures, options on futures and forward contract transactions are recorded on trade date. Open contracts are reflected in unrealized profit (loss) on open contracts in the Statements of Financial Condition as the difference between the original contract value and the market value (for those commodity interests for which market quotations are readily available) or at fair value. The change in unrealized profit (loss) on open contracts from one period to the next is reflected in Change in unrealized, net under Trading profit (loss), net in the Statements of Operations.
Trading profit (loss), net includes brokerage commission costs on commodity contracts.
Foreign Currency Transactions
The Fund’s functional currency is the U.S. dollar; however, it may transact business in U.S. dollars and in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect as of the dates of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the year. Profits and losses, including adjustments, resulting from the translation to U.S. dollars are included in Trading profit (loss), net in the Statements of Operations.
Equity in Commodity Trading Accounts
A portion of the assets maintained at MLPF&S and MLI is restricted cash required to meet maintenance margin requirements of the exchanges the Fund’s contracts are traded on and /or requirements greater than those of the exchanges as may be required by MLPF&S and MLI, in their sole discretion.
Operating Expenses and Selling Commissions
The Fund pays for all operating costs (including, but not limited to, ongoing offering costs, administration, custody, transfer, exchange and redemption processing, legal, regulatory filing, tax, audit, escrow, accounting and printing fees and other expenses) incurred by the Fund.
Class A Units, Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. (Prior to February 1, 2017, Class A Units were subject to an upfront sales commissions which range from 1.0% to 2.5%.) Sales commissions are directly deducted from subscription amounts.
Class M Units are not subject to upfront sales commissions. Class C Units, Class DT Units and Class DS Units were not subject to upfront sales commissions.
Income Taxes
Each investor is individually responsible for reporting income or loss based on such investor’s share of the Fund’s income and expenses as reported for income tax purposes.
The Fund follows the ASC guidance on accounting for uncertain tax positions. 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. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the Net Asset Value of the Fund, including reducing the Net Asset Value of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. MLAI has analyzed the Fund’s tax positions and has concluded that a provision for income tax of $517,000, generated by trading in Spain, was required in the Fund’s financial statements as of December 31, 2016. Such amount was included in Other Liabilities on the Statement of Financial Condition as of December 31, 2016. Additionally, during the years ended December 31, 2017 and 2016 certain previous Spanish tax exposure was reversed, resulting in $517,000 and $647,420, respectfully, of other income on the 2017 and 2016 Statement of Operations. MLAI has concluded no provision for income tax is necessary as of December 31, 2017. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2014.
Distributions
Each investor is entitled to receive, equally per Unit, any distributions which may be made by the Fund. No such distributions have been declared for the years ended December 31, 2017, 2016 and 2015.
Subscriptions
The Fund generally offers Units for investment as of the 1st and 16th calendar day of each month (each a “Subscription Date”) at the Net Asset Value per Unit of their respective Classes, although MLAI may in its discretion, discontinue mid-month subscriptions at any time. Investors must submit their executed subscription agreement signature pages on or before the “Subscription/Redemption Notice Date,” which is eight business days prior to the 1st and 16th of every month. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate Net Asset Value equal to the dollar amount invested.
Redemptions and Exchanges
Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of (i) the 15th calendar day of each month and/or (ii) the last calendar day of each month (each a “Redemption Date”), upon submitting a redemption request by the Subscription/Redemption Notice Date, which is eight business days prior to the 1st and 16th of every month. MLAI may eliminate investors’ mid-month redemption right at any time. The Net Asset Value of redeemed Units is determined as of the Redemption Date. Investors will
remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date.
Investors in the Fund may generally exchange their Units for those of any other FuturesAccess Fund as of any Subscription Date with prior written notice to the Fund by the Subscription/Redemption Notice Date and any applicable notice to the other FuturesAccess Fund. If only one of the FuturesAccess Funds has semi-monthly redemption dates, exchanges will only be permitted as of the beginning of each month. In all cases, exchanges are subject to FuturesAccess Fund availability, investor eligibility and any restrictions imposed by a FuturesAccess Fund or the terms of a securities account, either temporarily or on an ongoing basis. The minimum exchange amount is $10,000.
2. CONDENSED SCHEDULES OF INVESTMENTS
The Fund’s investments, defined as unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of December 31, 2017 and 2016, are as follows:
December 31, 2017
|
|
|
Long Positions |
|
Short Positions |
|
Net Unrealized |
|
|
|
|
| |||||||||||
|
Commodity Industry |
|
Number of |
|
Unrealized |
|
Percent of |
|
Number of |
|
Unrealized |
|
Percent of |
|
Profit (Loss) |
|
Percent of |
|
|
| |||
|
Sector |
|
Contracts/Notional* |
|
Profit (Loss) |
|
Members’ Capital |
|
Contracts/Notional* |
|
Profit (Loss) |
|
Members’ Capital |
|
on Open Positions |
|
Members’ Capital |
|
Maturity Dates |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Agriculture |
|
103 |
|
$ |
137,853 |
|
0.20 |
% |
(1,181 |
) |
$ |
384,308 |
|
0.55 |
% |
$ |
522,161 |
|
0.75 |
% |
February 2018 - April 2018 |
|
|
Currencies - Futures |
|
5 |
|
5,540 |
|
0.01 |
% |
(11 |
) |
(15,485 |
) |
-0.02 |
% |
(9,945 |
) |
-0.01 |
% |
March 2018 |
| |||
|
Currencies - Forwards* |
|
252,071,735 |
|
2,876,659 |
|
4.10 |
% |
(228,725,253 |
) |
(3,246,617 |
) |
-4.62 |
% |
(369,958 |
) |
-0.52 |
% |
March 2018 |
| |||
|
Energy |
|
434 |
|
1,265,666 |
|
1.80 |
% |
(264 |
) |
(494,590 |
) |
-0.70 |
% |
771,076 |
|
1.10 |
% |
January 2018 - December 2018 |
| |||
|
Interest rates |
|
2,233 |
|
(1,589,571 |
) |
-2.26 |
% |
(2,312 |
) |
359,823 |
|
0.51 |
% |
(1,229,748 |
) |
-1.75 |
% |
March 2018 - June 2020 |
| |||
|
Metals |
|
302 |
|
1,228,177 |
|
1.75 |
% |
(73 |
) |
(464,140 |
) |
-0.66 |
% |
764,037 |
|
1.09 |
% |
January 2018 - April 2018 |
| |||
|
Stock indices |
|
1,071 |
|
526,852 |
|
0.75 |
% |
(148 |
) |
(3,042 |
) |
0.00 |
% |
523,810 |
|
0.75 |
% |
January 2018 - March 2018 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Total |
|
|
|
$ |
4,451,176 |
|
6.35 |
% |
|
|
$ |
(3,479,743 |
) |
-4.94 |
% |
$ |
971,433 |
|
1.41 |
% |
|
|
December 31, 2016
|
|
|
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 |
|
455 |
|
$ |
(151,581 |
) |
-0.14 |
% |
(710 |
) |
$ |
394,646 |
|
0.37 |
% |
$ |
243,065 |
|
0.23 |
% |
February 2017 - April 2017 |
|
|
Currencies - Futures |
|
3 |
|
(7,065 |
) |
-0.01 |
% |
(27 |
) |
14,105 |
|
0.01 |
% |
7,040 |
|
0.00 |
% |
March 2017 |
| |||
|
Currencies - Forwards* |
|
155,465,380 |
|
(771,410 |
) |
-0.72 |
% |
(199,845,797 |
) |
1,150,492 |
|
1.08 |
% |
379,082 |
|
0.36 |
% |
March 2017 |
| |||
|
Energy |
|
190 |
|
255,974 |
|
0.24 |
% |
(40 |
) |
(56,180 |
) |
-0.05 |
% |
199,794 |
|
0.19 |
% |
January 2017 - March 2017 |
| |||
|
Interest rates |
|
510 |
|
308,025 |
|
0.29 |
% |
(3,415 |
) |
173,276 |
|
0.16 |
% |
481,301 |
|
0.45 |
% |
March 2017 - June 2019 |
| |||
|
Metals |
|
280 |
|
(1,436,353 |
) |
-1.35 |
% |
(195 |
) |
501,993 |
|
0.47 |
% |
(934,360 |
) |
-0.88 |
% |
February 2017 - April 2017 |
| |||
|
Stock indices |
|
1,087 |
|
621,635 |
|
0.58 |
% |
(429 |
) |
8,642 |
|
0.01 |
% |
630,277 |
|
0.59 |
% |
January 2017 - March 2017 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Total |
|
|
|
$ |
(1,180,775 |
) |
-1.11 |
% |
|
|
$ |
2,186,974 |
|
2.05 |
% |
$ |
1,006,199 |
|
0.94 |
% |
|
|
*Currencies — Forwards present notional amounts as converted to USD.
No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2017 and December 31, 2016. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.
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 period/year is reported in the respective Statements of Operations.
The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Investments measured and reported at fair value are classified and disclosed in one of the following categories:
Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.
Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.
Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.
The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.
Exchange traded investments are fair valued by the Fund by using the reported closing price on the primary exchange where such investments are traded. These closing prices are observed through the clearing broker and third party
pricing services. For non-exchange traded investments, quoted values and other data provided by nationally recognized independent pricing sources are used as inputs into the process for determining fair values.
The Fund has determined that Level I investments would include its futures and options contracts where quoted prices are available in an active market.
Where the Fund believes that quoted market prices are not available or that the market is not active, fair values are estimated by using observable prices of investments with similar characteristics and these are generally classified as Level II investments. The Fund determined that Level II investments would include its forwards and certain futures contracts.
Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level during 2017 and 2016.
The Fund’s unrealized profit (loss) on open forwards and futures contracts, by the above fair value hierarchy levels, as of December 31, 2017 and 2016 are as follows:
2017
|
Net unrealized profit (loss) |
|
|
|
|
|
|
|
|
| ||||
|
on open contracts |
|
Total |
|
Level I |
|
Level II |
|
Level III |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Assets |
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
$ |
4,494,939 |
|
$ |
3,651,733 |
|
$ |
843,206 |
|
$ |
— |
|
|
Forwards |
|
3,290,984 |
|
— |
|
3,290,984 |
|
— |
| ||||
|
|
|
$ |
7,785,923 |
|
$ |
3,651,733 |
|
$ |
4,134,190 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
Liabilities |
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
$ |
3,153,548 |
|
$ |
2,795,267 |
|
$ |
358,281 |
|
$ |
— |
|
|
Forwards |
|
3,660,942 |
|
— |
|
3,660,942 |
|
— |
| ||||
|
|
|
$ |
6,814,490 |
|
$ |
2,795,267 |
|
$ |
4,019,223 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
December 31, 2017 |
|
$ |
971,433 |
|
$ |
856,466 |
|
$ |
114,967 |
|
$ |
— |
|
2016
|
Net unrealized profit (loss) |
|
|
|
|
|
|
|
|
| ||||
|
on open contracts |
|
Total |
|
Level I |
|
Level II |
|
Level III |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||||
|
Assets |
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
$ |
3,315,560 |
|
$ |
2,983,356 |
|
$ |
332,204 |
|
$ |
— |
|
|
Forwards |
|
2,545,779 |
|
— |
|
2,545,779 |
|
— |
| ||||
|
|
|
$ |
5,861,339 |
|
$ |
2,983,356 |
|
$ |
2,877,983 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
Liabilities |
|
|
|
|
|
|
|
|
| ||||
|
Futures |
|
$ |
2,688,443 |
|
$ |
1,527,806 |
|
$ |
1,160,637 |
|
$ |
— |
|
|
Forwards |
|
2,166,697 |
|
— |
|
2,166,697 |
|
— |
| ||||
|
|
|
$ |
4,855,140 |
|
$ |
1,527,806 |
|
$ |
3,327,334 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
| ||||
|
December 31, 2016 |
|
$ |
1,006,199 |
|
$ |
1,455,550 |
|
$ |
(449,351 |
) |
$ |
— |
|
The Fund’s volume of trading forwards and futures at December 31, 2017 and 2016, respectively, are representative of the activity throughout the years presented.
The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Such contracts meet the definition of a derivative as noted in the ASC guidance for accounting for derivative and hedging activities. The fair value amounts of, and the net profits and losses on, derivative instruments are disclosed in the Statements of Financial Condition and Statements of Operations, respectively. There are no credit related contingent features embedded in these derivative contracts. The total notional, number of contracts and fair values of derivative instruments by contract type/commodity sector are disclosed in Note 2.
The Fund maintains margin deposits and cash collateral with its futures and forwards brokers, respectively, based on the greater of exchange margin or amounts determined by the respective broker. At December 31, 2017 and December 31, 2016, the initial margin deposits (cash) are used to satisfy the margin requirements to establish the futures or forward contracts and are presented on the Statements of Financial Condition in Cash in the Equity in commodity trading accounts. The variation margin on open contracts is presented gross on the Statements of Financial Condition in Unrealized profit or loss on futures or forwards contracts, respectively. The Fund is subject to agreements which support the ability to settle net with their counterparties; however, the Fund has elected to present the related balances on the Statements of Financial Condition on a gross basis. The net of these amounts plus the restricted cash presented within the Cash in the Equity in commodity trading accounts on the Statements of Financial Condition represents the Fund’s net exposure.
The following table indicates the trading profits and losses before brokerage commissions, by commodity industry sector for the years ended December 31, 2017, 2016 and 2015:
|
Commodity Industry |
|
December 31, 2017 |
|
December 31, 2016 |
|
December 31, 2015 |
| |||
|
Sector |
|
Profit (loss) from trading, net |
|
Profit (loss) from trading, net |
|
Profit (loss) from trading, net |
| |||
|
|
|
|
|
|
|
|
| |||
|
Agriculture |
|
$ |
(770,323 |
) |
$ |
(1,718,410 |
) |
$ |
(289,165 |
) |
|
Currencies |
|
(5,205,770 |
) |
(3,070,410 |
) |
(1,828,505 |
) | |||
|
Energy |
|
17,351 |
|
(2,525,031 |
) |
14,394,708 |
| |||
|
Interest rates |
|
(5,282,072 |
) |
3,289,912 |
|
(766,755 |
) | |||
|
Metals |
|
491,018 |
|
(3,171,775 |
) |
5,920,577 |
| |||
|
Stock indices |
|
11,981,708 |
|
(24,248 |
) |
(862,493 |
) | |||
|
|
|
|
|
|
|
|
| |||
|
Total, net |
|
$ |
1,231,912 |
|
$ |
(7,219,962 |
) |
$ |
16,568,367 |
|
The Fund is subject to the risk of insolvency of a counterparty, an exchange, a clearinghouse, MLPF&S or other BofA Corp. entities. Fund assets could be lost or impounded during lengthy bankruptcy proceedings. Were a substantial portion of the Fund’s capital tied up in a bankruptcy or other similar types of proceedings, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities. There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.
4. RELATED PARTY TRANSACTIONS
MLAI owns 50 Class D Units which represent less than 1% of the Fund’s Net Asset Value as of December 31, 2017 and 2016.
MLAI, the Fund and certain other FuturesAccess Funds, MLAI’s HedgeAccess® Program of hedge funds and other BofA Corp. funds (each a “Serviced Fund” and collectively, the “Serviced Funds”) have entered into a transfer agency and investor services agreement with Financial Data Services, LLC (the “Transfer Agent”), a wholly owned subsidiary of BofA Corp. and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services were 0.02% per year of the aggregate net assets of the Serviced Funds. The fee is paid monthly in arrears. The Transfer Agent also receives reimbursement for its out-of-pocket expenses and certain extraordinary expenses. MLAI allocates the Transfer Agent fees to each of the Serviced Funds, including the Fund, on a monthly basis based on each Serviced Fund’s net assets. The Transfer Agent fee allocated to the Fund for the years ended December 31, 2017, 2016 and 2015 amounted to $17,393, $23,486 and $48,759, respectively, of which $3,975 and $5,825 was payable to the Transfer Agent as of December 31, 2017 and 2016, respectively. Such fee and related payable are included in other expenses and other liabilities on the accompanying Statements of Operations and Statements of Financial Condition, respectively.
Typically the vast majority of the Fund’s U.S. dollar assets are maintained at MLPF&S. MLPF&S and any other BofA Corp. affiliates that hold the Fund’s cash assets receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little, or no, interest on these cash assets. BofA Corp.’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by the Sponsor with its affiliates. As of December 31, 2017, the interest rate under the Interest Earning Program on U.S. dollar cash balances
is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%, except for currencies designated by MLPF&S as “negative interest rate currencies” (discussed below). The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers and is calculated by the Federal Reserve Bank of New York using data provided by the brokers. Interest is computed based upon the daily net equity balance of the Fund’s account and is posted to the Fund’s account on a monthly basis. MLPF&S deposits certain of the Fund’s assets as margin or collateral with clearinghouses and/or depositories. As a result of the present low interest rate environment, these clearinghouses and depositories charge MLPF&S fees to account for the negative interest rates on cash balances for certain currencies, which may change from time to time. Accordingly, MLPF&S charges the Fund a “negative interest rate fee” for any currencies designated by MLPF&S as a “negative interest rate currency.”
The Fund charges Sponsor fees on the month-end Net Asset Value after all other charges at annual rates equal to 1.5% for Class A Units, 2.5% for Class C Units, 0.75% for Class D Units and 1.1% for Class I Units. (Class D Units were not charged a Sponsor fee prior to September 1, 2017.) Class M Units are not charged a Sponsor fee. Class DT Units and Class DS Units were not charged a Sponsor fee.
The Fund pays brokerage commissions on actual cost per round-turn. The average round-turn commission rate charged to the Fund for the years ended December 31, 2017, 2016 and 2015 was approximately $6.40, $6.25 and $6.49, respectively.
Brokerage commissions, interest, net and Sponsor fees, as presented on the Statements of Operations, are all received from or paid to related parties. Equity in commodity trading accounts, including cash and Unrealized profit (loss), as presented on the Statements of Financial Condition are held with a related party.
5. ADVISORY AGREEMENT
The Fund, MLAI and the Trading Advisor have entered into an advisory agreement. The advisory agreement will continue in effect until December 31, 2020. Thereafter, the advisory agreement will be automatically renewed for successive three-year periods, on the same terms, unless (x) terminated at any time by either the Trading Advisor or the Fund upon 90 days written notice to the other party or (y) terminated upon certain occurrences as provided therein. Pursuant to the advisory agreement, the Trading Advisor has sole and exclusive authority and responsibility for directing the Fund’s trading, subject to MLAI’s fiduciary responsibility to intervene, to overrule or unwind trades if MLAI deems that doing so is necessary or advisable for the protection of the Fund.
The Fund pays monthly management fees to the Trading Advisor based on the month-end Net Asset Value of the Fund (prior to reduction for the management fees being calculated and any accrued performance fees or Sponsor fees). Prior to September 1, 2017, the management fee rate was 2.0% per year for Class A, Class C, Class D, Class I and Class M Units, and the Trading Advisor agreed to share 50% of the management fees with MLAI in order to defray costs in connection with and in consideration of BofA Corp.’s providing certain operational support for the Fund.
Effective September 1, 2017, the management fee rate for Class A, Class C, Class D, Class I and Class M Units has been reduced from 2.0% to 1.0%, and the Trading Advisor will no longer share its management fee with the Sponsor.
The management fee rate for Class DT and DS Units was 1.5% when available.
The Fund pays a 20% quarterly performance fee to the Trading Advisor with respect to all Classes of Units with the exception of Class DT which paid a 15% quarterly performance fee. The performance fee is calculated based on any increase in the aggregate Net Asset Value of the Classes of Units subject to the same rate of performance fees (each a “Class Group”), taken together, in excess of the Class Group’s highest Net Asset Value as of any previous calendar
quarter end after adjustment for subscriptions and the performance fee then paid (“High Water Mark”).The performance fee is also paid on net redemptions, and the High Water Mark is proportionately reduced.
6. WEIGHTED AVERAGE UNITS
The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding, for each Class for the years ended December 31, 2017, 2016 and 2015 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the year.
7. MARKET AND CREDIT RISKS
The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes some of those risks.
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 unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Fund as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.
MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Trading Advisor, calculating the Net Asset Value of the Fund as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Fund’s market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAI’s basic risk control procedures will consist of the process of Trading Advisor monitoring, with the market risk controls being applied by the Trading Advisor.
Credit Risk
The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin. The credit risk associated with these instruments from counterparty nonperformance is the unrealized profit (loss) on open contracts, if any, included in the Statements of Financial Condition.
MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA Corp. affiliated service providers as clearing brokers or prime brokers for the Fund. This policy may increase risk to the Fund by preventing the diversification of brokers used by the Fund.
The Fund, in its normal course of business, enters into various contracts, with MLPF&S acting as its futures clearing broker and MLI as its forwards prime broker. In the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S. In the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.
Indemnifications
In the normal course of business, the Fund has entered, or may in the future enter, into agreements that obligate the Fund to indemnify certain parties, including BofA Corp. affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of subsequent events on the Fund and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.